Fidelity Alpha Funds SICAV Société d’investissement à capital variable Established in Luxembourg RCS Luxembourg B 189 202
Semi-Annual Report and Accounts For the period ended 31 March 2015 Unaudited
This Semi-Annual Report of the Company does not constitute an offer of Shares. Shares are offered on the basis of the information contained in the current Prospectus (and the documents referred to within it) supplemented by any subsequently published Annual and Semi-Annual Reports. Copies of the current Prospectus, latest Semi-Annual Report and Portfolio Changes for the Company are available free of charge from the registered office of the Company or from any of the companies registered as distributors of Fidelity Alpha Funds SICAV.
Fidelity Alpha Funds SICAV
Contents
Introduction Directors and Supervisory Officers Investment Manager’s Report
2 3 4
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.
Schedule of Investments SharpeR Funds SharpeR Europe Fund Alpha Funds Global Alpha Fund
5
.
.
Statement of Net Assets Statement of Net Asset Value per Share Statement of Operations and Changes in Net Assets Notes to the Financial Statements Portfolio Turnover Ratio Total Expense Ratio Directory
8 10 11 12 15 16 17
7
1
Fidelity Alpha Funds SICAV
Introduction
Fidelity Active STrategy (the "Company") is an open-ended investment company established in Luxembourg as a société d'investissement à capital variable ("SICAV"). It has an umbrella structure and its assets are held in a number of different funds ("sub-funds"). Separate classes of shares in the Company (the "Shares") are issued in relation to the sub-funds. Each sub-fund is a separate portfolio of securities managed in accordance with specific investment objectives designed to provide capital growth. Swiss investors are advised that the present sub-funds of the Company have been authorised by the Swiss Financial Market Supervisory Authority for distribution in Switzerland.
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2
Fidelity Alpha Funds SICAV
Directors and Supervisory Officers Board of Directors of Fidelity Alpha Funds SICAV Stephen Fulford
Charles Hutchinson
Mikael Nikou
Director United Kingdom
Director Grand Duchy of Luxembourg
Director Singapore
FIL (Luxembourg) S.A. Corporate Director Represented by Claude Hellers Grand Duchy of Luxembourg
Board of Directors of the Management Company Nicholas Clay
Judy Marlinski
Allan Pelvang
Director Grand Duchy of Luxembourg
Director Japan
Director Bermuda
Jon Skillman
Marc Wathelet
Director Grand Duchy of Luxembourg
Director Grand Duchy of Luxembourg
Supervisory Officers of the Management Company Stephan von Bismarck
Nishith Gandhi
Charles Hutchinson
Supervisory Officer United Kingdom
Supervisory Officer Grand Duchy of Luxembourg
Supervisory Officer Grand Duchy of Luxembourg
3
Fidelity Alpha Funds SICAV
Investment Manager’s Report*
Market Environment Global equity markets, as measured by the MSCI All Country World (Net Total Return) Index, returned 2.7% in US dollar terms over the six months period. The US Federal Reserve ended its quantitative easing programme in October, but other central banks continued to increase money supply in order to support growth, which boosted equity markets. From a regional perspective, US equities performed strongly as the domestic economy continued to perform well amid hopes that lower oil prices would sustain momentum in the consumer-led recovery. Nonetheless, uncertainty about the timing of interest rate increases and concerns over the impact of the strong dollar limited market gains. European equities lagged the overall market in US dollar terms and were negatively impacted by weaker economic data and fears about Greece exiting the eurozone. Japanese equities gained amid some positive corporate earnings and hopes that the Bank of Japan would announce further stimulus measures. The re-election of Prime Minister Shinzo Abe in December and his decision to delay another consumption tax increase also boosted investor sentiment. Overall, emerging markets underperformed developed markets.
Regional Developments European equities, as measured by the MSCI Europe (Net Total Return) Index, returned 16.4% in euro terms (-1.0% in USD terms) over the period. Markets were flat in the last quarter of 2014, but rose strongly in the first quarter of 2015, primarily driven by the European Central Bank's (ECB) announcement of a bond buying stimulus programme that exceeded market expectations. Consequently, the weakened euro led to increased expectations for European exporters and higher profitability when converting overseas profits back into the local currency. Sentiment was further boosted by the increased confidence in the US economic recovery and on hopes that Greece will reach a final agreement with its creditors to secure bailout funds. At a sector level, consumer discretionary and technology were the best performing sectors. Conversely, energy stocks fell in line with oil prices. UK equities, as measured by the FTSE All Share (Total Return) Index, returned 5.3% in sterling terms (-3.6% in USD terms) over the period against the backdrop of continuing economic growth in the UK. The ECB's bond-buying programme drove optimism about an eventual improvement in the outlook for the eurozone economy, the UK's biggest trading partner. However, stocks experienced periodical bouts of volatility, amid the spectre of deflation in the eurozone and the sharp drop in oil prices. On the economic front, GDP growth for 2014 was revised upwards to 2.8%, the highest pace of annual growth since 2006, while the annual rate of inflation fell to 0% in February, the lowest since records began. Meanwhile, those sectors more closely linked to the economic cycle, such as consumer and technology, were among the notable gainers, while resources fared poorly. European government bonds posted strong returns over the six-month period, mainly driven by speculation that the ECB will announce a quantitative easing (QE) programme. The EUR 1.1 trillion programme announced in February and launched in early March 2015, led to a further drop in yields as investors piled onto these assets ahead of commencement of the QE programme. Both core and peripheral European government bonds rallied over the period. European high yield corporate bonds also gained. Movement in credit spreads was negligible, with gains largely driven by the coupon income. European investment grade corporate bonds advanced, but underperformed both government bonds and high yield corporate bonds.
