ACPI Multi Strategy Fund (Mar 31 2013)

ACPI ALTERNATIVE STRATEGY UNIT TRUST
ACPI MULTI STRATEGY FUND
Year End Report and Financial Statements
For the year ended 31 March 2013
www.acpi.com
MANAGEMENT AND ADMINISTRATION
Manager
ACPI FM Limited
1st Floor
Liberation Wharf One
Esplanade
St Helier
Jersey JE2 3AS
Channel Islands
Administrator and Registrar
ACPI FM Limited
1st Floor
Liberation Wharf One
Esplanade
St Helier
Jersey JE2 3AS
Channel Islands
Trustee
Deutsche Bank International Limited
P O Box 727
St Paul’s Gate
New Street
St Helier
Jersey JE4 8ZB
Channel Islands
Investment Manager
ACPI Investments Limited
Pegasus House
37-43 Sackville Street
London W1S 3EH
United Kingdom
Sub-Administrator and Registrar
SS&C Technologies Canada Corp.
5255 Orbitor Drive
Mississauga. ON L4W 5M6
Canada
Independent Auditors
PricewaterhouseCoopers CI LLP
Chartered Accountants
37 Esplanade
St Helier
Jersey JE1 4XA
Channel Islands
Legal Advisor
Bedell Cristin
PO Box 75
26 New Street
St Helier
Jersey JE4 8PP
Channel Islands
Bankers
Deutsche Bank International Limited
PO Box 727
St Paul’s Gate
New Street
St Helier
Jersey JE4 8ZB
Channel Islands
Sponsoring Broker
Davy Stockbrokers
Davy House
49 Dawson Street
Dublin 2
Ireland
CONTENTS
Manager’s report
02-03
Investment manager’s report
04-05
Statement of responsibilities of the trustee & trustee’s report to the unitholders
Independent auditor’s report
06
07-08
Profit and loss account
09
Statement of changes in net assets attributable to unitholders
10
Balance sheet
11
Notes to the financial statements
12-26
Supplementary information
26-30
NOTE TO SOUTH AFRICAN RESIDENT INVESTORS:
The Fund is a non-approved Foreign Collective Investment Scheme as defined by the ACI Code of Practice in
South Africa and as such is not approved for distribution in South Africa.
1
MANAGER’S REPORT
The Manager presents the report and financial
statements for the year from 1 April 2012 to 31
March 2013.
General Information
(a) select suitable accounting policies and then
apply them consistently;
(b)make judgements and estimates that are
reasonable and prudent;
ACPI Alternative Strategy Unit Trust (the “Trust”) is
a Unit Trust established as a collective investment
fund under the laws of Jersey, Channel Islands by
a Trust Instrument dated 12 December, 1997 (as
amended from time to time) between the Manager,
ACPI FM Limited and the Trustee, Deutsche Bank
International Limited, under the terms of which a
number of individual funds may be established.
At the reporting date, the Trust consisted of the
following six active funds, ACPI Multi Strategy Fund,
ACPI Realisation Fund, ACPI Diversified Fund, ABSA
Pension Fund Segregated Portfolio Fund, ABSA
Pension Fund Segregated Portfolio Fund A and the
ACPI Hedge Equity US Dollar Fund.
(c) state whether applicable accounting standards
have been followed subject to any material
departures disclosed and explained in the
financial statements; and
The following financial statements comprise only
the ACPI Multi Strategy Fund (the “Fund”), which
consists of ACPI Multi Strategy Fund USD Class
launched on 31 December 1997, ACPI Multi Strategy
Fund EUR Class launched on 1 January 2004, and
ACPI Multi Strategy Fund GBP Class launched on 1
September 2005.
The Manager also has a general responsibility
for taking such steps as are reasonably open to
them to safeguard the assets of the Fund and for
the prevention and detection of fraud and other
irregularities.
The Fund is listed on the Irish Stock Exchange.
The address of the registered office of the Manager
is 1st Floor, Liberation Wharf One, Esplanade, St
Helier, Jersey, JE2 3AS, Channel Islands.
Responsibilities of the Manager
The Manager is responsible for preparing the
financial statements in accordance with applicable
law and regulations and United Kingdom Accounting
Standards. The Manager is required to prepare
financial statements for each financial year, which
give a true and fair view of the state of affairs of the
Fund and of the results of the Fund for that period.
These financial statements are for the Fund alone.
Financial statements for the Trust as a whole have
not been presented, as in the opinion of the Manager,
they would be of no benefit to the unitholders. In
preparing these financial statements, the Manager
is required to:
(d) prepare the financial statements on the going
concern basis unless it is inappropriate to
presume that the Fund will continue in business.
The Manager is responsible for keeping proper
accounting records which disclose with reasonable
accuracy at any time the financial position of the
Fund and to enable them to ensure that the financial
statements comply with the Trust Instrument.
The Manager confirms that they have complied with
the above requirements in preparing the financial
statements and subsequently.
So far as the Manager is aware, there is no relevant
information of which the Fund’s auditors are unaware,
and each director has taken all the steps that he
or she ought to have taken as director in order to
make himself or herself aware of any relevant audit
information and to establish that the Fund’s auditor
is aware of that information.
Results and state of affairs at 31 March 2013
The results for the year and the Balance Sheet as
at 31 March 2013 are set out on pages 9 and 11
respectively.
Distributions
The Manager does not propose a distribution in
respect of the year ended 31 March 2013. (31.03.12:
US$NIL).
2 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
MANAGER’S REPORT (continued)
Independent Auditors
PricewaterhouseCoopers CI LLP, have indicated
their willingness to continue in office. A resolution
to reappoint PricewaterhouseCoopers CI LLP as
auditors will be proposed at the next Trustee’s
meeting.
ACPI FM Limited
MANAGER
14 August 2013
3
INVESTMENT MANAGER’S REPORT
Investment objective and policy
Fund Positioning
The investment objective of ACPI Multi Strategy
Fund is to deliver absolute returns, but with a lower
volatility than the MSCI World Equity Index.
During the review period, relative value and equity
managers were additive to portfolio performance.
This was offset by losses in the event driven and
global macro allocations.
Fund Performance
From 1 April 2012 to 31 March 2013, the ACPI
Multi Strategy Fund generated a net return of
-6.22% (USD Class), -6.64% (Euro Class) & -6.61%
(GBP Class).
At the onset of the review period, the market was
focused on the potential contagion from Greece
exiting the European Union. By the middle of the
review, the focus shifted squarely to central bank
policy action. The European Central Bank announced
policies which significantly reduced the potential for
contagion to spread. The US Federal Reserve later
announced another round of quantitative easing,
effectively purchasing $85 billion of US treasuries
and mortgaged-backed securities each month for
an indefinite period of time. The combined effect
of central bank actions significantly reduced risk
premia across different asset classes, most notably
in equities and credit.
