QFS SICAV - Alternative Risk Premia EUR I dis. Monthly Report Reporting Period 31/07/ /08/2018

Transcription

1 QFS SICAV - Alternative Risk Premia I dis Monthly Report Reporting Period 31/07/ /08/2018

2 1 Contents 1 Contents 2 Performance 2.1 Total Return Performance 2.2 Portfolio Manager's Comment 3 Overview 4 Comment_1 5 Investments 5.1 Holdings Equities 5.2 Holdings Bonds 5.3 Equity Futures and Options 5.4 Futures Bonds 5.5 Liquidity, other Assets and Liabilities 5.6 Current FXF-Exposure 6 Purchases And Sales of Securities 6.1 Trades 6.2 Futures, Options 7 Glossary 8 Remarks to Liquidity Risks for Equities 9 Disclaimer Reporting Period: 31/07/ /08/2018 ISIN: LU Benchmark: Citigroup 3 Month Euro Deposit Index NAV: 138,802,345 Fund Currency: Asset Class: Multi Asset Strategy: Global/Risk Premia QFS SICAV - Alternative Risk Premia I dis Page 2 of 30

3 2.1 Performance / Total Return Performance Fund (net) Fund (gross)* Reporting Period Performance Current Quarter Current Year 1 Year 3 Years Performance Annualized 5 Years Since Inception Volatility Risk Ratios Sharpe Ratio neg. Var (10 days/99%) neg Benchmark** * performance before any non-transaction related fees ** This strategy does not follow a benchmark. The benchmark is for comparison purposes only. Reporting Period: 31/07/ /08/2018 ISIN: LU Inception Date: 04/10/2016 2,5 Fund Total Return (per quarter) 100,5 Fund Performance Performance Since: 04/10/2016 2,0 100,0 Total Return (in %) 1,5 1,0 0,5 0,0-0,5-1,0 99,5 99,0 98,5 98,0 97,5 Performance (in %) Benchmark: Citigroup 3 Month Euro Deposit Index -1,5 97,0-2,0 96,5-2, , Period (Year) Fund (gross) Performance Fund (net) Benchmark NAV* ,024, ,645,265 actual 138,802,345 * Total of all share classes QFS SICAV - Alternative Risk Premia I dis Page 3 of 30

4 2.2 Performance / Portfolio Manager's Comment The fund delivered a net loss of -1.3% in August. Equity style premia (value, momentum, size) contributed negligibly. Our index momentum strategy delivered a 0.04% return, resulting in a total equity strategy contribution of 0.04%. On the FI side, our fixed income curve carry strategy produced a 0.1% contribution, whereas the intra-market term premium generated flat performance. On aggregate, bond futures strategies therefore delivered 0.1%. Exposure to FX risk premia (carry, value, momentum) resulted in a -1.7% contribution to returns. The bulk of performance is attributable to FX carry exposure ; FX value generated a small positive contribution, whereas FX Momentum was flat. Noteworthy contributors to our FX strategy were long positions in the Mexican Peso and the Canadian Dollar, as well as a short Korean Won position. Reporting Period: 31/07/ /08/2018 ISIN: LU Benchmark: Citigroup 3 Month Euro Deposit Index NAV: 138,802,345 Fund Currency: Asset Class: Multi Asset Strategy: Global/Risk Premia QFS SICAV - Alternative Risk Premia I dis Page 4 of 30

5 3 Overview 120 Weights (in %) 31/08/ Weights (in %) 31/08/2018 Reporting Period: 31/07/ /08/ ISIN: LU Liquidity Fixed Income Equity Revision Futures PaL Forward Others Cash Collateral Cash Government FuturesFI IBOR Floater FuturesEQ Common Shares Benchmark: Citigroup 3 Month Euro Deposit Index NAV: 138,802, Fund Currency: Asset Class: Fund BM Fund BM Multi Asset 31/08/ /07/2018 Assets Fund (%) BM (%) Active (%) Fund (%) BM (%) Active (%) Strategy: Global/Risk Premia Equity Common Shares FuturesEQ Fixed Income IBOR Floater FuturesFI Government Liquidity Cash Cash Collateral Others P/L Forward Revision Futures QFS SICAV - Alternative Risk Premia I dis Page 5 of 30

