# Morgan Stanley RADAR ex Agriculture & Livestock Fund
Investment manager’s report for the financial year ended 31 July 2021
The Sub-Fund’s investment objective is to provide Shareholders with a return equivalent to the performance of the Morgan Stanley RADAR ex Agriculture & Livestock Commodity Total Return Index denominated in US dollars (“the Index”), before all fees and expenses charged to, or incurred by, the Sub-Fund.
The Morgan Stanley RADAR ex Agriculture & Livestock Commodity Total Return Index aims to provide exposure to the commodities futures market excluding exposure to agriculture and livestock commodities, by selecting commodities for which the future price is lower than the spot price (these are also called 'backwardation commodities').
In order to achieve its objective, the fund seeks exposure to the Morgan Stanley RADAR ex Agriculture & Livestock Commodity Total Return Index through a swap contract and invests in money market instruments issued by the US government (T-bills) to gain money market return.
FundLogic Alternatives Plc MS RADAR ex Agriculture & Livestock Fund was launched on 14 December 2017 (Merger Date).
From 29 April 2015 (I USD share class inception) to 31 July 2021, the performance of the I USD share class is 35.14%, compared to 35.14% for the Index and -2.61% for the Bloomberg Commodity ex-Agriculture and Livestock Total Return Index.
From 30 December 2015 (I EUR share class inception) to 31 July 2021, the performance of the I EUR share class is 62.51%, compared to 62.51% for the Index and 42.51% for the Bloomberg Commodity ex-Agriculture and Livestock Total Return Index.
From 31 July 2017 to 31 July 2021, the performance of the I USD share class is 34.79%, compared to 33.85% for the Index and 33.85% for the Bloomberg Commodity ex-Agriculture and Livestock Total Return Index.
From 31 July 2017 to 31 July 2021, the performance of the I EUR share class is 32.89%, compared to 32.89% for the Index and 33.85% for the Bloomberg Commodity ex-Agriculture and Livestock Total Return Index.
The Sub-Fund has an annualised volatility of 16.27% for the I USD share class and 16.09% for the I EUR share class compared to 17.91% for Bloomberg Commodity ex-Agriculture and Livestock Total Return Index.
In terms of tracking error (annualised standard deviation of the difference in performance between the return of the Sub- Fund and its benchmark) the Sub-Fund has achieved a low tracking error at 0.16% for I USD Share class and 0.29% for I EUR share class versus the Index.
Morgan Stanley RADAR ex Agriculture & Livestock Fund Schedule of investments as at 31 July 2021
| Holdings | Financial assets at fair value through profit or loss Government bonds: 92.50% (2020: 91.60%) United States: 92.50% (2020: 91.60%) |  | Fair value US$ |  | % of net assets |
| --- | --- | --- | --- | --- | --- |
| 13,100,000 | United States Treasury Bill 0.00% 12/08/2021 |  | 13,099,891 |  | 8.39 |
| 16,000,000 | United States Treasury Bill 0.00% 09/09/2021 |  | 15,999,324 |  | 10.24 |
| 20,000,000 | United States Treasury Bill 0.00% 07/10/2021 |  | 19,998,350 |  | 12.80 |
| 14,000,000 | United States Treasury Bill 0.00% 14/10/2021 |  | 13,998,718 |  | 8.96 |
| 11,100,000 | United States Treasury Bill 0.00% 04/11/2021 |  | 11,098,696 |  | 7.11 |
| 11,000,000 | United States Treasury Bill 0.00% 02/12/2021 |  | 10,998,322 |  | 7.04 |
| 16,300,000 | United States Treasury Bill 0.00% 27/01/2022 |  | 16,295,769 |  | 10.43 |
| 8,600,000 | United States Treasury Bill 0.00% 24/02/2022 |  | 8,597,786 |  | 5.51 |
| 15,300,000 | United States Treasury Bill 0.00% 24/03/2022 |  | 15,295,773 |  | 9.79 |
| 11,100,000 | United States Treasury Bill 0.00% 21/04/2022 |  | 11,096,365 |  | 7.11 |
| 8,000,000 | United States Treasury Bill 0.00% 19/05/2022 |  | 7,996,294 |  | 5.12 |
|  | Total United States |  | 144,475,288 |  | 92.50 |
|  |  |  |  |  |  |
|  | Total government bonds |  | 144,475,288 |  | 92.50 |
|  | Financial derivative instruments: 1.06% (2020: 7.39%) |  |  |  |  |
|  |  | Notional | Unrealised |  | % of net |
| Counterparty | Total return swaps - unrealised gains: 1.04% (2020: 7.34%) | US$ | gain US$ |  | assets |
| Morgan Stanley | Morgan Stanley Swap Morgan Stanley RADAR ex Agriculture & Livestock Fund |  |  |  |  |
|  | Reference Portfolio Leg | 156,465,673 | 1,626,179 |  | 1.04 |
|  | Total total return swaps - unrealised gains |  | 1,626,179 |  | 1.04 |
|  | Forward currency contracts - unrealised gains: 0.02% (2020: | 0.05%) |  |  |  |
| Currency	Currency	Maturity | Unrealised | % of net |
| Counterparty | buys | sells |  | date | gain US$ | assets |
| Morgan Stanley | EUR | 76,000 USD | 89,915 | 0.8452	19/08/2021 | 227 | – |
| Morgan Stanley | EUR | 71,000 USD | 83,770 | 0.8476	19/08/2021 | 441 | – |
| Northern Trust | EUR | 3,330,000 USD | 3,918,871 | 0.8497	19/08/2021 | 30,759 | 0.02 |
| Total forward currency contracts - unrealised gains | 31,427 |  | 0.02 |
|  |  |  |  |
| Total financial derivative instruments | 1,657,606 |  | 1.06 |
|  |  |  |  |
| Total financial assets at fair value through profit or loss | 146,132,894 |  | 93.56 |

