Superfund Annual Report 2015 SUPERFUND SICAV Société d’Investissement à Capital Variable audited at 31/12/2015
Superfund SICAV Société d'Investissement à Capital Variable
Annual Report (audited) at 31 December 2015
RCS Luxembourg N B54921 Database Publishing System: CO-Reporter® by CO-Link, Belgium.
Page 1
Superfund Sicav Table of Contents Organization of the SICAV
3
Manager's Report
5
Independent auditor's report
6
Financial Statements at 31 December 2015
9
Key figures relating to the last 3 years
11
Securities portfolio at 31 December 2015 Superfund SICAV GREEN
13
Superfund SICAV RED
14
Geographical and Economical breakdown Superfund SICAV GREEN
15
Superfund SICAV RED
16
Notes to the financial statements
17
Information to Shareholders - unaudited
26
Subscriptions can be accepted only on the basis of the current Prospectus, which is valid only if accompanied by the most recent annual report and any subsequent semi-annual report of Superfund SICAV, when issued. Page 2
Superfund SICAV
Organization of the SICAV Registered Office
Superfund Sicav (RCS Luxembourg No. B54921) 5, allée Scheffer, L-2520 Luxembourg
Alternative Investment Fund Manager
Lemanik Asset Management S.A.
and Global Distributor
106, route d’Arlon, L-8210 Mamer
Board of the Directors of the
Mr. Gianluigi Sagramoso
Alternative Investment Fund Manager
Lemanik Asset Management S.A. Mr. Carlo Sagramoso Lemanik Asset Management S.A. Mr. Philippe Meloni Lemanik Asset Management S.A.
Investment Manager
Superfund Asset Management GmbH Marc Aurel Strasse 10-12, A-1010 Vienna
Sub-Distributor
Superfund Asset Management GmbH Marc Aurel Strasse 10-12, A-1010 Vienna
Custodian, Domiciliary, Administrative
CACEIS Bank Luxembourg
and Transfer Agent
5, allée Scheffer, L-2520 Luxembourg
Auditor
Ernst & Young S.A. 35E, avenue John F. Kennedy, L-1855 Luxembourg
Representative and Paying Agent in Austria
Vorarlberger Landes- und Hypothekenbank Aktiengesellschaft, Hypo-Passage 1, A-6900 Bregenz
Page 3
Superfund SICAV
Organization of the SICAV Brokers
ADM INVESTOR SERVICES INC Chicago Board of Trade Building 141 W. Jackson Blvd. - Suite 1600A, Chicago, IL 60604-3190, USA BARCLAYS CAPITAL INC 745 Seventh Avenue, New York, NY 10019, USA Bank of America Merrill Lynch Chicago, INC 540 W. Madison, 21st Floor, Chicago, IL 60661, USA
Board of Directors of the SICAV
Mr. Markus Weigl Independent Director Mr. René Danzinger Superfund Asset Management GmbH Marc Aurel Strasse 10-12, A-1010 Vienna Mr. Coussement Hervé (since 1 January 2015) Lemanik Asset Management S.A. 106, route d’Arlon, L-8210 Mamer Mr. Arkaduisz Huzarek (since 4 May 2015) Superfund Towarzystwo Funduszy Inwestycyjnych S.A. 18, plac Trzech Kryzy, PL-00-499 Varshaw Mr. Samuel Zbinden (since 4 May 2015) Superfund Asset Management AG 24, Bahnhofstrasse, CH-8001 Zürich
Page 4
Superfund SICAV
Manager’s Report The year 2015 proved to be quite turbulent for the Superfund Managed Futures Strategies, as economic forces such as the feared “Grexit”, the Yuan devaluation, OPEC’s supply stance, unexpected declines in commodity prices, and the ever-hovering interest rate increase by the Federal Reserve, injected much volatility into global markets. The Dow Jones Industrial Average registered its first negative year since 2008, the S&P 500 ended the year down after three straight years of growth rates above 10%, and the technology-based NASDAQ Index was unable to replicate the double-digit gains it had experienced the last three years. Other global markets, like the Euro Stoxx 50 as well as the Japanese TOPIX and Nikkei 225 ended the year slightly positive, while Hong Kong’s Hang Seng Index ended the year negative. In this environment, the Superfund SICAV funds lost ground in 2015. Especially the second half of 2015 also proved volatile, as the anxiety and nervousness that characterized August slowly crept back into global financial markets. The oil price decline decimated energy stock earnings, as OPEC stood behind its stance of not decreasing its supply to help support prices, while the Greek crisis led to declines in Euro-Zone consumer confidence and negative investor sentiment. Markets continued to be hit hard in August, as China rocked the world’s financial markets by devaluing the Yuan in order to boost their exports. The Fed again delayed the raising of interest rates on recent “adverse economic and financial developments” as shown in the release of August’s financial data. Other market shocks included the mass sell-offs in global commodities markets brought on by industrial weakness continuing to plague China, and the Volkswagen emission scandal. As a result, August proved to be one of the worst performing months in the year for global stock markets and this volatility was reflected in the Superfund SICAV funds performance. The Superfund SICAV funds gave up their gains in August after a profitable July. The year progressed with continuing declines in commodity prices on lower Chinese demand, the strengthening US Dollar, and the Fed’s hesitancy in raising interest rates before finally lifting it in December. Investors interpret that hesitancy as a lack of confidence in US economic growth. Despite a difficult market environment in 2015, the Superfund GREEN EUR ended up slightly positive with +0.04%, whereas the Superfund RED EUR showed a negative year performance of -8.6%. In the Gold and Silver-Share Classes both Sub-Funds lost ground in 2015. Superfund GREEN Gold lost -11.8%, the Superfund GREEN Silver -12.5%, the Superfund RED Gold -18.4% and the Superfund RED Silver -22.5%.