6 4 Attribution Overview STRATEGY PORTFOLIO ytd S.I. (annualized) Reporting Period: 31/07/ /08/2018 ALTERNATIVES BONDS EQUITIES Cash Value & Quality 2,3% 1,8% 0,2% 0,0% 1,2% Q uoniam Europe Port folio Small Cap*./. Futures-Basket* -1,7% 1,6% -1,4% 0,0% -0,4% Momentum 2,3% 1,8% 0,2% 0,0% 1,2% Index Momentum** Rel. Steepnes s Term Premium FX Carry FX Value FX Momentum 5 Index Futures long./. 5 Index Futures short* * -0,3% 0,1% 0,0% 10y highest in 3 countries./. 10y lowest in 3 countries each 3 years duration 0,0% -0,4% 2,9% -0,3% 0,6% 4 high yield./. 4 low yield 0,4% -0,2% -0,4% 0,1% -0,1% 6 high yield currencies./. 6 low yield currencies -2,5% 2,0% -1,6% -2,8% -1,4% 6 cheap Curr 6 expensive Curr 6,5% -2,0% -2,2% 0,2% 0,6% 6 pos. Momentum 6 neg. Momentum -3,1% 1,6% 0,3% 2,0% 0,2% Cas h Cash and others 0,0% 0,0% 0,0% -0,3% -0,1% 4,1% 6,0% -2,2% -1,0% 1,9% ISIN: LU Benchmark: Citigroup 3 Month Euro Deposit Index NAV: 138,802,345 Fund Currency: Asset Class: Multi Asset Strategy: Global/Risk Premia * Perform ance of the com bined value/m om entum /sm all cap portfolio divided equally to each risk prem ium ; ** introduced as of April 2017 RISK: Risk corresponds to volatility realized per risk prem ia as of current date W EIG HT: W eight corresponds to absolute w eight on portfolio level as of current date and depends to a large extent on realized risk QFS SICAV - Alternative Risk Premia I dis Page 6 of 30

7 5.1 Investments / Holdings Equities ISIN Name Holdings Cost in Austria AT AT AUSTRIA TECHNOLOGIE & SYSTEM Current Price in Market Value in Market Value in Profit/ Loss in % NAV Sector 7, , , , Information Technology VOESTALPINE AG 3, , , , Materials Austria () Total 311, Belgium , , BE AGEAS 16, , , , Financials BE UCB SA 22, ,806, ,806, , Health Care Belgium () Total 2,526, Denmark DKK ,526, , DK DK GN STORE NORD A/S 22, ,329, , , Health Care H LUNDBECK A/S 18, ,921, , , Health Care DK NOVO NORDISK A/S-B 42, ,438, ,802, , Health Care Denmark (DKK) Total 27,689, Finland ,714, , FI FI FI FI DNA OY 6, , , , Telecommunication FORTUM OYJ 47, ,030, ,030, , Utilities SAMPO OYJ-A SHS 2, , , , Financials UPM-KYMMENE OYJ 46, ,546, ,546, , Materials FI VALMET OYJ 10, , , , Industrials Finland () Total 2,990, France ,990, , LU FR FR FR FR FR FR FR FR FR FR FR FR FR APERAM 9, , , , Materials AXA SA 67, ,469, ,469, , Financials BNP PARIBAS 21, ,088, ,088, , Financials CHRISTIAN DIOR SE , , Consumer Discretionary ERAMET 6, , , , Materials FAURECIA 18, , , , Consumer Discretionary IPSEN 10, ,621, ,621, , Health Care KERING 3, ,614, ,614, , Consumer Discretionary L'OREAL 7, ,538, ,538, , Consumer Staples PERNOD RICARD SA 3, , , , Consumer Staples PEUGEOT SA 46, ,097, ,097, , Consumer Discretionary PUBLICIS GROUPE 36, ,035, ,035, , Consumer Discretionary SANOFI 29, ,142, ,142, , Health Care SCHNEIDER ELECTRIC SE 31, ,202, ,202, , Industrials QFS SICAV - Alternative Risk Premia I dis Page 7 of 30

