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AUDITED ANNUAL REPORT For the period from 10 November 2014 (date of incorporation) to 31 December 2015 RCS Luxembourg B Subscriptions are only valid if made on the basis of the current prospectus
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AUDITED ANNUAL REPORT For the period from 10 November 2014 (date of incorporation) to 31 December 2015 RCS Luxembourg B Subscriptions are only valid if made on the basis of the current prospectus accornpanied by the latest annual and the latest semi-annual report if published after the annual report TABLE OF CONTENTS GENERAL INFORMATION Management and Administration Board of Directors MANAGER'S REPORT ADDITIONAL AIFM DISCLOSURES (U NAUDITED) AUDIT REPORT FINANCIAL STATEMENTS Statement of Net Assets Net Asset Value per share Statement of Operations and Changes in Net Assets Statement of Changes in Number of Shares Outstanding SECURITIES PORTFOLIO Carnegie Wealth Management Fund Sicav All Cap Swedish Equity Fund Carnegie Wealth Management Fund Sicav Unconstrained Nordic Bond Fund Carnegie Wealth Management Fund Sicav Build Fund Carnegie \Wealth Management Fund Sicav - Shield Fund ~]9 20~ NOTES TO THE FINANCIAL STATEMENTS 24-28 MANAGEMENT AND ADMINISTRATION REGISTERED OFFICE Centre Europe 5, Place de la Gare L l6l6 Luxembourg CUSTODIAN Banque Carnegie lmxembourg SA 5, Place de la Gare L l 616 Luxembourg FUND ADMINISTRATOR, REGISTRAR AND TRANSFER AGENT Carnegie Fund Services SA Centre Europe 5, Place de la Gare L l 6 l 6 Luxembourg L\IANAGEMENT COMPANY / AIFi\I Carnegie Fund Services SA Centre Europe 5, Place de la Gare L 16l6 Luxembourg AUDITOR Price\vaterhouseCoopers, Société cooperative 2 rue Gerhard Mercator Luxembourg INVESTMENT MANAGERS Carnegie Investment Bank AB For the sub funds Shield Fund and Build Fund 56, Regeringsgatan SE-I03 38 Stockholm Sweden Carnegie Fonder AB For the sub funds Unconstrained Bond Fund and All Cap Swedish Equity Fund 56, Regeringsgatan SE Stockholm Sweden LEGAL COUNSEL Bonn Schmitt Steichen 22-24, rives de Clausen L 2165 Luxembourg DISTRIBUTION AGENT Carnegie Investment Bank AB For the sub funds Shield Fund and Build Fund 56, Regeringsgatan SE l03 38 Stockholm Sweden BOARD OF DIRECTORS Cl~lAIRMAN : Karin Birgitta SODERQVIST-LINDHOFF Head of Private Banking Carnegie Investment Bank AB, Stockholm Sweden DIRECTORS : Brian Daniel CORDISCI-II ClO 8: Head of Investment Strategy Carnegie Investment Bank AB, Stockholm Sweden Stephan KARLSTEDT General Manager Carnegie Fund Services SA Luxembourg Asa Christine SUN DBERG Legal Counsel Carnegie Investment Bank AB, Stockholm Sweden INVESTMENT MANAGER'S REPORT ALL CAP SWEDISH EQUITY FUND PERFORMANCE The performance of Carnegie All Cap was -1,01 /0 at year end 2015 Benchmark * during the same period was 8,9 0 The performance during 2015 met expectations The main contributors to the fund's outperformance came from Attendo, Betsson, Byggmax, Lifco and Unibet Class 1A Units: Units were issued for the first time on March 24, 2015 During the period, the net asset Value per unit decreased from SEK 100 to SEK 9899, representing a decrease of 101% Total net assets at the end of the period were SEK 5910 million Total net assets for all classes of units increased during the period from SEK 2894 million (initial subscription) to SEK 5910 million Net subscriptions of units were SEK 5913 million INVESTMENT STRATEGY Carnegie All Cap Swedish Equity Fund is an Equity fund that invests mainly in Swedish equities The objective is the realization of long terrn capital growth and should hence be regarded as long term investment We prefer well managed companies with established operations, strong financials, a great track record and a high dividend yield * OMX Stockholm Benchmark GI The information in this report represents historical data and is not an indication of future results 4 INVESTMENT MANAGER'S REPORT BUILD FUND PERl7()Rl\lANCE The performance of Carnegie Build during 2015 met expectations and was -6 u (IA1) Benchmark * during the same period was 6,8 u The main positive contributors to the fund's outperformance came from active managers Class RA1 Units: Units were issued for the first time on March 24, 2015 During the period, the net asset value per unit decreased from Sills 100 to SEK 9359, representing a decrease of 641 0 Total net assets at the end of the period were SEK million Class RA2 Units: Units were issued for the first time on October 08, 2015 During the period, the net asset value per unit increased from SEl'\' 9106 to SEK 9339, representing an increase of 256% Total net assets at the end of the period were SEK 102 million Class ID1 Units: Units were issued for the first time on July 03, 2015 During the period, the net asset value per unit decreased from SEK 9831 to SEK 9379, representing a decrease of 459% Total net assets at the end of the period were SEK 5778 million Class IA1 Units: Units were issued for the first time on March 24, 2015 During the period, the net asset value per unit decreased from SEK 100 to SEK 9401, representing a decrease of 599 0 Total net assets at the end of the period were SEK 7003 million Class IA2 Units: Units were issued for the first time on October 02, 2015 During the period, the net asset value per unit increased from SEK 8890 to SEK 9395, representing an increase of 568% Total net assets