The portfolio was actively managed through the
period, with the emphasis remaining on flexibility
and liquidity; we continue to endeavour to ensure
that manager positioning remains attuned to the
underlying market conditions. We executed a
number of shifts in strategy allocation and underlying
manager selection was dynamically adjusted as
a result. Overall the portfolio has shifted to place
greater emphasis on managers where conviction is
highest and as a result underlying line items have
been reduced. As capital markets continue to
evolve under the pressure of regulatory and policy
interventions, the assessment of shifts in market
liquidity remains fundamental to our considerations
on manager selection and sizing, and as a result,
some changes reflected concerns of manager
market impact in relation to underlying market
liquidity.
The relative value allocation produced a small
positive return over the period. We continued to
reduce our exposure to more traditional multi
strategy mandates that operate with levels of
portfolio complexity that we feel is less attractive in
the current investment environment. Nonetheless
these managers were profitable over the period.
Elsewhere in the strategy bucket we ran increased
exposure to fixed income specialists which we felt
would benefit from decreased competition as banks
withdraw from proprietary trading activities. At the
same time, we felt the opportunity set would be
increased due to the presence of central banks in
capital market via their unorthodox monetary policy
activities which has the effect of accentuating
certain market distortions. Overall this has skewed
capital markets participants away from pure profit
maximisation.
The event driven strategy bucket was the primary
detractor to the Fund. This was due to the sale of
less liquid positions in the secondary market in order
to maintain portfolio diversification. The combined
effect of the sales was responsible for the majority
of the negative performance over the review period.
These included the sale of Bennelong, CRC Global
and Steel Japan.
Outside of these positions, the overall event driven
allocation shifted during the review period. Three
managers were fully redeemed while two managers
were added. Yields within credit have been pushed
to historic lows due to the ongoing demand for
instruments which produce income. For this reason,
the current focus is on managers which utilise an
active trading approach that can take advantage of
short-term opportunities as they arise.
4 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
INVESTMENT MANAGER’S REPORT (continued)
Fund Positioning (continued)
Outlook
The equity strategy bucket was a positive
contributor to overall performance during the review
period. The gains were split across different regions
and investment styles. During the review period,
we generally moved away from long/short equity
strategies in favour of long-only equity strategies
which offer better liquidity and lower fees. We fully
redeemed from three long/short managers and
added two long-only managers – one focussed on
Asia and the other on the US. We feel that this is
a more efficient use of capital while allowing us to
more quickly reposition the portfolio based on the
prevailing market conditions.
Entering the new financial period, central banks
have been effective in reducing the potential for
significant negative outcomes, or tail risks. Due to
this reduction in tail risks, we feel that the level of
risk-taking in the Fund can be increased. As such,
we have been and will continue to tactically increase
the equity exposure of the Fund. In order to make
room for such allocations, we have decreased the
exposure of the Fund to relative value and systematic
strategies. This has skewed the portfolio to a progrowth stance from the more defensive stance of the
past few years.
The global macro allocation was a net detractor
from overall performance during the review period.
The majority of the negative performance came from
the allocation to systematic strategies, primarily
strategies which focus on trend-following. Managers
in this area generally had a difficult time navigating
the markets due to lack of sustained trends. Such
strategies generally increase risk allocations to
trends as they become stronger. However, such
trends witnessed sharp reversals throughout the
review period, leading to positions being reduced
and losses realised. We made the decision during the
review period to redeem from systematic strategies
due to the challenging trading environment and
generally large amount of capital allocated to the
space.
With this said, the Fund continues to be positioned
to capture opportunities under a range of market
states; however throughout the portfolio our
managers are highly focused on risk management.
We remain flexible in our interpretation of market
and macro-economic direction, and continue to
stay liquid to ensure we can adjust to the variety of
attractive opportunities that a volatile market state
can offer disciplined investors.
ACPI Investments Limited
INVESTMENT MANAGER
5
STATEMENT OF RESPONSIBILITIES OF THE TRUSTEE
The Trustee is responsible for safeguarding the
assets of the Fund and for ensuring that the Fund
has been managed, in all material respects:
(a) in accordance with the limitations imposed on
the investment and borrowing powers of the
Manager and Trustee in the Trust Instrument, by
the scheme particulars and by all regulations for
the time being in force; and
(b) otherwise in accordance with the provisions of
the Trust Instrument and any such regulations.
TRUSTEE’S REPORT TO THE UNITHOLDERS
In our opinion, the Manager has, in all material
respects, managed the Fund during the year in
accordance with the limitations imposed on the
investment and borrowing powers of the Manager
and Trustee in the Trust Instrument, by the scheme
particulars and by all regulations for the time being
in force and otherwise in accordance with the
provisions of the Trust Instrument and any such
regulations.
Deutsche Bank International Limited
Jersey, Channel Islands
14 August 2013
6 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
INDEPENDENT AUDITOR’S REPORT
TO THE UNITHOLDERS OF ACPI ALTERNATIVE STRATEGY UNIT TRUST
ACPI MULTI STRATEGY FUND
Report on the financial statements
We have audited the accompanying financial
statements of ACPI Alternative Strategy Unit Trust
– ACPI Multi Strategy Fund (the “Fund”) which
comprise the balance sheet as of 31 March 2013
and the profit and loss account and the statement
of changes in net assets attributable to unitholders
for the year then ended and a summary of significant
accounting policies and other explanatory
information.
Manager’s responsibility for the financial statements
The Manager is responsible for the preparation
of financial statements in accordance with United
Kingdom Accounting Standards and with the
requirements of the Trust Instrument. The Manager
is also responsible for such internal control as it
determines is necessary to enable the preparation
of financial statements that are free from material
misstatement, whether due to fraud or error.
Auditors responsibility
Our responsibility is to express an opinion on
these financial statements based on our audit. We
conducted our audit in accordance with International
Standards on Auditing. Those Standards require that
we comply with ethical requirements and plan and
perform the audit to obtain reasonable assurance
whether the financial statements are free from
material misstatement.
An audit involves performing procedures to obtain
audit evidence about the amounts and disclosures
in the financial statements. The procedures selected
depend on the auditors’ judgement, including the
assessment of the risks of material misstatement
of the financial statements, whether due to fraud or
error. In making those risk assessments, the auditor
considers internal control relevant to the entity’s
preparation and fair presentation of the financial
statements in order to design audit procedures
that are appropriate in the circumstances, but not
for the purpose of expressing an opinion on the
effectiveness of the entity’s internal control. An audit
also includes evaluating the appropriateness of
accounting policies used and the reasonableness of
accounting estimates made by the Manager, as well
as evaluating the overall presentation of the financial
statements.
We believe that the audit evidence we have obtained
is sufficient and appropriate to provide a basis for
our audit opinion.
Opinion
In our opinion, the financial statements give a true
and fair view of the financial position of the Fund as
of 31 March 2013, and of its financial performance
and changes in net assets for the year then ended
in accordance with United Kingdom Accounting
Standards and have been properly prepared
in accordance with the provisions of the Trust
Instrument.
Report on other legal and regulatory requirements
We read the other information contained in the
Annual Report and consider the implications for
our report if we become aware of any apparent
misstatements or material inconsistencies with
the financial statements. The other information
comprises only the Manager’s report, the Investment
Manager’s report, the statement of responsibilities of
the trustee, the trustee’s report to the unitholders and
the supplementary information being the net asset
value per unit and comparative table, the portfolio
statement and the summary of portfolio changes. In
our opinion the information given in the Manager’s
report is consistent with the financial statements.