*The information stated in this report is historical and not necessarily indicative of future performance.
4
Fidelity Alpha Funds SICAV
SharpeR Europe Fund
Schedule of Investments as at 31 March 2015 Country Code Ccy
Underlying exposure
Shares or Market Value % Net Nominal EUR Assets Ccy
Securities Admitted to or Dealt on an Official Stock Exchange
London Stock Exchange Group Legal & General Group Colgate-Palmolive GlaxoSmithKline SAP Johnson Matthey Bank Millennium Assa Abloy (B) Suedzucker Sainsbury (J) Hunting mBank British Amer Tobacco TGS Nopec Geophysical Swatch Group (B) EMS-Chemie Holding Total Stada Arzneimittel
Securities Admitted to or Dealt on an Official Stock Exchange
Utilities
Infinis 7.00% 15/02/2019 Reg S
GB
GBP
380,000
556,922 556,922
1.76 1.76
LU GB
EUR EUR
300,000 150,000
307,302 153,072 460,374
0.97 0.48 1.45
AT IE
EUR USD
11,547 7,669
528,853 476,265 1,005,118
1.67 1.50 3.17
DE
EUR
7,916
364,809 364,809
1.15 1.15
NL FR GB DE NL
EUR EUR GBP EUR EUR
400,000 400,000 300,000 1,768 12,696
573,829 430,706 419,892 389,490 385,958 2,199,875
1.81 1.36 1.32 1.23 1.22 6.94
Materials Ardagh Finance Holdings 8.375% 15/06/2019 Reg S Kerling 10.625% 01/02/2017 Reg S
Industrials Oesterreichische Post Ryanair Holdings ADR
Information Technology Rocket Internet
GBP GBP USD GBP EUR GBP PLN SEK EUR GBP GBP PLN GBP NOK CHF CHF EUR EUR
79,845 77,545 59,964 52,433 44,931 34,057 33,137 22,672 17,517 15,679 14,866 10,220 9,005 (11,025) (11,642) (11,795) (12,698) (47,628) 1,509,011
0.25 0.24 0.19 0.17 0.14 0.11 0.10 0.07 0.06 0.05 0.05 0.03 0.03 (0.03) (0.04) (0.04) (0.04) (0.15) 4.76
Underlying exposure
Unrealised % Net gain/(loss) Assets EUR
6,000,000
(611,651) (1.93) (611,651) (1.93)
Underlying exposure EUR
Unrealised % Net gain/(loss) Assets EUR
435,522 15,021 147,039 30,214 4,950 437,009 1,447,536
3,111 0.01 193 0.00 180 0.00 98 0.00 32 0.00 (9,542) (0.03) (44,808) (0.14) (50,736) (0.16)
Underlying exposure
Unrealised % Net gain/(loss) Assets EUR
GBP EUR
(941,780) (3,376,830)
(15,607) (0.05) (37,367) (0.12) (52,974) (0.17)
Ccy
Contracts Market Value % Net EUR Assets
Consumer Discretionary Volkswagen Int'l Finance 5.50% 09/11/2015 Reg S SMCP SAS 8.875% 15/06/2020 Reg S AA Bond 5.50% 31/07/2022 Reg S Continental Wolters Kluwer
348,047 383,039 977,377 353,246 474,668 259,605 (1,479,246) 4,344,328 (282,937) (77,255) (77,698) (1,549,592) 322,337 (900,437) (114,564) (115,309) 285,933 (220,495)
Unrealised % Net gain/(loss) Assets EUR
Ccy
Credit Default Swaps Credit Default Swaps
Bought protection on iTraxx Crossover S22 20/12/2019
EUR
Healthcare Novo Nordisk (B) Roche Holding Labco 8.50% 15/01/2018 Reg S
DK CH FR
DKK CHF EUR
14,255 1,875 300,000
709,809 481,757 315,019 1,506,585
2.24 1.52 0.99 4.75
LU US
EUR USD
500,000 8,250
533,886 455,667 989,553
1.68 1.44 3.12
CH IE NL IE SE BE BE SE CH ES ES GB GB FR NO IT NL FR
CHF GBP EUR EUR USD EUR EUR SEK USD EUR EUR GBP EUR EUR NOK EUR EUR EUR
1,800 350,000 35,965 450,000 500,000 8,129 13,783 37,517 425,000 400,000 400,000 200,000 300,000 300,000 19,627 300,000 250,000 839
568,060 495,603 490,742 474,422 471,480 467,905 460,421 426,269 425,663 415,807 411,118 351,417 334,346 316,254 315,627 306,542 285,883 210,631 7,228,190
1.79 1.56 1.55 1.50 1.49 1.48 1.45 1.34 1.34 1.31 1.30 1.11 1.05 1.00 1.00 0.97 0.90 0.66 22.80
Forward Foreign Exchange Contracts
Telecommunication Services Wind Acquisition Finance 7.00% 23/04/2021 Reg S T-Mobile US 5.50% 15/12/2017 (Pref'd)
Forward Foreign Exchange Contracts Bought Bought Bought Bought Bought Bought Bought
Financials Zurich Insurance Group PGH Capital 6.625% 18/12/2025 ING Groep Baggot Securities 10.24% Perpetual Reg S Skandinaviska Enskilda 5.75% VRN Perpetual EMTN KBC Groep Ageas Nordea Bank Credit Suisse Group 7.50% VRN Perpetual Reg S Banco Popular Espanol 8.25% VRN Perpetual BBVA 6.75% VRN Perpetual Nationwide Building Society 10.25% VRN Perpetual Barclays 8.00% VRN Perpetual Credit Agricole 6.50% VRN Perpetual Gjensidige Forsikring UniCredit 6.75% VRN Perpetual Stichting AK Rabobank Certificaten 6.50% Perpetual Unibail-Rodamco