at the end of the period were SEK 3212 million Total net assets for all classes of units increased during the period from SEK million (initial subscription) to SEK million Net subscriptions of units were SEK million lnvl3stl\'ient STRATEGY Carnegie Build is a global equity portfolio that invests in mutual funds and exchange traded funds The objective of the portfolio is to create a diversified portfolio with assets in various sectors and geographic areas The diversification contributes to maximizing the risk adjusted return of the portfolio Due to the Nordic focus and top rated local asset management of Carnegie lnvestment Bank the exposure towards Swedish equities will often be significantly larger than Sweden's weight in a global index despite the portfolio's global focus The assets of Carnegie Build are distributed over the geographical regions and industrial sectors that are deemed to have the best performance during the current market outlook The investment decisions are based on a topdown process, which includes assessment of the macroeconomic environment, interest rate and credit outlook, * MSCI Nordic Countries Net Index SEK (25%), MSCI World Net lndex SEK (65%) and MSCI Emerging Markets Net SEl\' (10%) The information in this report represents historical data and is not an indication of future results 5 INVESTMENT MANAGER'S REPORT SHIELD FUND PERFORMANCE Carnegie Shield was -2,2 % in 2015 (IA1) During the same period benchmark * was -1,7 0 The main positve contributor to the fund performance in 2015 came from the exposure towards money market funds On the negative side the fund's high yield exposure was the main negative contributor Class RA1 Units: Units were issued for the first time on March 24, 2015 During the period, the net asset value per unit decreased from SEK 100 to SEK 9754, representing a decrease of 246% Total net assets at the end of the period were SEK million Class RA2 Units: Units were issued for the first time on March 24, 2015 During the period, the net asset value per unit decreased from SEK 100 to SEK 9741, representing a decrease of Total net assets at the end of the period were SEK 7270 million Class IA1 Units: Units were issued for the first time on March 24, 2015 During the period, the net asset value per unit decreased from SEK 100 to SEK 9775, representing a decrease of 225% Total net assets at the end of the period were SEK 7799 million Class IA2 Units: Units were issued for the first time on April 23, 2015 During the period, the net asset value per unit decreased from SEK to SEK 9768, representing a decrease of 255% Total net assets at the end of the period were SEK 2833 million Total net assets for all classes of units increased during the period from SEK million (initial subscription) to SEK million Net subscriptions of units were SEK million INVESTMENT STRATEGY Carnegie Shield is a global fixed-income portfolio with elements of absolute returning hedge funds The fund mainly invests in mutual funds and exchange traded funds with the objective of creating a diversified portfolio in terms of maturities, credit risk and geographical allocation The diversification contributes to maximizing the risk adjusted return of the portfolio The assets of Carnegie Shield is distributed over the maturities, credit risks and geographical regions that are deemed to have the best performance with the current market outlook The investment decisions are based on a top-down process, which includes assessment of the macroeconomic environment, interest rate and credit outlook, as well as general investment trends * OMRX Treasury Bill Index (25%), Bloomberg SEK Investment Grade Scandinavian Corporate Bond Index (25%), Barclays Global Aggregate SEK Hedged (25%), Barclays Global High Yield SEK Hedged (10%) and HFRX Absolute Return Index SEK I-ledged (15%) The information in this report represents histoncal data and is not an indication of future results 6 INVESTMENT MANAGER'S REPORT UNCONSTRAINED NORDIC BOND FUND PERFORMAN CE The performance was 0,06 /0 at year end 2015 In light of the large movements in the fixed income markets this is a strong performance By the second half of 2015 basically all assets, including covered bonds, municipalities, corporate investment grade and high yield, saw depreciating prices ie higher spread The market was overall characterized by an overall risk-off approach Class 1A Units: Units were issued for the first time on March 24, 2015 During the period, the net asset value per unit decreased from SEK 100 to SEK 9992, representing an decrease of 008% Total net assets at the end of the period were SEK 9466 million Total net assets for all classes of units increased during the year from SEK 3996 million (initial subscription) to SEK 9466, million Net subscriptions of units were SEK 9499 million INVESTMENT STRATEGY The sub-fund unconstrained bond fund is invested in global fixed income assets with an emphasis on Nordic related companies The objective of the portfolio is to create a diversified portfolio with fixed income assets across geographies and sectors The aim is to maximize the risl adjusted return of the portfolio The investment approach is bottoms up with focus on company specific risks and company selection The fund can and will invest in all rating categories but during the end of 2015 most of the high yield positions were divested The