MW TOPS Limited
Interim Management Statement
This interim management statement relates to the period from 1 April
2009 to the date of publication of this statement and has been
prepared solely to provide additional information in order to meet
the relevant requirement of the Transparency Directive, and should
not be relied on by shareholders, or any other party, for any other
purpose.
Overview
MW TOPS Limited (the "Company") is a Guernsey registered,
closed-ended limited liability investment company listed on the main
market of the London Stock Exchange. The Company's shares are
denominated in Sterling, Euro and US$. The investment objective of MW
TOPS Limited is to provide consistent absolute returns primarily
derived through trading in equities of companies incorporated in or
whose principal operations are in Europe (including Eastern Europe).
NAV Performance as at 31 July 2009
31 July
Final NAV Return since 2009
31 July Apr - Jul YTD inception Share
2009 return return (net)[1] Price
Euro Share NAV 9.78 6.25% 8.16% -2.25% 8.70
US$ Share NAV 9.65 6.24% 8.12% -3.53% 8.60
Sterling Share
NAV 9.89 6.25% 8.06% -1.09% 8.90
MSCI AC Daily
TR Net
Europe Local
Index N/A 26.88% 12.64% -27.05% N/A
Note 1: Trading in the fund began on the Euronext Amsterdam Exchange
on 13 December 2006, with an opening NAV of 10.00 and includes
issuance costs of approximately 1% of NAV.
Source: Morgan Stanley Capital International ("MSCI")
Investment Review by Marshall Wace LLP (the "Investment Manager")
While the fundamentals of the global economy continued to hamper
belief in a sustained recovery of the cycle, market participants
became more optimistic that the attempts by various governments to
inject liquidity into the financial system through monetary policy
and fiscal stimuli may be sufficient in staving off deeper global
recession. However, continued fragility of financial institutions in
combination with asset managers' own efforts to deleverage combined
to contribute to equity market uncertainty from 1 April-31 July
2009.
As at 31 July 2009, the total assets of the Company were
�150,830,139. From 1 April-31 July 2009, the risk-return profile of
the Company remained attractive, with the Euro NAV returning +6.25%
with a volatility of 3.77%. This compares favourably to the European
equity market, which rose +26.88% over the same period but at the
expense of a volatility of 22.65%. The share price performance of
the three Share Classes of MW TOPS Limited from 1 April-31 July 2009
was also pleasing, with the Euro, US$ and GBP Share Classes returning
+11.54%, +13.91% and +11.54% respectively. The discount to NAV of
the London-listed shares averaged -13.41% in the Euro line, -12.87%
in the US$ line and -13.28% in the GBP line across the 4 month period
under review and as such remained considerably narrower than the
average discount across the listed hedge fund space (-19.00%) and in
line with the better single-managed quoted hedge funds.
Contributors to the MW TOPS system were defensively positioned from 1
April-31 July 2009, maintaining conservative levels of net and gross
market exposure. In addition, the holding periods of positions
declined across the applications in which the Company invests as
contributors sought to opportunistically capture short term upside
within the market and lock in profits.
Considerable resource continues to be deployed by Marshall Wace LLP
to further improve optimisation techniques. The MW TOPS portfolio
construction process explicitly recognises that patterns of alpha
generation differ on the long and short side across various time
horizons. The Investment Manager's research effort embodies this
distinction and worked over the review period to develop different
methods of optimising the contributor dataset. Certain investment
sub-strategies focus on individuals and their characteristics, a
second group analyses patterns of behaviour within the networks of
contributors, while a third group of models are targeted to analyse
behaviour and trading costs at the single stock level. Although the
investment horizon within MW TOPS is typically 20-100 days per idea,
the optimisation process also uses shorter-term pattern recognition
techniques to extract value from themes and changes in sentiment as
they are detected. A further module seeks to aid the avoidance of
crowded trades to ensure low correlation with other long/short equity
strategies.
Investment Allocation
Up to 1 June 2009, the Company's assets were allocated in the
following approximate
proportions to the relevant sub-trusts of Marshall Wace TOPS Trust:
%
Sub-Trust C (Opportunistic - hedged) 45
Sub-Trust D (Fundamental - hedged) 45
Sub-Trust N (Market Neutral) 10
For the period 1 June-31 July 2009, the Company's assets were
allocated in the following approximate
proportions to the relevant sub-trusts of Marshall Wace TOPS Trust:
%
Sub-Trust A (Opportunistic) 35
Sub-Trust B (Fundamental) 35
Sub-Trust H (Balanced Europe) 10
Sub-Trust N (Market Neutral) 20
With effect from 1 August 2009, the Company's assets have been
allocated in the following approximate
proportions to the relevant sub-trusts of Marshall Wace TOPS Trust:
%
Sub-Trust H (Balanced Europe) 10
Sub-Trust European TOPS 70
Sub-Trust N (Market Neutral) 20
Material events
The Company delisted from Euronext Amsterdam with effect from 1 July
2009.
Other than set out above, the Board is not aware of any material
events during the period from 1 April 2009 to the date of this
announcement, which would have had a material impact on the financial
position of the Company.
Investor Information
The latest available information on the Company can be accessed via
www.mwtops.eu.
By order of the Board
MW TOPS Limited
Enquiries:
Anson Fund Managers Limited - Tel +44 (0) 1481 722260
18 August 2009
This announcement is for information purposes only and is not an
offer to invest. The Company is registered with the Dutch Authority
for the Financial Markets as a collective investment scheme which may
offer participations in The Netherlands pursuant to article 2:66 of
the Financial Markets Supervision Act (Wet op het financieel
toezicht). All investments are subject to risk. Past performance is
no guarantee of future returns. Prospective investors are advised to
seek expert legal, financial, tax and other professional advice
before making any investment decision. The value of investments may
fluctuate. Results achieved in the past are no guarantee of future
results.
E&OE - In Transmission
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