EUR Sold NOK at 0.11614 13/05/2015 EUR Sold SEK at 0.10930 13/05/2015 NOK Sold EUR at 8.68207 13/05/2015 EUR Sold NOK at 0.11569 13/05/2015 NOK Sold EUR at 8.72706 13/05/2015 EUR Sold SEK at 0.10555 13/05/2015 EUR Sold GBP at 1.33848 13/05/2015
Ccy
Futures Futures
FTSE 100 Index Future 19/06/2015 Euro Stoxx 50 Future 19/06/2015
Securities Admitted to or Dealt on Other Regulated Markets
Options
Securities Admitted to or Dealt on Other Regulated Markets
Options
Written Call ING Groep 18/04/2015 Written Call Roche Holdings 18/04/2015 Written Call Ageas 18/04/2015
Materials
Ardagh Finance Holdings 8.625% 15/06/2019 144A
LU
USD
208,768
202,609 202,609
0.64 0.64
IE
EUR
128
1,799,972 1,799,972
5.68 5.68
EUR CHF EUR
(120) (7) (36)
(1,560) (2,489) (2,880) (6,929)
(0.00) (0.01) (0.01) (0.02)
14,602,059
46.05
Open Ended Fund Fidelity ILF - The Euro Fund - A-ACC-EUR
Other Assets and Liabilities Net Assets
Fractions
31,702,785 100.00 31,702,785.00
(2) (0.00)
Total Investments (Cost EUR 14,390,208)
16,314,005 16,314,005.00
1 Underlying exposure Ccy
51.46
Unrealised % Net gain/(loss) Assets EUR
Contracts For Difference Contracts For Difference
Transocean Kumba Iron Ore Seadrill bpost GEA Group ASML Holding BASF Cia de Distribucion Integral Logista Holdings
CHF ZAR NOK EUR EUR EUR EUR EUR
(249,734) (8,299,200) (2,254,043) 461,954 482,333 438,593 473,949 447,475
240,724 163,366 160,427 143,338 140,074 116,091 85,015 82,893
0.76 0.52 0.51 0.45 0.44 0.37 0.27 0.26
The accompanying notes to the financial statements form an integral part of these financial statements. The percentage of net assets in the schedule of investments and in the geographical split is subject to rounding. Please note that the geographical split in the schedule of investments is based on market values as per local GAAP and does not include derivatives exposures.
5
Fidelity Alpha Funds SICAV
SharpeR Europe Fund
- continued
Schedule of Investments as at 31 March 2015 GEOGRAPHICAL SPLIT Country Ireland UK Netherlands Switzerland France Luxembourg Belgium Sweden Spain Germany Denmark Austria USA Norway Italy Cash and other net assets
Country Code IE GB NL CH FR LU BE SE ES DE DK AT US NO IT
% Net Assets 10.24 5.73 5.48 4.65 4.01 3.29 2.93 2.83 2.61 2.38 2.24 1.67 1.44 1.00 0.97 48.54
6
Fidelity Alpha Funds SICAV
Global Alpha Fund
Schedule of Investments as at 31 March 2015 Country Code Ccy
Underlying exposure
Shares or Market Value % Net Nominal USD Assets Ccy
Securities Admitted to or Dealt on an Official Stock Exchange
KDDI WM Morrison Supermarket Quest Diagnostics Evonik Industries Tenet Healthcare American Eagle Outfitters Straumann Holdings (Reg'd) NTT Data
Securities Admitted to or Dealt on an Official Stock Exchange
Materials
Boliden (B) Antofagasta
SE GB
SEK GBP
38,517 36,640
765,193 398,543 1,163,736
2.93 1.53 4.46
US US US US
USD USD USD USD
16,799 8,935 12,719 441
726,389 520,374 398,359 247,577 1,892,699
2.78 1.99 1.53 0.95 7.25
US US US US US
USD USD USD USD USD
10,399 5,298 7,896 2,997 9,199
831,504 798,197 262,147 250,339 202,746 2,344,933
3.19 3.06 1.00 0.96 0.78 8.99
CH
CHF
6,716
507,478 507,478
1.94 1.94
CH US US US CH US US
CHF USD USD USD CHF USD USD
4,415 8,751 4,860 8,511 4,805 3,419 5,296
1,218,536 769,650 521,089 512,022 475,613 407,511 405,144 4,309,565
4.67 2.95 2.00 1.96 1.82 1.56 1.55 16.51
US US CH
USD USD USD
20,470 25,370 6,808
1,116,229 1,108,669 760,317 2,985,215
4.28 4.25 2.91 11.44
Information Technology Oracle eBay Hewlett-Packard Google (A)
JPY GBP USD EUR USD USD CHF JPY
137,807,062 (340,819) (522,200) (252,287) (514,303) (290,134) (284,620) (65,304,715)
Unrealised % Net gain/(loss) Assets USD (29,432) (35,712) (40,309) (41,250) (44,161) (52,588) (63,847) (88,530) 174,206
(0.11) (0.14) (0.15) (0.16) (0.17) (0.20) (0.24) (0.34) 0.67
Underlying exposure USD
Unrealised % Net gain/(loss) Assets USD
2,026,119
(68,782) (0.26) (68,782) (0.26)
4,018,876
(136,432) (0.52) (136,432) (0.52)
Consumer Discretionary Williams-Sonoma Time Warner Cable Twenty-First Century Fox (B) TripAdvisor Abercrombie & Fitch (A)
Forward Foreign Exchange Contracts Forward Foreign Exchange Contracts
A-ACC Shares (EUR) (Euro / USD hedged) Bought EUR Sold USD at 0.89926 08/04/2015
Y-ACC Shares (EUR) (Euro / USD hedged)
Consumer Staples Nestle (Reg'd)
