Generali Hedge Funds SICAV

Transcription

Unaudited semi-annual report
AS OF 30.6.2012
Investment Company with variable Capital under Luxembourg Law
(Société d’Investissement à Capital Variable, SICAV)
R.C.S. Luxembourg N° B 100 470
Generali Hedge Funds SICAV – Arbitrage Opportunities
Generali Hedge Funds SICAV – Emerging Markets Multi Strategy
Generali Hedge Funds SICAV – Event Driven
Generali Hedge Funds SICAV – Fixed Income Arbitrage
Generali Hedge Funds SICAV – Global Macro
Generali Hedge Funds SICAV – Long/Short Equity Asia-Pacific
Generali Hedge Funds SICAV – Long/Short Equity Europe
Generali Hedge Funds SICAV – Long/Short Equity US
Unaudited semi-annual report as of 30 June 2012
Table of contents
Page
Management and Administration
Features of the Company
2
3
– Arbitrage Opportunities
4
5
– Emerging Markets Multi Strategy
10
– Event Driven
15
– Fixed Income Arbitrage
20
– Global Macro
24
– Long/Short Equity Asia-Pacific
29
– Long/Short Equity Europe
33
– Long/Short Equity US
37
Notes to the Financial Statements
42
ISIN
A/
G/
R/
A/
G/
R/
A/
G/
R/
A/
G/
R/
A/
G/
R/
A/
G/
R/
A/
G/
R/
A/
G/
R/
LU0189992851
LU0189993826
LU0286430045
LU0343146089
LU0343146675
LU0343147053
LU0189992778
LU0189993743
LU0286429112
LU0189991887
LU0189993313
LU0286429468
LU0189992422
LU0189993669
LU0286429625
LU0251551908
LU0251551650
LU0286430474
LU0251550686
LU0251551221
LU0286432413
LU0189986374
LU0189993156
LU0286433064
B/
H/
S/
B/
H/
S/
B/
H/
S/
B/
H/
S/
B/
H/
S/
B/
H/
S/
B/
H/
S/
B/
H/
S/
LU0189991457
LU0189995870
LU0286428064
LU0343146329
LU0343146832
LU0343147210
LU0189991028
LU0189995441
LU0286427504
LU0189988073
LU0189994808
LU0286427769
LU0189988743
LU0189995102
LU0286427926
LU0251551577
LU0251552112
LU0286428221
LU0251551064
LU0251551817
LU0286428577
LU0189986887
LU0189994394
LU0286428650
Sales restrictions
Shares of this Company may not be
offered, sold or distributed within the
United States of America.
1
Management and Administration
Semi-Annual Report as of 30 June 2012
Registered Office
33A, avenue J.F. Kennedy,
L-1855 Luxembourg
R.C.S. Luxembourg N° B 100 470
Board of Directors
Christian Ferry, Chairman
Deputy-CEO
Generali Investments SpA, Trieste, Italy
Gian Luigi Costanzo, Member
Chairman of the Board,
BG Società di Gestione del Risparmio (BG SGR),
Trieste, Italy
Paolo Tamburini, Member
Chief Financial Officer,
Thalìa SA, Lugano, Switzerland
Heinz Gawlak, Member
Chief Executive Officer,
Generali Investments Deutschland, Köln, Germany
Philippe Setbon, Member
Chief Executive Officer,
Generali Investments France, Paris, France
Investment Manager
Thalìa S.A.,
Via Trevano 2a,
CH-6900 Lugano
Custodian Bank and Paying Agent
UBS (Luxembourg) S.A.,
L-1855 Luxembourg
Sub-custodian Bank
Banca del Ceresio AG,
Via Pretorio 13,
CH-6901 Lugano
2
Administration, Domiciliary and
Transfer Agent (the “Administrative Agent”)
UBS Fund Services (Luxembourg) S.A.,
L-1855 Luxembourg
Independent Auditor
Ernst & Young S.A.,
7, rue Gabriel Lippmann, Parc d’Activité Syrdall 2,
L-5365 Munsbach
Sale in Singapore*
* Restricted foreign scheme
The shares of the subfunds
– Event Driven
– Global Macro
may be sold in this country.
The sales prospectus and the KIID, the articles of association of
the Company, the annual and semi-annual reports as well as the
portfolio movements of the Company mentioned in this publication
are available free of charge from UBS Fund Services (Luxembourg)
S.A., 33A, avenue J.F. Kennedy, L-1855 Luxembourg.
Sale in Peru
The shares (A and B) of the subfunds
may be sold in this country.
The sales prospectus and the KIID, the articles of association of
the Company, the annual and semi-annual reports as well as the
portfolio movements of the Company mentioned in this publication
are available free of charge from UBS Fund Services (Luxembourg)
S.A., 33A, avenue J.F. Kennedy, L-1855 Luxembourg.
Features of the Company
Generali Hedge Funds SICAV (hereafter the
“Company”) was incorporated on 22 April 2004 as
a limited company with variable capital incorporated
under the laws of the Grand Duchy of Luxembourg
in accordance with Part II of the Luxembourg law of
17 December 2010 relating to undertakings for
collective investment.
The Company is an umbrella fund with multiple
subfunds. The Company is a single legal entity, while
each subfund is a separate pool of assets but is not
a separate legal entity. Each subfund is nevertheless
regarded as being separate from the others and is liable for all of its own obligations.
Currently, shares are issued in the following subfunds:
– Event Driven
– Global Macro
Currently, the following classes of shares are available:
class A, class B, class G, class H, class R and class S.
The Company is registered at the Commercial and
Company Register kept by the Chancery of the District Court of Luxembourg. The articles of incorporation
were published in the Mémorial, Recueil des Sociétés
et Associations (the “Mémorial”), the official gazette
of the Grand Duchy of Luxembourg of 11 May 2004,
and were deposited together with the legal notice at
the Commercial and Company Register of the District
Court of Luxembourg. Any amendment must be
published in the “Mémorial”. Such amendments
become legally binding in respect of all shareholders
subsequent to their approval by the general meeting of
the shareholders.
The Company is incorporated for an indefinite duration.
The Company offers investors, within the same undertaking for collective investment, a choice between
several subfunds, which are managed separately
and which are distinguished mainly by their specific
investment policy. The specifications of each subfund
are described in the annexes of the sales prospectus.
No person has been authorized by the Company to
give any information or make any representation other
than those contained in the sales prospectus.
The Board of Directors of the Company may, at any
time, decide to launch additional subfunds or share
classes within such subfunds and in such case, the
sales prospectus will be updated accordingly by adding correspondent annexes.
All subfunds are consolidated in USD.
The financial year of the Company ends on the last day
of December.
The annual general meeting of shareholders of the
Company will be held at the registered office of the
Company in Luxembourg on the second Monday of
the month of May at 3:00 pm in each year or if any
such day is not a bank business day in Luxembourg, on
the next following bank business day.
No person is authorized to supply any information other
than the information contained in the sales prospectus
and in the documents mentioned therein.
The annual and semi-annual reports are available free
of charge to shareholders at the registered office of
the Company and of the Custodian Bank.
No subscription may be accepted on the basis of the
financial reports. Subscriptions are accepted only on
the basis of the current sales prospectus accompanied
by the latest annual report and the latest semi-annual
report if available.
3
Consolidated Statement of Net Assets
USD
30.6.2012
Assets
Investments in securities, cost
Investments in securities, unrealized appreciation (depreciation)
Total investments in securities (Note 1)
Cash at banks, deposits on demand and deposit accounts
Receivable on securities sales (Note 1)
Receivable on dividends
Other receivables (Note 4)
Unrealized gain (loss) on forward foreign exchange contracts (Note 1)
Total Assets
697 101 609.30
93 095 719.01
790 197 328.31
4 621 101.82
383 331.56
4 985.51
641 682.10
3 822 043.08
799 670 472.38
Liabilities
Bank overdraft
Provisions for flat fee (Note 2)
Provisions for performance fee (Note 2)
Provisions for taxe d’abonnement (Note 3)
Total provisions
Total Liabilities
Net assets at the end of the period
-3 834 206.97
-616 635.06
-5 880.43
-22 422.56
-644 938.05
-4 479 145.02
795 191 327.36
Consolidated Statement of Operations
Income
USD
1.1.2012-30.6.2012
Interest on liquid assets
Dividends
1 847.01
5 043.99
Total income
6 891.00
Expenses
Flat fee (Note 2)
Performance fee (Note 2)
Taxe d’abonnement (Note 3)
Interest on cash liquidity and bank overdraft
-3 446 046.83
-5 892.33
-47 939.54
-48 010.94
Total expenses
-3 547 889.64
Net income (loss) on investments
-3 540 998.64
Realized gain (loss) (Note 1)
Realized gain (loss) on market-priced securities without options
Realized gain (loss) on forward foreign exchange contracts
Total realized gain (loss) on investments
Realized gain (loss) on foreign exchange
5 705 678.94
-27 368 020.17
-21 662 341.23
4 648 097.78
Total realized gain (loss)
-17 014 243.45
Net realized gain (loss) of the period
-20 555 242.09
Changes in unrealized appreciation (depreciation) (Note 1)
Unrealized appreciation (depreciation) on market-priced securities without options
Unrealized appreciation (depreciation) on forward foreign exchange contracts
15 330 564.30
15 430 039.62
Total changes in unrealized appreciation (depreciation)
30 760 603.92
Net increase (decrease) in net assets as a result of operations
10 205 361.83
4
The notes are an integral part of the financial statements.