Page 5
Ernst ft Young Societe anonyme
EV
35E, avenue John F. Kennedy, L-1855 Luxembourg
B.P. 780 L-2017 Luxembourg
Tel : +352 42 124 1 www.ey.com/ luxembourg
Bu ilding a better
R.C.S. Luxembourg B 4 7 771 TVA LU 16063074
working world
Independent auditor's report To the Shareholders of Superfund SICAV 5, allee Scheffer L-2520 Luxembourg
Following our appointment by the Annual General Meeting of Shareholders of 4 May 2015, we have audited the accompanying financial statements of Superfund SICAV (the "SICAV") and of each of its subfunds, which comprise the statement of net assets and the securities portfolio at 31 December 2015 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICA V for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the "reviseur d'entreprises agree" 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 as adopted for Luxembourg by the "Commission de Surveillance du Secteur Financier". Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about 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 judgement of the "reviseur d'entreprises agree'', 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 "reviseur d'entreprises agree" 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 Board of Directors of the SICAV, 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 .
Page 6 A member firm of Ernst & Young Global Limited
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Bu ii ding ,1 LKtter wo r kin q world
Independent auditor's report {continued) Opinion
In our opinion, the financial statements give a true and fair view of the financial position of Superfund SICAV and each of its sub-funds as of 31 December 2015, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. Other matter
Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole.
Ernst & Young Societe anonyme Cabinet de revision agree
Luxembourg, 28 April 2016
Nicolas Bannier
Only the English version of the present Annual Report has been reviewed by the independent auditor. Consequently, the audit report only refers to the English version of the report; other versions result from a conscientious translation made under the responsibility of the Board of Directors of the Fund. In case of difference between the English version and the translation, the English version should be retained.
Page 7 A member firm of Ernst & Young Global Limited
Page 8
Superfund SICAV Financial Statements at 31 December 2015
Expressed in
Combined
GREEN A
GREEN B
GREEN C
USD
USD
USD
USD
Notes
Statement of net assets
Assets Securities portfolio at cost price Unrealised gain / loss on portfolio Securities portfolio at market value
162,232,269.97 32,009,837.27 5,453.95 32,015,291.22 1,329,007.45 128,625,090.36 132,548.64 130,332.30 14,592,071.02 13,432,141.93 60,969.17 297,332.07 801,627.85 147,640,198.95
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
17,838.50 7,929,466.69 289,652.47 269,586.36 1,119,366.44 78,358.07 769,522.24 10,455,952.27
420.18 724,362.65 28,289.43 17,864.03 113,046.89 6,504.63 0.00 890,067.63
6,631.20 2,044,154.85 69,008.20 85,286.02 299,014.93 19,360.74 0.00 2,516,824.74
863.34 701,462.40 27,398.95 30,461.21 107,197.66 5,893.44 0.00 872,413.66
-10,438,113.77
-889,647.45
-2,510,193.54
-871,550.32
2i
26,247.70
9,680.03
12,497.22
1,538.52
2i
5,669,726.61
-7,983.19
2,384,088.59
2,654,395.68
-4,742,139.46
-887,950.61
-113,607.73
1,784,383.88
-9,587.49 -2,917,143.64 -7,668,870.59
-7,293.73 -155,404.64 -1,050,648.98
-7,014.15 -2,710,649.42 -2,831,271.30
-717.67 -1,443,780.97 339,885.24
-10,247,033.85
2c
Unrealised gain on futures contracts
2d,2h,21
Cash at bank and deposits at brokers
2e
Receivable on investments Receivable on subscriptions
Liabilities Bank overdrafts and due to brokers
2e
Unrealised loss on futures contracts
2d,2h,2i
Payable on redemptions Other liabilities
Net asset value
Statement of operations and changes in net assets Income on investments and assets
Investment management fees and AIFM fees
4a
Custodian fees
5
Bank interest General expenses Taxe d'abonnement
3
Incentive fees
4b
Total expenses Net result from investments Net realised result on investment securities Net realised result on other financial instruments and foreign exchange Net realised result Movement on net unrealised gain / loss on : Investments securities
2j
Other financial instruments
2j
Change in net assets due to operations Net subscriptions / redemptions Increase / decrease of net assets during the year Net assets at the beginning of the year