Bought EUR Sold USD at 0.89926 08/04/2015
Healthcare Roche Holding Express Scripts Holding Aetna Mylan NV Novartis (Reg'd) Universal Health Services HCA Holdings
Ccy
Options Options
Purchased Put S&P 500 Composite Index 16/05/2015 Written Put S&P 500 Composite Index 16/05/2015
Financials Wells Fargo & Co US Bancorp ACE
Contracts Market Value % Net USD Assets
USD USD
Other Assets and Liabilities
92,800 0.36 (21,025) (0.08) 71,775 0.28 10,560,363
Net Assets
Securities Admitted to or Dealt on Other Regulated Markets
29 (29)
40.43
26,097,076 100.00 26,097,076.00
GEOGRAPHICAL SPLIT
Securities Admitted to or Dealt on Other Regulated Markets
Industrials Aena
ES
EUR
2,908
292,101 292,101
Country
1.12 1.12
USA Switzerland Ireland Sweden UK Spain Cash and other net assets
Open Ended Fund Fidelity ILF - The US Dollar Fund - A-ACC-USD
IE
USD
117
Fractions Total Investments (Cost USD 14,942,557) 1 Underlying exposure Ccy
2,000,216 2,000,216
7.66 7.66
3
0.00
15,495,946 15,495,946.00
59.38
Country Code US CH IE SE GB ES
% Net Assets 34.79 11.35 7.66 2.93 1.53 1.12 40.62
Unrealised % Net gain/(loss) Assets USD
Contracts For Difference Contracts For Difference
Cigna Kumba Iron Ore LVMH DNB Assore L'Oreal Vale ADR Sanofi Edenred Woolworths WHSmith United Overseas Bank (L) Dairy Crest Group CSR Husqvarna Verbund Konami B&M European Value Retetail Umicore Boeing Zions Bancorporation CNH Industrial H Lundbeck L'Occitane International Darden Restaurants Fortune Brands Home & Security Polski Koncern Naftowy Orlen
USD ZAR EUR NOK ZAR EUR USD EUR EUR AUD GBP SGD GBP GBP SEK EUR JPY GBP EUR USD USD USD DKK HKD USD USD PLN
851,016 (4,594,980) 698,787 5,380,994 (4,510,695) 680,945 (380,303) 357,056 (191,802) (331,149) (229,014) 739,104 (171,579) 163,231 (459,875) (424,430) (28,770,759) 321,781 (225,387) (367,885) (253,748) (253,328) (1,292,130) (1,581,526) (204,287) (387,216) (1,300,715)
139,262 133,066 93,445 89,151 87,776 51,488 46,143 40,916 20,117 19,611 13,246 9,025 6,883 5,062 329 (2,753) (6,561) (9,783) (11,247) (12,230) (12,343) (13,787) (15,903) (23,621) (24,487) (25,446) (27,324)
0.53 0.51 0.36 0.34 0.34 0.20 0.18 0.16 0.08 0.08 0.05 0.03 0.03 0.02 0.00 (0.01) (0.03) (0.04) (0.04) (0.05) (0.05) (0.05) (0.06) (0.09) (0.09) (0.10) (0.10)
The accompanying notes to the financial statements form an integral part of these financial statements. The percentage of net assets in the schedule of investments and in the geographical split is subject to rounding. Please note that the geographical split in the schedule of investments is based on market values as per local GAAP and does not include derivatives exposures.
7
Fidelity Alpha Funds SICAV
Statement of Net Assets as at 31 March 2015 SharpeR Funds:
Alpha Funds:
Combined
SharpeR Europe Fund
Global Alpha Fund
USD
EUR
USD
Investments in securities at market value
33,020,287
16,314,005
15,495,946
Cash at banks and Brokers
24,043,310
12,455,498
10,663,739
2,856,181
2,658,916
-
177,687
141,152
26,063
2,478,305
1,603,799
755,520
3,882
3,614
-
92,800
-
92,800
62,672,452
33,176,984
27,034,068
Payables on investments purchased
490,284
421,709
37,288
Expenses payable
335,853
227,018
91,993
Unrealised loss on contracts for difference
683,134
94,788
581,314
Unrealised loss on forward foreign exchange contracts
NAME
CURRENCY ASSETS
Receivables on fund Shares issued Dividends and interest receivable Unrealised gain on contracts for difference Unrealised gain on forward foreign exchange contracts Purchased options at market value Total Assets LIABILITIES
263,596
54,350
205,214
Unrealised loss on futures
56,904
52,974
-
Unrealised loss on swaps
657,029
611,651
-
28,468
6,929
21,025 158
Written options at market value Other payables
225
61
Bank overdrafts
5,069
4,719
-
2,520,562
1,474,199
936,992
NET ASSETS as at 31.03.15
60,151,890*
31,702,785
26,097,076
COST OF INVESTMENTS
30,400,374
14,390,208
14,942,557
Total Liabilities
*For comparison purposes, the combined net assets total as at 31 March 2015, translated in EUR at the foreign exchange rate as of 31 March 2015, is EUR 55,997,440. The accompanying notes to the financial statements form an integral part of these financial statements.