Generali Hedge Funds SICAV – Arbitrage Opportunities
Most important figures
DATE
ISIN
Net assets in USD
CLASS A
184 709.6410
114.43
303 555.1920
109.20
318 013.3930
105.28
359 121.3130
107.53
280 348.2190
123.15
330 675.2190
117.88
374 175.2190
118.59
616 614.1010
130.72
780 704.4240
124.96
828 854.4240
125.91
46 529.4410
100.45
50 706.8920
96.73
1 481.1030
98.94
9.9990
99.82
9.9990
96.27
388.0710
98.17
LU0286430045
Shares outstanding
Net asset value per share in USD
CLASS S
173 977.9340
111.94
LU0189995870
Shares outstanding
CLASS R
169 907.7740
116.25
LU0189993826
Shares outstanding
Net asset value per share in EUR
CLASS H
31.12.2010
237 027 078.20
LU0189991457
Shares outstanding
CLASS G
31.12.2011
215 999 584.41
LU0189992851
Shares outstanding
CLASS B
30.6.2012
190 908 160.27
LU0286428064
Shares outstanding
Structure of the Securities Portfolio
GEOGRAPHICAL BREAKDOWN AS A % OF NET ASSETS
Cayman Islands
British Virgin Islands
Bermuda
75.05
14.21
9.95
TOTAL
99.21
ECONOMIC BREAKDOWN AS A % OF NET ASSETS
Investment funds & pension foundations
99.21
TOTAL
99.21
5
Statement of Net Assets
USD
30.6.2012
Assets
Total Assets
163 569 685.76
25 827 982.23
189 397 667.99
776 121.59
12 844.12
825 902.65
191 012 536.35
Liabilities
Total provisions
-99 193.40
-5 182.68
-104 376.08
Total Liabilities
-104 376.08
190 908 160.27
Statement of Operations
Income
USD
1.1.2012-30.6.2012
455.74
Total income
455.74
Expenses
Flat fee (Note 2)
-630 101.68
-10 912.11
-13 926.64
Total expenses
-654 940.43
-654 484.69
2 872 726.33
-5 827 213.30
-2 954 486.97
1 049 150.56
-1 905 336.41
-2 559 821.10
5 605 456.79
3 234 363.63
8 839 820.42
6 279 999.32
6
Statement of Changes in Net Assets
USD
1.1.2012-30.6.2012
Net assets at the beginning of the period
Subscriptions
Redemptions
Total net subscriptions (redemptions)
215 999 584.41
1 310 023.26
-32 681 446.72
-31 371 423.46
-654 484.69
-1 905 336.41
8 839 820.42
6 279 999.32
190 908 160.27
Changes in the Number of Shares outstanding
1.1.2012-30.6.2012
Class
Number of shares outstanding at the beginning of the period
Number of shares issued
Number of shares redeemed
A
173 977.9340
6 570.3280
-10 640.4880
Number of shares outstanding at the end of the period
169 907.7740
Class
B
318 013.3930
3 607.6750
-18 065.8760
303 555.1920
Class
G
330 675.2190
0.0000
-50 327.0000
280 348.2190
Class
H
780 704.4240
0.0000
-164 090.3230
616 614.1010
Class
R
50 706.8920
280.7290
-4 458.1800
46 529.4410
Class
S
9.9990
0.0000
0.0000
9.9990
7
Statement of Investments in Securities and other Net Assets as of 30 June 2012
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
2 207.23
526.87
1 583.36
4 550.52
8 000.00
759 647.04
155 456.68
478 169.97
8 901 355.40
8 690 536.00
0.40
0.08
0.25
4.67
4.55
18 985 165.09
9.95
311 682.44
117 262.98
13 321 442.26
4 790 287.33
8 593 229.32
0.16
0.06
6.98
2.51
4.50
27 133 904.33
14.21
9 137 116.47
2 501 145.26
7 922 700.52
10 243 944.99
222 043.32
1 511 541.00
125 070.23
5 173 064.43
13 730 274.88
11 304 948.26
56 062.16
87 334.66
680 874.70
1 329.02
29 620.58
6 215.37
769.44
822.64
1 096.85
1 344.34
692.10
266.02
347 180.78
70 846.88
769.88
9 369 490.34
944.68
12 743 277.33
0.00
7 397 436.86
3 282 971.68
11 619 894.73
5 818 559.01
7 838 415.38
468 524.47
754 749.62
8 810 590.45
1 998 122.00
10 018 547.24
4.79
1.31
4.15
5.37
0.12
0.79
0.06
2.71
7.19
5.92
0.03
0.05
0.36
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.18
0.04
0.00
4.91
0.00
6.67
0.00
3.87
1.72
6.09
3.05
4.11
0.24
0.39
4.61
1.05
5.25
Total Cayman Islands
143 278 598.57
75.05
Total Investment certificates, open end
189 397 667.99
99.21
Total Other UCIs (Undertakings for collective Investment)
189 397 667.99
99.21
Total investments in securities
189 397 667.99
99.21
Other UCIs (Undertakings for collective Investment)
Investment certificates, open end
Bermuda
USD
USD
USD
USD
USD
AMARANTH INTERNATIONAL LTD-9832
AMARANTH INTERNATIONAL LTD-1 S9832-DI1
AMARANTH INTERNATIONAL LTD-2 S9832-DI2
BASSO INVESTORS LTD A
CITADEL KENSINGTON GLOB STRAT FD LTD-QUARTERLY SHARES
Total Bermuda
USD
USD
USD
USD
USD
DEEPHAVEN GLOBAL MULTI-STRATEGY FUND LTD-I N09-1996
FARALLON CAPITAL OFFSHORE INVESTORS INC-A/R
LIM ASIA MULTI STRATEGY FUND-A
SHEPHERD INVESTMENTS INTERNATIONAL LTD-S-SPECIAL INVESTMENTS
WHITEBOX CONCENTRATED CONVERTIBLE ARBITRAGE B Y/E 2010
105.53
58 660.82
396 944.05
147 280.16
8 226.85
Total British Virgin Islands
Cayman Islands
USD
EUR
EUR
USD
USD
USD
USD
EUR
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
USD
USD
USD
USD
USD
USD
USD
USD
8
ARISTEIA INTERNATIONAL LTD-A VOTING SR AV BENCHMARK NI
ARROWGRASS INTL FUND LTD-B NEW ISSUE SERIES MAY 2011
ARROWGRASS INTL FUND LTD B NEW ISSUE SERIES MARCH 2008
CANYON VALUE REALIZATION FUND (CAYMAN) LTD-B
CANYON VALUE REALIZATION FUND (CAYMAN) LTD-B-DI-R INITIAL
CANYON VALUE REALIZATION FUND (CAYMAN) LTD-A SERIES 04/11
CANYON VALUE REALIZATION FUND (CAYMAN) LTD-B-DI-C INITIAL 17
CENTAURUS SMALL/MID CAP INTL RISK ARBITRAGE FUND LTD
DOUBLE BLACK DIAMOND LTD-B UNRESTRICTED
FORE MULTI STRATEGY OFFSHORE FUND-A-1
HB ASIA HOLDINGS LTD- B13
HB MULTI STRATEGY HOLDINGS LTD-B/2
HB MULTI STRATEGY HOLDINGS LTD-A
HIGHBRIDGE CAPITAL RED.PTG.SHS-A SERIES N (NON RESTRICTED)
INVESTCORP INTERLACHEN MULTI STRATEGY FUND-D4 ILLIQUID SHS
MILLENNIUM INTERNATIONAL LTD-E SERIES 01A
MKM LONGBOAT MULTI STRATEGY FUND LTD USD- N-VOTING NEW ISS
NINE MASTS FEEDER FUND ONE-A/2 0411 UNRESTRICTED
OCCITAN FEEDER FUND INC EUR REGULAR
OZ OVERSEAS FUND II LTD-A PRIME 1
POLYGON CONVERT OPPORTUNITY FUND B
POLYGON CONVERT OPPORTUNITY FUND A
RAMIUS CONVERTIBLE ARBITRAGE FUND LTD-LB
RAMIUS MULTI-STRATEGIE FUND LTD-LB
ROSE GROVE OFFSHORE FUND I LTD-A SERIES 01/09 NEW ISSUE
ROSE GROVE OFFSHORE FUND I LTD-A/0511 NEW ISSUE
SHEPHERD INVESTMENTS INTL-B
8 351.11
20 000.00
44 823.50
1 823.35
148.64
1 500.00
86.89
38 965.42
36 856.83
4 290.46
4.84
7.42
10.42
0.02
0.45
0.09
0.01
0.01
0.02
0.02
0.01
0.00
5.24
1.08
0.01
376.86
3.61
9 927.66
2 982.49
6 873.91
30 018.01
6 175.18
23 259.54
56 556.26
149.22
239.27
6 365.68
2 000.00
9 413.60
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
523 642.25
544 835.60
15.79
-238 444.94
97.40
-3 796.65
-2 903.32
-0.14
2 456.66
825 902.65
0.27
0.29
0.00
-0.13
0.00
0.00
0.00
0.00
0.00
0.43
776 121.59
-91 531.96
190 908 160.27
0.41
-0.05
100.00
Forward Foreign Exchange contracts
Forward Foreign Exchange contracts (Purchase/Sale)
EUR
32 985 000.00
USD
EUR
34 320 000.00
USD
EUR
994.00
USD
USD
18 821 562.00
EUR
EUR
6 000.00
USD
USD
211 990.00
EUR
USD
162 110.00
EUR
USD
7.48
EUR
EUR
110 000.00
USD
Total Forward Foreign Exchange contracts (Purchase/Sale)
41 333 503.50
43 006 392.00
1 245.58
15 020 000.00
7 518.60
170 000.00
130 000.00
6.00
137 170.00
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
Cash at banks, deposits on demand and deposit accounts and other liquid assets
Other assets and liabilities
Total net assets
9
Generali Hedge Funds SICAV – Emerging Markets Multi Strategy
DATE
ISIN
Net assets in USD
CLASS A
Shares outstanding
85 709.8060
100.84
129 652.0390
92.46
134 343.4830
93.33
104 170.1170
102.18
59 700.3770
97.85
69 579.3770
98.06
69 579.3770
106.07
245 106.6550
97.19
193 231.4260
97.10
222 031.4260
104.97
32 560.1000
91.08
31 565.1620
91.68
14 203.9350
100.59
810.9740
98.52
1 501.5130
99.29
1 511.5130
109.12
LU0343147053
Shares outstanding
CLASS S
96 454.5080
91.95
LU0343146832
Shares outstanding
CLASS R
111 936.9470
91.37
