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Winton Absolute Return Futures Fund

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Winton Absolute Return Futures Fund Winton Absolute Return Futures Fund A Sub-Fund of Winton UCITS Funds ICAV (An umbrella open-ended Irish collective asset-management vehicle with segregated liability between sub-funds incorporated in Ireland under the Irish Collective Asset-Management Vehicles Act 2015 and authorised by the Central Bank as a UCITS pursuant to the UCITS Regulations). Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019 Table of Contents Page(s) General Information 2 - 3 Manager’s Report 4 Statement of Financial Position 5 Statement of Comprehensive Income 6 Statement of Changes in Equity 7 Statement of Cash Flows 8 Schedule of Investments 9 - 14 Notes to the Condensed Unaudited Interim Financial Statements 15 - 23 Statement of Significant Purchases and Sales 24 - 25 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND General Information Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019 Directors Dermot Butler 1,2 John Skelly 1 Alan Tooker 1,2,3 Rajeev Patel Taavi Davies 1,2,4 Registered Office 32 Molesworth Street Dublin 2 Ireland Investment Manager and Distributor Winton Capital Management Limited Grove House 27 Hammersmith Grove London, W6 0NE United Kingdom Manager (From 1 July 2019) Winton Fund Management Ireland DAC 32 Molesworth Street Dublin 2 Ireland Depositary (Up to 28 February 2019) State Street Custodial Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2 Ireland (From 1 March 2019) BNY Mellon Trust Company (Ireland) Limited One Dockland Central Guild Street Dublin 1 Ireland Administrator and Transfer Agent (Up to 28 February 2019) State Street Fund Services (Ireland) Limited 78 Sir John Rogerson’s Quay Dublin 2 Ireland 1 These Directors of the ICAV are independent of the Investment Manager. 2 Dermot Butler, Taavi Davies and Alan Tooker are independent of all Service Providers to the ICAV. 3 Alan Tooker resigned as of 6 November 2018. 4 Taavi Davies was appointed as of 6 November 2018. 2 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND General Information (continued) Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019 Administrator and Transfer Agent (continued) (From 1 March 2019) Citco Fund Services (Ireland) Limited Custom House Plaza Block 6 IFSC Dublin 1 Ireland Company Secretary MFD Secretaries Limited 32 Molesworth Street Dublin 2 Ireland Independent Auditors KPMG Chartered Accountants, Statutory Audit Firm 1 Harbourmaster Place IFSC Dublin 1 Ireland Legal Advisers in Ireland on Matters of Irish Law Maples and Calder 75 St. Stephen’s Green Dublin 2 Ireland Legal Advisers in the UK on Matters of English Law Simmons & Simmons LLP CityPoint One Ropemaker Street London, EC2Y 9SS United Kingdom Broker and EMIR Reporting Provider Goldman Sachs International Plumtree Court 25 Shoe Lane London, EC4A 4AU United Kingdom Global Registration Service Provider Maples and Calder 75 St. Stephen’s Green Dublin 2 Ireland Facilities Agent in the UK Winton Capital Management Limited Grove House 27 Hammersmith Grove London, W6 0NE United Kingdom 3 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Manager’s Report Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019 Winton Capital Management Limited, the Investment Manager, and Winton Fund Management Ireland DAC, the Manager, are part of the Winton Group (“Winton”). Winton is a research-based investment management company with a single-minded focus on statistical and mathematical inference in financial markets. Founded in 1997 by CEO David Harding, the firm manages approximately $20 billion of assets for many of the world’s largest pension funds, sovereign wealth funds, banks and fund platforms. Winton Absolute Return Futures Fund (the “Fund”) is a diversified investment strategy seeking positive returns on a rolling three- year basis and long-term conservative capital growth. In pursuing this objective, the Fund operates a portfolio of systematic strategies that seeks to profit from rises and falls in equity indices, fixed income, commodities and currencies around the world. Access to markets is gained predominantly via futures and forwards. Winton Absolute Return Futures Fund Performance The Fund’s GBP I Shares delivered a net return of 8.31% between 1 March 2019 and 31 August 2019, to end the review period with a NAV of £110.271 per share. Government bonds rallied over this six-month period, with yields on 10-year German bunds and 30-year US Treasuries both falling to all-time lows by August. Other perceived safe havens also fared well over this period. The US dollar, for example, strengthened against most G10 currencies, while gold prices rose 16%. Aside from precious metals, commodity markets generally