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9
Fidelity Alpha Funds SICAV
Statement of Net Asset Value per Share as at 31 March 2015
Name - Currency
Shares outstanding as at 31.03.15:
Net Asset Value per share as at 31.03.15:
Net Asset Value per share as at 30.09.14:
Net Asset Value per share as at 30.09.13:
Net Asset Value per share as at 30.09.12:
414,714 2,329,670 76,815
10.92 10.94 10.93
10.04 10.04 10.04
-
-
805,900 185,399 500 1,159,550 355,352
10.24 10.25 10.26 10.25 10.25
-
-
-
SharpeR Funds SharpeR Europe Fund - EUR - A-ACC Shares (EUR) - Y-ACC Shares (EUR) - Y-DIST Shares (EUR)
Alpha Funds Global Alpha Fund - USD - A-ACC Shares (USD) - A-ACC Shares (EUR) (Euro / USD hedged) - I-ACC Shares (USD) - Y-ACC Shares (USD) - Y-ACC Shares (EUR) (Euro / USD hedged)
The accompanying notes to the financial statements form an integral part of these financial statements.
10
Fidelity Alpha Funds SICAV
Statement of Operations and Changes in Net Assets for the period ended 31 March 2015
SharpeR Funds:
Alpha Funds:
Combined
SharpeR Europe Fund
Global Alpha Fund
USD
EUR
USD
463,320 287 114,991 578,598
379,131 267 101,639 481,037
56,061 5,811 61,872
EXPENSES Investment management fee Administration expenses Government taxes Custody fees Distribution fees Performance fees Other expenses Total expenses Interest paid on swaps Derivative expenses Finance costs on contracts for difference Broker expense reimbursements Fees waived Net expenses
158,584 58,095 8,263 6,780 132 265,488 127,614 624,956 177,383 82,296 50,982 (145) (108,488) 826,984
102,857 41,056 5,831 4,822 123 197,452 90,436 442,577 165,132 42,278 45,921 (135) (77,172) 618,601
48,096 13,993 1,999 1,600 53,387 30,469 149,544 36,881 1,654 (25,591) 162,488
NET INVESTMENT INCOME / (LOSS)
(248,386)
(137,564)
(100,616)
Net realised gain / (loss) on securities Net realised gain / (loss) on foreign currencies Net realised gain / (loss) on contracts for difference Net realised gain / (loss) on forward foreign exchange contracts Net realised gain / (loss) on options Net realised gain / (loss) on futures Net realised gain / (loss) on swaps Net change in unrealised appreciation / (depreciation) on securities Net change in unrealised appreciation / (depreciation) on foreign currencies Net change in unrealised appreciation / (depreciation) on contracts for difference Net change in unrealised appreciation / (depreciation) on forward foreign exchange contracts Net change in unrealised appreciation / (depreciation) on options Net change in unrealised appreciation / (depreciation) on futures Net change in unrealised appreciation / (depreciation) on swaps RESULTS OF OPERATIONS
475,686 27,754 (300,031) (325,638) (262,277) (940,954) (326,776) 2,619,944 (4,012) 1,795,171 (259,714) 611 (56,904) (657,029) 2,190,997
348,033 (821) (264,127) (192,280) (133,042) (875,966) 304,207 1,923,827 (3,740) 1,509,011 (50,736) (1,774) (52,974) (611,651) 1,762,045
101,832 27,052 (16,308) (119,093) (119,365) 553,388 5 174,206 (205,214) 2,517 298,404
CAPITAL SHARE TRANSACTIONS Proceeds from fund Shares issued Payment for fund Shares redeemed Equalisation Increase / (decrease) derived from capital share transactions NET INCREASE / (DECREASE)
58,140,104 (94,457) (84,754) 57,960,893 60,151,890
30,102,838 (87,933) (74,165) 29,940,740 31,702,785
25,803,936 (5,087) 25,798,849 26,097,253
NET ASSETS Beginning of period End of period
60,151,890
31,702,785
26,097,253
NAME
CURRENCY INVESTMENT INCOME Net dividend and interest income Interest received on swaps Derivative income Net income
The accompanying notes to the financial statements form an integral part of these financial statements.
11
Fidelity Alpha Funds SICAV
Notes to the Financial Statements
1. General The Company is an open-ended investment company and was incorporated in Luxembourg as a SICAV on 23 July 2014. The Company is governed under part I of the Luxembourg Law of 17 December 2010, as amended, relating to undertakings for collective investment, which implements Directive 2009/65/EC ("UCITS IV Directive"). The Company applied for entry into the new UK 'reporting fund' regime in respect of all sub-funds and Share classes which are registered in the United Kingdom. All sub-funds and Share classes have been certified as "UK reporting funds" by HM Revenue & Customs for the accounting period commencing at the launch of the first sub-fund or Share class or, if later, the date on which the sub-fund or Share class was first registered for distribution to UK Shareholders through the period end of this Semi-Annual Report. Reporting fund status will apply to all future accounting periods subject to compliance with the annual reporting requirements set out in tax UK legislation. Reportable income figures are generally available six months after the year end date. As at 31 March 2015, the Company consisted of 2 sub-funds. The Directors may from time to time close sub-funds and classes of Shares as well as add further sub-funds and classes of Shares with different investment objectives, subject to the approval of the CSSF. Since inception of the company through the end of this reporting period, two sub-funds were launched. SharpeR Europe Fund was launched on August 8, 2014. Global Alpha Fund was launched on January 30, 2015.