7
INDEPENDENT AUDITOR’S REPORT (continued)
TO THE UNITHOLDERS OF ACPI ALTERNATIVE STRATEGY UNIT TRUST
ACPI MULTI STRATEGY FUND
This report, including the opinion, has been prepared
for and only for the unitholders as a body in
accordance with the Trust Instrument and for no other
purpose. We do not, in giving this opinion, accept
or assume responsibility for any other purpose or to
any other person to whom this report is shown or
into whose hands it may come save where expressly
agreed by our prior consent in writing.
PricewaterhouseCoopers CI LLP
Chartered Accountants
Jersey, Channel Islands
14 August 2013
The maintenance and integrity of the Fund’s website
is the responsibility of the Manager; the work carried
out by the auditors does not involve consideration of
these matters and, accordingly, the auditors accept
no responsibility for any changes that may have
occurred to the financial statements since they were
initially presented on the website.
Legislation in Jersey governing the preparation and
dissemination of financial statements may differ from
legislation in other jurisdictions.
8 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
PROFIT AND LOSS ACCOUNT
FOR THE YEAR ENDED 31 MARCH 2013
Notes
Net loss on financial assets and liabilities at fair value
through profit or loss
3
31.03.2012
US$
US$
(1,318,401)
20,252
Income
Total loss
31.03.2013
4
(1,298,149)
121,447
Other gains/(losses)
(2,982,284)
21,287
(2,960,997)
(104,871)
Expenses
5
(670,863)
(2,737,285)
Total loss before finance costs
6
(1,847,565)
(5,803,153)
(780)
(1,460)
(1,848,345)
(5,804,613)
Finance costs
Change in net assets attributable to unitholders
7
Continuing operations: all the items dealt with in arriving at the change in net assets attributable to participating
unitholders for the year ended 31 March 2013 relate to continuing operations.
The Fund has no recognised gains or losses other than those included in the net income above, and therefore
no separate statement of total recognised gains or losses has been presented.
The notes on pages 12 to 26 form part of these financial statements.
9
STATEMENT OF CHANGES IN NET ASSETS
ATTRIBUTABLE TO UNITHOLDERS
FOR THE YEAR ENDED 31 MARCH 2013
31.03.2013
31.03.2012
US$
US$
78,715,732
202,532,730
Amounts received on creation of units
7,543,328
10,986,877
Amounts paid on redemption of units
(64,000,286)
(128,372,137)
(1,848,345)
(5,804,613)
(450,997)
(627,125)
Net assets attributable to unitholders
at the start of the year
Movements due to creation and redemption of units:
Change in net assets attributable to unitholders
Translation adjustment
Net assets attributable to the unitholders
at the end of the year
19,959,432
The notes on pages 12 to 26 form part of these financial statements.
10 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
78,715,732
BALANCE SHEET
AS AT 31 MARCH 2013
ASSETS
Notes
31.03.2013
31.03.2012
US$
US$
Financial assets at fair value through profit or loss
8
17,036,618
61,862,619
Debtors
10
665,123
8,715,876
Cash and bank balances
11
2,398,604
8,490,968
20,100,345
79,069,463
Total assets
LIABILITIES
Financial liabilities at fair value through profit or loss
9
14,417
-
Creditors
12
126,496
353,731
140,913
353,731
19,959,432
78,715,732
20,100,345
79,069,463
Liabilities (excluding net assets attributable to unitholders)
Net assets attributable to unitholders
13,14
Total liabilities
The notes on pages 12 to 26 form part of these financial statements.
The financial statements on pages 9 to 26 were approved by the Manager on 2013 and have been signed on
its behalf by:
Marilyn Logan (Director of the Manager)
Isobel McCreath (Director of the Manager)
11
NOTES TO THE FINANCIAL STATEMENTS
FOR THE YEAR ENDED 31 MARCH 2013
1. GENERAL INFORMATION
Objective
ACPI Alternative Strategy Unit Trust (the “Trust”) is
a Unit Trust established as a collective investment
fund under the laws of Jersey, Channel Islands by
a Trust Instrument dated 12 December, 1997 (as
amended from time to time) between the Manager,
ACPI FM Limited and the Trustee, Deutsche Bank
International Limited, under the terms of which a
number of individual funds may be established.
At the reporting date, the Trust consisted of the
following six funds, ACPI Multi Strategy Fund, ACPI
Realisation Fund, ACPI Diversified Fund, ABSA
Pension Fund Segregated Portfolio Fund, ABSA
Pension Fund Segregated Portfolio Fund A and the
ACPI Hedge Equity US Dollar Fund (R Class).
The objective of the Fund is shown in the Investment
Manager’s Report. The Fund has no employees.
The following financial statements comprise only
the ACPI Multi Strategy Fund (the “Fund”), which
consists of ACPI Multi Strategy Fund USD Class
launched on 31 December 1997, ACPI Multi Strategy
Fund EUR Class launched on 1 January 2004, and
ACPI Multi Strategy Fund GBP Class launched on 1
September 2005.
The Fund is listed on the Irish Stock Exchange.
The address of the registered office of the Manager
is 1st Floor, Liberation Wharf One, Esplanade, St
Helier, Jersey, JE2 3AS, Channel Islands.
Dealing
The dealing day in respect of subscriptions of units
shall be the first business day of each month and
such additional business days as the Manager
may determine at its discretion. In respect of
redemptions of units, the first business day of the
months of April, July, October and January and
such additional business days as the Manager may
determine at its discretion. Applications for the issue
of units must be received by the Manager no later
than five business days before the dealing day on
which units are to be issued. Redemption requests
must be received by the Manager at least 45 days
(from 29 May 2009) before the relevant dealing day
on which units are to be redeemed.
2. SIGNIFICANT ACCOUNTING POLICIES
(a) Basis of accounting
The financial statements are prepared under
the historical cost basis, as modified by the
revaluation of financial assets and financial
liabilities at fair value through profit or loss, in
accordance with United Kingdom Accounting
Standards. Financial statements for the Trust
as a whole have not been presented, as in the
opinion of the Manager, they would be of no
benefit to the unitholders.
The Manager has concluded that at the time
of approving the financial statements of the
Fund, there is a reasonable expectation that
the Fund has adequate resources to continue in
operational existence for the foreseeable future.
As a result, the Manager has prepared the
financial statements on a going concern basis.
The Balance Sheet presents assets and
liabilities in increasing order of liquidity and
does not distinguish between current and noncurrent items. All assets and liabilities, with the
exception of the financial assets (notes 2(d) and
8) and redeemable units (notes 2(h), and 13), are
expected to be realised within one year.
The accounting policies have been consistently
applied to each year presented.
(b) Foreign currency translation
i) Functional and presentation currency
The Fund has three feeder funds and the
underlying functional currency of these
feeder funds is the United States Dollar (“US
Dollar”), British Pound (“GBP”) and Euro
(“EUR”). These are the currencies of the
primary economic environment in which the
Fund operates. The presentation currency
of the Fund is the US Dollar.
