# ACUMEN Capital Protection Portfolio
Investment manager’s report for the financial year ended 31 July 2022 (continued)

## As at 31 July 2022, the Sub-Fund’s exposure to the Portfolio Strategy is 100.00% with an average exposure since launch of 85.61%.

## From 11 May 2018 (its inception) to 31 July 2022, the performance of the GBP Share Class is -9.84%.
From 12 December 2018 (its inception) to 31 July 2022, the performance of the USD Share Class is -3.36%. From 25 February 2019 (its inception) to 31 July 2022, the performance of the EUR Share Class is -9.76%. From 31 July 2021 to 31 July 2022, the performance of the GBP Share Class is -2.72%.

## From 31 July 2021 to 31 July 2022, the performance of the USD Share Class is -2.63%. From 31 July 2021 to 31 July 2022, the performance of the EUR Share Class is -3.75%.

## From 11 May 2018 to 31 July 2022, the annualised volatility of the GBP Share Class is 3.54%.

## From 12 December 2018 to 31 July 2022, the annualised volatility of the USD Share Class is 3.40%. From 25 February 2019 to 31 July 2022, the annualised volatility of the EUR Share Class is 3.42%.
ACUMEN Capital Protection Portfolio Schedule of investments as at 31 July 2022
| Holdings | Financial assets at fair value through profit or loss | Fair value £ |  | % of net assets |
| --- | --- | --- | --- | --- |
|  | Exchange traded funds: 0.12% (2021: 19.24%) |  |  |  |
|  | Ireland: 0.11% (2021: 18.66%) |  |  |  |
|  | Funds: 0.11% (2021: 18.66%) |  |  |  |
| 293 | iShares Asia Pacific Dividend UCITS ETF | 5,194 |  | 0.01 |
| 766 | iShares Bloomberg Roll Select Commodity UCITS ETF | 4,694 |  | 0.01 |
| 853 | iShares China CNY Bond UCITS ETF | 3,743 |  | – |
| 23 | iShares Core FTSE 100 UCITS ETF | 3,032 |  | – |
| 152 | iShares Edge MSCI World Quality Factor UCITS ETF | 6,066 |  | 0.01 |
| 637 | iShares EUR Government Bond 20yr Target Duration UCITS ETF | 2,602 |  | – |
| 3,190 | iShares Global Government Bond UCITS ETF | 12,391 |  | 0.02 |
| 366 | iShares Gold Producers UCITS ETF | 3,372 |  | – |
| 766 | iShares S&P 500 Health Care Sector UCITS ETF | 6,329 |  | 0.01 |
| 590 | iShares UK Dividend UCITS ETF | 4,296 |  | 0.01 |
| 93 | iShares USD Bond Interest Rate Hedged UCITS ETF | 7,213 |  | 0.01 |
| 45 | iShares USD TIPS UCITS ETF | 9,061 |  | 0.01 |
| 906 | iShares USD Treasury Bond 1-3yr UCITS ETF | 3,906 |  | – |
| 50 | iShares USD Treasury Bond 3-7yr UCITS ETF | 5,393 |  | 0.01 |
| 156 | Vanguard FTSE All - World High Dividend Yield UCITS ETF | 7,397 |  | 0.01 |
|  | Total Ireland | 	84,689 |  | 	0.11 |
|  | Luxembourg: 0.01% (2021: 0.58%) |  |  |  |
|  | Funds: 0.01% (2021: 0.58%) |  |  |  |
| 509 | UBS ETF - Barclays MSCI Euro Area Liquid Corporates Sustainable UCITS |  |  |  |
|  | ETF | 5,704 |  | 0.01 |
|  | Total Luxembourg | 	5,704 |  | 	0.01 |
|  | Total exchange traded funds | 	90,393 |  | 	0.12 |
|  | Equities: 97.78% (2021: 80.64%) |  |  |  |
|  | Belgium: 0.00% (2021: 3.83%) | – |  | – |
|  | Consumer, cyclical: 0.00% (2021: 3.58%) | – |  | – |
|  | Financial: 0.00% (2021: 0.25%) | – |  | – |
|  | Chile: 0.00% (2021: 1.92%) | – |  | – |
|  | Basic materials: 0.00% (2021: 1.92%) | – |  | – |
|  | Denmark: 23.87% (2021: 14.91%) |  |  |  |
|  | Consumer, non-cyclical: 2.02% (2021: 1.95%) |  |  |  |
| 95,062 | Scandinavian Tobacco | 1,489,218 |  | 2.02 |
|  | Financial: 8.17% (2021: 12.96%) |  |  |  |
| 92,804 | Spar Nord Bank | 868,965 |  | 1.18 |
| 11,991 | Sparekassen Sjaelland-Fyn | 211,869 |  | 0.29 |
| 116,419 | Sydbank | 2,924,356 |  | 3.97 |
| 50,281 | Topdanmark | 2,008,836 |  | 2.73 |
|  | Industrial: 13.68% (2021: 0.00%) |  |  |  |
| 132,777 | Dampskibsselskabet Norden | 4,727,935 |  | 6.43 |