2. Significant Accounting Policies The Financial Statements are prepared in accordance with the Luxembourg legal and regulatory requirements relating to undertakings for collective investments. Security Valuation. Investments in securities traded on any stock exchange are valued at the last available price at the time when the valuation is carried out on the principal stock exchange on which such security is traded. Securities dealt on any over the counter market are valued in the same manner. The valuation of short-dated debt transferable securities and money market instruments not traded on a regulated exchange is determined by means of the amortised cost method. Under this method, amortised cost is determined by valuing the security at original cost and thereafter accreting (amortising) the discount (premium) to its nominal value at a constant rate until maturity. All other assets are valued in such manner as the Directors of the Company consider appropriate. All holdings owned by the Company are quoted on a regulated market, except where otherwise distinguished in a sub-fund's Schedule of Investments. Fair Value Adjustments Policy. Fair value adjustments may be implemented to protect the interests of Shareholders against market timing practices. Accordingly if a sub-fund invests in markets that are closed for business at the time the sub-fund is valued, the Directors may, by derogation from the provisions above under security valuation, allow for the securities included in a particular portfolio to be adjusted to reflect more accurately the fair value of the sub-fund's investments at the point of valuation. Cash at Banks and Brokers. Brokers. Cash at banks and brokers is carried at face value. Investment Security Transactions. Investment security transactions are accounted for on the date securities are purchased or sold. The computation of the cost of sales of securities is made on the basis of average cost. Futures. Futures are accounted for on the date of opening or closing of the contract. Subsequent payments are made or received by the portfolio each day, dependent on the daily fluctuations in the value of the underlying index or security which are recorded for financial reporting purposes as unrealised gains or losses by the portfolio. The unrealised gains or losses resulting from futures are included in the Statement of Net Assets and in the Schedule of Investments. The realised gain and loss is based on the First In ---- First Out method. Forward Foreign Exchange Contracts. Forward foreign exchange contracts are valued on the basis of forward exchange rates prevailing at the closing date and applicable to the remaining period until the expiration date. The unrealised gains or losses resulting from forward foreign exchange contracts are included in the Statement of Net Assets and in the Schedule of Investments. Interest Rate Swaps. Interest receivable and payable on interest rate swap contracts is accrued on a daily basis, and future commitments under the swap are valued at market rates. Interest rate swap contracts are disclosed in the Statement of Net Assets and in the Schedule of Investments. Credit Default Swaps. Premiums paid and received on credit default swap contracts to buy or sell protection against a credit event are accrued on a daily basis and reflected as net income. Future commitments under the swap are valued at market rates. Credit default swap contracts are disclosed in the Statement of Net Assets and the Schedule of Investments. Option Contracts. Options purchased are recorded as investments at their realisable market value; options written or sold are recorded as liabilities based on the cost to close the position. When the exercise of an option results in a cash settlement, the difference between the premium and the settlement proceeds is accounted for as a realised gain or loss. When an option is closed, the difference between the premium and the cost to close the position is accounted for as a realised gain or loss. When an option expires, the premium is accounted for as a realised gain for options written or as realised loss for options purchased. Contracts for Difference. Contracts for difference are contracts entered into between a broker and the Company under which the parties agree to make payments to each other so as to replicate the economic consequences of holding a long or short position in the underlying security. Contracts for difference also mirror any corporate actions that take place. When a contract is closed, the Company records a realised gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The valuation of contracts for difference is based on the underlying security and they are disclosed in the Statement of Net Assets and the Schedule of Investments. Foreign Exchange. The Directors determine the designated currency of each sub-fund. All transactions denominated in foreign currencies during the period are translated into the sub-fund's designated currency at the exchange rate prevailing on the day of transaction. Assets and liabilities as at 31 March 2015 have been translated at the prevailing exchange rates on that date. Securities in Escrow. Securities included in the Schedule of Investments can be used as collateral against open derivative exposures. Where this is the case, securities will be escrowed to prevent them from being traded. 12
Fidelity Alpha Funds SICAV
Notes to the Financial Statements - continued
Fund Share Transactions. Transactions. The issue and redemption price per Share of each sub-fund is the Net Asset Value per Share on the date of trade, subject to the price adjustment policy. Price Adjustment Policy. The Board of Directors of the Company implemented a price adjustment policy in order to protect the interests of the Company's Shareholders. The purpose of the price adjustment is to allocate the costs associated with large inflows and outflows to investors transacting that day, thereby protecting the long-term Shareholder from the worst effects of dilution. It achieves this purpose by adjusting the price at which deals in a sub-fund are transacted. In other words, sub-fund prices may be adjusted up or down depending on the level and type of investor transactions on a particular day. In this way the existing and remaining Shareholders do not suffer an inappropriate level of dilution. The Company will only trigger an adjustment in the price when there are significant flows likely to have a material impact on existing and remaining Shareholders. The adjustment will be based on the normal dealing costs for the particular assets in which a sub-fund is invested and is not expected to exceed 2% of the price. However the Board of Directors of the Company may decide to have the adjustment exceed 2% of the price in exceptional circumstances to protect Shareholders' interests. Once an adjustment is made to a Share class' price that price is the official price for that Share class for all deals that day. Formation Costs. Costs incurred in launching new sub-funds will be charged to current operating expenses. Income. Dividends on equities are recognised when the security is quoted ex-dividend. Interest is accounted for on an accrual basis. Combined Accounts. The combined Financial Statements have been presented in USD and represent the total Financial Statements of the different sub-funds. Sub-funds stated in currencies other than USD have been converted at exchange rates ruling at the period end.