8 5.1 Investments / Holdings Equities ISIN NL Name Holdings Cost in Current Price in Market Value in Market Value in Profit/ Loss in % NAV Sector STMICROELECTRONICS NV 31, , , , Information Technology France () Total 17,731, Germany ,731, , DE000A1EWWW 0 DE DE000A0JK2A8 DE000BAY0017 DE DE DE DE DE DE DE DE000A13SX22 DE DE000A1PHFF7 DE000A0D9PT0 DE000PSM7770 DE DE DE DE000WAF3001 ADIDAS AG 3, , , , Consumer Discretionary ALLIANZ SE-REG 6, ,255, ,255, , Financials AURELIUS EQUITY OPPORTUNITIE 9, , , , Financials BAYER AG-REG 11, , , , Health Care CONTINENTAL AG 6, ,080, ,080, , Consumer Discretionary CTS EVENTIM AG & CO KGAA 2, , , , Consumer Discretionary DEUTSCHE LUFTHANSA-REG 35, , , , Industrials DEUTSCHE PFANDBRIEFBANK AG 33, , , , Financials DRAEGERWERK AG - PREF 4, , , , Health Care ECKERT & ZIEGLER STRAHLEN UN 2, , , , Health Care FRAPORT AG FRANKFURT AIRPORT , , , Industrials HELLA GMBH & CO KGAA 7, , , , Consumer Discretionary HENKEL AG & CO KGAA VORZUG 8, , , , Consumer Staples HUGO BOSS AG -ORD 18, ,267, ,267, , Consumer Discretionary MTU AERO ENGINES AG , , , Industrials PROSIEBENSAT.1 MEDIA SE 4, , , , Consumer Discretionary PUMA SE , , Consumer Discretionary RHEINMETALL AG 2, , , , Industrials SALZGITTER AG 23, , , , Materials SILTRONIC AG 4, , , , Information Technology DE TAG IMMOBILIEN AG 9, , , , Real Estate Germany () Total 11,029, Hungary HUF ,029, , HU MOL HUNGARIAN OIL AND GAS PL 15,708 3, , ,092, , , Energy HU OTP BANK PLC 22,652 11, , ,728, , , Financials Hungary (HUF) Total 279,821, Italy , , IT IT IT NL IT A2A SpA 378, , , , Utilities ASTM SPA 24, , , , Industrials BANCA GENERALI SPA 12, , , , Financials CNH INDUSTRIAL NV 124, ,284, ,284, , Industrials ENAV SPA 55, , , , Industrials QFS SICAV - Alternative Risk Premia I dis Page 8 of 30