ACUMEN Capital Protection Portfolio
Schedule of investments as at 31 July 2022 (continued)
| Holdings | Financial assets at fair value through profit or loss | Fair value £ |  | % of net assets |
| --- | --- | --- | --- | --- |
|  | Equities: 97.78% (2021: 80.64%) (continued) |  |  |  |
|  | Denmark: 23.87% (2021: 14.91%) (continued) |  |  |  |
|  | Industrial: 13.68% (2021: 0.00%) (continued) |  |  |  |
| 238,147 | FLSmidth | 5,333,477 |  | 7.25 |
|  | Total Denmark | 	17,564,656 |  | 	23.87 |
|  | Germany: 22.91% (2021: 3.80%) |  |  |  |
|  | Basic materials: 0.48% (2021: 0.61%) |  |  |  |
| 7,008 | KWS Saat | 350,562 |  | 0.48 |
|  | Communications: 0.31% (2021: 0.00%) |  |  |  |
| 16,192 | 1&1 | 229,696 |  | 0.31 |
|  | Consumer, cyclical: 2.33% (2021: 2.18%) |  |  |  |
| 4,870 | Bertrandt | 148,738 |  | 0.20 |
| 236,931 | SAF-Holland | 1,565,380 |  | 2.13 |
|  | Energy: 0.00% (2021: 0.74%) | – |  | – |
|  | Financial: 10.12% (2021: 0.00%) |  |  |  |
| 817,977 | Deutsche Bank | 5,843,630 |  | 7.94 |
| 127,158 | Deutsche Pfandbriefbank | 960,519 |  | 1.30 |
| 27,344 | VIB Vermoegen | 644,966 |  | 0.88 |
|  | Industrial: 3.97% (2021: 0.00%) |  |  |  |
| 95,922 | GEA | 2,923,195 |  | 3.97 |
|  | Technology: 5.70% (2021: 0.27%) |  |  |  |
| 3,270 | Datagroup | 204,127 |  | 0.28 |
| 4,627 | Elmos Semiconductor | 183,188 |  | 0.25 |
| 50,052 | SAP | 3,803,025 |  | 5.17 |
|  | Total Germany | 	16,857,026 |  | 	22.91 |
|  | Luxembourg: 0.00% (2021: 2.57%) | – |  | – |
|  | Communications: 0.00% (2021: 2.57%) | – |  | – |
|  | Netherlands: 4.65% (2021: 3.95%) |  |  |  |
|  | Consumer, cyclical: 3.85% (2021: 1.38%) |  |  |  |
| 85,690 | Basic-Fit | 2,834,677 |  | 3.85 |
|  | Financial: 0.00% (2021: 2.57%) | – |  | – |
|  | Industrial: 0.80% (2021: 0.00%) |  |  |  |
| 59,911 | Heijmans | 586,335 |  | 0.80 |
|  | Total Netherlands | 	3,421,012 |  | 	4.65 |