LU0343146675
Shares outstanding
CLASS H
31.12.2010
57 779 765.81
LU0343146329
Shares outstanding
CLASS G
31.12.2011
55 853 813.89
LU0343146089
Shares outstanding
CLASS B
30.6.2012
59 743 469.76
LU0343147210
Cayman Islands
Bermuda
Bahamas
Ireland
85.50
5.64
3.45
2.60
1.47
TOTAL
98.66
10
98.66
TOTAL
98.66
USD
30.6.2012
Assets
Total Assets
57 906 426.07
1 033 433.97
58 939 860.04
656 409.08
283 713.49
59 879 982.61
Liabilities
Total provisions
Total Liabilities
-134 732.31
-1 780.54
-136 512.85
-136 512.85
59 743 469.76
Income
USD
1.1.2012-30.6.2012
238.76
Total income
238.76
Expenses
Flat fee (Note 2)
-293 312.72
-3 769.08
Total expenses
-297 081.80
-296 843.04
-467 851.99
-2 060 058.60
-2 527 910.59
360 100.11
-2 167 810.48
-2 464 653.52
626 567.86
1 146 914.65
1 773 482.51
-691 171.01
11
USD
1.1.2012-30.6.2012
Subscriptions
Redemptions
55 853 813.89
7 046 170.49
-2 465 343.61
4 580 826.88
-296 843.04
-2 167 810.48
1 773 482.51
-691 171.01
59 743 469.76
1.1.2012-30.6.2012
Class
A
96 454.5080
18 030.2140
-2 547.7750
111 936.9470
Class
B
134 343.4830
2 022.2210
-6 713.6650
129 652.0390
Class
G
69 579.3770
0.0000
-9 879.0000
59 700.3770
Class
H
193 231.4260
51 875.2290
0.0000
245 106.6550
Class
R
31 565.1620
994.9380
0.0000
32 560.1000
Class
S
1 501.5130
0.0000
-690.5390
12
810.9740
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
1 248.61
1 554 993.92
2.60
1 554 993.92
2.60
2 058 905.98
3.45
2 058 905.98
3.45
3 220 272.51
146 118.03
5.39
0.25
3 366 390.54
5.64
1 669 155.87
3 378 786.14
4 761 370.70
3 472 940.66
1 136 702.01
1 512 867.90
2 069.98
2 068 557.07
4 001 167.04
2 498 512.97
1 948 780.00
931 787.70
922 300.00
2 263 417.68
10 852.98
9 150.13
2 102 790.87
905 616.59
858 872.00
2 038 979.22
3 050 914.99
604 140.00
3 774 459.05
1 699 038.34
1 008 000.00
156 146.17
2 060 162.89
2 233 030.65
2.79
5.66
7.97
5.81
1.90
2.53
0.00 *
3.46
6.70
4.18
3.26
1.56
1.54
3.79
0.02
0.02
3.52
1.52
1.44
3.41
5.11
1.01
6.32
2.84
1.69
0.26
3.45
3.74
Bahamas
USD
MOORE EMERGING EQUITY LONG/SHORT FUND LTD-A
Total Bahamas
Bermuda
USD
PRINCE STREET FUND LTD-A/1 INITIAL SERIES
1 035.01
Total Bermuda
USD
USD
LIM ASIA MULTI STRATEGY FUND-A
STARK ASIA FUND LTD-A
95 955.68
178.14
Cayman Islands
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
ADELPHI EMERGING EUROPE FUND-USD
ASIAN CREDIT HEDGE FUND-A
AUTONOMY GLOBAL MACRO FUND LTD GENERAL SERIES SHARES
BREVAN HOWARD EMERGING MARKETS STRATEGIES FUND LTD B
BTG PACTUAL GLOBAL EMERGING MARKETS AND MACRO FD-A 05/09 NI
CENTAURUS ASIA PACIFIC OPPORTUNITIES FUND-A
CENTAURUS ASIA PACIFIC OPPORTUNITIES FUND-A EQUALISATION
CQS LATIN AMERICA EQUITY FEEDER FD-A (NI) USD
DISCOVERY GLOBAL OPPORTUNITY FUND LTD-A
DRAGON BILLION CHINA FUND-A
DYMON ASIA MACRO FUND LTD-P/318 NNI
FINISTERRE GLOBAL OPPORTUNITY FUND-B2/1
FINISTERRE GLOBAL OPPORTUNITY FUND-B2/38
GAVEA FUND LTD - B/1
INDUS PACIFIC OPPORTUNITIES FUND-A
JABCAP EMEA FUND LTD-D1-UNRESTRICTED
LEBLON VALUE HEDGE FUND PTG SHS-B/04/11
MARSHALL WACE FUNDS PLC-THE MW GLB FIN MKT NEUTR FD-B USD
OZ OVERSEAS FUND LTD-B PRIME 34
POLO FUND - 2011/04
ROHATYN GROUP GLOBAL OPPORTUNITY FUND-A SR1 NI
SR GLOBAL FUND INC-G-EMERGING MARKETS PORTFOLIO-S 1
TCM ASIA OPPORTUNITIES (NON-US FEEDER) FUND-C SERIES 0212 NI
THAMES RIVER GLOBAL FUNDS-HILLSIDE APEX FUND-A
TREE LINE ASIA FUND-U/1
TRISKELE CHINA FUND-B
13 263.06
174 074.51
33 165.03
24 981.59
600.36
11 272.31
2 069.98
2 196.69
6 135.83
27 580.45
2 000.00
5 585.65
10 000.00
19 458.54
0.94
0.78
1 202.63
5 791.50
9 800.00
19 498.70
2 485.38
10 000.00
2 263.73
1 666.36
10 000.00
128.08
13 230.94
96 961.82
51 080 569.60
85.50
879 000.00
1.47
879 000.00
1.47
58 939 860.04
98.66
58 939 860.04
98.66
58 939 860.04
98.66
Ireland
USD
TRADITIONAL FUNDS PLC-THAMES RIV GLB EM MKT ABS RE-ACC USD-B
Total Ireland
100 000.00
* See note 6
13
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
191 692.60
93 345.95
1 278.42
178.57
-2 009.99
-759.33
-12.73
283 713.49
0.32
0.15
0.00
0.00
0.00
0.00
0.00
0.47
656 409.08
-136 512.85
59 743 469.76
1.10
-0.23
100.00
EUR
12 075 000.00
USD
EUR
5 880 000.00
USD
EUR
80 530.00
USD
EUR
11 000.00
USD
USD
112 230.00
EUR
USD
42 398.00
EUR
USD
710.79
EUR
15 131 182.50
7 368 228.00
100 912.14
13 784.10
90 000.00
34 000.00
570.00
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
Total net assets
14
Generali Hedge Funds SICAV – Event Driven
DATE
ISIN
Net assets in USD
CLASS A
Shares outstanding
135 308.5110
116.12
279 396.6910
94.82
290 955.2960
93.92
318 187.5660
109.28
136 657.4120
107.12
182 698.4120
105.35
182 698.4120
120.75
306 554.6410
113.86
306 554.6410
111.62
345 954.6410
127.78
5 932.0150
75.49
5 932.0150
74.55
1 314.6770
86.63
15 992.4830
73.89
16 961.4750
73.21
20 014.2950
85.16
LU0286429112
Shares outstanding
CLASS S
126 183.6080
99.98
LU0189995441
Shares outstanding
CLASS R
123 265.6910
101.25
LU0189993743
Shares outstanding
CLASS H
31.12.2010
138 563 218.81
LU0189991028
Shares outstanding
CLASS G
31.12.2011
109 345 464.15
LU0189992778
Shares outstanding
CLASS B
30.6.2012
101 527 658.59
LU0286427504
Cayman Islands
Bermuda
86.66
6.98
4.55
TOTAL
98.19
98.19
TOTAL
98.19
15
– Event Driven
USD
30.6.2012
Assets
Total Assets
102 513 152.72
-2 826 844.59
99 686 308.13
1 476 204.27
1 169.53
434 026.42
101 597 708.35
Liabilities
Total provisions
-67 346.82
-2 702.94
-70 049.76
Total Liabilities
-70 049.76
101 527 658.59
Income
USD
1.1.2012-30.6.2012
Dividends
333.46
58.49
Total income
391.95
Expenses
Flat fee (Note 2)
-442 813.89
-5 868.88
-7 644.65
Total expenses
-456 327.42
-455 935.47
-4 498 644.22
-2 956 356.06
-7 455 000.28
421 832.93
-7 033 167.35
-7 489 102.82
6 425 690.88
1 697 059.49
8 122 750.37
16
633 647.55
– Event Driven
USD
1.1.2012-30.6.2012
Subscriptions
Redemptions
109 345 464.15
772 556.89
-9 224 010.00
-8 451 453.11
-455 935.47
-7 033 167.35
8 122 750.37
633 647.55
101 527 658.59
1.1.2012-30.6.2012
Class
A
126 183.6080
4 189.2260
-7 107.1430
123 265.6910
Class
B
290 955.2960
2 609.3190
-14 167.9240
279 396.6910
Class
G
182 698.4120
0.0000
-46 041.0000
136 657.4120
Class
H
306 554.6410
0.0000
0.0000
306 554.6410
Class
R
5 932.0150
0.0000
0.0000
5 932.0150
Class
S
16 961.4750
0.0000
-968.9920
15 992.4830
17
– Event Driven
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
3 538.00
2 193.07
3 063 865.54
4 022 149.20
3.02
3.96
7 086 014.74
6.98
89 540.53
24 120.77
178.60
1 634 847.21
2 872 122.00
0.09
0.02
0.00
1.61
2.83
4 620 809.11
4.55
113 925.99
3 128 412.53
12 699.55
3 690.47
12 978.84
11 971.07
5 240.43
3 228.94
2 961 472.14
11 279.90
3 196 678.93
3 298 038.16
3 003 167.26
7 423 491.95
13.59
44.65
1 603 069.11
50.05
10.62
806 094.65
1 176 098.83
5 497 829.32
8 843 714.80
300 910.68
2 275 295.60
1 936 104.21
1 269 298.62
1 749 988.31
24 521.10
4 095 080.27
2 331 993.45
7 859 325.48
3 809 368.74
174 240.69
1 613 100.00
3 987 380.09
4 360 078.74
2 820 630.00
8 258 966.52
0.11
3.08
0.01
0.00
0.01
0.01
0.01
0.00
2.92
0.01 *
3.15
3.25
2.96
7.31
0.00
0.00
1.58
0.00
0.00
0.79
1.16
5.42
8.71
0.30
2.24
1.91
1.25
1.72
0.02
4.03
2.30
7.74
3.75
0.17
1.59
3.93
4.30
2.78
8.14
Bermuda
USD
USD
CAI DISTRESSED DEBT OPPORTUN FD LTD-C/2 SR 2 NON RESTRICTED
REVELATION SPECIAL SITUATION / OFFSHORE FUND LTD-B NEW ISSUE
Total Bermuda
USD
USD
USD
USD
USD
CASTLERIGG INTERNATIONAL LTD-SC SERIE 01 01.09
CASTLERIGG INTERNATIONAL LTD-SC SERIE I/12 01.09
CASTLERIGG INTERNATIONAL LTD-SC SERIE 08 0109
STARK GLOBAL OPPORTUNITIES FUND LTD - A2/1 NEW ISSUE