3. Investment Management Fees and Other Transactions with the Investment Manager or its Affiliates HEADER WITH BACKGROUND FIL Fund Management Limited ("FFML") earns a monthly investment management fee, calculated separately in respect of each sub-fund and accrued on each valuation date in the reference currency of the sub-fund, at an annual rate of up to 1.25% of the value of the net assets for A, E Shares, up to 0.85% for I, Y Shares for SharpeR Funds. On the other hand the annual rate reaches up to 1.50% of the value of the net assets for A Shares, up to 1.00% for I, Y Shares for Alpha Funds. In addition, FFML is entitled to receive an annual performance fee equivalent to the given performance fee rate multiplied by the increase in the Net Asset Value per Share of each class of Shares outstanding in respect of the Company's financial year subject to a high water mark, which is adjusted for the return of the relevant cash comparative index, plus a hurdle rate where applicable. The basis for calculation of performance fees is fully explained in the Prospectus that all investors should read before investing. The relevant performance fee rates, hurdle rates and comparative indices for each sub-fund are as follows:
Sub-fund name
Performance Hurdle rate fee
SharpeR Europe Fund
10%
N/A
Global Alpha Fund
10%
2% (capped)
Comparative Index For For For For
Euro Share classes: ICE LIBOR EUR overnight rate USD Share classes: ICE LIBOR USD overnight rate Euro Share classes: ICE LIBOR EUR overnight rate USD Share classes: ICE LIBOR USD overnight rate
HEADER BACKGROUND The aboveWITH mentioned comparative indices are solely used for performance fee calculation purposes and they should therefore under no circumstances be considered as indicative of a specific investment style. FFML may waive any or all of its fees in respect of any sub-fund at its discretion from time to time. FFML bears all expenses incurred by it and its affiliates and advisers related to services performed by it for the Company. Brokerage commissions, transaction charges and other operating costs of the Company are payable by the Company.There were no transactions of the Company traded through connected brokers during the period. There were no brokerage commissions paid to connected brokers during the period ended 31 March 2015. FFML from time to time executes certain portfolio transactions to selected brokers who agree to repay a portion of commissions from such transactions to offset Company expenses, but no such transactions were executed during the period.
4. Directors’ Fees HEADER WITH BACKGROUND All Directors are affiliated with FIL and have waived their fees for the period ended 31 March 2015, so no Directors' fees were charged for the period.
5. Securities Lending As at 31 March 2015, there were no loaned securities outstanding.
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Fidelity Alpha Funds SICAV
Notes to the Financial Statements - continued
6. Taxation The Company is not liable to any Luxembourg taxes on income or on realised or unrealised capital gains, nor to any Luxembourg withholding tax. The sub-funds are subject to an annual subscription tax of 0.05%, calculated and payable quarterly on the net assets of the sub-funds on the last day of each calendar quarter. The reduced tax rate of 0.01% per annum of the net assets will be applicable to classes of Shares which are only sold or held by institutional investors within the meaning of Article 174 of the amended Law of 17 December 2010. Capital gains, dividends and interest on securities may be subject to capital gains and withholding taxes or other taxes imposed by the country of origin concerned and such taxes may not be recoverable by the Company or its Shareholders.
7. Equalisation Income equalisation arrangements are applied to all Share classes across all sub-funds. These arrangements are intended to ensure that the income per Share which is distributed in respect of a distribution period is not affected by changes in the number of Shares in issue during that period. The calculation of equalisation is based on net investment income.
8. Cash Balances held at Brokers As at 31 March 2015, there were outstanding margin deposits and cash collateral amounts in the form of cash balances held at brokers which have been included in the Cash at banks and brokers shown in the Statement of Net Assets. The following table discloses the breakdown of such cash amounts held at brokers, by sub-fund, as at 31 March 2015: Sub-fund name SharpeR Europe Fund
Currency
Cash at brokers
EUR
1120125
9. Commitments on Derivatives The resulting amounts of commitments by category of financial derivative instruments as at 31 March 2015 amounts to:
Sub-fund name Global Alpha Fund SharpeR Europe Fund
Currency
Contracts for Difference
Forward Foreign Exchange Contracts
Futures
USD EUR
14,107,086 9,668,091
6,044,995 2,517,290
4,678,738
Options
Credit Default Swaps
Interest Rate Swaps
21,025 6,929
6,000,000
-
Commitments are calculated in accordance with ESMA guidelines 10/788.
10. Statement of Changes in Investments A list for each sub-fund, specifying for each investment the total purchases and sales which occurred during the period under review, may be obtained free of charge upon request from the Registered Office of the Company or from any of the companies registered as Distributors of the Company. It is possible to receive information about the full holdings of the sub-funds in which you invest, at any point in time during the period. This is available upon request by contacting your usual Fidelity Representative.