9 5.1 Investments / Holdings Equities ISIN IT NL IT IT IT IT IT Name Holdings Cost in Current Price in Market Value in Market Value in Profit/ Loss in % NAV Sector ERG SPA 5, , , , Utilities FIAT CHRYSLER AUTOMOBILES NV 58, , , , Consumer Discretionary GEFRAN SPA 4, , , , Information Technology IREN SPA 190, , , , Utilities ITALGAS SPA 132, , , , Utilities MONCLER SPA 35, ,391, ,391, , Consumer Discretionary OVS SPA 56, , , , Consumer Discretionary IT TELECOM ITALIA SPA 1,741, , , , Telecommunication Italy () Total 7,251, Netherlands ,251, , NL NL NL NL NL NL NL NL NL NL ABN AMRO GROUP NV-CVA 47, ,112, ,112, , Financials AEGON NV 202, ,043, ,043, , Financials ASR NEDERLAND NV 25, ,042, ,042, , Financials HEIJMANS N.V.-CVA 8, , , , Industrials ING GROEP NV 85, ,005, ,005, , Financials KONINKLIJKE AHOLD DELHAIZE N 39, , , , Consumer Staples KONINKLIJKE PHILIPS NV 51, ,973, ,973, , Health Care NN GROUP NV 35, ,324, ,324, , Financials SIGNIFY NV 31, , , , Industrials UNILEVER NV-CVA 16, , , , Consumer Staples NL WOLTERS KLUWER 15, , , , Industrials Netherlands () Total 10,857, Norway NOK ,857, , NO NO FO NO NO NO NO NO AKER ASA-A SHARES 1, ,264, , , Financials AUSTEVOLL SEAFOOD ASA 42, ,684, , , Consumer Staples BAKKAFROST P/F 7, ,665, , , Consumer Staples DNB ASA 72, ,349, ,269, , Financials ENTRA ASA 9, ,133, , , Real Estate EQUINOR ASA 40, ,739, , , Energy MARINE HARVEST 60, ,973, ,127, , Consumer Staples NORWAY ROYAL SALMON ASA 15, ,096, , , Consumer Staples NO SPAREBANK 1 SMN 36, ,277, , , Financials Norway (NOK) Total 49,183, Portugal ,054, , PTALT0AE0002 PTPTI0AM0006 ALTRI SGPS SA 38, , , , Materials NAVIGATOR CO SA/THE 79, , , , Materials QFS SICAV - Alternative Risk Premia I dis Page 9 of 30

10 5.1 Investments / Holdings Equities ISIN Name Holdings Cost in Current Price in Market Value in Portugal () Total 646, Market Value in Profit/ Loss in 646, , % NAV Sector Spain ES ES ES Y14 ES ES ES CIE AUTOMOTIVE SA 6, , , , Consumer Discretionary ENCE ENERGIA Y CELULOSA SA 16, , , , Materials IBERDROLA SA 236, ,519, ,519, , Utilities INTL CONSOLIDATED AIRLINE-DI 148, ,147, ,147, , Industrials MASMOVIL IBERCOM SA 5, , , , Telecommunication REPSOL SA 107, ,780, ,780, , Energy Spain () Total 5,324, ,324, , Sweden SEK SE SE SE SE SE SE SE SE CH SE SE BIOTAGE AB 22, ,923, , , Health Care BOLIDEN AB 26, ,225, , , Materials ELEKTA AB-B SHS 37, ,444, , , Health Care ERICSSON LM-B SHS 257, ,890, ,871, , Information Technology FABEGE AB 38, ,739, , , Real Estate HEMFOSA FASTIGHETER AB 13, ,680, , , Real Estate KLOVERN AB-B SHS 74, , , , Real Estate KUNGSLEDEN AB 26, ,898, , , Real Estate ORIFLAME HOLDING AG 18, ,888, , , Consumer Staples SWEDISH ORPHAN BIOVITRUM AB 34, ,098, , , Health Care WIHLBORGS FASTIGHETER AB 28, ,146, , Real Estate Sweden (SEK) Total 60,866, ,725, , Switzerland CHF CH CH CH CH CH CH CH CH CH CH JULIUS BAER GROUP LTD 1, , , , Financials NESTLE SA-REG 32, ,640, ,346, , Consumer Staples PARTNERS GROUP HOLDING AG 1, , , , Financials ROCHE HOLDING AG-GENUSSCHEIN 10, ,607, ,317, , Health Care SONOVA HOLDING AG-REG 1, , , , Health Care STRAUMANN HOLDING AG-REG 2, ,703, ,513, , Health Care SUNRISE COMMUNICATIONS GROUP 6, , , , Telecommunication SWATCH GROUP AG/THE-BR , , , Consumer Discretionary SWISS RE AG 22, ,976, ,756, , Financials UBS GROUP AG-REG 68, ,041, , , Financials Switzerland (CHF) Total 12,202, ,844, , United Kingdom QFS SICAV - Alternative Risk Premia I dis Page 10 of 30