12 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
2. SIGNIFICANT ACCOUNTING POLICIES
(continued)
Purchases and sales of financial assets are
recognised on the trade-date i.e. the date on which
the Fund commits to purchase or sell the asset.
Financial assets are initially recognised at fair value
and transaction costs for all financial assets carried
at fair value through profit or loss are expensed as
incurred. Financial assets are derecognised when
the rights to receive cash flows from the financial
assets have expired or have been transferred and
the Fund has transferred substantially all risks and
rewards of ownership.
Financial assets and liabilities are held at fair
value, except only in rare circumstances where
the fair value cannot be reliably measurable in
which case FRS 26 allows the financial asset to
be carried at cost less provision for impairment.
Fair value is the amount for which an asset
could be exchanged, or a liability can be settled
between knowledgeable willing parties in an
‘arm’s length’ transaction.
The fair value of financial instruments traded in
active markets, such as investments in mutual
funds and collective investment schemes, is
calculated using quoted market prices as at
the balance sheet date. This price is the current
bid price. The fair values of over the counter
financial instruments are calculated based on
counterparty valuations.
In respect of unquoted investments and limited
partnership investments, fair values are based
on the most recent unaudited net asset values as
reported by the underlying Administrator, Manager
or General Partner of each fund. If necessary, the
Manager may adjust or may instruct the delegate
of the Manager to adjust the net asset value of the
various underlying funds if, in relation to currency,
marketability and such other considerations as
they deem relevant, they consider that such
adjustment is required to reflect the fair value
thereof. As a result, the carrying value of the
underlying funds may not be indicative of the
values ultimately realised on redemption.
Gains and losses arising from changes in the
fair value of financial assets and liabilities at
fair value through profit or loss category are
included in the profit and loss account in the
period in which they arise.
(b) Foreign currency translation (continued)
ii)Transactions
Foreign currency transactions are translated
into the functional currency using the exchange
rates prevailing at the date of the transactions
or an average rate as an approximation.
iii)Balances
Foreign currency monetary assets and
liabilities, including financial assets and
financial liabilities at fair value through profit
or loss, are translated into the functional
currency of the Fund at the closing
exchange rate on the last business day of
the Fund’s financial year.
iv) Gains and losses
Any foreign exchange gains and losses
based on financial assets and financial
liabilities at fair value through profit or loss
are reported as part of the fair value gain/
loss in the profit and loss account. Other
foreign exchange gains and losses are
reported in “other gains/losses” in the Profit
and Loss account.
v) Translation to presentation currency
Any foreign exchange gains and losses
arising on translation from functional
currency to presentation currency are
reported in the statement of changes in net
assets attributable to unitholders.
(c) Financial instruments
Financial instruments carried on the Balance
Sheet include: investments, debtors, cash at
bank and creditors. The particular recognition
methods adopted are disclosed in the individual
policy statements associated with each item.
(d) Financial assets and liabilities at fair value through profit or loss
This category has two sub-categories: financial
assets held for trading, and those designated by
management at fair value through profit or loss
at inception. Financial assets or liabilities held for
trading are acquired or incurred principally for the
purpose of selling or repurchasing in the short term.
13
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
(e) Recognition of income
Investment income and bank interest receivable
are accounted for on an accruals basis. Income
is shown net of any imputed tax credits and
gross of withholding taxes deducted at source.
(f) Cash at bank
Cash comprises of cash at bank.
Asset Value (NAV) of the Fund (before deduction of
the Manager’s, Trustee’s and other functionary fees)
respectively. Such fees are calculated and accrued
on each dealing day and payable quarterly in arrears.
Out of the management fee the Manager will pay the
remuneration of the Investment Manager.
The administrator remunerates the subadministrator out of its administration fees.
(g)Debtors
Monies tendered for investments awaiting
settlement comprise of outstanding transactions
regarding the purchase of investments. Amounts
due from brokers comprise of outstanding
transactions regarding the sale of investments.
Amounts are shown at fair value, plus or minus
any transaction costs.
(h) Redeemable units
Redeemable units are redeemable at the unitholders’
option and are classified as financial liabilities.
The redeemable units can be put back to the Fund
at any time for cash equal to a proportionate share
of the Fund’s Net Asset Value. The unit is carried
at the redemption amount that is payable at the
balance sheet date if the unitholder exercised its
right to put the unit back to the Fund.
Units may be issued in one or more classes
and a class established for each class of units.
In accordance with the Trust Instrument, no
unitholder shall be entitled to any interest in any
class except that which the units held by the
unitholder relate (refer to note 13).
(i) Distribution policy
It is the current intention that the Fund will be a
“roll-up” Fund and that distributions will not be
paid without prior notice to unitholders.
(j) Management fees, performance fees and administration fees
ACPI FM Limited has been appointed to act as
Manager and Administrator of the Fund pursuant
to the Management Agreement. The Fund pays
management and administration fees at the rate of
1.50% per annum and 0.15% per annum of the Net
The Manager is also entitled to a performance
fee, on a high water mark basis, at the rate
of 7.5% of the aggregate increase in the Net
Asset Value per unit of all units in issue. This
performance fee is calculated and accrued
on each dealing day and payable quarterly in
arrears. The Manager is also entitled to receive
an initial charge of up to a maximum of 5% of
the total subscription monies. The Manager may
rebate all or part of the initial charge in favour of
the distributor or other third party.
(k) Trustee fee and transaction fees
Deutsche Bank International Limited has been
appointed to act as Trustee of the Trust’s assets
pursuant to the prospectus. The Fund pays the
Trustee a fee at the rate of 0.05% per annum
of the NAV of the Fund. Such fee is calculated
and accrued on each dealing day and payable
quarterly in arrears. The Trustee is also entitled to
charge a transaction fee of US Dollars 150 for each
investment transaction it undertakes for the Fund.
(l) Cashflow Statement
The Manager has availed itself of the exemption
available to small entities under FRS 1 not to
prepare a cashflow statement.
(m) Critical accounting estimates and judgements
The Manager makes estimates and judgements
that affect the reported amounts of assets
and liabilities within the next year. Estimates
and judgements are continually evaluated and
are based on historical experience and other
factors, including expectations of future events
that are believed to be reasonable under the
circumstances. The estimates and assumptions
that have a significant risk of causing a material
adjustment to the carrying amounts of assets
and liabilities within the next financial year is
outlined in notes 2(d) and 18.
14 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
3.
31.03.2013
31.03.2012
US$
US$
386,894
4,768,570
NET LOSS ON FINANCIAL ASSETS AND LIABILITIES
AT FAIR VALUE THROUGH PROFIT OR LOSS
Net gain on sale of investments
Movement on revaluation of investments
Movement in net (loss)/gain on derivatives
(1,603,306)
(101,989)
(1,318,401)
4.
Other income
(2,982,284)
-
8
20,252
21,279
20,252
21,287
121,447
(104,871)
OTHER GAIN/(LOSS)
Net gain/(loss) on revaluation of foreign currencies
6.
