Arabesque SICAV

56 Pages·2017·1.64 MB·English

Arabesque SICAV
with the sub-funds:
Arabesque SICAV – Arabesque Prime
Arabesque SICAV – Arabesque Systematic
Annual Report
for the year ended 31 December 2016
Investment Company in accordance with Part I of the Luxembourg Law of 17 December 2010 on Undertakings
for Collective Investment, in its most recent version, in the legal form of a Société d’Investissement à Capital
Variable (SICAV)
R.C.S. Luxembourg B 188325
Management Company
R.C.S. Luxembourg B 82183
Arabesque SICAV

Table of Content
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Combined financial statements of the Arabesque SICAV 2
Fund Manager’s report for the sub-fund Arabesque SICAV – Arabesque Prime 4
Geographic and economic classification of the Arabesque SICAV – Arabesque Prime 5
Statement of net assets of the Arabesque SICAV – Arabesque Prime 7
Statement of operations of the Arabesque SICAV – Arabesque Prime 9
Statement of investments as at 31 December 2016 of the Arabesque SICAV – Arabesque Prime 10
Purchases and sales from 1 January 2016 to 31 December 2016 of the Arabesque SICAV – Arabesque Prime 20

Fund Manager’s report for the sub-fund Arabesque SICAV – Arabesque Systematic 28
Geographic and economic classification of the Arabesque SICAV – Arabesque Systematic 29
Statement of net assets of the Arabesque SICAV – Arabesque Systematic 31
Statement of operations of the Arabesque SICAV – Arabesque Systematic 33
Statement of investments as at 31 December 2016 of the Arabesque SICAV – Arabesque Systematic 34
Purchases and sales from 1 January 2016 to 31 December 2016 of the Arabesque SICAV – Arabesque Systematic 38

Notes to the financial statements as at 31 December 2016 45

Report of the Réviseur d’Entreprises agréé 51

Management, distribution and advisory 53

The Sales Prospectus including the Articles of Association, the Key Investor Information Document and the Investment Company’s annual
report and semi-annual reports are available free of charge by post, fax or e-mail at the registered office of the Investment Company,
Depositary, Paying Agents or distributors in the respective countries of distribution. Additional information is available at the Investment
Company at all times during regular business hours.