THIRD POINT ULTRA FUND LTD-C/65
1 163.00
313.33
2.32
2 165.90
3 000.00
Cayman Islands
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
EUR
EUR
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
AVENUE ASIA INTERNATIONAL LTD-A 0401
AVENUE INTERNATIONAL LTD-A/A0797
CAMULOS PARTNERS OFFSHORE LTD-I/1 2006 SIDE POCKET
CAMULOS PARTNERS OFFSHORE LTD-I/15 01/07 SIDE POCKET
CENTAURUS ASIA PACIFIC OPPORTUNITIES FUND-A
CENTAURUS ASIA PACIFIC OPPORTUNITIES FUND-A EQUALISATION
CENTAURUS INTERNATIONAL RISK ARBITRAGE FUND LTD SUB 2 EUR
CENTAURUS SMALL/MID CAP INTL RISK ARBITRAGE FUND LTD
CHEYNE SPECIAL SITUATIONS REALISING FUND INC K/EUR
HALCYON PARTNERS OFFSHORE LTD-A RESTR
HALCYON PARTNERS OFFSHORE LTD-A-04/11 SPECIAL RESTRICTED
HALCYON PARTNERS OFFSHORE LTD-A-04/11 SPECIAL UNRESTRICTED
HALCYON PARTNERS OFFSHORE LTD-A UNRESTRICTED
HALCYON PARTNERS OFFSHORE LTD-A-01/12 SPECIAL NNI
HALCYON PARTNERS OFFSHORE LTD-A-01/12 SPECIAL NI
HDH MASTER FUND-C/30
HDH MASTER FUND-C/31
INSTINCT JAPAN OPPORTUNITY FUND-S1 UNRESTRICTED
OCEANWOOD GLOBAL OPPORTUNITIES FUND-A/C1-SUBSCRIPTION 06 NI
ORE HILL INTERNATIONAL FD LTD II-CI-B INITIAL
ORE HILL INTERNATIONAL FD LTD II-B-E/1007
ORE HILL INTERNATIONAL FD LTD II-B-E/0807
OZ ASIA OVERSEAS FUND LTD - C PRIME SPECIAL INVESTMENTS
OZ EUROPE OVERSEAS FUND - C / SPECIAL INVESTMENTS
OZ EUROPE OVERSEAS FUND II LTD-M SPECIAL INVESTMENT
OZ EUROPE OVERSEAS FUND II LTD-H/5
OZ EUROPE OVERSEAS FUND II LTD-J/17
OZ OVERSEAS FUND LTD-B PRIME 34
PAULSON ADVANTAGE PLUS LTD-A
PLAINFIELD 2009 LIQUIDATION LTD-CL R1-S1-0609
POLO FUND RED PTG SHS SERIES 2010/11
SENRIGAN FUND-B INITIAL UNRESTRICTED
STARBOARD VALUE AND OPPORTUNITY OVERSEAS FUND LTD A
THIRD POINT OFFSHORE FUND LTD-E/39 NI
YORK SELECT UNIT TRUST-B/1
3.17
99.56
158.57
61.14
229.29
214.01
91.72
55.03
22 065.79
11 279.90
21 876.94
24 842.03
19 710.55
4 503.23
0.01
0.05
1 256.63
0.05
0.01
5 633.48
8 218.72
4 448.01
50 107.26
121.60
2 181.85
1 947.41
1 682.37
2 857.99
32.69
2 215.16
1 841.63
6 402.46
16 383.68
5 636.49
25 000.00
4 778.33
2 495.69
30 000.00
298 696.80
87 979 484.28
86.66
99 686 308.13
98.19
99 686 308.13
98.19
99 686 308.13
98.19
* See note 6
18
– Event Driven
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
425 533.73
234 873.03
18 970.82
-230 507.36
-4 243.32
-1 942.99
-170.85
-8 486.64
434 026.42
0.42
0.23
0.02
-0.23
0.00
0.00
0.00
-0.01
0.43
1 476 204.27
-68 880.23
101 527 658.59
1.45
-0.07
100.00
EUR
26 805 000.00
USD
EUR
14 795 000.00
USD
EUR
1 195 000.00
USD
USD
18 195 012.00
EUR
USD
236 930.00
EUR
USD
108 489.00
EUR
USD
9 539.55
EUR
USD
473 860.00
EUR
33 589 345.50
18 539 614.50
1 497 454.50
14 520 000.00
190 000.00
87 000.00
7 650.00
380 000.00
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
Total net assets
19
Generali Hedge Funds SICAV – Fixed Income Arbitrage
DATE
ISIN
Net assets in USD
CLASS A
Shares outstanding
126 283.6600
119.95
195 489.5060
121.60
206 984.6190
120.91
217 711.1480
113.80
114 591.6140
137.45
136 800.6140
135.68
136 800.6140
125.85
452 465.1320
143.80
505 646.1930
141.88
536 146.1930
131.99
5 378.2700
109.22
5 378.2700
108.67
1 499.8740
102.87
3 442.7500
111.00
3 442.7500
110.50
2 685.7730
104.63
LU0286429468
Shares outstanding
CLASS S
116 909.6020
127.08
LU0189994808
Shares outstanding
CLASS R
117 897.4360
127.88
LU0189993313
Shares outstanding
CLASS H
31.12.2010
142 781 104.39
LU0189988073
Shares outstanding
CLASS G
31.12.2011
144 259 836.03
LU0189991887
Shares outstanding
CLASS B
30.6.2012
131 367 843.80
LU0286427769
Cayman Islands
Bermuda
85.97
8.79
6.29
TOTAL
101.05
20
101.05
TOTAL
101.05
USD
30.6.2012
Assets
Total Assets
103 651 746.27
29 101 553.15
132 753 299.42
20 448.95
630 893.54
133 404 641.91
Liabilities
Bank overdraft
Total provisions
-1 963 431.02
-68 901.98
-1 110.92
-3 354.19
-73 367.09
Total Liabilities
-2 036 798.11
131 367 843.80
Income
USD
1.1.2012-30.6.2012
275.54
Total income
275.54
Expenses
Flat fee (Note 2)
-441 688.00
-1 122.35
-7 064.62
-11 601.02
Total expenses
-461 475.99
-461 200.45
4 476 388.53
-4 469 242.77
7 145.76
780 532.86
787 678.62
326 478.17
-2 526 887.54
2 539 039.80
12 152.26
338 630.43
21
USD
1.1.2012-30.6.2012
Subscriptions
Redemptions
144 259 836.03
1 199 259.03
-14 429 881.69
-13 230 622.66
-461 200.45
787 678.62
12 152.26
338 630.43
131 367 843.80
1.1.2012-30.6.2012
Class
A
116 909.6020
5 452.4060
-4 464.5720
117 897.4360
Class
B
206 984.6190
3 104.9740
-14 600.0870
195 489.5060
Class
G
136 800.6140
0.0000
-22 209.0000
114 591.6140
Class
H
505 646.1930
0.0000
-53 181.0610
452 465.1320
Class
R
5 378.2700
0.0000
0.0000
5 378.2700
Class
S
3 442.7500
0.0000
0.0000
3 442.7500
22
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
8 281.62
8 265 054.76
6.29
8 265 054.76
6.29
11 549 682.06
8.79
11 549 682.06
8.79
21 628.67
16 534 989.44
1 028 425.00
6 911 942.10
7 916 015.63
9 076 363.31
24 838.95
11 717 025.52
7 852 437.03
3 629 186.76
6 787 170.09
5 917 373.45
3 442 509.95
3 455 145.08
3 480 666.71
10 050 967.88
5 881 806.72
8 357 264.49
852 805.82
0.02
12.59
0.78
5.26
6.02
6.91
0.02 *
8.92
5.98
2.76
5.17
4.50
2.62
2.63
2.65
7.65
4.48
6.36
0.65
112 938 562.60
85.97
132 753 299.42
101.05
132 753 299.42
101.05
132 753 299.42
101.05
378 305.14
250 510.07
6 111.93
266.70
-2 812.67
-1 406.34
-81.29
630 893.54
0.29
0.19
0.00
0.00
0.00
0.00
0.00
0.48
20 448.95
-1 963 431.02
-73 367.09
131 367 843.80
0.02
-1.49
-0.06
100.00
Bermuda
USD
CONCORDIA G-10 FIXED INCOME RELATIVE VALUE FUND-A
Total Bermuda
USD
MARINER ATLANTIC LTD-SR 200800A
3 230.22
Cayman Islands
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
AGAMAS CONTINUUM FUND (CAYMAN) LTD-B INITIAL SERIES
BLUECREST CAPITAL INTERNATIONAL LTD-F USD
BLUEMOUNTAIN LONG SHORT CREDIT FUND LTD-A/ 5 2011 ELIGIBLE
BLUEMOUNTAIN LONG SHORT CREDIT FUND LTD-A/1 2012 ROLLED NI
BREVAN HOWARD ASIA FUND LIMITED-USD
BREVAN HOWARD CREDIT CATALYST-A
BREVAN HOWARD CREDIT CATALYST-A EQUAL
BREVAN HOWARD FUND LTD-A-USD
CAPULA GLOBAL RELATIVE VALUE FUND LTD-A USD SHARES
CAPULA GLOBAL RELATIVE VALUE FUND LTD-C-USD
COMAC GLOBAL MACRO FUND USD
CQS CREDIT LONG SHORT FEEDER FUND LTD USD B1
ELLINGTON MORTGAGE OPP FUND-B 01/2011-A
ELLINGTON MORTGAGE OPP FUND-B 01/2011-B
ELLINGTON MORTGAGE OPP FUND-B 01/2011-D1
III FUND LTD-1
MKP OPPORTUNITY OFFSHORE LTD A/1
PROLOGUE FEEDER FUND LIMITED-A/0206 INITIAL SERIES
THAMES RIVER GLOBAL FUNDS-HILLSIDE APEX FUND-A
32.81
56 489.32
1 000.00
6 644.47
39 745.02
63 175.08
24 838.95
41 682.77
38 347.60
20 546.83
42 696.54
5 048.53
2 601.95
2 611.50
2 630.79
3 128.67
21 082.88
4 617.86
699.52
* See note 6
EUR
23 830 000.00
USD
EUR
15 780 000.00
USD
EUR
385 000.00
USD
EUR
16 800.00
USD
USD
159 616.00
EUR
USD
79 808.00
EUR
USD
4 613.90
EUR
29 861 373.00
19 773 918.00
482 443.50
21 052.08
128 000.00
64 000.00
3 700.00
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
Bank overdraft and other short-term liabilities
Total net assets
23
Generali Hedge Funds SICAV – Global Macro
DATE
ISIN
Net assets in USD
CLASS A
Shares outstanding
110 831.8520
129.09
264 521.9470
126.48
278 002.0990
125.85
293 274.5260
121.52
153 015.8460
141.76
170 731.2310
140.04
170 731.2310
133.22
243 599.2080
151.01
223 042.4960
149.02
251 642.4960
142.03
26 859.8010
109.54
28 765.7250
109.08
6 314.8360
105.76
58.0610
105.50
58.0610
105.11
764.1870
101.45
LU0286429625
Shares outstanding
CLASS S
111 531.3990
133.50
LU0189995102
Shares outstanding
CLASS R
115 358.9240
134.31