information in this report represents historical data and is not an indication of future results 7 ADDITIONAL AIFM DISCLOSURES (UNAUDITED) Material Changes Since the incorporation of the Company, the AIF has not been subject to material changes affecting the AIF and the investors, other than changes linked to AIFMD requirements Remuneration Disclosure The AIFM has adopted a remuneration policy in accordance with the applicable laws and regulations related to AIFM The board of directors of the AIF is not receiving any remuneration for exercising their mandates Liguidigg The sub funds of the AIF are investing in highly liquid assets so they are, under normal market circumstances, in a position to fulfill their obligations arising from redemptions The liquidity of the sub-funds of the AIF is monitored on a daily basis As a consequence, no arrangements are made for illiquid assets nor for managing the liquidity of the sub funds of the AIF Leverage The leverage of the sub funds of the AIF were in line with the investment limits set for these sub funds and were as follow for the period: AIFMD Commitment Method Net Leverage Min Max Average ALL Cap Swedish Equity Fund 9669% 10625% 10005% Unconstrained Nordic Bond Fund 9890% 16423% 11178 a Build Fund 9626% 14105% 10406% Shield Fund 10062% 14114% 12961% AIFMD Commitment Method Gross Leverage Min Max Average ALL Cap Swedish Equity Fund 9193% 10312% 9788% Unconstrained Nordic Bond Fund 9769% 29366% 15987% Build Fund 9491% 12336% 10361% Shield Fund 9736% 14725% 12855% ADDITIONAL AIFM DISCLOSURES (UNAUDITED) Risk Management The AIFM has implemented a Risk Management Policy (the Policy ) in accordance with the applicable Laws and Regulations The Policy covers the following risks: '\/larket Liquidity Counterparty Credit Operational Risk Investment Compliance The market risk of the four sub-funds of the AIF is captured by using the Value at Risk approach with 99% confidence level and 20 days time horizon The model is back tested on a daily basis and the results were as follow for the period: VaR99 (Wu) 20 day Min Max Average ALL Cap Swedish Equity Fund Unconstrained Nordic Bond Fund Build Fund Shield Fund As the sub-funds of the AIF are investing in liquid listed equities, bonds and Equity funds with at least a weekly liquidity scheme, they are deemed liquid under normal market circumstances The liquidity of the equities is based on the monthly daily average traded volume of respective security compared with the holding of the sub-funds of the AIF The ratio calculated gives the number of days necessary for liquidating the position of the sub-funds of the AIF The listed financial derivative instruments are deemed to be closeable within one day The ratio obtained is compared with the historical pattern of redemption which the funds have faced including extreme redemption patterns The sub funds of the AIF are confronted with various operational risks which are linked to the instruments in which the sub funds of the AIF are investing such as but not limited to valuation risk, corporate action errors, wrong performance fee calculation, unreconeiled cash and securities positions The AIFM has implemented a serie of controls in order to mitigate the operational risks The investment guidelines are controlled ex ante by the investment managers and daily on an expost basis by the accounting agent The results of the ex post controls are notified to the AIFM in order to take appropriate measures if and when necessary 9 pwc Audit report To the Shareholders of CARNEGIE VVEALTH MANAGEMENT FUND SICAV We have audited the accompanying financial statements of CARNEGIE WEALTH MANAGEMENT FUND SICAV and of each of its sub-funds, which comprise the Statement of Net Assets and the Securities Portfolio as at 31 December 2015 and the Statement of Operations and the Statement of Changes in Net Assets for the period from 10 November 2014 (date of incorporation) to 31 December 2015, and a summary of significant accounting policies and other explanatory notes to the financial statements Responsibility of the Board ofdirectors of the SICAVfor thefinancial 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 of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error Responsibility of the Réviseur d entreprises agréé _ 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 judgment of the Réviseur d entreprises agréé, 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 Réviseur d entreprises agréé 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 PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, BP 1443 L-1014 Luxembourg T: , F: , wwwpwclu Cabinet de révision agréé Expert-comptable (autorisation gouvernementale n ) RCS Luxembourg B TVA LU pwc Opinion In our opinion, the financial statements give a true and fair View of the financial position of CARNEGIE WEALTH MANAGEMENT FUND SICAV and of 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 period from 10 November 2014 (date of incorporation) to 31 December 2015 in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements Other matters 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 PricewaterhouseCoopers, Société cooperative Luxembourg, 28 June 2016 Represented by // Nathalie Dogniez 11 N_ Ecofi oufi m _«_u cc umui we tan _«& E an 82 mfi cc w:_ :;c:uua BE 3: ma? 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