Shares subscriptions are valid only if they are made on the basis of the most recent version of the sales prospectus (including its appendices)
in conjunction with the latest available annual report and any subsequent semi-annual report.
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Arabesque SICAV
Combined financial statements
of the investment company fund Arabesque SICAV with the sub-funds
Arabesque SICAV - Arabesque Prime and Arabesque SICAV - Arabesque Systematic
Combined statement of net assets
as at 31 December 2016
USD
Investment in securities at market value 20,807,872.06
(Cost of investments: USD 19,396,370.97)
Cash at bank 2,844,985.74
Interest receivable 144.66
Dividend receivable 18,800.38
Receivable from share subscriptions 40,821.76
Receivable from securities transactions 247.35
Other assets 1) 6,797.41
23,719,669.36
Payables from share redemptions -563.85
Other liabilities 2) -39,060.70
-39,624.55
Total net assets 23,680,044.81
1) The position includes amortisation of formation expenses.
2) This position consists primarily of management fee payables and audit fees.
Combined statement of changes in total net assets
for the reporting period from 1 January 2016 to 31 December 2016
USD
Total net assets at the beginning of the reporting period 20,472,125.07
Net loss -38,321.13
Income equalisation 10,640.90
Cash inflows from subscriptions 3,415,807.81
Cash inflows from redemptions -506,089.80
Realised gains 2,154,592.98
Realised losses -2,351,647.54
Net change in unrealised appreciation on investments 595,485.93
Distribution -72,549.41
Total net assets at the end of the reporting period 23,680,044.81
The accompanying notes form an integral part of these financial statements.
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Arabesque SICAV
Combined statement of operations
for the reporting period from 1 January 2016 to 31 December 2016
USD
Income
Dividend income 239,759.62
Income from investments 2,491.25
Bank interest 4,558.28
Other income 4,070.99
Income equalisation 12,293.43
Total income 263,173.57
Expenses
Interest expense -39.86
Management and investment adviser fee -187,648.89
Depositary fee -13,192.71
Central Administration Agent fee -4,360.22
Taxe d'abonnement -11,160.91
Publishing and auditing expenses -24,213.33
Setting, printing and shipping expenses for annual and semi-annual reports -4,203.30
Transfer agent fee -7,733.40
Government fees -11,401.15
Formation expense -2,627.09
Other expenses 1) -11,979.51
Income equalisation -22,934.33
Total expenses -301,494.70
Ordinary net income -38,321.13
1) The position consists primarily of paying agent fees and of general and administrative expenses.
The accompanying notes form an integral part of these financial statements.
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Fund Manager’s report for the sub-fund Arabesque SICAV – Arabesque Prime
During the financial year ending on 31 December 2016, the two share classes of the Arabesque SICAV –
Arabesque Prime generated the following performance:
Arabesque SICAV – Arabesque Prime (USD): 2.99% in USD
Arabesque SICAV – Arabesque Prime (EUR): 7.07% in EUR.
The sub-fund rebalances its portfolio every quarter, resetting the sub-fund’s five sub-strategies to their respective
target weights and applying the stock selection process within each strategy. Stocks are selected from a global,
all country investment universe which is screened using Arabesque’s Sustainability Process. This rules-based
Sustainability Process incorporates more than 200 Environmental, Social and Governance (‘ESG’) factors,
market filters, as well as enhanced balance sheet and business activity screenings. During this process,
approximately 75% of companies are excluded from the investment universe due to ESG, balance sheet, and
business activity screenings.
The sub-fund aims to be fully invested into equities, while keeping a small allocation in cash for liquidity
purposes. At the end of the period, the sub-fund held 96.56% of its assets in equities. From a country
perspective, the sub-fund was mainly invested in the United States. At year end, investments in the US
represented 50.05% of the portfolio, followed by Japan (9.59%), and Great Britain (5.63%). From a sector
perspective, the sub-fund’s largest investment was in ‘Wholesale and retail’ stocks, with a portfolio weight of
12.83% at the end of the period. This was followed by investments in ‘Raw, auxiliary & operating materials’
(8.81%) and ‘Capital Goods’ (8.13%).
Luxembourg, January 2017 The Board of Directors of the Arabesque SICAV
The information and figures provided in this report are based on past performance and are not an indication of
future results.
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Arabesque SICAV - Arabesque Prime
Annual Report
1 January 2016 - 31 December 2016
The company is entitled to create share classes with different rights.
The following share classes currently exist with the following features:
Share class (EUR) Share class (USD)
Securitiy No.: A1XCPN Securitiy No.: A1XCPP
ISIN: LU1023698662 ISIN: LU1023699801
Subscription fee: none Subscription fee: none
Redemption fee: none Redemption fee: none
Management fee: 0.10 % p.a. plus 500 Euro fixed fee p.m. for Management fee: 0.10 % p.a. plus 500 Euro fixed fee p.m. for
the sub-fund the sub-fund
Minimum subsequent 1,000.00 EUR Minimum subsequent 1,000.00 USD
investment: investment:
Use of income: distributing Use of income: distributing
Currency: EUR Currency: USD
Geographic classification 1) Economic classification 1)
United States of America 50.05 % Wholesale and retail 12.83 %
Japan 9.59 % Raw, auxiliary & operating materials 8.81 %
Great Britain 5.63 % Capital Goods 8.13 %
Sweden 2.98 % Software & Services 8.03 %
Australia 2.64 % Commercial & Professional Services 7.92 %
Canada 2.45 % Consumer Durables & Apparel 7.32 %
Switzerland 2.35 % Pharmaceuticals, Biotechnology & Life Sciences 5.91 %
Finland 1.88 % Health services: Equipment & services 5.19 %