LU0189993669
Shares outstanding
CLASS H
31.12.2010
129 144 683.23
LU0189988743
Shares outstanding
CLASS G
31.12.2011
127 728 335.57
LU0189992422
Shares outstanding
CLASS B
30.6.2012
125 216 798.22
LU0286427926
Cayman Islands
Bahamas
68.79
23.14
6.26
TOTAL
98.19
24
98.19
TOTAL
98.19
– Global Macro
USD
30.6.2012
Assets
Receivable on dividends
Total Assets
96 378 248.54
26 567 437.67
122 945 686.21
779 956.28
66 391.87
4 985.51
636 166.05
876 723.90
125 309 909.82
Liabilities
Total provisions
-84 954.26
-4 769.51
-3 387.83
-93 111.60
Total Liabilities
-93 111.60
125 216 798.22
Income
USD
1.1.2012-30.6.2012
Dividends
214.10
4 985.50
Total income
5 199.60
Expenses
Flat fee (Note 2)
-554 849.06
-4 769.98
-7 214.47
-5 420.84
Total expenses
-572 254.35
-567 054.75
3 537 013.62
-6 151 390.19
-2 614 376.57
1 082 022.85
-1 532 353.72
-2 099 408.47
-1 592 164.29
3 443 654.07
1 851 489.78
-247 918.69
25
– Global Macro
USD
1.1.2012-30.6.2012
Subscriptions
Redemptions
127 728 335.57
6 705 638.78
-8 969 257.44
-2 263 618.66
-567 054.75
-1 532 353.72
1 851 489.78
-247 918.69
125 216 798.22
1.1.2012-30.6.2012
Class
A
111 531.3990
5 925.7000
-2 098.1750
115 358.9240
Class
B
278 002.0990
1 078.0820
-14 558.2340
264 521.9470
Class
G
170 731.2310
3 522.6150
-21 238.0000
153 015.8460
Class
H
223 042.4960
33 966.7120
-13 410.0000
243 599.2080
Class
R
28 765.7250
0.0000
-1 905.9240
26 859.8010
Class
S
58.0610
0.0000
0.0000
58.0610
26
– Global Macro
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
693.31
7 832 556.69
6.26
7 832 556.69
6.26
12 821 418.42
7 546 969.09
2 981 549.22
268 801.29
5 359 497.45
10.24
6.03
2.38
0.21
4.28
28 978 235.47
23.14
7 029 756.81
552 936.05
3 704 874.25
746 430.50
7 912 427.56
5 946 827.82
5 131 241.36
5 422 006.35
7 130 404.77
-4 064.94
3 807 676.91
4 748 412.06
4 335 032.60
1 160 530.00
11 567 340.60
3 344 916.25
166 345.21
152 001.24
12 609.54
18 334.23
42 568.85
12 545.69
6 033.35
0.00
0.00
0.00
14 332.90
27 009.76
31 740.68
15 000.60
6 099.93
10 626.79
13 809.02
65.17
134.12
103.31
59.29
94 034.88
85 517.59
3 535.41
8 003.93
193 577.57
6 158.17
148 939.98
91 465.40
3 888.28
20 371.08
18 817.49
44 800.99
7 418.01
36 167.01
7 163 172.30
2 040 200.00
3 102 657.00
0.33
5.61
0.44
2.96
0.60
6.32
4.75
4.10
4.33
5.69
0.00
3.04
3.79
3.46
0.93
9.24
2.67
0.13
0.12
0.01
0.01
0.03
0.01
0.00
0.00
0.00
0.00
0.01
0.02
0.03
0.01
0.00
0.01
0.01
0.00
0.00
0.00
0.00
0.08
0.07
0.00
0.01
0.15
0.01
0.12
0.07
0.00
0.02
0.02
0.04
0.01
0.03
5.72
1.63
2.48
0.00
86 134 894.05
68.79
122 945 686.21
98.19
122 945 686.21
98.19
122 945 686.21
98.19
Bahamas
USD
MOORE MACRO MANAGERS FUND LTD-A
Total Bahamas
USD
USD
USD
USD
USD
BRIDGEWATER PURE ALPHA FUND II LTD-B
CAXTON GLOBAL INVESTMENTS A SR A (NI)
CAXTON GLOBAL INVESTMENTS T USD SR B (NI)
CAXTON GLOBAL INVESTMENTS LTD - SI-SERIES A
GRAHAM GLOBAL INV FUND II -PROPIETARY MATRIX 10V PTF
5 803.43
10 292.07
3 052.01
8 332.34
18 582.27
Cayman Islands
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
AUTONOMY GLOBAL MACRO FUND LTD-B1
AUTONOMY GLOBAL MACRO AB SPV SR1
AUTONOMY GLOBAL MACRO FUND LTD GENERAL SERIES SHARES
BLUECREST STRATEGIC LTD-RED SHS
BLUETREND FUND LTD-RED SHS-B USD VOTING
BREVAN HOWARD ASIA FUND LIMITED-USD
BREVAN HOWARD FUND LTD USD-B
BREVAN HOWARD FUND LTD-A-USD
CCP QUANTITATIVE FUND LTD CL - ARISTARCHUS SHARES VOTING
CCP QUANTITATIVE FUND LTD-ARISTARCHU USD/VRG
D.E.SHAW OCULUS INTERNATIONAL FUND-SUBSCRIPTION
D.E.SHAW OCULUS INTERNATIONAL FUND
D.E.SHAW OCULUS INTERNATIONAL FD-MACRO STRATEGY
D.E.SHAW OCULUS INTERNATIONAL 04/11 INVESTMENT
DISCOVERY GLOBAL OPPORTUNITY FUND LTD-A
DISCOVERY GLOBAL OPPORTUNITY FUND LTD-B
DRAKE GLOBAL OPPORTUNITIES FUND LTD-C1- NON-RESTRICTED
DRAWBRIDGE GLOBAL MACRO FUND LTD-OFFSH LTD SPV ASSETS
DRAWBRIDGE GLOBAL MACRO FUND LTD-G3 SIDEPOCKET 03.02.07
DRAWBRIDGE GLOBAL MACRO FUND LTD-G3 SIDEPOCKET-SR4 0707
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6-S SIDEPOCKET 06 NOV 07
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6 SIDEPOCKET-S 090508
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6-S SIDEPOCKET 10 AUG 08
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6-S SIDEPOCKET 12 SEPT 08
DRAWBRIDGE GLOBAL MACRO FUND LTD-G3 SIDEPOCKET 12 09/08
DRAWBRIDGE GLOBAL MACRO FUND LTD-R USD
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6-S SIDEPOCKET 11 SEP 08
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6 SIDEPOCKET 07 FEB 08
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6-S SIDEPOCKET 03 FEB 07
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6-S SIDEPOCKET 04 JUL 07
DRAWBRIDGE GLOBAL MACRO FUND LTD-G6-S SIDEPOCKET 05 SEPT 07
DRAWBRIDGE GLOBAL MACRO FUND LTD-OFFSH LTD SPV RESERVE
FORTRESS MACRO OFFSHORE FUND-A
G CAPITAL FUND-CLASS A SUBCLASS 1 SERIES 5
G CAPITAL FUND-CLASS A SUBCLASS 1 SERIES 2
PELOTON ABS FUND-USD
28 793.25
1 886.60
25 806.07
8 695.91
28 290.40
29 858.05
24 379.92
19 288.53
3 784.28
-4 064.94
2 157 703.00
2 333 934.00
2 692 985.00
1 000 000.00
17 738.63
5 375.00
175.86
82.78
17.28
22.75
52.82
26.59
12.79
24.71
31.00
13.52
8.93
16.84
19.79
14.57
5.93
10.32
13.41
2.68
5.51
4.24
2.44
153.86
139.93
2.29
5.19
316.74
3.99
243.70
49.77
2.52
12.70
25.78
55.59
15.72
36.00
6 793.14
2 000.00
3 000.00
32 720.86
27
– Global Macro
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
532 056.09
344 570.42
97.39
876 723.90
0.42
0.28
0.00
0.70
779 956.28
614 431.83
0.62
0.49
125 216 798.22
100.00
EUR
33 515 000.00
USD
EUR
21 705 000.00
USD
EUR
6 135.00
USD
41 997 646.50
27 198 535.50
7 687.77
31.7.2012
31.7.2012
31.7.2012
Total net assets
28
Generali Hedge Funds SICAV – Long/Short Equity Asia-Pacific
DATE
ISIN
Net assets in USD
CLASS A
Shares outstanding
212 549.3110
30.39
470 371.0060
26.19
522 404.5770
25.94
497 717.7100
28.07
261 764.9120
29.75
294 476.9120
29.25
349 016.9120
31.22
200 614.0750
32.09
200 614.0750
31.40
324 876.2680
33.44
4 624.4710
94.49
9 548.4220
93.15
10 165.5970
100.68
140.6750
94.31
7 373.9700
93.00
15 295.8020
100.69
LU0286430474
Shares outstanding
CLASS S
224 744.3680
28.13
LU0251552112
Shares outstanding
CLASS R
234 030.2530
28.54
LU0251551650
Shares outstanding
CLASS H
31.12.2010
53 771 489.61
LU0251551577
Shares outstanding
CLASS G
31.12.2011
43 174 189.91
LU0251551908
Shares outstanding
CLASS B
30.6.2012
39 089 600.56
LU0286428221
Cayman Islands
United States
TOTAL
94.88
7.41
102.29
102.29
TOTAL
102.29
29
Assets
Total Assets
USD
30.6.2012
37 890 217.94
2 094 190.67
39 984 408.61
10 391.28
316 269.01
40 311 068.90
Liabilities
Bank overdraft
Total provisions
-1 189 614.64
-30 842.31
-1 011.39
-31 853.70
Total Liabilities
-1 221 468.34
39 089 600.56
Income
USD
1.1.2012-30.6.2012
120.49
Total income
120.49
Expenses
Flat fee (Note 2)
-213 189.76
-2 283.44
-3 298.81
Total expenses
-218 772.01
-218 651.52
524 244.41
-2 394 293.48
-1 870 049.07
410 249.32
-1 459 799.75
-1 678 451.27
505 625.64
1 327 826.70
1 833 452.34
30
155 001.07
USD
1.1.2012-30.6.2012
Subscriptions
Redemptions
43 174 189.91
913 086.34
-5 152 676.76
-4 239 590.42
-218 651.52
-1 459 799.75
1 833 452.34
155 001.07
39 089 600.56
1.1.2012-30.6.2012
Class
A
224 744.3680
16 203.2770
-6 917.3920
234 030.2530
Class
B
522 404.5770
12 251.7900
-64 285.3610
470 371.0060
Class
G
294 476.9120
0.0000
-32 712.0000
261 764.9120
Class
H
200 614.0750
0.0000
0.0000
200 614.0750
Class
R
9 548.4220
0.0000
-4 923.9510
4 624.4710
Class
S
7 373.9700
0.0000
-7 233.2950
140.6750
31