Morgan Stanley RADAR ex Agriculture & Livestock Fund Schedule of investments as at 31 July 2021 (continued)
|  | Financial liabilities at fair value through profit or loss |  |  |  |  |
| --- | --- | --- | --- | --- | --- |
|  | Financial derivative instruments: (0.02%) (2020: 0.00%) |  |  |  |  |
| Counterparty | Total return swaps - unrealised losses: (0.02%) (2020: 0.00%) | Notional US$ | Unrealised loss US$ |  | % of net assets |
|  | Morgan Stanley Swap |  |  |  |  |
| Morgan Stanley | Morgan Stanley RADAR ex Agriculture & Livestock Fund Financing Leg |  |  |  |  |
|  | – | (31,861) |  | (0.02) |
|  | Total total return swaps - unrealised losses |  | (31,861) |  | (0.02) |
|  |  |  |  |  |  |
|  | Total financial derivative instruments |  | (31,861) |  | (0.02) |
|  |  |  |  |  |  |
|  | Total financial liabilities at fair value through profit or loss |  | (31,861) |  | (0.02) |
|  |  |  | Fair value US$ |  | % of net assets |
|  | Total value of investments |  |  |  |  |
|  | (Cost: US$ 144,469,132) |  | 146,101,033 |  | 93.54 |
|  | Cash and cash equivalents |  | 10,164,362 |  | 6.51 |
|  | Other net assets |  | (72,930) |  | (0.05) |
|  | Net assets attributable to holders of redeemable participating shares |   156,192,465 |  | 	100.00 |

| Analysis of portfolio | Fair value US$ |  | % of total assets |
| --- | --- | --- | --- |
| Transferable securities admitted to official stock exchange listing or dealt in/on another regulated market | 144,475,288 |  | 92.31 |
| Over the counter financial derivative instruments | 1,657,606 |  | 1.06 |
| Cash and cash equivalents | 10,164,362 |  | 6.49 |
| Other assets | 206,252 |  | 0.14 |
| Total assets |   156,503,508 |  | 	100.00 |