11 5.1 Investments / Holdings Equities ISIN DE000TUAG000 Name Holdings Cost in Current Price in Market Value in Market Value in Profit/ Loss in % NAV Sector TUI AG-DI 58, , , , Consumer Discretionary United Kingdom GBP GB00B1XZS820 GB GB GB GB GB JE00B5TT1872 GB00BD CH GB00BY9D0Y18 GB00B7KR2P84 GB00B71N6K86 GB00B19NLV48 GB00B1XH2C03 GB00BRJ9BJ26 GB GB00B0PPFY88 GB GB00B06QFB75 GB00BD8QVH41 GB GB00B53P2009 GB GB GB00B83VD954 GB GB GB00B63H8491 GB00BDVZYZ77 JE00B2QKY057 GB GB GB ANGLO AMERICAN PLC 50, , , , Materials ANTOFAGASTA PLC 41, , , , Materials AVIVA PLC 401, ,948, ,177, , Financials BP PLC 103, , , , Energy BRITISH LAND CO PLC 148, , ,053, , Real Estate BURBERRY GROUP PLC 95, ,143, ,394, , Consumer Discretionary CENTAMIN PLC 306, , , , Materials CHARTER COURT FINANCIAL S 25, , , , Financials COCA-COLA HBC AG-DI 34, , ,007, , Consumer Staples Direct Line Insurance Group 51, , , , Financials EASYJET PLC 4, , , , Industrials EVRAZ PLC 84, , , , Materials EXPERIAN PLC 28, , , , Industrials FERREXPO PLC 119, , , , Materials FEVERTREE DRINKS PLC 14, , , , Consumer Staples GLAXOSMITHKLINE PLC 120, ,879, ,100, , Health Care Hansteen Holdings PLC 413, , , , Real Estate HSBC HOLDINGS PLC 134, , ,003, , Financials IG GROUP HOLDINGS PLC 56, , , , Financials INTERCONTINENTAL HOTELS GROU 5, , , , Consumer Discretionary INTERTEK GROUP PLC 9, , , , Industrials JUPITER FUND MANAGEMENT 38, , , , Financials LEGAL & GENERAL GROUP PLC 741, ,886, ,107, , Financials LLOYDS BANKING GROUP PLC 794, , , , Financials MAN GROUP PLC 538, , ,034, , Financials PEARSON PLC 125, ,147, ,282, , Consumer Discretionary PRUDENTIAL PLC 8, , , , Financials ROLLS-ROYCE HOLDINGS PLC 9, , , , Industrials ROYAL MAIL PLC 203, , ,021, , Industrials SHIRE PLC 10, , , , Health Care SMITH & NEPHEW PLC 50, , , , Health Care SPECTRIS PLC 9, , , , Information Technology TAYLOR WIMPEY PLC 114, , , , Consumer Discretionary QFS SICAV - Alternative Risk Premia I dis Page 11 of 30

12 5.1 Investments / Holdings Equities ISIN GB00B1VYCH82 Name Holdings Cost in Current Price in Market Value in Market Value in Profit/ Loss in % NAV Sector THOMAS COOK GROUP PLC 301, , , , Consumer Discretionary GB00BH4HKS39 VODAFONE GROUP PLC 612, ,007, ,125, , Telecommunication United Kingdom (GBP) Total 23,941, ,636, , ,502, , QFS SICAV - Alternative Risk Premia I dis Page 12 of 30