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
55 863.42
18 421.58
1 676.53
2 282.59
1 477.72
500.00
1 288.29
2 724.72
9 675.37
20 000.00
3 833.16
18 251.42
10 000.00
100 835.11
5 060 667.31
2 349 635.56
4 258 071.85
4 517 166.63
2 583 769.57
505 515.00
1 592 354.68
4 500 520.75
1 606 285.74
1 829 120.00
2 186 964.99
2 841 891.33
935 390.00
2 322 232.47
12.95
6.01
10.89
11.56
6.61
1.29
4.07
11.51
4.11
4.68
5.60
7.27
2.39
5.94
37 089 585.88
94.88
2 894 822.73
7.41
2 894 822.73
7.41
39 984 408.61
102.29
39 984 408.61
102.29
39 984 408.61
102.29
198 757.04
123 270.65
210.27
-3 571.91
-1 538.19
-856.99
-1.86
316 269.01
0.51
0.31
0.00
-0.01
0.00
0.00
0.00
0.81
10 391.28
-1 189 614.64
-31 853.70
39 089 600.56
0.02
-3.04
-0.08
100.00
Cayman Islands
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
DRAGON BILLION CHINA FUND-A
HSBC INDIA ALPHA FUND LTD - USD
INDUS ASIA PACIFIC FUND LTD/A
INDUS JAPAN FUND-B1 NI
INDUS PACIFIC OPPORTUNITIES FUND-A
MACQUARIE ASIAN ALPHA FUND-A
NEZU ASIA FUND-A 3 UNRESTRICTED
PHOENIXINVEST PACIFIC FUND FEB 2011
SR GLOBAL FUND INC-B-(ASIAN) S1
TREE LINE ASIA FUND-U/1
TREE LINE ASIA FUND-U SR 4
TRISKELE CHINA FUND-B
United States
USD
OCTAGON PAN ASIA FUND
14 823.20
Total United States
EUR
12 520 000.00
USD
EUR
7 765 000.00
USD
EUR
13 245.00
USD
USD
281 947.50
EUR
USD
87 290.00
EUR
USD
48 633.00
EUR
USD
106.00
EUR
15 688 812.00
9 730 321.50
16 597.31
225 000.00
70 000.00
39 000.00
85.00
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
Total net assets
32
Generali Hedge Funds SICAV – Long/Short Equity Europe
DATE
ISIN
Net assets in EUR
CLASS A
193 588.7780
41.51
208 482.6630
44.69
446 814.1460
39.52
503 844.6590
39.07
539 660.7040
41.91
275 135.5430
44.60
286 194.3530
43.77
304 384.3530
46.29
165 153.1080
47.23
99 764.7310
46.22
210 433.1680
49.02
9.9870
98.00
4 821.6000
96.64
4 821.6000
104.03
16 338.0260
96.90
21 811.6440
95.81
23 774.9600
102.83
LU0251551817
Shares outstanding
CLASS R
189 513.7600
42.10
LU0251551221
Shares outstanding
CLASS H
31.12.2010
54 160 396.20
LU0251551064
Shares outstanding
CLASS G
31.12.2011
44 402 436.20
LU0251550686
Shares outstanding
CLASS B
30.6.2012
43 944 015.07
LU0286432413
Shares outstanding
CLASS S
Shares outstanding
LU0286428577
Cayman Islands
Bermuda
Ireland
Luxembourg
60.19
16.96
9.43
6.78
5.51
TOTAL
98.87
98.87
TOTAL
98.87
33
EUR
30.6.2012
Assets
Total Assets
38 813 313.93
4 634 670.42
43 447 984.35
688 276.42
-156 478.32
43 979 782.45
Liabilities
Total provisions
-34 592.60
-1 174.78
-35 767.38
Total Liabilities
-35 767.38
43 944 015.07
Income
EUR
1.1.2012-30.6.2012
103.70
Total income
103.70
Expenses
Flat fee (Note 2)
-229 554.56
-2 468.22
-7.66
Total expenses
-232 030.44
-231 926.74
110 803.90
1 009 173.59
1 119 977.49
-220 814.44
899 163.05
667 236.31
34
831 751.01
-484 549.37
347 201.64
1 014 437.95
EUR
1.1.2012-30.6.2012
Subscriptions
Redemptions
44 402 436.20
2 952 760.89
-4 425 619.97
-1 472 859.08
-231 926.74
899 163.05
347 201.64
1 014 437.95
43 944 015.07
1.1.2012-30.6.2012
Class
A
193 588.7780
3 033.2690
-7 108.2870
189 513.7600
Class
B
503 844.6590
571.5700
-57 602.0830
446 814.1460
Class
G
286 194.3530
11 256.1900
-22 315.0000
275 135.5430
Class
H
99 764.7310
65 388.3770
0.0000
Class
165 153.1080
R
4 821.6000
9.9870
-4 821.6000
9.9870
Class
S
21 811.6440
0.0000
-5 473.6180
16 338.0260
35
Description
Quantity/
Nominal
Valuation in EUR
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
21 370.77
UCITS in accordance with Article 41 (1) e) of the Luxembourg law of 17 December 2010
Luxembourg
EUR
2 420 389.64
5.51
Total Luxembourg
MELCHIOR SELECTED TRUST - EUROPEAN ABSOLUTE RETURN FUND-B1
2 420 389.64
5.51
2 420 389.64
5.51
Total UCITS in accordance with Article 41 (1) e) of the Luxembourg law of 17 December 2010
2 420 389.64
5.51
2 875 302.62
4 579 930.86
6.54
10.42
7 455 233.48
16.96
2 399 431.16
514 200.00
67 239.12
5.46
1.17
0.15
2 980 870.28
6.78
768 974.23
5 374 435.07
2 991 668.42
4 517 514.12
3 507 128.78
2 104 560.00
1 293 480.45
2 953 693.10
2 936 947.92
663.74
1.75
12.23
6.81
10.28
7.98
4.79
2.95
6.72
6.68
0.00
26 449 065.83
60.19
4 142 425.12
9.43
4 142 425.12
9.43
41 027 594.71
93.36
41 027 594.71
93.36
43 447 984.35
98.87
-79 712.91
-77 317.02
-9.71
561.32
-156 478.32
-0.18
-0.18
0.00
0.00
-0.36
688 276.42
-35 767.38
43 944 015.07
1.57
-0.08
100.00
Bermuda
EUR
EUR
ANTARES EUROPEAN FUND LTD
MEDITOR EUROPEAN HEDGE (C) FUND LTD - NON RESTRICTED
6 644.78
15 801.04
Total Bermuda
EUR
EUR
EUR
EGERTON EUROPEAN EQUITY FUND LTD-B1 RED SHS
EGERTON EUROPEAN EQUITY FUND LTD-B/22
EGERTON EUROPEAN EQUITY FUND LTD-B/1-F
43 236.11
50 000.00
6 489.01
Cayman Islands
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
ADELPHI EMERGING EUROPE FUND-EUR
ADELPHI EUROPE FUND-EUR
HORSEMAN EUROPEAN SELECT FUND LTD-A EURO SHARES
LANSDOWNE DEVELOPED MARKETS FUND LTD - EURO SHARES
LIBRA EUROPE FUND-A-EUR SHARES
MW GLOBAL OPPORTUNITIES FUND-B-EUR
OCCITAN FEEDER FUND INC EUR REGULAR
RWC SAMSARA FUND INC-A
THREE BRIDGES EUROPE FUND LTD-1 EUR
THREE BRIDGES EUROPE FUND LTD EUR A/1 NI
7 051.96
28 555.07
13 420.97
12 337.58
17 935.70
15 000.00
15 009.06
25 538.61
2 300.45
0.52
Ireland
EUR
MARSHALL WACE FUNDS PLC - MW EUREKA FUND-B2 EUR
37 901.67
Total Ireland
USD
7 985 000.00
EUR
USD
7 745 000.00
EUR
USD
973.00
EUR
EUR
43 891.15
USD
6 372 196.95
6 180 671.93
776.47
55 000.00
31.7.2012
31.7.2012
31.7.2012
31.7.2012
Total net assets
36
Generali Hedge Funds SICAV – Long/Short Equity US
DATE
ISIN
Net assets in USD
CLASS A
Shares outstanding
191 398.8720
61.02
449 215.8240
52.20
498 231.9600
50.52
459 777.2790
56.62
217 931.4090
59.21
256 536.4090
56.89
241 128.0890
62.92
146 067.8340
63.27
146 067.8340
60.61
146 067.8340
67.14
69 471.2500
87.28
92 431.0490
84.22
27 410.7290
94.71
58 960.1490
87.60
71 253.8900
84.79
4 726.0790
94.91
LU0286433064
Shares outstanding
CLASS S
429 679.3690
54.30
LU0189994394
Shares outstanding
CLASS R
418 874.6240
56.28
LU0189993156
Shares outstanding
CLASS H
31.12.2010
79 962 786.66
LU0189986887
Shares outstanding
CLASS G
31.12.2011
99 430 374.25
LU0189986374
Shares outstanding
CLASS B
30.6.2012
91 570 643.83
LU0286428650
Cayman Islands
Bermuda
80.87
11.84
7.05
TOTAL
99.76
99.76
TOTAL
99.76
37
USD
30.6.2012
Assets
Total Assets
85 936 095.96
5 416 337.41
91 352 433.37
28 113.18
304 095.57
4 346.52
653 092.88
92 342 081.52
Liabilities
Bank overdraft
Total provisions
Total Liabilities
-681 161.31
-86 764.24
-3 512.14
-90 276.38
-771 437.69
91 570 643.83
Income
USD
1.1.2012-30.6.2012
77.32
Total income
77.32
Expenses
Flat fee (Note 2)
-578 775.51
-7 694.64
-6 109.26
Total expenses
-592 579.41
-592 502.09
-878 813.43
-4 790 157.51
-5 668 970.94
824 433.71
-4 844 537.23
-5 437 039.32
5 230 741.34
2 656 098.66
7 886 840.00
2 449 800.68
38
USD
1.1.2012-30.6.2012
Subscriptions
Redemptions
99 430 374.25
3 479 205.63
-13 788 736.73
-10 309 531.10
-592 502.09
-4 844 537.23
7 886 840.00
2 449 800.68
91 570 643.83
1.1.2012-30.6.2012
Class
A
429 679.3690
57 064.3860
-67 869.1310
418 874.6240
Class
B
498 231.9600
1 604.9460
-50 621.0820
449 215.8240
Class
G
256 536.4090
0.0000
-38 605.0000
217 931.4090
Class
H
146 067.8340
0.0000
0.0000
146 067.8340
Class
R
92 431.0490
2 118.0690
-25 077.8680
69 471.2500
Class
S
71 253.8900
0.0000
-12 293.7410
58 960.1490
39
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
Transferable securities and money market instruments not listed on an official stock exchange and not traded on another