fell, with copper losing 14% and Brent crude 8%. Equity markets mostly gained, with the S&P 500 Index reaching record highs in April and again in July. Returns were negative in Asia, however, particularly in Hong Kong’s Hang Seng China Enterprises Index. The Fund’s positioning in fixed income and currencies drove the positive performance over the six months. Commodities, on the other hand, were negative for returns overall due to losses in energies. The global downtrend in yields over the six months explains the Fund’s strong performance in fixed income. Long positions in Eurodollar, German bund and Euribor futures were all among the Fund’s top individual contributors to returns. Profits also accrued from long exposure to Italian BTPs, Japanese 10-year governments bonds and UK gilts. In currencies, a short position in the euro accounted for most of the Fund’s profits, with the shared currency representing the portfolio’s largest individual contributor to performance. These gains were partially offset by short exposure to an appreciating Japanese yen. Returns in non-G10 currencies were slightly positive, with profits from the Chinese yuan and Korean won reduced by losses in the Brazilian real and South African rand. Other profits accrued from long positions in stock indices, particularly the S&P 500. Performance in commodities was mixed but negative overall due to energies, where mostly long positioning in natural gas, gasoline and Brent crude led the losses. Gold was the portfolio’s largest individual detractor from performance due to a short position, but the Fund profited in metals as whole, with profits from copper and nickel. In agricultural commodities, a positive contribution to performance from crops was reduced by losses in livestock. Winton’s infrastructure for conducting research is more robust than ever and its management processes more disciplined and effective. The firm has been rewarded with the sense of material progress in its research, which it believes has every chance of being translated into longer term investment returns for Fund investors. 4 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Financial Position Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019 As at As at 31 August 28 February 2019 2019 Notes GBP GBP Assets Financial assets at fair value through profit or loss: Transferable securities 4 77,786,391 65,044,793 Derivative instruments 4 4,009,084 1,161,338 Cash and cash equivalents 10,649,227 5,447,523 Amounts due from brokers 7,523,614 9,681,339 Interest income receivable 901,375 764,381 Receivable for fund shares sold 701,848 522,935 Operational expense rebate receivable 174,081 124,931 Prepaid expenses 14,660 15,469 Total assets 101,760,280 82,762,709 Liabilities Financial liabilities at fair value through profit or loss: Derivative instruments 4 571,724 774,037 Payable for fund shares repurchased 233,272 120,247 Amounts due to brokers 154,902 – Management fees payable 72,410 53,585 Depositary and safekeeping fees payable 9,130 1,351 Auditor fees payable 7,195 7,962 Administration fees payable 4,258 12,643 Other expenses payable 43,128 42,626 Total liabilities 1,096,019 1,012,451 Equity Share capital 100,664,261 81,750,258 Total equity 100,664,261 81,750,258 Total equity and liabilities 101,760,280 82,762,709 Shares outstanding per share class Class GBP I 912,882 802,953 Net asset value per share Class GBP I GBP 110.271 GBP 101.812 The accompanying notes form an integral part of these condensed unaudited interim financial statements 5 WINTON UCITS FUNDS ICAV - WINTON ABSOLUTE RETURN FUTURES FUND Statement of Comprehensive Income Condensed Unaudited Interim Financial Statements For the financial period from 1 March 2019 to 31 August 2019 For the financial For the financial period ended period ended 31 August 2019 31 August 2018* Notes GBP GBP Investment income Net realised and unrealised gain on financial assets and liabilities at fair value through profit or loss 7,681,234 372,841 Interest income on cash and broker balances 269,519 212,922 Other income 1,813 941 Total investment income 7,952,566 586,704 Operating expenses Management fees 412,924 112,201 Banking fees 44,120 – Administration fees 22,871 16,370 Legal and professional fees 22,326 3,084 Depositary and safekeeping fees 16,869 3,545 Interest expense 12,923 77 Auditor fees 5,312 6,915 Directors’ fees 6 3,282 3,357 Registration fees 2,451 283 Other expenses 34,497 8,454 Operational expense rebate (50,960) (24,775) Total operating expenses 526,615 129,511 Net income from operations 7,425,951 457,193 Total comprehensive income 7,425,951 457,193 There are no recognised gains or losses arising during the financial period other than those dealt with in the statement of comprehensive income.
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