13 5.2 Investments / Holdings Bonds ISIN Name Austria AT0000A19XC3 AT0000A0VRF9 Austria () Total Nominal Cost Current Price Market Value in REPUBLIC OF AUSTRIA 0.25% 10/18/19 2,000, ,016,200-2, Aa REPUBLIC OF AUSTRIA 1.95% 06/18/19 600, ,890-7, Aa Netherlands NL XS Netherlands () Total P/ L % NAV 2,627,090-10, NETHERLANDS GOVERNMENT 0.25% 01/15/20 3,000, ,037,830-1, NETHERLANDS GOVERNMENT 1% 02/18/19 2,000, ,014,180-11, ,052,010-13, ,679,100-23, Rating Yield Maturity Duration QFS SICAV - Alternative Risk Premia I dis Page 13 of 30

14 5.3 Investments / Equity Futures and Options Name Holdings Cost Current Price Market Value Profit/ Lost % NAV Australia AUD SPI200_Future_ September , , ,075, , Australia (AUD) Total Eurozone ,075, , OSTOXX50_Future_ September ,183 3, , ,981, , Eurozone () Total Germany ,981, , DAX30_Future_ September , , ,866, , Germany () Total Italy ,866, , S&P/MIB_Future_ September , , ,972, , Italy () Total Japan JPY ,972, , TOPIX_Future_ September , , ,182, , Japan (JPY) Total South Africa ZAR ,182, , FTSE/JSE/TOP40_Future_ September , , ,820, , South Africa (ZAR) Total Spain ,820, , IBEX35_Future_ September , , ,007, , Spain () Total Switzerland CHF ,007, , SMI_Future_ September , , ,676, , Switzerland (CHF) Total United Kingdom GBP ,676, , FTSE100_Future_ September , , ,957, , United Kingdom (GBP) Total United States USD ,957, , DJIndustrialsCoMini_Future_ September , , ,031, , NASDAQ100E-Mini_Future_ September , , ,058, , Russel2000e-mini_Future_ September , , ,134, , S&P500Mini_Future_ September , , ,111, , United States (USD) Total -12,066, , ,550, , QFS SICAV - Alternative Risk Premia I dis Page 14 of 30

15 5.4 Investments / Futures Bonds Name Holdings Cost Current Price Market Value P/ L % NAV Australia AUD AU10Yr_Future_ September ,182, , Australia (AUD) Total Canada CAD ,182, , CA10Yr_Future_ December ,391, , Canada (CAD) Total Germany ,391, , EurBobl_Future_ September ,290, EurBund_Future_ September ,327, , EurBuxl_Future_ September ,079, , Germany () Total Italy ,538, , IT10Yr_Future_ September ,207, , IT3Yr_Future_ September ,070, , Italy () Total Japan JPY ,862, , JP10YrNote_Future_ September ,141, , Japan (JPY) Total United Kingdom GBP ,141, , LongGilt_Future_ December ,123, , United Kingdom (GBP) Total United States USD ,123, , US10YrNote_Future_ December ,866, , US5YrNote_Future_ December ,104, , USUltraLongBond_Future_ December ,518, , United States (USD) Total 56,452, , ,260, , QFS SICAV - Alternative Risk Premia I dis Page 15 of 30

16 5.5 Investments / Liquidity, other Assets and Liabilities Name Cash AUD CAD CHF DKK GBP HKD HUF JPY NOK SEK SGD USD ZAR Others Holdings in FX Holdings in % NAV 397, , , , , , , , ,080, ,080, , , ,424, , ,994, , ,774, , , , , , , , , , ,439, , ,488, ,612, ,612, ,612, ,101, Reporting Period: 31/07/ /08/2018 ISIN: LU Benchmark: Citigroup 3 Month Euro Deposit Index NAV: 138,802,345 Fund Currency: Asset Class: Multi Asset Strategy: Global/Risk Premia QFS SICAV - Alternative Risk Premia I dis Page 16 of 30