41,547
INCOME
Bank interest income
5.
(7,792,401)
EXPENSES
Management fees
438,285
1,913,110
Performance fees
-
10,847
3,402
80,608
Administration fees
43,828
191,311
Trustee fees
14,609
63,770
3,475
6,955
46,264
43,013
117,797
292,741
3,203
-
-
134,930
670,863
2,737,285
Legal and professional fees
Transaction fees
Audit fees
Sundry expenses
Equalisation expense
Redemption fees
15
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
7.
31.03.2013
31.03.2012
US$
US$
780
1,460
15,958,731
59,093,855
1,073,914
2,677,220
3,973
91,544
17,036,618
61,862,619
14,417
-
6,875
309
596,929
1,895,253
61,319
6,820,314
665,123
8,715,876
FINANCE COSTS
Loan interest
8.
FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS
Cost of investments
Net gain on revaluation of investments
Derivatives held for trading
9. FINANCIAL LIABILITIES AT FAIR VALUE THROUGH PROFIT OR LOSS
Derivatives held for trading
10. DEBTORS
Money tendered for investments awaiting settlement
Other debtors
Due from broker
All amounts fall due within one year.
16 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
31.03.2013
31.03.2012
US$
US$
2,398,604
8,490,968
Management fees payable
73,886
294,737
Audit fees payable
38,259
15,679
Administration fees payable
7,389
29,474
Trustee fees payable
2,463
9,824
Transaction fees payable
1,275
1,268
Other creditors
3,224
2,749
126,496
353,731
11. CASH AND BANK BALANCES
Cash held on deposit
Deutsche Bank International Limited acts as banker to the Fund.
Any overdraft facility provided from Deutsche Bank International
Limited is secured, and set at an agreed limit under guidance
from Deutsche Bank International Limited. The rate of the
overdraft is determined by Deutsche Bank International Limited at
the time of the facility being utilised.
12. CREDITORS
17
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
31.03.2013
31.03.2012
US$
US$
341,998
918,825
37,107
53,584
(298,058)
(630,411)
81,048
341,998
61,753
89,675
3,511
2,929
Participating units redeemed during the year
(33,578)
(30,851)
Total participating units in issue at the end of the year
31,686
61,753
36,770
61,269
1,096
2,646
Participating units redeemed during the year
(25,818)
(27,145)
Total participating units in issue at the end of the year
12,048
36,770
12. UNITS IN ISSUE
USD Class
Participating units in issue at the beginning of the year
Participating units created during the year
Participating units redeemed during the year
Total participating units in issue at the end of the year
EUR Class
Participating units in issue at the beginning of the year
Participating units created during the year
GBP Class
Participating units in issue at the beginning of the year
Participating units created during the year
18 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
14. NET ASSET VALUE PER UNIT
The Net Asset Value per unit is determined as at each
dealing day by dividing the Net Asset Value of the
Fund by the number of units in issue. The Net Asset
Value per unit is shown in the net asset value table
which is included within supplementary information.
In accordance with the provisions of the Fund’s
prospectus, the prices for buying and selling units in
the Fund are calculated by reference to the Net Asset
Value per unit. The issue price will be calculated by
reference to the Net Asset Value of each unit on the
relevant dealing day and rounding the resulting sum
upwards or downwards to the nearest whole cent
at the Manager’s discretion. The redemption price,
payable on redemption of units, will be calculated by
reference to the Net Asset Value of each unit on the
relevant dealing day and rounding the resulting sum
upwards or downwards to the nearest whole cent at
the Manager’s discretion.
15. TAXATION
The Fund is not liable to any income tax in Jersey
other than on income (except bank deposit interest)
arising in Jersey. The Fund has no liability to tax
in Jersey on realised and unrealised capital gains
on securities, or to any Jersey withholding tax on
distributions paid by the Fund. Profits, dividends
and interest received on securities held by the Fund
may be subject to withholding or capital gains tax
imposed by the country of origin of the issuers of
any such securities.
Performance fees payable to ACPI FM Limited are
shown in note 6. The balance due to the Manager in
respect of performance fees at the year end is Nil.
Administration fees payable to ACPI FM Limited
are shown in note 6. The balance due to the
Administrator in respect of these fees at the year end
is shown in note 12.
Trustee fees and transaction fees payable to
Deutsche Bank International Limited are shown in
note 6. The balance due to the Trustee in respect of
trustee fees and transaction fees at the year end is
shown in note 12.
Deutsche Bank International Limited acts as banker
to the Fund and bank interest receivable by the Fund
is shown in note 4 and the cash held on deposit is
shown in note 11.
ACPI FM Limited is a related party as they are also
the Manager of the Fund.
Deutsche Bank is a related party as they are also
the trustee of the Fund and a cash account is held
with them.
18. FINANCIAL RISK MANAGEMENT
There was no tax liability for the current year
(31.03.12:US$Nil).
(a) Strategy in using financial instruments
In pursuing its objective, the Fund may hold a
number of financial instruments which include
investments in listed and unlisted mutual funds
and collective investment schemes. The Fund
may also hold cash, liquid resources and short
term debtors and creditors that arise directly
from its operations.
16. DISTRIBUTIONS
No distribution was
(31.03.12:US$Nil).
paid
during
the
year
17. RELATED PARTY DISCLOSURES
Management fees payable to ACPI FM Limited are
shown in note 6. The balance due to the Manager
in respect of management fees at the year end is
shown in note 12.
The Fund will only invest in other mutual funds
and collective investment schemes which
confer limited liability on their unitholders or
participants. The Fund will not invest in any
mutual fund which operates as a fund of funds
or feeder fund. The Fund will not invest directly
in derivatives (other than hedging the currency
classes), commodities or options and will not
engage directly in short selling, gearing or
arbitrage techniques. It is possible that the Fund
may hold fewer than twenty investments at any
time. The Fund may borrow to meet liquidity
requirements. Any borrowing by the Fund may
19
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
Manager monitors the underlying funds on
a quantitative and subjective basis.
Price
movements are tracked continuously versus a
designated benchmark. At regular intervals, the
Fund’s performance will be studied in greater
depth (against the statistics listed above) and put
into context against budgetary expectations and
the peer group. Meetings will also be held with
the Manager of the underlying fund to ensure
that expectations are still aligned and that the
portfolio is being run to a sufficient standard.
18. FINANCIAL RISK MANAGEMENT (continued)
(a) Strategy in using financial instruments (continued)
not exceed 30% of the Net Asset Value of that
Fund at any point in time.
The Fund is exposed to market risk (comprising:
price risk, interest rate risk and currency
risk), liquidity risk and credit risk arising from
the financial instruments it holds. The risk
management policies employed by the Fund to
manage these risks are disclosed below.
The Investment Manager provides the Manager
with monthly fund fact sheets. These fact
sheets include commentary from the Investment
Manager together with the quantitative measures
included above. The quantitative figures show
the overall market positions (i.e. the totals of
the underlying investments) for the Manager to
ascertain the Fund’s exposure to geographical
markets and sectors. This is monitored by the
Board of Directors of the Manager. The Manager
uses this data in the production of the monthly
fact sheets that are available to all on the ACPI
website (www.acpi.com).