-29,273,973.34
-83,140,771.18
-33,844,132.65
-17,915,904.44
-30,324,622.32
-85,972,042.48
-33,504,247.41
165,556,103.39
30,324,622.32
85,972,042.48
33,504,247.41
Net assets at the end of the year
147,640,198.95
0.00
0.00
0.00
The accompanying notes form an integral part of these financial statements Page 9
Superfund SICAV Financial Statements at 31 December 2015
Expressed in
GREEN
RED
USD
USD
Notes
Statement of net assets
Assets Securities portfolio at cost price Unrealised gain / loss on portfolio
144,735,209.19 30,000,000.00 4,645.76 30,004,645.76 1,329,007.45 113,138,675.04 132,548.64 130,332.30 5,630,185.21 4,592,190.32 0.00 297,332.07 740,662.82 139,105,023.98
17,497,060.78 2,009,837.27 808.19 2,010,645.46 0.00 15,486,415.32 0.00 0.00 8,961,885.81 8,839,951.61 60,969.17 0.00 60,965.03 8,535,174.97
9,445.25 4,077,524.36 137,462.67 128,522.19 525,024.02 43,236.06 769,522.24 5,681,291.54
478.53 381,962.43 27,493.22 7,452.91 75,082.94 3,363.20 0.00 495,354.70
-5,671,846.29
-494,876.17
2i
2,368.36
163.57
2i
1,687,549.66
-1,048,324.13
-3,981,928.27
-1,543,036.73
4,635.52 1,312,149.81 -2,665,142.94
802.54 80,541.58 -1,461,692.61
Net subscriptions / redemptions Increase / decrease of net assets during the year Net assets at the beginning of the year
133,716,436.05
2,295,407.27
131,051,293.11
833,714.66
8,053,730.87
7,701,460.31
Net assets at the end of the year
139,105,023.98
8,535,174.97
Securities portfolio at market value
2c
Unrealised gain on futures contracts
2d,2h,21
Cash at bank and deposits at brokers
2e
Receivable on investments Receivable on subscriptions
Liabilities Bank overdrafts and due to brokers
2e
Unrealised loss on futures contracts
2d,2h,2i
Payable on redemptions Other liabilities
Net asset value
Statement of operations and changes in net assets Income on investments and assets
Investment management fees and AIFM fees
4a
Custodian fees
5
Bank interest General expenses Taxe d'abonnement
3
Incentive fees
4b
Total expenses Net result from investments Net realised result on investment securities Net realised result on other financial instruments and foreign exchange Net realised result Movement on net unrealised gain / loss on : Investments securities
2j
Other financial instruments
2j
Change in net assets due to operations
The accompanying notes form an integral part of these financial statements Page 10
Superfund SICAV Key figures relating to the last 3 years GREEN A Net assets Class USD R
Number of shares Net asset value per share
Class EUR R
Number of shares Net asset value per share
Class USD Gold
Number of shares Net asset value per share
Class EUR I
Number of shares Net asset value per share
GREEN B Net assets Class USD R
Number of shares Net asset value per share
Class USD I
Number of shares Net asset value per share
Class EUR R
Number of shares Net asset value per share
Class USD Gold
Number of shares Net asset value per share
Class GCT USD
Number of shares Net asset value per share
Class GCT EUR
Number of shares Net asset value per share
GREEN C Net assets Class USD R
Number of shares Net asset value per share
Class EUR R
Number of shares Net asset value per share
Class I
Number of shares Net asset value per share
31 December 2013
31 December 2014
31 December 2015
12,779,005.77
30,324,622.32
0.00
1,952.633 628.74 0.000 0.00 12,277.302 940.87 0.000 0.00
14,846.588 666.00 9,069.956 698.51 10,760.736 983.25 2,574.928 702.51
0.000 0.00 0.000 0.00 0.000 0.00 0.000 0.00
31 December 2013
31 December 2014
31 December 2015
13,582,394.30
85,972,042.48
0.00
9,248.427 700.00 813.866 702.81 0.000 0.00 6,733.291 970.77 0.000 0.00 0.000 0.00
7,695.568 816.80 813.866 821.48 36,306.713 672.25 5,954.969 1,122.70 13,761.244 1,967.03 9,124.589 1,424.08
0.000 0.00 0.000 0.00 0.000 0.00 0.000 0.00 0.000 0.00 0.000 0.00
31 December 2013
31 December 2014
31 December 2015
17,732,704.24
33,504,247.41
0.00
29,765.192 579.80 0.000 0.00 819.612 579.20
25,945.381 707.64 20,022.677 624.99 0.000 0.00
0.000 0.00 0.000 0.00 0.000 0.00
The accompanying notes form an integral part of these financial statements Page 11
Superfund SICAV Key figures relating to the last 3 years GREEN Net assets Class USD
Number of shares Net asset value per share
Class EUR
Number of shares Net asset value per share
Class Gold
Number of shares Net asset value per share
Class Silver
Number of shares Net asset value per share
RED Net assets Class USD
Number of shares Net asset value per share
Class EUR
Number of shares Net asset value per share
Class Gold