11. Rates of Exchange The USD exchange rates at 31 March 2015 are noted below. Currency Australian Dollar (AUD) Danish krone (DKK) Euro (EUR) Hong Kong dollar (HKD) Japanese yen (JPY) Norwegian krone (NOK)
Exchange rate
Currency
1.31166463 6.95485 0.93093401 7.75414 119.96 8.05821
Polish zloty (PLN) Pound Sterling (GBP) Singapore dollar (SGD) South African rand (ZAR) Swedish krona (SEK) Swiss franc (CHF)
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Exchange rate 3.795 0.67342335 1.37206 12.1397 8.62764 0.97138
Fidelity Alpha Funds SICAV
Portfolio Turnover Ratio for the 12 month period ended 31 March 2015
- (Unaudited)
Includes all sub-funds registered in Switzerland as at 31 March 2015
Portfolio Turnover (%) SharpeR Funds SharpeR Europe Fund
35.77
Alpha Funds Global Alpha Fund
-32.41
The portfolio turnover is calculated in accordance with the guidelines on calculation and disclosure issued by the Swiss Funds Association (SFA). All figures are unaudited.
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Fidelity Alpha Funds SICAV
Total Expense Ratios for the 12 month period ended 31 March 2015
- (Unaudited)
Includes all classes of Shares registered in Switzerland as at 31 March 2015
Class of Shares
TER (%)*
Performance Fee (%)
A-ACC Shares (EUR) Y-ACC Shares (EUR) Y-DIST Shares (EUR)
1.78 1.39 1.39
-
A-ACC Shares (USD) A-ACC Shares (EUR) (Euro / USD hedged) I-ACC Shares (USD) Y-ACC Shares (USD) Y-ACC Shares (EUR) (Euro / USD hedged)
2.03 2.08 1.24 1.53 1.58
-
SharpeR Funds SharpeR Europe Fund SharpeR Europe Fund SharpeR Europe Fund
Alpha Funds Global Alpha Fund Global Alpha Fund Global Alpha Fund Global Alpha Fund Global Alpha Fund
*Total Expense Ratio (TER) is calculated as the Total expenses per the Statement of Operations and Changes in Net Assets, excluding custody transaction fees, divided by the average net assets of the sub-fund, expressed as a percentage.
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Fidelity Alpha Funds SICAV
Directory
Registered Office Fidelity Alpha Funds SICAV 2a, rue Albert Borschette B.P. 2174 L-1021 Luxembourg
Management Company FIL Investment Management (Luxembourg) S.A. 2a, rue Albert Borschette B.P. 2174 L-1021 Luxembourg
Investment Manager FIL Fund Management Limited Pembroke Hall 42 Crow Lane Pembroke HM19 Bermuda
Custodian Brown Brothers Harriman (Luxembourg) S.C.A. 2-8, avenue Charles de Gaulle B.P. 403 L-2014 Luxembourg
General Distributor
FIL Gestion Washington Plaza 29 rue de Berri F-75008 Paris Telephone: (33) 1 7304 3000 FIL Investment Management (Singapore) Limited 8 Marina View No. 35-06 Asia Square Tower 1 Singapore 018960 Telephone: (65) 6511 2200 Fax: (65) 6536 1960
Registrar, Transfer Agent, Administrative Service Agent and Domiciliary Agent FIL Investment Management (Luxembourg) S.A. 2a, rue Albert Borschette B.P. 2174 L-1021 Luxembourg
Representative for Austria UniCredit Bank Austria AG Lassallestrasse 1 A-1020 Vienna
Representative for Denmark
FIL Distributors Pembroke Hall 42 Crow Lane Pembroke HM19 Bermuda
P/F BankNordik Attn.: Backoffice Amagerbrogade DK-2300 Copenhagen S
Share Distributors
Representative for France
FIL Distributors International Limited PO Box HM670 Hamilton HMCX Bermuda Telephone: (1) 441 297 7267 Fax: (1) 441 295 9373
BNP Paribas Securities Services S.A. 3 rue d'Antin F-75002 Paris
FIL Investments International Oakhill House 130 Tonbridge Road Hildenborough Tonbridge, Kent TN11 9DZ United Kingdom (Authorised and regulated in the UK by the Financial Conduct Authority) Telephone: (44) 1732 777 377 Fax: (44) 1732 777 262 FIL Pensions Management Oakhill House 130 Tonbridge Road Hildenborough Tonbridge, Kent TN11 9DZ United Kingdom Telephone: (44) 1732 777 377 Fax: (44) 1732 777 262 FIL (Luxembourg) S.A. 2a, rue Albert Borschette B.P. 2174 L-1021 Luxembourg Telephone: (352) 250 404 1 Fax: (352) 26 38 39 38
Representative for Ireland FIL Fund Management (Ireland) Limited First Floor Marconi House Digges Lane Dublin 2
Representative for Norway FIL (Luxembourg) S.A. 2a, rue Albert Borschette B.P. 2174 L-1021 Luxembourg Telephone: (352) 250 404 1 Fax: (352) 26 38 39 38
Representative for Singapore FIL Investment Management (Singapore) Limited 8 Marina View No. 35-06 Asia Square Tower 1 Singapore 018960
Representative & Paying Agent for Switzerland BNP Paribas Securities Services Paris, Succursale de Zürich Selnaustrasse 16 CH-8002 Zürich
FIL Investment Services GmbH Kastanienhöhe 1 D-61476 Kronberg im Taunus Telephone: (49) 6173 509 0 Fax: (49) 6173 509 4199
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Representative for the United Kingdom FIL Investments International Oakhill House 130 Tonbridge Road Hildenborough Tonbridge, Kent TN11 9DZ United Kingdom (Regulated in the UK by the Financial Conduct Authority)
Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P. 1443 L-1014 Luxembourg
symbol are trademarks of FIL Limited
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