In order to minimise volatility from dramatic
swings in the value of the Fund and to provide
smoother and more consistent investment
returns over time the Investment Manager
implements a policy of diversification using a
variety of underlying investment Managers who
pursue different investment strategies and focus
on different geographical markets and sectors.
The underlying funds may invest in securities,
options and derivatives that are highly volatile
and speculative. They may also engage in short
selling of securities and trading securities on
a leverage basis which may increase the risk
exposure of such underlying funds.
The Investment Manager uses a Value at Risk
(“VaR”) computation to monitor the market risk
of the Fund. The VaR model includes the price
risk, interest rate risk and currency risk of the
Fund. The VaR models are designed to measure
market risk in a normal market environment.
The models assume that any changes occurring
in the risk factors affecting the normal market
The primary responsibility of management and
monitoring of risk in the Fund rests with the
Manager, however, certain tasks are conducted
on the Manager’s behalf by the Investment
Manager acting under the terms of the Investment
Advisory Agreement in place with the Fund.
(b) Market risk
Market risk arises from uncertainty about the
future value of financial instruments held. It
represents the potential loss the Fund might
suffer through holding market positions in the
face of movements in prices, interest rates or
currency rates.
The Investment Manager moderates this
risk through careful selection of underlying
funds and their investment managers. The
selection criteria include both quantitative and
qualitative specific performance measures. The
quantitative measures include total return, P/E
multiples, earnings growth, FCF yield, standard
deviation, Sharpe & Sortino ratios, maximum
drawdown, tracking error, success ratios,
exposure by country, exposure to significant
themes and exposure by market capitalisation.
What is deemed acceptable will range from fund
to fund - there is no set criteria that applies to
every underlying fund. However, a fund that can
be added to the portfolio without drastically
altering the wider portfolio’s objective of capital
preservation over the full investment period will
go some way to being deemed acceptable.
These underlying funds invest directly or indirectly
in underlying investments.
The Investment
20 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
environment will follow a normal distribution.
The model used is a historical VaR analysis. The
VaR has been calculated based on two years of
the Fund’s performance history that uses the
Fund’s actual performance. This assumes that
the data is statistically significant.
The use of VaR has limitations because it is
based on historical correlations and volatilities
in market prices and assumes that future price
movements will follow a statistical distribution.
Due to the fact that VaR relies significantly on
historical data to provide information and may
not clearly predict the future changes and
modifications of the risk factors, the probability
of large market moves may be underestimated
if changes in risk factors fail to align with the
normal distribution assumption. VaR may also
be underestimated or overestimated due to
the assumptions placed on risk factors and the
relationship between such factors for specific
instruments. In practice, the actual trading
results will differ from the VaR calculation and,
in particular, the calculation does not provide
a meaningful indication of profits and losses in
stressed market conditions.
The VaR that the Fund measures is an estimate,
using a confidence level of 95% for the entire
distribution. The 95% confidence levels indicate
that over a month, the Fund should not exceed
losses in excess of the VaR on average only 5%
of the time. The VaR for the Fund based on
these parameters at the year end is US$346,871
(31.03.12:US$2,361,201).
The risk of any increase or decrease in the
value of the Fund from the date subscriptions
or redemptions are requested by unitholders
to the dealing date of those subscriptions or
redemptions is borne by the unitholder.
(c) Liquidity risk
Exposure to liquidity risk
The Fund is exposed to redeemable units that
are classified as financial liabilities as the Fund
has an obligation to unitholders to deliver a pro
rata share of the net assets of the Fund upon
receiving redemption requests. The Fund is
therefore exposed to liquidity risk which is the
risk that the Fund will have insufficient resources
to meet its financial liabilities as they fall due.
The Fund invests in underlying funds. These
underlying funds invest directly or indirectly in
underlying investments. The underlying funds
may have limitations on redemptions which
may affect or restrict the ability of the Fund to
redeem or realise an investment. The underlying
investments may include securities or derivatives
that are not actively or widely traded or may
have no market at all. Consequently, it may be
difficult or impossible for such underlying funds
to dispose of investments rapidly at favourable
prices. The Fund may borrow up to 30% of the
Net Asset Value of the Fund to meet short term
liquidity requirements.
Managing liquidity risk
The Manager manages liquidity risk arising from
unitholder redemption requests by the use of
redemption notice periods that are at least as
long as the redemption notice periods of the
underlying investments. The liquidity profile of
the underlying investments is reviewed by the
Investment Manager.
The Manager may also defer payment of
redemption proceeds if redemption requests are
received for any calendar month aggregating
more than 20% of the net asset value of any
class fund. The Manager may, in its discretion,
determine that all such requests shall be scaled
down or deferred to one or more succeeding
dealing days.
Maturity analysis
The tables below analyses the Fund’s financial
liabilities into relevant maturity groupings based
on the remaining period at the balance sheet
date to the contractual maturity date.
21
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
18. FINANCIAL RISK MANAGEMENT (continued)
(c) Liquidity risk (continued)
Maturity analysis (continued)
The maturity analysis of financial liabilities as at 31 March 2013 is below:
US$
Creditors
<1 Month
1-2 Months
2-3 Months
>3 Months
126,496
-
-
-
14,417
-
-
-
-
3,991,886
3,193,509
12,774,037
Financial liabilities at fair value
through profit and loss
Net assets attributable to unitholders
The maturity analysis of financial liabilities as at 31 March 2012 is shown below:
US$
Creditors
<1 Month
1-2 Months
2-3 Months
353,731
-
-
-
15,743,146
12,594,517
Net assets attributable to unitholders
(d) Credit risk
The Fund is exposed to credit risk, which is
the risk that one party to a financial instrument
will cause a financial loss for the other party by
failing to discharge an obligation. The Fund is
exposed to counterparty credit risk from financial
instruments, cash and cash equivalents, amounts
due from brokers and other receivable balances.
The Investment Manager performs the analysis of
credit risk on the investment portfolio in various
geographical markets and sectors and will adjust
their investment in underlying funds based on their
view. The fund fact sheets show this allocation
and they are available on the ACPI website. There
is no material difference between the maximum
credit exposure of the financial assets and the
carrying amounts shown in the balance sheet.
All cash and investments are held in custody
with Deutsche Bank International Limited and all
brokers utilised are reputable financial institutions.
>3 Months
50,378,069
As at 31 March 2013, there are no financial assets
that are past due and not impaired.
The Investment Manager considers their full
fund screening process and monitoring to be
their primary defence against credit risk. The
key steps to this process are to combine ‘topdown’ and ‘bottom-up’ analysis, drawing on the
expertise and perspective of their strong multidisciplinary team of investment professionals.