ACUMEN Capital Protection Portfolio
Schedule of investments as at 31 July 2022 (continued)
| Holdings | Financial assets at fair value through profit or loss | Fair value £ |  | % of net assets |
| --- | --- | --- | --- | --- |
|  | Equities: 97.78% (2021: 80.64%) (continued) |  |  |  |
|  | Norway: 15.11% (2021: 13.38%) |  |  |  |
|  | Communications: 0.00% (2021: 1.26%) | – |  | – |
|  | Consumer, cyclical: 0.00% (2021: 2.69%) | – |  | – |
|  | Consumer, non-cyclical: 2.23% (2021: 0.00%) |  |  |  |
| 86,637 | Mowi | 1,636,358 |  | 2.23 |
|  | Energy: 1.90% (2021: 0.00%) |  |  |  |
| 2,026,108 | Magseis Fairfield | 1,398,458 |  | 1.90 |
|  | Financial: 3.58% (2021: 9.43%) |  |  |  |
| 122,343 | SpareBank 1 Nord Norge | 972,348 |  | 1.32 |
| 171,462 | SpareBank 1 SR-Bank | 1,660,055 |  | 2.26 |
|  | Industrial: 7.40% (2021: 0.00%) |  |  |  |
| 659,261 | Elkem | 2,214,651 |  | 3.01 |
| 408,111 | Kitron | 723,295 |  | 0.98 |
| 100,072 | Stolt-Nielsen | 1,752,309 |  | 2.38 |
| 89,650 | Veidekke | 758,236 |  | 1.03 |
|  | Total Norway | 	11,115,710 |  | 	15.11 |
|  | People's Republic of China: 0.22% (2021: 0.00%) |  |  |  |
|  | Communications: 0.00% (2021: 0.00%) |  |  |  |
| 80 | Vipshop | 602 |  | – |
|  | Consumer, cyclical: 0.22% (2021: 0.00%) |  |  |  |
| 167,298 | Haier Smart Home | 161,207 |  | 0.22 |
|  | Total People's Republic of China | 	161,809 |  | 	0.22 |
|  | Singapore: 2.97% (2021: 0.00%) |  |  |  |
|  | Industrial: 2.97% (2021: 0.00%) |  |  |  |
| 748,082 | Hafnia | 2,184,273 |  | 2.97 |
|  | Total Singapore | 	2,184,273 |  | 	2.97 |
|  | Spain: 0.00% (2021: 1.45%) | – |  | – |
|  | Communications: 0.00% (2021: 0.16%) | – |  | – |
|  | Financial: 0.00% (2021: 1.29%) | – |  | – |
|  | Sweden: 11.49% (2021: 18.64%) |  |  |  |
|  | Basic materials: 2.93% (2021: 0.00%) |  |  |  |
| 438,687 | Nolato | 2,156,930 |  | 2.93 |
|  | Consumer, cyclical: 0.83% (2021: 0.00%) |  |  |  |
| 199,969 | Bonava | 611,199 |  | 0.83 |
|  | Consumer, non-cyclical: 0.00% (2021: 10.64%) | – |  | – |

