Interim Management Statement
February 16 2010 - 1:15PM
UK Regulatory
TIDMTOPE
MW TOPS Limited
Interim Management Statement
This interim management statement relates to the period from 1 October 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$. The
investment objective of MW TOPS Limited is to provide consistent absolute
returns primarily derived through trading in equities of companies incorporated
in or whose principal operations are in Europe (including Eastern Europe).
NAV Performance as at 29 January 2010
Return since 29 Jan
Final NAV 1 Oct-29 Jan 2010 YTD inception 2010 Share
29 Jan 2010 return return (net)1 Price
Euro Share NAV 10.21 -0.97% 0.10% 2.10% 9.64
US$ Share NAV 10.07 -0.98% 0.00% 0.70% 9.65
Sterling Share
NAV 10.34 -0.86% 0.10% 3.40% 9.76
MSCI AC Daily
TR Net Europe
Local Index 95.92 0.56% -3.52% -19.24% 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")
During Q4 2009, fears over a deeper global recession receded as the monetary and
fiscal policies of various governments supported the return to growth. The
improvement in economic activity, progress in a number of leading confidence
indicators, low interest rate environment and injection of liquidity into the
financial system served as a fertile ground for global equity markets. However,
within the Euro-zone, the recovery was haphazard, with Germany and France most
heavily benefiting from the cycle reversal while Spain remained convalescent and
Greece faced sovereign default in January 2010. In addition, there were sharp
sector rotations within European equity markets and high levels of dispersion at
the individual stock level. It is noteworthy that our composite early warning
indicator spiked in Q4 2009 from a relatively benign 2 (the signal ranges
between 1 and 5, where 5 is the highest level) to a more risky 3 for the first
time since March 2009. This increase drove a de-risking programme within the MW
TOPS Limited portfolio into year end.
As at 29 January 2010, the total assets of the Company were EUR155,678,976. From
1 October 2009 to 29 January 2010, the Euro NAV returned -0.97% with a
volatility of 1.47%. This compares favourably to the European equity market,
which rose +0.56% over the same period but at the expense of a volatility of
13.68%. The share price performance of the three Share Classes of MW TOPS
Limited from 1 October 2009-29 January 2010 was also pleasing, with the Euro,
US$ and GBP Share Classes returning +2.23%, +3.43% and +2.41% respectively. The
discount to NAV of the London-listed shares narrowed markedly from mid-January,
and averaged -10.15% in the Euro line, -9.77% in the US$ line and -5.61% in the
GBP line across the 4 month period under review. At the end of January, the
respective discounts of the three Share Classes were -5.63%, -4.17% and -5.61%.
We believe that this improvement reflects the NAV per share performance of MW
TOPS Limited during the varied market conditions since its inception and the
confidence of investors, after the market turmoil of 2008, in the efficacy of
the MW TOPS investment process.
Contributors to the MW TOPS system were defensively positioned in Q4 2009, with
monthly average levels of net and gross market exposure within the MW TOPS
Limited portfolio both decreasing steadily over the period, before increasing
again in January 2010.
Marshall Wace LLP lost only a small number of contributors to the MW TOPS system
as a result of the large redundancies made by sell side firms in 2009; the
majority of individuals who left the system were removed by the Investment
Manager because they had consistently underperformed. Indeed, during 2009, net
portfolio contributors were added in all regions as Marshall Wace continues to
target pockets of alpha that we consider to be under-represented. In addition,
the global trend of decreasing reliance on large investment banks continued as
we solidified and broadened our links with more local and regional brokers
during 2009. These smaller firms were more stable in terms of personnel during
the credit crisis, and tend to have greater breadth of coverage of their region
or sector.
During Q4 2009, Marshall Wace LLP invested substantially in its global execution
and trading platform, primarily in improving technology and quantitative
research to promote the more automated, predictable and cost effective trading
of the MW TOPS process-led strategy. The real-time optimiser is constantly run
to re-forecast intra-day volume, volatility, spreads, stock alpha, predicted
impact cost, risk and overnight carry portfolios, while the scheduling algorithm
continuously attempts to change market participation rates to handle changing
trading portfolios and stock specific market parameters. Amongst the benefits
delivered thus far are:
* A 20% reduction in the average commission rate paid by funds managed by the
Investment Manager compared to 2008
* A 25% reduction in execution shortfall versus impact forecast
The MW TOPS Limited portfolio has benefited from these enhancements.
Investment Allocation
Up to mid-December 2009, the Company's assets were 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
At various dates in December 2009, the Company redeemed its holdings in the
sub-trusts of Marshall Wace TOPS Trust, and invested these assets in the
equivalent sub-trusts of Marshall Wace Investment Strategies:
%
Balanced TOPS Fund 10
European TOPS Fund 70
Market Neutral TOPS Fund 20
Material events
Other than set out above, the Board is not aware of any material events during
the period from 1 October 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
16 February 2010
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
END OF ANNOUNCEMENT
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