The Investment Manager analyses the major
economic, geopolitical and legislative drivers
which influence the entire market in order to
understand the trends that govern the growth
of the funds in which the Fund is invested. The
Investment Manager then assesses individual
industries to determine which will benefit or
deteriorate under these forces. Finally, the
Investment Manager looks at stock specific
research within these industry sectors. This
study feeds back into the industry and economic
knowledge, ‘top-down’ and ‘bottom-up’
22 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
18. FINANCIAL RISK MANAGEMENT (continued)
(d) Credit risk (continued)
analysis. It is this robust approach of analysis
that identifies opportunities which eventually
decides the individual Manager selection.
(e) Capital risk management
The redeemable units are considered to be
the capital of the Fund. There are no capital
adequacy requirements set out by third parties
or regulators of the Fund. Any profits or gains
would increase the capital of the Fund. Similarly,
losses reduce the capital of the Fund. New
investment subscriptions would increase the
capital of the Fund. Redemptions would result
in a decrease to the capital of the Fund.
(f) Fair Value of financial instruments
Significant increase to the capital of the Fund
would result in an increase in the investment
portfolio. Significant decreases to the capital of
the Fund would result in the sale of investments
in the Fund. A forced sale of investments may
not realise the fair value that is shown in the
balance sheet.
In order to maintain or adjust the capital structure
of the Fund, the Manager monitors the level of
subscriptions and redemptions relative to the liquid
assets of the fund. The issuance or redemption of
units is undertaken in accordance with the Fund’s
constitutional documents and includes the ability
to restrict the redemption and require certain
minimum holdings and subscriptions.
FRS 29 requires the Fund to classify fair value
measurements using a fair value hierarchy that
reflects the significance of the inputs used
in making the measurements. The fair value
hierarchy has the following Levels:
US$
•
Quoted prices (unadjusted) in active markets
for identical assets or liabilities (Level 1).
•
Inputs other than quoted prices included
within level 1 that are observable for the
asset or liability, either directly (that is, as
prices) or indirectly (that is: derived from
prices) (Level 2).
•
Inputs for the asset or liability that are not
based on observable market data (that is:
unobservable inputs) (Level 3).
The level in the fair value hierarchy within which
the fair value measurement is categorised in its
entirety is determined on the basis of the lowest
level input that is significant to the fair value
measurement in its entirety. For this purpose,
the significance of an input is assessed against
the fair value measurement in its entirety. If a
fair value measurement uses observable inputs
that require significant adjustment based on
unobservable inputs, that measurement is a level
3 measurement. Assessing the significance of a
particular input to the fair value measurement
in its entirety requires judgement, considering
factors specific to the asset or liability.
The determination of what constitutes
‘observable’ requires significant judgement by
the Fund. The Fund considers observable data
to be that market data that is readily available,
regularly distributed or updated, reliable and
verifiable, not proprietary, and provided by
independent sources that are actively involved
in the relevant market.
The following table analyses within the fair
value hierarchy the Fund’s financial assets (by
class, excluding short term debtors and cash)
measured at fair value at 31 March 2013.
Level 1
Level 2
Level 3
Investment securities
-
16,971,645
61,000
Derivatives
-
3,973
-
Financial assets held for trading
23
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
18. FINANCIAL RISK MANAGEMENT (continued)
(f) Fair Value of financial instruments (continued)
US$
Level 1
Level 2
Level 3
-
(14,417)
-
Financial liabilities held for trading
Derivatives
There have been no transfers between levels during the year.
The following table analyses within the fair value hierarchy the Fund’s financial assets (by class, excluding
short term debtors and cash) measured at fair value at 31 March 2012.
US$
Level 1
Level 2
Level 3
Investment securities
-
58,303,455
3,467,620
Derivatives
-
91,544
-
The investment QVT SLV Offshore Ltd Class A B1102 was priced at US$551.517702 which was the price
obtained from Gottex (broker) within the secondary market. The reason being that this investment will be sold
later on in the year within the secondary market.
The following table presents the movement in level 3 instruments for the year ended 31 March 2013.
US$
Opening balance
Purchases
Sales
Losses recognised in profit and loss
3,467,620
(3,265,523)
(141,097)
Closing balance
61,000
Total losses for the year included in the profit and loss account
for assets held at the end of the year
69,039
24 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
18. FINANCIAL RISK MANAGEMENT (continued)
(f) Fair Value of financial instruments (continued)
The following table presents the movement in level 3 instruments for the year ended 31 March 2012.
US$
Opening balance
5,959,093
Purchases
409,900
Sales
(2,136,261)
Losses recognised in profit and loss
(765,112)
Closing balance
3,467,620
Total losses for the year included in the profit and loss account
for assets held at the end of the year
Investment securities
All of the investments in the Fund are in
equity investments, mutual funds, collective
investment schemes and limited partnerships
and are managed funds which are either quoted
or unquoted. These investments have been
classified as financial assets at fair value through
profit or loss.
The derivatives held by the Fund are outstanding
over-the-counter traded forward exchange contracts.
Equity investments and quoted managed
funds (Level 1)
The fair values of financial assets traded in active
markets (such as managed funds and equity
securities) are based on quoted market prices
at the close of trading on the year end date. The
quoted market price used for financial assets held
by the Fund is the current bid price. Commonly,
the underlying investments in these funds are
(1,636,560)
themselves quoted equity securities. A financial
instrument is regarded as quoted in an active market
if quoted prices are readily and regularly available
from an exchange, dealer, broker, industry group,
pricing service, or regulatory agency, and those
prices represent actual and regularly occurring
market transactions on an ‘arm’s length’ basis.
Unquoted managed funds (Level 2 or 3)
Transactions in shares of such funds do not
occur on a regular basis. Investments in those
funds are valued based on the Net Asset Value
(NAV) per share published by the administrator
of those funds. Such NAV is adjusted when
necessary, to reflect the effect of the time
passed since the calculation date, liquidity risk,
limitations on redemptions and other factors.
Investments classified within level 3 have
significant unobservable inputs and include
investments with restrictions on dealing in
excess of three months and illiquid investments.
When observable prices are not available for
25
NOTES TO THE FINANCIAL STATEMENTS (continued)
FOR THE YEAR ENDED 31 MARCH 2013
these instruments the Manager uses one or
more valuation techniques for which sufficient
and reliable data is available.
Outstanding over-the-counter financial forward
contracts are marked to market at the reporting
date and are reflected on a net basis. Any gain
or loss arising on revaluation is included within
net gain on financials assets and liabilities at fair
value through profit or loss in the profit and loss
account.
19. POST BALANCE SHEET EVENTS
From 1 April 2013 to 11 July 2013 the investors
subscribed EUR Nil in the EUR Class, GBP 2,743
in the GBP Class and US$ 24,419 in the US$ Class.
During the same period the investors redeemed EUR
1,216,864 from the EUR Class, GBP 248,524 from the
GBP Class and US$ 1,901,180 from the USD Class.
20. ULTIMATE CONTROLLING PARTY
Deutsche Bank International Limited, as Trustee, is
the ultimate controlling party of the Fund.