ACUMEN Capital Protection Portfolio
Schedule of investments as at 31 July 2022 (continued)
| Holdings | Financial assets at fair value through profit or loss | Fair value £ |  | % of net assets |
| --- | --- | --- | --- | --- |
|  | Equities: 97.78% (2021: 80.64%) (continued) |  |  |  |
|  | Sweden: 11.49% (2021: 18.64%) (continued) |  |  |  |
|  | Financial: 4.68% (2021: 8.00%) |  |  |  |
| 21,899 | Atrium Ljungberg | 266,181 |  | 0.36 |
| 12,756 | Catena | 477,894 |  | 0.65 |
| 171,933 | Dios Fastigheter | 1,108,666 |  | 1.51 |
| 145,185 | Nordnet | 1,590,935 |  | 2.16 |
|  | Industrial: 3.05% (2021: 0.00%) |  |  |  |
| 149,343 | AFRY | 1,860,998 |  | 2.53 |
| 18,955 | Mycronic | 227,647 |  | 0.31 |
| 18,440 | NCC | 156,361 |  | 0.21 |
|  | Total Sweden | 	8,456,811 |  | 	11.49 |
|  | Switzerland: 15.62% (2021: 16.19%) |  |  |  |
|  | Consumer, cyclical: 1.19% (2021: 0.00%) |  |  |  |
| 59,726 | Mobilezone Holding | 872,977 |  | 1.19 |
|  | Consumer, non-cyclical: 12.08% (2021: 5.49%) |  |  |  |
| 20,402 | Comet | 3,070,046 |  | 4.17 |
| 3,017 | Emmi | 2,459,987 |  | 3.34 |
| 23,428 | Vifor Pharma | 3,361,655 |  | 4.57 |
|  | Financial: 0.00% (2021: 6.63%) | – |  | – |
|  | Industrial: 0.93% (2021: 0.00%) |  |  |  |
| 58,981 | Arbonia | 686,006 |  | 0.93 |
|  | Technology: 1.42% (2021: 0.00%) |  |  |  |
| 10,968 | Sensirion Holding | 1,040,988 |  | 1.42 |
|  | Utilities: 0.00% (2021: 4.07%) | – |  | – |
|  | Total Switzerland | 	11,491,659 |  | 	15.62 |
|  | United States: 0.94% (2021: 0.00%) |  |  |  |
|  | Consumer, non-cyclical: 0.94% (2021: 0.00%) |  |  |  |
| 17,781 | PolyPeptide | 690,390 |  | 0.94 |
|  | Total United States | 	690,390 |  | 	0.94 |
|  | Total equities | 	71,943,346 |  | 	97.78 |

ACUMEN Capital Protection Portfolio
Schedule of investments as at 31 July 2022 (continued)
|  | Financial assets at fair value through profit or loss Financial derivative instruments: 0.08% (2021: 0.01%) |  |
| --- | --- | --- |
|  | Notional | Unrealised |  | % of net |
| Counterparty | Total return swaps - unrealised gains: 0.08% (2021: 0.01%) | £ | gain £ |  | assets |
| Morgan Stanley | Morgan Stanley Swap ACUMEN Capital Protection Portfolio Fund Reference |  |  |  |  |
|  | Portfolio Leg | 73,639,541 | 58,462 |  | 0.08 |
|  | Total total return swaps - unrealised gains |  | 58,462 |  | 0.08 |
|  |  |  |  |  |  |
|  | Total financial derivative instruments |  | 58,462 |  | 0.08 |
|  |  |  |  |  |  |
|  | Total financial assets at fair value through profit or loss |  | 72,092,201 |  | 97.98 |
|  | Financial liabilities at fair value through profit or loss |  |  |  |  |
|  | Financial derivative instruments: (5.54%) (2021: (1.68%)) |  |  |  |  |
|  | Total return swaps - unrealised losses: (5.54%) (2021: | Notional | Unrealised |  | % of net |
| Counterparty | (1.67%)) | £ | loss £ |  | assets |
|  | Morgan Stanley Swap |  |  |  |  |
| Morgan Stanley | ACUMEN Capital Protection Portfolio Fund Financing Leg | (72,033,739) | (4,071,426) |  | (5.54) |
|  | Total total return swaps - unrealised losses |  | (4,071,426) |  | (5.54) |


## Forward currency contracts - unrealised losses: 0.00% (2021: (0.01%))

## Currency

## Currency

## Maturity

## Unrealised

## % of net
| Counterparty | buys | sells |  |  | date | loss £ | assets |
| --- | --- | --- | --- | --- | --- | --- | --- |
| Northern Trust | EUR | 122,154 GBP | 104,208 | 1.1722 | 22/08/2022 | (1,778) | – |
| Northern Trust | USD | 20,906 GBP | 17,363 | 1.2041 | 22/08/2022 | (190) | – |
| Total forward currency contracts - unrealised losses | (1,968) |  | – |
|  |  |  |  |
| Total financial derivative instruments | (4,073,394) |  | (5.54) |
|  |  |  |  |
| Total financial liabilities at fair value through profit or loss | (4,073,394) |  | (5.54) |
|  | Fair value |  | % of net |
|  | £ |  | assets |
| Total value of investments (Cost: £ 72,521,046) | 68,018,807 |  | 92.44 |
| Cash and cash equivalents | 120,293 |  | 0.16 |
| Due from broker | 4,113,500 |  | 5.59 |
| Other net assets | 1,326,204 |  | 1.81 |
| Net assets attributable to holders of redeemable participating shares | 	73,578,804 |  | 	100.00 |