Morgan Stanley RADAR ex Agriculture & Livestock Fund
Schedule of significant portfolio movements for the financial year ended 31 July 2021
| Total purchases in the year |  | US$ 266,723,447 |
| --- | --- | --- |
| All purchases | Nominal holdings | Cost US$ |
| United States Treasury Bill 0.00% 20/05/2021 | 44,600,000 | 44,556,119 |
| United States Treasury Bill 0.00% 17/06/2021 | 26,200,000 | 26,176,260 |
| United States Treasury Bill 0.00% 22/04/2021 | 21,700,000 | 21,684,492 |
| United States Treasury Bill 0.00% 07/10/2021 | 20,000,000 | 19,983,520 |
| United States Treasury Bill 0.00% 27/01/2022 | 16,300,000 | 16,290,644 |
| United States Treasury Bill 0.00% 08/04/2021 | 16,100,000 | 16,093,340 |
| United States Treasury Bill 0.00% 09/09/2021 | 16,000,000 | 15,988,178 |
| United States Treasury Bill 0.00% 24/03/2022 | 15,300,000 | 15,292,468 |
| United States Treasury Bill 0.00% 14/10/2021 | 14,000,000 | 13,998,775 |
| United States Treasury Bill 0.00% 22/07/2021 | 13,800,000 | 13,795,136 |
| United States Treasury Bill 0.00% 12/08/2021 | 13,100,000 | 13,088,700 |
| United States Treasury Bill 0.00% 21/04/2022 | 11,100,000 | 11,095,584 |
| United States Treasury Bill 0.00% 04/11/2021 | 11,100,000 | 11,092,607 |
| United States Treasury Bill 0.00% 02/12/2021 | 11,000,000 | 10,995,396 |
| United States Treasury Bill 0.00% 24/02/2022 | 8,600,000 | 8,596,148 |
| United States Treasury Bill 0.00% 19/05/2022 | 8,000,000 | 7,996,080 |

| Total disposals in the year |  | US$ 319,572,870 |
| --- | --- | --- |
| All disposals | Nominal holdings | Proceeds US$ |
| United States Treasury Bill 0.00% 13/08/2020 | 45,500,000 | 45,500,000 |
| United States Treasury Bill 0.00% 20/05/2021 | 44,600,000 | 44,589,590 |
| United States Treasury Bill 0.00% 25/03/2021 | 29,600,000 | 29,594,471 |
| United States Treasury Bill 0.00% 10/09/2020 | 29,200,000 | 29,200,000 |
| United States Treasury Bill 0.00% 17/06/2021 | 26,200,000 | 26,193,370 |
| United States Treasury Bill 0.00% 22/04/2021 | 21,700,000 | 21,697,639 |
| United States Treasury Bill 0.00% 08/10/2020 | 20,000,000 | 19,999,783 |
| United States Treasury Bill 0.00% 25/02/2021 | 18,000,000 | 18,000,000 |
| United States Treasury Bill 0.00% 08/04/2021 | 16,100,000 | 16,098,017 |
| United States Treasury Bill 0.00% 03/12/2020 | 16,000,000 | 16,000,000 |
| United States Treasury Bill 0.00% 29/10/2020 | 15,100,000 | 15,100,000 |
| United States Treasury Bill 0.00% 22/07/2021 | 13,800,000 | 13,800,000 |
| United States Treasury Bill 0.00% 28/01/2021 | 13,800,000 | 13,800,000 |
| United States Treasury Bill 0.00% 05/11/2020 | 10,000,000 | 10,000,000 |

The statement of material purchases/disposals reflect the aggregate purchases/disposals of a security greater than one per cent of the total purchases/disposals for the financial year. If there were fewer than twenty positions exceeding one per cent, the top twenty positions have been disclosed. The above represents all purchases and disposals in the financial year.