Number of shares Net asset value per share
Class Silver
Number of shares Net asset value per share
31 December 2013
31 December 2014
31 December 2015
0.00
8,053,730.87
139,105,023.98
0.000 0.00 0.000 0.00 0.000 0.00 0.000 0.00
2,000.000 1,021.55 1,600.000 1,021.34 2,000.000 1,023.22 2,000.000 993.28
59,157.910 1,005.21 52,905.245 1,021.77 14,091.753 902.39 9,452.759 868.72
31 December 2013
31 December 2014
31 December 2015
26,871,126.87
7,701,460.31
8,535,174.97
11,072.269 1,072.63 2,982.388 1,076.42 2,792.833 818.26 11,703.466 708.79
530.201 941.33 2,717.356 941.01 2,868.597 698.69 4,284.654 490.96
427.568 856.54 2,313.141 859.75 2,379.181 570.34 12,231.184 380.34
The accompanying notes form an integral part of these financial statements Page 12
Superfund SICAV GREEN Securities portfolio at 31 December 2015 Expressed in USD Quantity
Quotation currency
Denomination
Transferable securities admitted to an official stock exchange listing USD
15,000,000 BLACKROCK ICS INSTITUTIONAL USD LIQUIDITY FUND - SELECT DIS. 15,004,646 INVESCO STIC USD LIQUIDITY PORTFOLIO - INST.
USD USD
Total securities portfolio
The accompanying notes form an integral part of these financial statements Page 13
Market value % of net assets 30,004,645.76
21.57
30,004,645.76 15,000,000.00 15,004,645.76
21.57 10.78 10.79
30,004,645.76
21.57
Superfund SICAV RED Securities portfolio at 31 December 2015 Expressed in USD Quantity
Quotation currency
Denomination
Transferable securities admitted to an official stock exchange listing USD
1,007,798 BLACKROCK ICS INSTITUTIONAL USD LIQUIDITY FUND - SELECT DIS. 1,002,847 INVESCO STIC USD LIQUIDITY PORTFOLIO - INST.
USD USD
Total securities portfolio
The accompanying notes form an integral part of these financial statements Page 14
Market value % of net assets 2,010,645.46
23.56
2,010,645.46 1,007,798.37 1,002,847.09
23.56 11.81 11.75
2,010,645.46
23.56
Superfund SICAV GREEN Geographical breakdown Breakdown per country
% of net assets 21.57
Ireland
21.57
Economical breakdown Breakdown per sector
% of net assets 21.57
Money market UCITS
21.57
The accompanying notes form an integral part of these financial statements Page 15
Superfund SICAV RED Geographical breakdown Breakdown per country
% of net assets 23.56
Ireland
23.56
Economical breakdown Breakdown per sector
% of net assets 23.56
Money market UCITS
23.56
The accompanying notes form an integral part of these financial statements Page 16
Notes to the financial statements
Page 17
Superfund SICAV Notes to the financial statements 1. GENERAL a) Superfund SICAV (the “Fund”) is an investment fund organised under the part II of Luxembourg law of 17 December 2010 relating to Undertakings for Collective Investment as a Société Anonyme qualifying as a Société d'Investissement à Capital Variable. The Fund has appointed Lemanik Asset Management S.A. as its Alternative Investment Fund Manager (the “AIFM”). The Alternative Investment Fund Manager was incorporated in Luxembourg on 1 September 1993 and is subject to the provisions of Chapter 15 of the Luxembourg law of 17 December 2010 on undertakings for Collective investment. The AIFM has been approved by the CSSF in accordance with the provisions of Chapter 2 of the law of 12 July 2013 with effect as of 17 April 2014. Superfund Asset Management GmbH acts as sole promoter of the Fund. b) As at 31 December 2015 the Fund has two Sub-Funds (the “Sub-Funds”), which are opened for subscription: Superfund SICAV GREEN denominated in USD Superfund SICAV RED denominated in USD The Sub-Fund Superfund SICAV GREEN ONE has changed its denomination into Superfund SICAV GREEN as from 1 July 2015. The following share classes are available for subscription: - Class Gold shares: the net assets of the Gold share classes are hedged against the variation of the gold price by using futures and/or forwards on the various gold contracts and are available to retail and institutional investors; - Class Silver shares: the net assets of the Silver share classes are hedged against the variation of the silver price by using futures and/or forwards on the various silver contracts and are available to retail and institutional investors; - The share classes EUR and USD of the RED Sub-Fund and the GREEN Sub-Fund are available to retail and institutional investors. c) As at 1 July 2015 the assets of the share classes of the Sub-Funds GREEN A, GREEN B and GREEN C were transferred into the Sub-Fund GREEN and their denomination has been changed as follows: Before merger