regulated market
Investment certificates, closed end
Cayman Islands
USD
USD
USD
BRONSON POINT OFFSHORE FUND - A/1 SERIES 0512 (NI)
RITCHIE MULTI-STRATEGY GLOBAL LTD-S
RITCHIE MULTI-STRATEGY GLOBAL LTD-I/B
2 000.00
21.63
1 488.60
1 897 864.00
4 504.94
93 727.73
2.07
0.01
0.10
1 996 096.67
2.18
Total Investment certificates, closed end
1 996 096.67
2.18
Total Transferable securities and money market instruments not listed on an official stock exchange and not traded on another regulated market
1 996 096.67
2.18
3 590 144.96
2 865 853.44
3.92
3.13
6 455 998.40
7.05
5 701 064.46
509 205.00
2 000 595.58
353 150.08
457 276.18
1 821 921.37
6.23
0.56
2.18
0.38
0.50
1.99
10 843 212.67
11.84
1 871 000.00
2 065 020.00
1 046 759.43
2 081 342.00
970 920.00
4 530 016.20
9 018.95
1 001 175.00
522 397.00
2 116 105.70
545 327.50
15 127.19
3 132 565.93
2 242 057.87
1 476 294.02
5 870 279.14
4 465 793.16
-1 904.50
4 735 011.28
5 397 445.61
6 804 903.71
4 977 496.30
1 470 890.90
385 721.00
661 814.56
3 086 406.00
15 424.19
44 224.30
394 971.75
505 768.35
1 031 362.18
3 480 830.91
1 029 019.00
3 100 470.00
976 071.00
2.04
2.25
1.14
2.27
1.06
4.95
0.01
1.09
0.57
2.31
0.60
0.02
3.42
2.45
1.61
6.41
4.88
0.00
5.17
5.89
7.43
5.44
1.61
0.42
0.72
3.37
0.02
0.05
0.43
0.55
1.13
3.80
1.12
3.39
1.07
72 057 125.63
78.69
89 356 336.70
97.58
89 356 336.70
97.58
91 352 433.37
99.76
Bermuda
USD
USD
SCOPIA PX INTERNATIONAL LIMTED-A/A1/SERIES 1
SCOPIA PX INTERNATIONAL LIMTED-C/C1/SERIES 1 NON VOTING
2 120.00
2 210.10
Total Bermuda
USD
USD
USD
USD
USD
USD
ALLIANCEBERNSTEIN SELECT US EQTY LONG/SHORT (BVI) LTD-A1 08
ALLIANCEBERNSTEIN SELECT US EQTY LONG/SHORT LTD-A3 11
CASTLEROCK FUND LTD-A 0111
CASTLEROCK FUND LTD-A 0811
CASTLEROCK FUND LTD-A 1211H NEW ISSUE
CHILTON OPPORTUNITY INTERNATIONAL (BVI) LTD-C SERIES C-0112
1 528.08
500.00
2 477.30
444.28
575.28
145.65
Cayman Islands
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
40
ALKEON GROWTH OFFSHORE-SUB-CL-A THREE SERIES 04-2012 UNRESTR
ALKEON GROWTH OFFSHORE-SUBSCRIPTION-A3-1211 NEW ISSUE
CCI HEALTHCARE PARTNERS-C/1 USD
CCI HEALTHCARE PARTNERS-C11 NEW ISSUE USD
CRITERION CAPITAL PARTNERS LTD- A SER 08/11 UNRESTRICTED
CRITERION CAPITAL PARTNERS LTD- A SERIES INITIAL
DIAMONDBACK FUND MASTER LTD
FORCE CAPITAL II LTD SERIES 90 2 20 HOT 0311
FORCE CAPITAL II LTD SERIES 90 2 20 HOT ISSUE 0811
FORCE CAPITAL II LTD SERIES 90 2 20 HOT ISSUE 0910-2011
FORCE CAPITAL II LTD SERIES 90 2 20 HOT ISSUE 0911
GALLEON OFFSHORE LIQUIDATING TRUST - DIVERSIFIED SUB-TRUST
GLENVIEW CAPITAL PARTNERS (CAYMAN) LTD-D9
GLENVIEW CAPITAL PARTNERS (CAYMAN) LTD-H/30
GLENVIEW CAPITAL PARTNERS (CAYMAN) LTD-DD/17
HIGHBRIDGE LONG/SHORT EQUITY FUND - A/N
KARSCH CAPITAL LTD-A
KARSCH CAPITAL LTD-A CONTINGENT REDEMPTION
LAKEWOOD CAPITAL OFFSHORE FUND-A1 01 NEW ISSUE
LANSDOWNE GLOBAL FINANCIALS FUND LTD-N (USD)
M.KINGDON OFFSHORE NV-A/S1
MAVERICK LEVERED FUND LTD-A1 UNRESTRICTED
MAVERICK LEVERED FUND LTD-C1/1 UNRESTRICTED
MAVERICK LEVERED FUND LTD-C1/11 11 UNRESTRICTED
OSS OVERSEAS FD C/2 11 07 16
PLURAL PARTNERS II CAYMAN LTD-A1 NEW ISSUE
RAPTOR GLOBAL FUND LTD-A
RAPTOR GLOBAL PORTFOLIO LIQUIDATING TRUST-C
RAPTOR PRIVATE HOLDING - CLASS IN-KIND
SIRIOS OVERSEAS FUND LTD-B/1E
SIRIOS OVERSEAS FUND LTD-B S13E
SIRIOS OVERSEAS FUND LTD-C/1E NEW ISSUE
TIGER CONSUMER PARTNERS OFFSHORE LTD-A/3 0911
TIGER CONSUMER PARTNERS OFFSHORE LTD-A/2
TIGER CONSUMER PARTNERS OFFSHORE LTD-A/10 0412
20 000.00
20 000.00
717.48
2 000.00
10 000.00
18 247.95
14.85
1 000.00
500.00
1 923.67
500.00
5.34
864.83
2 468.26
1 201.55
3 345.08
19 908.23
-1 904.50
2 764.62
23 293.17
58 282.42
1 054.41
1 001.44
500.00
696.11
3 000.00
27.63
482.04
670.04
189.00
1 025.00
3 257.44
1 000.00
3 000.00
1 000.00
Description
Quantity/
Nominal
Valuation in USD
Unrealized gain
(loss) on Futures/
Options/Forward
Exchange Contracts/
Swaps (Note 1)
as a %
of net
assets
376 241.37
202 884.59
81 677.71
-7 304.96
-405.83
653 092.88
0.41
0.22
0.09
-0.01
0.00
0.71
28 113.18
-681 161.31
218 165.71
91 570 643.83
0.03
-0.74
0.24
100.00
EUR
23 700 000.00
USD
EUR
12 780 000.00
USD
EUR
5 145 000.00
USD
USD
563 895.00
EUR
USD
31 327.50
EUR
29 698 470.00
16 014 618.00
6 447 199.50
450 000.00
25 000.00
31.7.2012
31.7.2012
31.7.2012
31.7.2012
31.7.2012
Total net assets
41
Notes to the Financial Statements
Note 1 – Summary of significant accounting
policies
The financial statements have been prepared in
accordance with the generally accepted accounting
principles for investment funds in Luxembourg. The
significant accounting policies are summarised as
follows:
a) Calculation of the net asset value
The Net Asset Value per share of each class of each
subfund is determined in its reference currency. It shall
be determined as of each Valuation Day (as defined
for each subfund) by dividing the net assets attributable to each class of each subfund by the total number
of shares of such class of a subfund then outstanding.
The net assets of each class of each subfund are made
up of the value of the assets attributable to such class
within each subfund less the total liabilities attributable
to such class calculated at such time as the Board of
Directors shall have set for such purpose. The assets
and liabilities of the Company shall be allocated in such
a manner so that the issue price received upon issue
of shares connected with a specific class of a subfund
shall be attributed to that class. All assets and liabilities
of the class as well as income and expenses which are
related to a specific class shall be attributed to that
class. Assets or liabilities which cannot be attributed
to any subfund or class shall be allocated to all the
subfunds and/or classes pro rata to the respective Net
Asset Value of the subfunds or classes. The proportion of the total net assets attributable to each class
shall be reduced as applicable by the amount of any
distribution to shareholders and by any expenses paid.
b) Valuation principles
Without prejudice to the regulations of each subfund,
the value of the assets held by each subfund is determined as follows:
– Shares or units in open-ended underlying UCIs will
be valued at the last available net asset value for
such shares or units as of the relevant Valuation
Day or based on the market value under the condition that this valuation reflects the most adequate
price. If not available, shares or units in open-ended
underlying UCIs shall be valued at the estimated net
asset value as of such Valuation Day, or if no such
estimated net asset value is available they shall be
valued at the last available actual or estimated net
asset value which is calculated prior to such Valuation Day whichever is the closer to such Valuation
Day, provided that if events have occurred which may
have resulted in a material change in the net asset
value of such shares or units since the date on which
such actual or estimated net asset value was cal42
–
–
–
–
culated, the value of such shares or units may be
adjusted in order to reflect, in the reasonable opinion
of the Directors, such change. In respect of shares
or units held by the Company, for which issues and
redemptions are restricted and a secondary market
trading is effected between dealers who, as main
market makers, offer prices in response to market
conditions, the Directors may decide to value such
shares or units in line with the prices so established.