Translation (ENDE, 2021-07-31):
# Morgan Stanley RADAR ex Agriculture & Livestock Fund
Aufstellung wesentlicher Portfolioänderungen für das Geschäftsjahr zum 31. Juli 2021
| Gesamtkäufe in diesem Jahr |  | 266.723.447 USD |
| --- | --- | --- |
|  | Nominelle | Kosten |
| Alle Käufe | Anlagen | USD |
| United States Treasury Bill 0,00 % 20.05.2021 | 44.600.000 | 44.556.119 |
| United States Treasury Bill 0,00 % 17.06.2021 | 26.200.000 | 26.176.260 |
| United States Treasury Bill 0,00 % 22.04.2021 | 21.700.000 | 21.684.492 |
| United States Treasury Bill 0,00 % 07.10.2021 | 20.000.000 | 19.983.520 |
| United States Treasury Bill 0,00 % 27.01.2022 | 16.300.000 | 16.290.644 |
| United States Treasury Bill 0,00 % 08.04.2021 | 16.100.000 | 16.093.340 |
| United States Treasury Bill 0,00 % 09.09.2021 | 16.000.000 | 15.988.178 |
| United States Treasury Bill 0,00 % 24.03.2022 | 15.300.000 | 15.292.468 |
| United States Treasury Bill 0,00 % 14.10.2021 | 14.000.000 | 13.998.775 |
| United States Treasury Bill 0,00 % 22.07.2021 | 13.800.000 | 13.795.136 |
| United States Treasury Bill 0,00 % 12.08.2021 | 13.100.000 | 13.088.700 |
| United States Treasury Bill 0,00 % 21.04.2022 | 11.100.000 | 11.095.584 |
| United States Treasury Bill 0,00 % 04.11.2021 | 11.100.000 | 11.092.607 |
| United States Treasury Bill 0,00 % 02.12.2021 | 11.000.000 | 10.995.396 |
| United States Treasury Bill 0,00 % 24.02.2022 | 8.600.000 | 8.596.148 |
| United States Treasury Bill 0,00 % 19.05.2022 | 8.000.000 | 7.996.080 |
| Summe Veräußerungen im Geschäftsjahr |  | 319.572.870 USD |
|  | Nominelle | Erlöse |
| Alle Veräußerungen | Anlagen | USD |
| United States Treasury Bill 0,00 % 13.08.2020 | 45.500.000 | 45.500.000 |
| United States Treasury Bill 0,00 % 20.05.2021 | 44.600.000 | 44.589.590 |
| United States Treasury Bill 0,00 % 25.03.2021 | 29.600.000 | 29.594.471 |
| United States Treasury Bill 0,00 % 10.09.2020 | 29.200.000 | 29.200.000 |
| United States Treasury Bill 0,00 % 17.06.2021 | 26.200.000 | 26.193.370 |
| United States Treasury Bill 0,00 % 22.04.2021 | 21.700.000 | 21.697.639 |
| United States Treasury Bill 0,00 % 08.10.2020 | 20.000.000 | 19.999.783 |
| United States Treasury Bill 0,00 % 25.02.2021 | 18.000.000 | 18.000.000 |
| United States Treasury Bill 0,00 % 08.04.2021 | 16.100.000 | 16.098.017 |
| United States Treasury Bill 0,00 % 03.12.2020 | 16.000.000 | 16.000.000 |
| United States Treasury Bill 0,00 % 29.10.2020 | 15.100.000 | 15.100.000 |
| United States Treasury Bill 0,00 % 22.07.2021 | 13.800.000 | 13.800.000 |
| United States Treasury Bill 0,00 % 28.01.2021 | 13.800.000 | 13.800.000 |
| United States Treasury Bill 0,00 % 05.11.2020 | 10.000.000 | 10.000.000 |

Die Aufstellung der wesentlichen Käufe/Veräußerungen spiegelt die Gesamtheit der Käufe/Veräußerungen eines Wertpapiers wider, die mehr als ein Prozent der gesamten Käufe/Veräußerungen des Geschäftsjahres ausmachen. Wenn es weniger als zwanzig Positionen gab, die mehr als ein Prozent ausmachten, wurden die zwanzig wichtigsten Positionen angegeben. Die oben angeführten Bewegungen stellen alle Käufe und Verkäufe im Geschäftsjahr dar.