After merger
Sub-Fund
Share Class
Share Class
Ratio
LU0199179838 Superfund SICAV Green A
USD R
→
LU0302258057 Superfund SICAV Green A
USD Gold
→
LU1084751459 Superfund SICAV GREEN
USD
0.6745
LU1084751533 Superfund SICAV GREEN
Gold
0.9886
LU0199179911 Superfund SICAV Green A
EUR R
→
LU1084752002 Superfund SICAV GREEN
EUR
0.7048
LU0302256788 Superfund SICAV Green A
EUR I
→
LU1084752002 Superfund SICAV GREEN
EUR
0.7092
LU0199180257 Superfund SICAV Green B
USD R
→
LU1084751459 Superfund SICAV GREEN
USD
0.8299
LU0302258214 Superfund SICAV Green B
USD I
→
LU1084751459 Superfund SICAV GREEN
USD
0.8351
LU0302258487 Superfund SICAV Green B
USD Gold
→
LU1084751533 Superfund SICAV GREEN
Gold
1.1303
LU0199180414 Superfund SICAV Green B
EUR R
→
LU1084752002 Superfund SICAV GREEN
EUR
0.6831
LU0067494376 Superfund SICAV Green B
GCT USD
→
LU1084751459 Superfund SICAV GREEN
USD
1.9996
LU0138077283 Superfund SICAV Green B
GCT EUR
→
LU1084752002 Superfund SICAV GREEN
EUR
1.4474
LU0199181222 Superfund SICAV Green C
USD R
→
LU1084751459 Superfund SICAV GREEN
USD
0.7270
LU0199181651 Superfund SICAV Green C
EUR R
→
LU1084752002 Superfund SICAV GREEN
EUR
0.6418
ISIN
ISIN
Page 18
Sub-Fund
Superfund SICAV Notes to the financial statements (continued) As of the effective date 1 July 2015, all shares of the absorbed sub-funds in issue have been cancelled and the shareholders have received new shares of the respective share classes in Superfund SICAV GREEN. The total value of the received shares in the new Superfund SICAV GREEN corresponds to the total value of shares of the respective shareholders in the absorbed sub-funds. 2. SIGNIFICANT ACCOUNTING POLICIES The Fund maintains books and records of each individual Sub-Fund in its respective currency and prepares combined statements in USD. The financial statements have been prepared in conformity with legal and regulatory requirements in Luxembourg. The Net Asset Value of the Sub-Funds of Superfund SICAV is determined based on the valuation of securities and futures positions using the closing prices as at 31 December 2015. a) Net Asset Value The Net Asset Value of each Class/Sub-Fund is calculated on a daily basis, on each business day ("Valuation Day") and is expressed in the Unit Currency of such Class of Shares or in the denomination currency of the relevant SubFund. b) Foreign currency translation For the preparation of combined statements in USD, the statements of each Sub-Fund denominated in currencies other than USD have been converted at the exchange rates prevailing as at 31 December 2015. Combined statements are obtained by the arithmetic sum of statements of each individual Sub-Fund. Investments as well as other assets and liabilities denominated in foreign currencies are converted at the exchange rates prevailing as at 31 December 2015. Transactions in foreign currency during the year are converted at the rates prevailing at the date of transaction. Realised and unrealised exchange gains and losses are recorded in the Statement of operations and changes in net assets. The following exchange rates have been applied for the conversion as at 31 December 2015: 1 1 1 1 1 1 1 1 1 1 1 1 1 1
AUD CAD CHF EUR GBP HKD JPY KRW MXN MYR PLN SEK SGD ZAR
= = = = = = = = = = = = = =
0.72902 0.72310 0.99808 1.08610 1.47300 0.12902 0.00832 0.00085 0.05812 0.23250 0.25415 0.11826 0.70531 0.06467
USD USD USD USD USD USD USD USD USD USD USD USD USD USD
Page 19
Superfund SICAV Notes to the financial statements (continued) c) Transferable securities Portfolio securities which are listed on an official stock exchange or traded on a regulated market will be determined on the basis of the last available price on which such securities are traded, as furnished by a pricing source approved by the Directors. If such prices are not representative of their fair market value, such securities, as well as any of the portfolio securities which are not so listed or traded will be valued based on the reasonable foreseeable sales prices determined prudently in good faith by and under the direction of the Board of Directors. Units or shares in undertakings for collective investments, including hedge funds, shall be valued on the basis of their last determined and available net asset value (an official net asset value), or if such price is not representative of the fair market value of such assets, then the price shall be determined by the Board of Directors on a fair and equitable basis. If such