ACUMEN Capital Protection Portfolio
Schedule of investments as at 31 July 2022 (continued)
| Analysis of portfolio | Fair value £ | % of total assets |
| --- | --- | --- |
| Transferable securities admitted to official stock exchange listing or dealt in/on another regulated market | 72,033,739 | 89.91 |
| Over the counter financial derivative instruments | 58,462 | 0.07 |
| Cash and cash equivalents | 120,293 | 0.15 |
| Due from broker | 4,113,500 | 5.13 |
| Other assets | 	3,793,696 | 	4.74 |
| Total assets | 	80,119,690 | 	100.00 |

ACUMEN Capital Protection Portfolio
Schedule of significant portfolio movements for the financial year ended 31 July 2022
| Total purchases in the year |  | £ 314,201,660 |
| --- | --- | --- |
| Material purchases | Nominal holdings | Cost £ |
| Sydbank | 327,549 | 8,469,913 |
| Dampskibsselskabet Norden | 309,131 | 7,759,767 |
| Glencore | 1,561,976 | 7,544,344 |
| Deutsche Bank | 843,428 | 7,294,653 |
| Jyske Bank | 185,142 | 7,146,913 |
| Elkem | 1,951,697 | 6,566,905 |
| FLEX LNG | 421,010 | 6,461,151 |
| FLSmidth | 296,663 | 6,441,976 |
| Comet | 32,409 | 6,332,694 |
| SSAB | 1,562,006 | 6,272,582 |
| Kongsberg Gruppen | 206,747 | 5,795,179 |
| PostNL | 1,595,831 | 5,530,384 |
| Ringkjoebing Landbobank | 61,711 | 5,122,120 |
| iShares Edge MSCI World Quality Factor UCITS ETF | 123,046 | 4,970,375 |
| Topdanmark | 111,001 | 4,662,357 |
| Sensirion Holding | 47,584 | 4,475,328 |
| Veoneer | 162,951 | 4,264,057 |
| Aker Carbon Capture | 2,619,934 | 4,258,293 |
| Basic-Fit | 125,596 | 4,158,152 |
| Nolato | 742,773 | 4,156,450 |
| SpareBank 1 Nord Norge | 456,730 | 4,149,522 |
| Vifor Pharma | 29,572 | 4,126,027 |
| Vitesco Technologies Group | 100,000 | 4,002,641 |
| SAP | 50,052 | 3,971,432 |
| VGP | 19,000 | 3,816,075 |
| Entra | 235,127 | 3,791,919 |
| GEA | 123,460 | 3,779,394 |
| Nordnet | 265,902 | 3,472,113 |
| H Lundbeck | 182,515 | 3,446,788 |
| SpareBank 1 SR-Bank | 321,462 | 3,361,577 |
| Intertrust | 201,444 | 3,353,256 |
| Deutsche Pfandbriefbank | 389,353 | 3,206,736 |

The statement of material purchases reflect the aggregate purchases of a security exceeding one per cent of the total value of purchases for the financial year. If there were fewer than twenty positions exceeding one per cent, the top twenty positions