France 1.79 % Automobile & components 4.74 %
Netherlands 1.77 % Food, Beverage & Tobacco 4.36 %
Italy 1.76 % Technology Hardware & Equipment 3.51 %
South Africa 1.54 % Semiconductors & Semiconductor Equipment 3.11 %
Bermuda 1.44 % Transportation 3.11 %
Germany 1.06 % Energy 2.89 %
Jersey 1.04 % Consumer Services 2.62 %
Cayman Islands 0.99 % Household & Personal Products 1.81 %
Norway 0.88 % Media 1.76 %
China 0.85 % Real Estate 1.51 %
South Korea 0.84 % Telecommunication Services 1.47 %
Ireland 0.69 % Public utilities 1.18 %
Spain 0.68 % Food & Staples Retailing 0.35 %
Denmark 0.63 % Investment in securities 96.56 %
Singapore 0.60 % Cash at bank 3.49 %
Belgium 0.58 % Balance of other receivables and liabilities -0.05 %
New Zealand 0.43 % 100.00 %
Malaysia 0.42 %
Faroe Islands 0.36 %
Luxembourg 0.26 %
Mexico 0.15 %
Virgin Islands (GB) 0.12 %
Indonesia 0.11 %
Investment in securities 96.56 %
Cash at bank 3.49 %
Balance of other receivables and liabilities -0.05 %
100.00 %
1) Deviations in the totals are due to rounding differences.
The accompanying notes form an integral part of these financial statements.
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Arabesque SICAV - Arabesque Prime
Performance since launch
Share class (EUR)
Date Total net Shares outstanding Net cash inflow Net asset Net asset
assets in in Thousand USD value per share value per share
Mio. USD USD EUR
01.07.2014 Launch 4) - - 124.83 100.00 1)
31.12.2015 1.26 10,000 1,248.30 125.85 115.41 2)
31.12.2016 1.29 10,000 0.00 128.71 122.72 3)
Share class (USD)
Date Total net Shares outstanding Net cash inflow Net asset
assets in in Thousand USD value per share
Mio. USD USD
01.07.2014 Launch 5) - - 100.00
31.12.2015 5.49 54,491 5,511.98 100.75
31.12.2016 5.62 54,568 7.49 102.97
1) conversion into US Dollar as at 04.11.2014 1 USD = 0.8011 EUR
2) conversion into US Dollar as at 31.12.2015 1 USD = 0.9170 EUR
3) conversion into US Dollar as at 31.12.2016 1 USD = 0.9535 EUR
4) 1st NAV calculation dated 4 November 2014
5) 1st NAV calculation dated 1 August 2014
The accompanying notes form an integral part of these financial statements.
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Arabesque SICAV - Arabesque Prime
Statement of net assets
as at 31 December 2016
USD
Investments in securities at market value 6,669,059.71
(Cost of investments: USD 6,288,798.21)
Cash at bank 240,951.41
Interest receivable 144.66
Dividend receivable 5,448.22
Receivable from securities transactions 247.35
Other assets 1) 3,398.62
6,919,249.97
Other liabilities 2) -13,089.17
-13,089.17
Total net assets 6,906,160.80
1) The position includes amortisation of formation expenses.
2) This position consists primarily of management fee payables and audit fees.
Assets by share class
Share class (EUR)
Proportion of total net assets 1,287,119.91 USD
Number of shares outstanding 10,000.000
Net asset value per share 128.71 USD
Net asset value per share 122.72 EUR 3)
Share class (USD)
Proportion of total net assets 5,619,040.89 USD
Number of shares outstanding 54,567.615
Net asset value per share 102.97 USD
3) conversion into US Dollar as at 31.12.2016 1 USD = 0.9535 EUR
The accompanying notes form an integral part of these financial statements.
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Arabesque SICAV - Arabesque Prime
Statement of changes in total net assets
for the reporting period from 1 January 2016 to 31 December 2016
Total Share class (EUR) Share class (USD)
USD USD USD
Total net assets at the beginning of the reporting period 6,748,594.10 1,258,461.81 5,490,132.29
Net income 49,827.40 9,285.17 40,542.23
Income equalisation -13.67 0.00 -13.67
Cash inflows from subscriptions 7,488.74 0.00 7,488.74
Realised gains 514,197.57 96,216.32 417,981.25
Realised losses -727,036.46 -135,905.90 -591,130.56
Net change in unrealised appreciation on investments 362,471.55 67,562.51 294,909.04
Distribution -49,368.43 -8,500.00 -40,868.43
Total net assets at the end of the reporting period 6,906,160.80 1,287,119.91 5,619,040.89
Statement of changes in the number of shares
Share class (EUR) Share class (USD)
No. of shares No. of shares
Shares outstanding at the beginning of the reporting period 10,000.000 54,491.246
Shares subscribed 0.000 76.369
Shares redeemed 0.000 0.000
Shares outstanding at the end of reporting period 10,000.000 54,567.615
The accompanying notes form an integral part of these financial statements.
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Arabesque SICAV - Arabesque Prime
Statement of operations
for the reporting period from 1 January 2016 to 31 December 2016
Total Share class (EUR) Share class (USD)
USD USD USD
Income
Dividend income 108,099.55 20,149.79 87,949.76
Income from investments 2,187.58 407.81 1,779.77
Bank interest 168.86 31.47 137.39
Other income 4,070.99 758.75 3,312.24
Income equalisation 32.28 0.00 32.28
Total income 114,559.26 21,347.82 93,211.44
Expenses
Management and investment adviser fee -34,611.14 -6,451.43 -28,159.71
Depositary fee -4,034.22 -751.91 -3,282.31
Central Administration Agent fee -1,333.07 -248.40 -1,084.67
Taxe d'abonnement -3,375.07 -629.14 -2,745,93
Publishing and auditing expenses -10,623.65 -1,980.19 -8,643.46
Setting, printing and shipping expenses for annual and semi-annual -1,737.02 -323.73 -1,413,29
reports
Transfer agent fee -27.84 -5.19 -22.65
Government fees -4,471.34 -833.56 -3,637.78
Formation expense -1,313.51 -245.21 -1,068.30
Other expenses 1) -3,186.39 -593.89 -2,592.,50
Income equalisation -18.61 0.00 -18.61
Total expenses -64,731.86 -12,062.65 -52,669.21
Net income 49,827.40 9,285.17 40,542.23
Total transaction costs in the reporting period 2) 8,236.02
Total expense ratio as a percentage 2) 0.98 0.98
1) This position consists primarily of general and administrative expenses and legal fees.
2) See accompanying notes to this report.
The accompanying notes form an integral part of these financial statements.
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