an official net asset value is not available, such investments may be valued on an estimated net asset value (i.e. which are not generally used for the purpose of subscription and redemption of shares or units) as provided by the relevant administrator if more recent than the official net asset value, provided that the Directors have sufficient assurance that the valuation method used by the relevant administrator for said estimated net asset value is coherent as compared to the official one. If events have occurred which may have resulted in a material change in this estimated net asset value since this last report date, the value of such investments may be adjusted in order to reflect in the reasonable opinion of the Board of Directors such change. All other securities will be valued at their fair market value as determined prudently and in good faith pursuant to the procedures established by the Board of Directors. d) Derivatives The value of futures, forward or options contracts traded on exchanges or on other regulated markets shall be based upon the last available settlement prices of these contracts on the relevant exchange and regulated market on which the particular contract is traded, provided that if a future, forward or options contract could not be liquidated on the relevant Valuation Day, the basis for determining the liquidating value of such contract shall be such value as the Board of Directors may deem fair and reasonable. In the event that any of the futures contracts, forward or options held in the Sub-Fund's portfolio on the relevant day are not quoted or dealt in on any exchange or other regulated respectively organised market or if, with respect to securities, futures contracts or options quoted or dealt in on any exchange or dealt in on another regulated respectively organised market, the price as determined pursuant to the paragraph c) and above is not representative of the fair market value of the relevant securities, the value of such futures contracts, forward or options will be determined based on the reasonable foreseeable sales price determined prudently and in good faith. Other assets will be valued at their fair market value as determined prudently and in good faith pursuant to the procedures established by the Board of Directors. No swaps or options were outstanding as at 31 December 2015. e) Cash at bank and deposits at brokers / Bank overdrafts and due to brokers The above headings from the statement of net assets are composed of the following captions: Sub-Funds
Cash at bank
Deposits at brokers
Total
Superfund SICAV GREEN (in USD)
42,371,081.88
70,767,593.16
113,138,675.04
Superfund SICAV RED (in USD)
2,128,067.11
13,358,348.21
15,486,415.32
Bank overdrafts
Due to brokers
Total
Superfund SICAV GREEN (in USD)
-
-4,592,190.32
-4,592,190.32
Superfund SICAV RED (in USD)
-
-8,839,951.61
-8,839,951.61
Sub-Funds
Page 20
Superfund SICAV Notes to the financial statements (continued) f) Income recognition Interests are accounted for on an accrual basis, net of any applicable withholding taxes in the relevant country. g) Commitments on futures contracts (in the currency of the respective Sub-Fund): Superfund SICAV
Superfund SICAV
GREEN
RED
(in USD)
(in USD)
Crops/grains Currencies Fibers
67,446,707.30
2,996,045.95
278,498,786.68
15,214,418.59
31,640.00
31,640.00
Foodstuffs
46,022,663.79
1976,032.86
Gold
52,413,030.70
4,327,379.53
85,974.60
0.00
1,776,184,674.83
83,153,409.95
14,944,675.00
596,450.00
118,829,581.54
10,542,270.50
79,577,062.95
3,144,009.09
302,004,928.88
13,616,042.54
2,736,039,726.27
135,597,699.01
Lumber/rubber Interest rate Livestock Metal Oil/gas/electricity Stock indices Total
h) Counterparty risk The following schedule discloses all positions held by brokers in the name of the Sub-Funds: Superfund SICAV
Superfund SICAV
GREEN
RED
(in USD)
(in USD)
Deposit at brokers*
33,318,884.42
11,245,638.32
Due to brokers** Commitments on futures contracts Unrealised on futures contracts BANK OFAMERICA MERRYL LYNCH
-2,324,668.68
-8,729,411.27
594,275,943.30
35,554,783.70
-1,944,771.00
-246,668.50
Deposit at brokers*
37,448,708.74
2,112,709.89
Due to brokers** Commitments on futures contracts Unrealised on futures contracts
-2,267,521.64
-110,540.34
2,141,763,782.97
100,042,915.31
3,273,778.45
185,699.33
ADM
* Margin deposits are included in the caption “Cash at bank and deposits at brokers”. ** Margin deposits are included in the caption “Bank overdrafts and due to brokers”.