Translation (ENFR, 2022-07-31):
# ACUMEN Capital Protection Portfolio
Rapport du Gestionnaire d’investissement pour l’exercice clos le 31 juillet 2022
L’objectif d’investissement du Compartiment est de garantir aux Actionnaires une croissance du capital à long terme par le biais d’un portefeuille multi-actifs, ainsi qu’un Niveau de protection commun (exprimé en % de la VL par Action) pour chaque catégorie d’actions. Le « Niveau de protection commun » correspond à 90 % de la VL par action la plus élevée jamais atteinte par la Catégorie d’actions A GBP et est exprimé en pourcentage de la VL actuelle par action de ladite Catégorie d’actions.
La Stratégie de portefeuille est un portefeuille multi-actifs composé de placements dans des titres à revenu fixe, des actions, des monnaies et des actifs non traditionnels, y compris des ETF, ponctuellement déterminés par Titan Asset Management (précédemment Tavistock Wealth Limited) (le « Gestionnaire d’investissement par délégation ») et une exposition aux liquidités.
La répartition entre le portefeuille et les liquidités est rééquilibrée selon un mécanisme de contrôle de la volatilité. Le budget de volatilité (à savoir le niveau maximum autorisé de l’écart type annualisé de la Stratégie de portefeuille) est de 5 % à 7 % sur la durée de l’investissement.

## Veuillez trouver ci-dessous un extrait du rapport du Gestionnaire d’investissement par délégation sur la stratégie discrétionnaire :
Le Compartiment a enregistré une performance conforme aux attentes entre juillet 2021 et juillet 2022 au cours d’une période volatile pour les marchés. La confiance du marché était favorable sur le début de la période. Les mesures conciliantes de la banque centrale, des données indiquant de nombreuses créations d’emplois et des bénéfices d’entreprises plus élevés que prévu ont stimulé les marchés, ce qui s’est traduit par une forte performance au cours du second semestre 2021. Toutefois, le scénario anticipé ne s’est pas concrétisé et une inflation persistante s’est installée. La Fed et d’autres banques centrales ont donc opéré un revirement agressif notable, ce qui a contribué à une forte aversion au risque tout au long du premier semestre 2022. Les actions et obligations ont toutes deux subi des ventes massives. Dans cet environnement, les produits d’investissement 60/40 traditionnels ont souffert, car leur résistance reposait de manière inhérente sur la diversification d’un portefeuille d’actions/obligations ayant fait ses preuves. Le Compartiment ACUMEN Capital Protection Portfolio s’est relativement bien comporté au cours de cette période, compte tenu de son faible delta par rapport au portefeuille d’actifs. Ce Compartiment a légèrement contribué à la baisse, sa VL ayant chuté pour atteindre un niveau tout juste supérieur à son niveau de protection, éliminant ainsi tout risque de baisse supplémentaire et remplissant donc parfaitement son rôle de portefeuille de protection.
Nous avons procédé à plusieurs modifications au cours de la période. Dans le cadre de l’allocation en actions, nous avons réduit les risques du portefeuille en vendant nos allocations précédentes aux actions russes et aux sociétés technologiques chinoises, ainsi qu’aux petites capitalisations japonaises et aux sociétés actives dans les secteurs du pétrole et du gaz. Nous avons procédé à un changement de cette exposition en faveur de sociétés mondiales de grande qualité dotées de bilans solides qui ont tendance à bien se comporter en fin de cycle et pendant les périodes de volatilité accrue. Nous avons également ouvert de nouvelles positions sur des actions défensives américaines du secteur de la santé et sur des actions versant des dividendes. En ce qui concerne les titres à revenu fixe, nous avons vendu nos titres de créance à haut rendement et nos obligations d’entreprises des marchés émergents. Nous avons également considérablement augmenté les liquidités au sein des Compartiments. Outre ces changements, nous avons intégré deux nouvelles positions stratégiques. Tout d’abord, nous avons mis en œuvre une stratégie overlay défensive pour compenser les périodes de volatilité des marchés d’actions, atténuer le risque global du portefeuille et fournir une source de rendement potentiellement positive dans un scénario de tirage. Cette stratégie a eu du succès, en particulier au cours de la deuxième moitié de la période. En outre, nous avons alloué une stratégie alternative liquide qui suit une multitude de sous-stratégies dans le but de générer des rendements qui ne sont pas corrélés aux rendements des marchés d’actions et obligataires traditionnels. Cette stratégie a également remporté un succès relatif depuis son lancement.