17 5.6 Investments / Current FXF-Exposure Currency Counterpart Value in Crncy. Spot Price Weight (in %) AUD USD 1,200, BRL USD 33,300, CAD USD 33,100, CHF USD -16,400, CZK USD -19,500, GBP USD 6,700, HUF USD -482,300, INR USD 715,100, JPY USD -1,827,000, KRW USD -19,620,900,000 1, MXN USD 313,000, NOK USD 130,800, NZD USD -23,600, PHP USD -416,200, PLN USD -29,400, SEK USD -15,600, TRY USD ZAR USD Reporting Period: 31/07/ /08/2018 ISIN: LU Benchmark: Citigroup 3 Month Euro Deposit Index NAV: 138,802,345 Fund Currency: Asset Class: Multi Asset Strategy: Global/Risk Premia QFS SICAV - Alternative Risk Premia I dis Page 17 of 30

18 6.1 Purchases And Sales of Securities / Trades Buy/ SellName Nominal Price Executed Market Value in Broker Fees in Taxes in Other Expences in Accrued Interest in Total Value in Curr Broker BUY 08/01/2018 EXPERIAN PLC 5, , , GBP JPM LN GN STORE NORD A/S 7, , , DKK JPM LN DEUTSCHE PFANDBRIEFBANK AG 15, , , ITG DU HENKEL AG & CO KGAA VORZUG 8, , , ITG DU KONINKLIJKE AHOLD DELHAIZE N 39, , , ITG DU LLOYDS BANKING GROUP PLC 284, , , , GBP ITG DU SAMPO OYJ-A SHS 2, , , ITG DU AEGON NV 71, , , ITG DU EXPERIAN PLC 22, , , GBP ITG DU FORTUM OYJ 6, , , ITG DU Hansteen Holdings PLC 413, , , , GBP ITG DU IBERDROLA SA 25, , , ITG DU IG GROUP HOLDINGS PLC 43, , , , GBP ITG DU PUBLICIS GROUPE 30, ,662, , ,667, ITG DU PEARSON PLC 20, , , , GBP ITG DU MTU AERO ENGINES AG , , ITG DU MARINE HARVEST 45, , , NOK ITG DU ERICSSON LM-B SHS 113, , , SEK ITG DU GN STORE NORD A/S 11, , , DKK MS LN CHRISTIAN DIOR SE , , ITG DU GN STORE NORD A/S 3, , , DKK ITG DU CHARTER COURT FINANCIAL S 18, , , GBP ITG DU NORWAY ROYAL SALMON ASA 6, , , NOK ITG DU WIHLBORGS FASTIGHETER AB 6, , , SEK ITG DU 08/02/2018 NESTLE SA-REG 32, ,276, ,277, CHF ITG DU SUNRISE COMMUNICATIONS GROUP 6, , , CHF ITG DU NORWAY ROYAL SALMON ASA 9, , , NOK ITG DU WIHLBORGS FASTIGHETER AB 5, , , SEK ITG DU 08/03/2018 CHARTER COURT FINANCIAL S 6, , , GBP ITG DU WIHLBORGS FASTIGHETER AB 3, , , SEK ITG DU 08/16/2018 REPUBLIC OF AUSTRIA 0.25% 10/18/19 2,000, ,019, , ,023, SOCG PA NETHERLANDS GOVERNMENT 0.25% 01/15/20 3,000, ,039, , ,044, DZ FFM QFS SICAV - Alternative Risk Premia I dis Page 18 of 30