Page 21
Superfund SICAV Notes to the financial statements (continued) i) Net realised gain and loss breakdown and unrealised result on financial instruments and foreign exchange As of 31 December 2015, the caption net realised is composed as follows:
Realised loss on foreign exchange Realised loss on futures contracts
Superfund SICAV
Superfund SICAV
Superfund SICAV
Superfund SICAV
Superfund SICAV
GREEN A
GREEN B
GREEN C
GREEN
RED
(in USD)
(in USD)
(in USD)
(in USD)
(in USD)
-138,702.14
-441,750.77
-316,762.54
-744,517.74
-85,731.20
-15,449,393.94
-65,016,751.88
-27,844,171.79
-125,129,403.43
-10,151,718.64
-
-
-
-
-
-15,588,096.08
-65,458,502.65
-28,160,934.33
-125,873,921.17
-10,237,449.84
Realised loss on investment Total Realised loss
Realised gain on foreign exchange Realised gain on futures contracts Realised gain on investment Total Realised gain Total net Realised
Superfund SICAV
Superfund SICAV
Superfund SICAV
Superfund SICAV
Superfund SICAV
GREEN A
GREEN B
GREEN C
GREEN
RED
(in USD)
(in USD)
(in USD)
(in USD)
(in USD)
135,689.18
606,009.71
372,027.40
816,811.95
66,465.44
15,444,423.67
67,236,581.53
30,443,302.61
126,744,658.88
9,122,660.27
9,680.03
12,497.22
1,538.52
2,368.36
163.57
15,589,792.88
67,855,088.46
30,816,868.53
127,563,839.19
9,189,289.28
1,696.80
2,396,585.81
2,655,934.20
1,689,918.02
-1,048,160.56
As of 31 December 2015, the caption unrealised is composed as follows: Superfund SICAV
Superfund SICAV
GREEN
RED
(in USD)
(in USD)
Unrealised on futures contracts
1,329,007.45
-60,969.17
TOTAL Unrealised
1,329,007.45
-60,969.17
j) Movement in unrealised appreciation / (depreciation) breakdown As of 31 December 2015, the caption net unrealised is composed as follows:
Movement on unrealised loss on investments Movement on unrealised loss on futures contracts Total movement on unrealised loss
Superfund SICAV
Superfund SICAV
Superfund SICAV
Superfund SICAV
Superfund SICAV
GREEN A
GREEN B
GREEN C
GREEN
RED
(in USD)
(in USD)
(in USD)
(in USD)
(in USD)
-
-
-
-
-
1,133,605.98
5,850,142.78
2,654,303.98
-10,961,786.58
-172,910.34
1,133,605.98
5,850,142.78
2,654,303.98
-10,961,786.58
-172,910.34
Page 22
Superfund SICAV Notes to the financial statements (continued) j) Movement in unrealised appreciation / (depreciation) breakdown (continued)
Movement on unrealised gain on investment Movement on unrealised gain on futures contracts Total movement on unrealised gain Total movement on net unrealised gain / loss
Superfund SICAV
Superfund SICAV
Superfund SICAV
Superfund SICAV
Superfund SICAV
GREEN A
GREEN B
GREEN C
GREEN
RED
(in USD)
(in USD)
(in USD)
(in USD)
(in USD)
-7,293.73
-7,014.15
-717.67
4,635.52
802.54
-1,289,010.62
-8,560,792.20
-4,098,084.95
12,273,936.39
253,451.92
-1,296,304.35
-8,567,806.35
-4,098,802.62
12,278,571.91
254,254.46
-162,698.37
-2,717,663.57
-1,444,498.64
1,316,785.33
81,344.12
3. TAXATION Under current law, the Fund is not liable to any Luxembourg income tax, nor are dividends paid by the Fund subject to any Luxembourg withholding tax. However the Fund is subject in Luxembourg to a tax of 0.05% per annum on its net assets, except for Sub-Funds or Classes of Shares reserved to institutional investors, which benefit from a reduced tax rate of 0.01%. Such tax is payable quarterly and calculated on the Net Asset Value of the respective Sub-Fund or Class at the end of the relevant quarter. The tax is not due on the portion of the Fund’s assets invested in other UCITS, provided that such UCITS have already been subject to Luxembourg taxes in accordance with article 129 of the Law. 4. INVESTMENT MANAGEMENT FEES AND INCENTIVE FEES a) Investment Management fees and Alternative Investment Fund (“AIF”) Management fees The Fund has signed an Investment Management Agreement with effect as from 1 June 2012 with Superfund Asset Management GmbH, Vienna (“SAM”), replacing the Trading Administration Agreement and the Trading Management Agreement with SAM and the Trading Advisory Agreement with Superfund Fund Management, Inc., Grenada. The Fund has signed an Alternative Investment Fund Management Agreement with effect as from 1 July 2014 with Lemanik Asset Management S.A.. The Investment Manager and the Alternative Investment Fund Manager are entitled to receive as compensation for their services a management fee, payable monthly and calculated on the average Net Asset Value of the relevant Sub-Fund or Class during the relevant year. The annual fees rates are as follows: Classes
Investment Management fee rate p.a.
AIF Management fee rate p.a.*
Class R
4.80%
0.075%
Class I
4.80%
0.075%
Class Gold
4.80%
0.075%
Class Silver
4.80%
0.075%
Class EUR
4.80%
0.075%
Class USD
4.80%
0.075%
*with a minimum of 20,000.00 EUR p.a. per Sub-Fund with commitment approach.