SUPPLEMENTARY INFORMATION
FOR THE YEAR ENDED 31 MARCH 2013
NET ASSET VALUE PER UNIT AND COMPARATIVE TABLE
NET ASSET VALUE
NAV of Fund
NAV per unit
Units in issue
USD Class 31 March 2008
31 March 2009 31 March 2010
31 March 2011
31 March 2012
31 March 2013
US$
80,921,760
44,698,932
181,333,077
178,268,439
64,060,916
14,235,999
US$
217.10
180.16
195.17
194.02
187.31
175.65
372,736.6748
248,105.6143
929,093.3714
918,825.4725
341,998.3896
81,047.6041
EUR Class 31 March 2008
31 March 2009
31 March 2010
31 March 2011
31 March 2012
31 March 2013
EUR
11,810,414
5,451,515
9,958,162
9,796,632
6,480,717
3,104,689
EUR
120.91
100.89
109.29
109.25
104.95
97.98
97,677.5366
54,032.3681
91,113.9575
89,675.2098
61,753.3722
31,686.2410
GBP Class 31 March 2008
31 March 2009 31 March 2010
31 March 2011
31 March 2012
31 March 2013
GBP
4,554,295
2,604,107
6,974,465
6,485,031
3,751,997
1,148,202
GBP
116.29
98.49
106.83
105.85
102.04
95.30
39,161.7467
26,440.2056
65,282.9882
61,268.5705
36,769.4063
12,048.0644
26 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
SUPPLEMENTARY INFORMATION (continued)
FOR THE YEAR ENDED 31 MARCH 2013
NET ASSET VALUE PER UNIT AND COMPARATIVE TABLE (continued)
UNIT PRICES
Calendar year
Highest price
Lowest price
USD Class 2008
2009
2010
2011
2012
2013 (to 31.03.13)
US$
US$
223.70180.49
192.14180.16
202.42190.26
194.90186.55
189.45175.55
176.76
175.65
EUR Class 2008
2009
2010 2011
2012
2013 (to 31.03.13)
EUR
EUR
124.56101.19
107.38100.82
110.12
107.01
109.84104.82
106.2197.97
98.71
97.98
GBP Class 2008
2009
2010
2011
2012 2013 (to 31.03.13)
GBP
GBP
120.2198.51
105.2698.44
107.87103.65
106.30101.69
103.17
95.26
95.81
95.30
There is no Bid/Offer spread in the pricing of units.
27
SUPPLEMENTARY INFORMATION (continued)
PORTFOLIO STATEMENT AS AT 31 MARCH 2013
Investment
Cost
Market Value
% of Total
Nominal
US$
US$
Net Assets
21,172.9830
1,000,000
1,050,307
5.26%
179.3366
418,184
553,728
2.77%
11,620.2400
1,162,024
1,264,402
6.33%
104.9610
147,249
61,000
0.31%
Heptagon Yacktman US Equity I USD OEF
8,336.7900
1,000,000
1,054,946
5.29%
Koppenberg Macro Cmdy Fd Class B1 Series 1
2,204.0490
2,384,076
2,476,646
12.41%
17,217.6850
2,073,117
2,329,181
11.67%
Legg Mason WA GL CR ABS Rtrn Prem
5,640.1580
600,000
610,886
3.06%
MC Citation Fund Class A Series 1 B
1,000.0000
1,000,000
1,002,660
5.02%
Omni Macro Fund Limited Ord share class
12,672.5123
2,117,577
2,470,816
12.38%
Ovington Class P USD
25,092.2780
2,496,968
2,620,205
13.13%
66.0837
65,502
70,947
0.36%
845.6256
494,035
466,377
2.34%
6,808.2800
1,000,000
1,000,544
5.01%
15,958,732
17,032,645
85.34%
United Kingdom
Aberdeen Asian Smaller Companies Fund AB01
Citadel Kensington GS 2000A
Cyan Warwick European Distressed & Spec Sit
Drawbridge GLB MAC SPV
LAE Fund Class A USD SER 1
QVT Overseas Liquidating 1064
QVT SLV Offshore Ltd Class A B1102
Schroders Sisf Strategic Bond Class C
Derivatives
Forward exchange contracts
€ 3,060,836
(14,417)
(0.07%)
Forward exchange contracts
£1,148,728
3,973
0.02%
17,022,201
85.29%
2,937,231
14.71%
19,959,432
100.00%
Total Portfolio Value
Net current assets
Net assets attributable to Unitholders
28 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
SUPPLEMENTARY INFORMATION (continued)
SUMMARY OF PORTFOLIO CHANGES
FOR THE YEAR ENDED 31 MARCH 2013
NET ASSET VALUE PER UNIT AND COMPARATIVE TABLE
The Top 20 purchases during the year are listed below:
Investment
Purchases
US$
QVT Overseas Liquidating 1064
1,676,944
Aberdeen Asian Smaller Companies Fund Accum AB01
1,000,000
ACPI Trading Strategy Fund Class B
1,000,000
Heptagon Yacktman US Equity I USD OEF
1,000,000
MC Citation Fund Class A Series 1 B
1,000,000
Schroders Sisf Strategic Bond Class C
1,000,000
Legg Mason WA GL CR Abs Rtrn Prem
600,000
QVT SLV Offshore Ltd Class A B1102
734,680
Total purchases for the year
8,011,624
29
SUPPLEMENTARY INFORMATION (continued)
SUMMARY OF PORTFOLIO CHANGES
FOR THE YEAR ENDED 31 MARCH 2013
NET ASSET VALUE PER UNIT AND COMPARATIVE TABLE
The Top 20 sales during the year are listed below:
Investment
Sales
US$
ACPI Trading Strategy Fund Class B
11,402,733
AAM Absolute Ret Class A USD
4,178,157
Artemis UK Hedge Fund USD Class
3,783,169
Prologue Feeder A SHS
3,265,989
5:15 Fund Ltd - Class A Series 12-09
3,041,591
WCG Offshore Class C Ser 14
2,729,911
Field Street Offshore Fund, Class A Main
2,721,014
Tree Capital Equity Fund Class A Series 0711
2,388,355
Pamli global Credit Strategies offs A1 Ser 04-2011
2,163,201
Omni Macro Fund Limited Ord share class
1,926,896
Beaconlight Off Fund Class 1 Sub Class B Ser 0211
1,899,746
QVT Overseas Liquidating 1064
1,663,440
Saka Capital Liquid Credit Fund - USD Class A
1,526,104
Cyan Warwick European Distressed & Spec Sit CR INC
1,441,337
QVT Overseas LTD Series A1020
1,233,711
Koppenberg Macro Cmdy Fd Class B1 Series 1
1,174,586
One East Partners Class 1
718,877
Sancus Capital Select Fund Ltd Class A Un Series 3
557,226
Sancus Capital Select Fund Ltd Class A Series 2
492,784
QVT INT LP (RE FC41)
452,763
Other sales
Total sales for the year
30 | ACPI ALTERNATIVE STRATEGY UNIT TRUST | ACPI MULTI STRATEGY FUND
2,772,053
51,533,643
ACPI FM Limited
1st Floor, Liberation Wharf One, Esplanade,
St Helier, Jersey JE2 3AS
Channel Islands
Regulated by the Jersey Financial Services Commission
www.acpi.com
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