If events have occurred which may have resulted
in a material change of the net asset value of such
shares or units in other UCIs since the day on which
the latest net asset value was calculated, the value
of such shares or units may be adjusted in order to
reflect, in the reasonable opinion of the Directors,
such change of value.
In addition, the SICAV includes investments
placed in illiquid securities, whose values as of
30 June 2012 have been determined based on the
same valuation principles as for the other investment
funds. However, because of the inherent uncertainty
related to the valuation and assessment of the illiquidity risks of these investments, the value of these
investments as of 30 June 2012 may differ significantly positively or negatively from the amount which
would have been realizable had the investment been
sold as of the date of the computation of the net
asset value.
Any security or unit/share of a closed-end funds
which is listed on any securities exchange or similar
electronic system and regularly traded thereon will
be valued based on the current market value or if
no market value is available at its last closing price
on the relevant Valuation day or at the last available
closing price under the condition that this valuation
reflects the most adequate price.
Any security which is not listed on any security
exchange or similar electronic system or if being
listed or quoted, is not regularly traded thereon or in
respect of which no prices as described above are
available will be valued at its fair value having regard
to its cost price, the price at which any recent transaction on the security may have been effected, the
size of the holding having regard to the total amount
of such security in issue, and such other factors
deemed relevant in considering a positive or negative adjustment to the valuation.
Debt securities and other securities are valued at the
last available price, if they are listed on an official
stock exchange. If the same security is listed on several stock exchanges, the last available price on the
stock exchange that represents the major market for
this security will apply.
– Debt securities and other securities are valued at
the last available price on this market, if they are not
listed on an official stock exchange, but traded on
another regulated market, which is recognized, open
to the public and operating regularly.
– If these prices are not in line with the market, the
respective securities, as well as the other legally
admissible assets, will be valued at their market
value which the Board of Directors of the Company,
acting with prudence and in good faith, shall estimate on the basis of the price likely to be obtained.
– Time deposits with an original maturity exceeding
30 days can be valued at their respective rate of
return, provided the corresponding agreement
between the credit institution holding the time
deposits and the Company stipulates that these time
deposits may be called at any time and that, if called
for repayment, their cash value corresponds to this
rate of return.
– Any cash in hand or on deposit, notes payable on
demand, bills and accounts receivable, prepaid
expenses, cash dividends, interests declared or
accrued as aforesaid and not yet received shall be
valued at their full nominal value, unless in any case
the same is unlikely to be paid or received in full, in
which case the Board of Directors may value these
assets with a discount he may consider appropriate
to reflect the true value thereof. Liquid funds are valued at their nominal value plus any accrued interest.
c) Net realized gain (loss) on sales of securities
The realized gains or losses on the sales of securities
are calculated on the basis of the average cost of the
securities sold.
d) Valuation of forward foreign exchange contracts
The unrealized gain (loss) of outstanding forward
foreign exchange contracts is valued on the basis of
the forward exchange rates prevailing at valuation date.
e) Valuation of financial futures contracts
Financial futures contracts are valued based on the latest available published price applicable on the valuation
date. Realized gains and losses and the changes in unrealized gains and losses are recorded in the statement of
operations. The realized gains and losses are calculated
in accordance with the FIFO method, i.e. the first
contracts acquired are regarded as the first to be sold.
f) Conversion of foreign currencies
Bank accounts, other net assets and the valuation of
the investments in securities held denominated in currencies other than the reference currency of the different subfunds are converted at the mid closing spot
rates on the valuation date. Income and expenses
denominated in currencies other than the currency of
the different subfunds are converted at the mid closing spot rates at payment date. Gain or loss on foreign
exchange is included in the statement of operations.
The cost of securities denominated in currencies other
than the reference currency of the different subfunds
is converted at the mid closing spot rate prevailing on
the day of acquisition.
g) Accounting of securities’ portfolio transactions
The securities’ portfolio transactions are accounted for
the bank business day following the transaction date.
h) Formation expenses
Organisational and incorporation expenses including
the costs of drawing up and printing the sales prospectus, notary public fees, the filing costs with administrative authorities and any other costs pertaining to the
setting up and launching of the Company are amortised over a maximum period of 5 years.
i) Consolidated financial statements
The consolidated financial statements of the
Company are expressed in USD. The various items
of the consolidated statement of net assets and the
consolidated statement of operations at 30 June 2012
of the investment company are equal to the sum of
the corresponding items in the financial statements of
each subfund converted into USD.
The following exchange rates were used for the conversion of foreign currencies and the consolidated
financial statements as of 30 June 2012:
Exchange rate
USD 1 = EUR 0.787991
j) Receivable on securities sales,
Payable on securities purchases
The account “Receivable on securities sales” can also
include receivables from foreign currency transactions.
The account “Payable on securities purchases” can
also include payables from foreign currency transactions.
43
k) Income recognition
Dividends, net of withholding taxes, are recognized as
income on the date upon which the relevant securities are first listed as “ex-dividend”. Interest income is
accrued on a daily basis.
expenses, custodian, domiciliary, management fees,
audit expenses and other associated costs. However,
in any event, there will be no duplication of fees, should
the Company invest in UCIs managed by the same
Investment Manager or any of its affiliates. Accordingly,
the Company shall not incur any fee or expense payable to such UCIs.
Note 2 – Charges and expenses
Flat fee
The Company pays for the various subfunds a flat fee
which is the following:
Class A, class B, class R and class S shares will be
subject to a flat fee paid monthly in arrears and equal
to 1.60% p.a., based on their respective net assets on
the relevant Valuation Day.
Class G and class H shares will be subject to a flat fee
(no investment management fee is charged for these
classes) paid monthly in arrears and equal to 0.15%
p.a., based on their respective Net Asset Value on the
relevant Valuation Day.
This flat fee is, in principle and unless otherwise
described in the Appendices of the sales prospectus, used to pay the Administrative, Registrar, Transfer and Domiciliary Agent, the Custodian Bank, the
Investment Manager and the Distributor. It also covers all the costs incurred by the Company and the
subfunds relating to the auditor, notary, printing,
translation and publication fees with the exception
of the following:
– all taxes which are levied on the assets and the
income of the Company, particularly the “taxe
d’abonnement”;
– customary brokerage fees and commissions which
are charged by other banks and brokers for securities transactions and similar transactions;
– costs for extraordinary measures carried out in the
interests of shareholders, particularly arranging
expert opinions and dealing with legal proceedings,
etc. and
– costs of registration and introduction with the supervisory authorities (Government Fees) and stock
exchanges in the Grand Duchy of Luxembourg and
abroad.
It should be noted that the investment policy of the
Company is to invest in UCIs and will result in a duplication of certain costs that will be charged both to the
underlying UCIs by its service providers, as well as to
the Company by the service providers of the Company.
Such costs will include, but are not limited to, formation
44
Costs and expenses which cannot be allotted to one
specific subfund or class will be charged to the different subfunds or classes proportionally to their respective net assets.
Performance fee
Class R and class S will be additionally subject to a
performance fee of 10% in line with the rise in value of
the Company’s assets based on price gains, applying
the “high watermark” principle i.e. the performance fee
will only be payable if the net asset value of relevant
class of shares on the date when the performance fee
is due exceeds the net assets values from all previous
months. Calculations will take place on a monthly basis
and charges, if due, will be paid quarterly.
During the period from 1 January 2012 to 30 June
2012, a performance fee of USD 1 122.35 was due
by the subfund Generali Hedge Funds SICAV – Fixed
Income Arbitrage.
During the period from 1 January 2012 to 30 June
2012, a performance fee of USD 4 769.98 was due
by the subfund Generali Hedge Funds SICAV – Global
Macro.
Note 3 – Taxe d’abonnement
Under current law and practice, the Company is not
liable to any Luxembourg income tax, nor are dividends
paid by the Company liable to any Luxembourg withholding tax. However, the Company is normally liable
in Luxembourg to a tax of 0.05% (classes R and S)
per annum of its net assets. Such tax rate is reduced
to a rate of 0.01% (classes A, B, G and H) in respect
of the net assets attributable to such classes of shares
which are reserved for institutional investors. Such tax
is payable quarterly and calculated on the net assets
of the relevant class at the end of the relevant quarter.
For the portion of the assets of the Company invested
in other UCIs which are established in Luxembourg, no
such tax is payable.
Note 4 – Subscriptions at unknown quantity
Note 6 – Equalisation
Investments in underlying UCIs can be carried out as
“subscriptions at unknown quantity”. This means that a
certain amount will be invested in certain hedge funds
for which the price per share/unit has not yet been
determined, but for which the Company already has
to advance the respective subscribed amounts. These
invested amounts are booked in the Statement of Net
Assets under “Other receivables” until the Company
receives the units/shares of the underlying funds it
has invested in.
Positions marked with an asterisk in the Statement
of Investments in Securities and other Net Assets are
equalisation positions. In the context of alternative
investment and hedge funds, any open ended fund that
pays incentive or performance fees, the term “Equalisation” refers to an accounting methodology, designed
to ensure that not only the investment manager is paid
the correct incentive, performance or profit sharing
fee, but also that the incentive fees are fairly allocated
between each investor in the Company.
Note 5 – Income Distribution
Note 7 – Authoritative language
The distribution of dividends to the shareholders is not
the principle objective of the Company’s earnings distribution policy.
The English version of these financial statements is the
authoritative version. In the event of any inconsistency
between the English version of this report and a version in another language, the English version shall prevail unless contrary to local law.
The income and capital gains generated by each
subfund or class(es) of shares are capitalized in the
subfund or class(es) of shares concerned. However,
should the payment of a dividend be deemed appropriate in connection with any subfund or class(es) of
shares, the Board of Directors may propose to the general meeting of shareholders the payment of a dividend
from the distributable net investment income and/or
from the realized and/or unrealized capital gains after
deduction of the realized and/or unrealized capital
losses within the limits of the law.
45

Generali Hedge Funds SICAV

Transcription

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