Page 23
Superfund SICAV Notes to the financial statements (continued) a) Investment Management fees and Alternative Investment Fund Management fees (continued) The fees disclosed hereafter were supported by the Fund during the year from 1 January 2015 to 31 December 2015: Sub-Fund
Currency
Investment Management fees
AIF Management fees
Superfund SICAV GREEN A
USD
-706,718.93
-17,643.72
Superfund SICAV GREEN B
USD
-2,010,974.84
-33,180.01
Superfund SICAV GREEN C
USD
-683,690.56
-17,771.84
Superfund SICAV GREEN
USD
-3,945,237.97
-132,286.39
Superfund SICAV RED
USD
-346,198.99
-35,763.44
b) Incentive fees The Investment Manager is entitled to receive from each Sub-Fund respectively each Class a monthly payable incentive fee on the Account’s Trading Profits during the relevant period. The incentive fees are calculated only on the Account's Trading Profits, as defined in the sales prospectus, during the relevant period up to the respective Valuation Day. If an Account has a Carry Forward Loss during this period, the Investment Manager will retain the payment of the incentive fee, if any, of the previous period, but will receive no further incentive fee in any subsequent period until the Carry Forward Loss has been completely covered by new Account’s Trading Profits. For the Sub-Funds Superfund SICAV GREEN A (until 30 June 2015) and Superfund SICAV GREEN, the Investment Manager is entitled to receive 20% p.a. on each Account’s Trading Profits during a month. For the Sub-Funds Superfund SICAV GREEN B (until 30 June 2015) and Superfund SICAV RED, the Investment Manager is entitled to receive 25% p.a. on each Account’s Trading Profits during a month. For the Sub-Fund Superfund SICAV GREEN C (until 30 June 2015), the Investment Manager was entitled to receive 30% p.a. on each Account’s Trading Profits during a month. The performance fees disclosed hereafter were supported and paid monthly by the Fund during the year from 1 January 2015 to 31 December 2015: Sub-Fund
Currency
Incentive fees
Superfund SICAV GREEN
USD
-769,522.24
Total
USD
-769,522.24
5. CUSTODIAN FEES As compensation of its services, CACEIS Bank Luxembourg is entitled to receive an annual fee payable at the end of each month and computed on the Net Asset Value of the respective Sub-Fund attributable to such Class of Shares on the respective valuation date. It is calculated as follows: 5.1 Custody fees - 0.194% p.a. of the total net asset’s portion up to USD 25,000,000.00 - 0.144% p.a. of the total net asset’s portion above USD 25,000,000.00 and below USD 300,000,000.00 - 0.085% p.a. of the total net asset’s portion above USD 300,000,000.00 With a minimum fee (per Sub-Fund) of USD 27,000.00 p.a.
Page 24
Superfund SICAV Notes to the financial statements (continued) 5.2 Supervisory fees - 0.006% p.a. of the total net asset’s value. 6. PORTFOLIO CHANGES The list of portfolio changes for the period of the current report is available free of charges at the registered office of the Fund as well as through any paying agent. 7. DIRECTORS FEES As remuneration for their duties based on the Directorship Agreement, the Fund paid during the year to each Director the following fees: Directors fees
Currency
Amount paid
Annual fee
EUR
20,000.00
Attendance fee *
EUR
6,000.00
* Attendance fee of EUR 1,500.00 for each Board Meeting (not applicable for Mr. Coussement). The Director fees are included in the caption "General expenses" in the statement of operations and changes in net assets. 8. TRANSACTION COSTS The following schedule discloses the transaction costs paid by each Sub-Fund: Sub-Fund
Currency
Transactions costs
Superfund SICAV GREEN A
USD
Superfund SICAV GREEN B
USD
-189,797.22 -782,694.09
Superfund SICAV GREEN C
USD
-360,626.86
Superfund SICAV GREEN
USD
-1,953,311.24
Superfund SICAV RED
USD
-94,840.81
The transaction costs are included in the caption “Net realised on other financial instruments and foreign exchange” in the statement of operations and changes in net assets. 9. SUBSEQUENT EVENT As at March 31, 2016, Mr. Huzarek has resigned as Director of the Fund.
Page 25
Superfund SICAV Information to Shareholders - unaudited Remuneration Pursuant to the Law, the Management Company has established remuneration policies for those categories of staff, including senior management, risk takers, control functions, and any employees receiving total remuneration that takes them into the same remuneration bracket as senior management and risk takers, whose professional activities have a material impact on the risk profiles of the Management Company or the Fund, that are compliant with and promote a sound and effective risk management and do not encourage risk-taking which is inconsistent with the risk profiles of the Fund, the Articles and which do not interfere with the obligation of the Management Company to act in the best interests of the Fund. The up-to-date remuneration policy of the Management Company, including, but not limited to, a description of how remuneration and benefits are calculated, the identity of persons responsible for awarding the remuneration and benefits, including the composition of the remuneration committee, are available at www.lemanikgroup.com. A paper copy is available free of charge upon request.
Page 26