19 6.1 Purchases And Sales of Securities / Trades Buy/ SellName Nominal Price Executed Market Value in Broker Fees in Taxes in Other Expences in Accrued Interest in Total Value in Curr Broker 08/21/2018 ERICSSON LM-B SHS 144, ,011, ,012, SEK ITG DU KERING , , ITG DU ROLLS-ROYCE HOLDINGS PLC 9, , , GBP ITG DU WOLTERS KLUWER 15, , , ITG DU AVIVA PLC 85, , , , GBP ITG DU AUSTEVOLL SEAFOOD ASA 16, , , NOK ITG DU A2A SpA 62, , , ITG DU ABN AMRO GROUP NV-CVA 11, , , ITG DU DEUTSCHE PFANDBRIEFBANK AG 3, , , ITG DU ELEKTA AB-B SHS 10, , , SEK ITG DU FABEGE AB 2, , , SEK ITG DU ORIFLAME HOLDING AG 14, , , SEK ITG DU 08/22/2018 ITALGAS SPA 132, , , ITG DU 08/23/2018 FABEGE AB 9, , , SEK ITG DU 08/24/2018 DEUTSCHE PFANDBRIEFBANK AG 3, , , JPM LN FABEGE AB 27, , , SEK JPM LN SHIRE PLC 10, , , GBP CSFB LN 08/27/2018 ORIFLAME HOLDING AG 3, , , SEK ITG DU 08/28/2018 DEUTSCHE PFANDBRIEFBANK AG 2, , , ITG DU 08/31/2018 ORIFLAME HOLDING AG , , SEK ITG DU BUY Total 23,325, , Broker Fees BUY 0.02% 23,356, SELL 08/01/2018 ANGLO AMERICAN PLC 12, , , GBP ITG DU DEUTSCHE LUFTHANSA-REG 10, , , ITG DU KONINKLIJKE PHILIPS NV 7, , , ITG DU MICHELIN (CGDE) 3, , , ITG DU PEUGEOT SA 22, , , ITG DU SANOFI 2, , , ITG DU QFS SICAV - Alternative Risk Premia I dis Page 19 of 30

20 6.1 Purchases And Sales of Securities / Trades Buy/ SellName Nominal Price Executed Market Value in Broker Fees in Taxes in Other Expences in Accrued Interest in Total Value in Curr Broker BASF SE 5, , , ITG DU ORANGE 15, , , ITG DU TESCO PLC 248, , , GBP ITG DU BOLIDEN AB 6, , , SEK ITG DU FERRARI NV 7, , , ITG DU TELECOM ITALIA SPA 367, , , ITG DU TELENOR ASA 36, , , NOK ITG DU SMA SOLAR TECHNOLOGY AG 1, , , ITG DU UPM-KYMMENE OYJ 8, , , ITG DU SELVAAG BOLIG ASA 6, , , NOK ITG DU OUTOKUMPU OYJ 19, , , ITG DU SIGNIFY NV 5, , , ITG DU LEONI AG 18, , , ITG DU FEVERTREE DRINKS PLC 6, , , GBP ITG DU COVESTRO AG 12, ,058, ,058, ITG DU VOLVO AB-B SHS 98, ,472, ,472, SEK ITG DU ELECTROLUX AB-SER B 33, , , SEK ITG DU ASM INTERNATIONAL NV 2, , , ITG DU DEUTZ AG 23, , , ITG DU MAIRE TECNIMONT SPA 5, , , ITG DU MONCLER SPA 8, , , ITG DU NORSK HYDRO ASA 173, , , NOK ITG DU RENISHAW PLC 2, , , GBP ITG DU SVENSKA CELLULOSA AB SCA-B 34, , , SEK ITG DU VOESTALPINE AG 17, , , ITG DU 08/02/2018 ROCHE HOLDING AG-GENUSSCHEIN , , CHF ITG DU GLOBAL DOMINION ACCESS SA 4, , , ITG DU MAIRE TECNIMONT SPA 4, , , ITG DU 08/03/2018 MAIRE TECNIMONT SPA 4, , , ITG DU 08/21/2018 HSBC HOLDINGS PLC 11, , , GBP SANF LN NN GROUP NV 4, , , JPM LN COVESTRO AG 4, , , ITG DU DASSAULT AVIATION SA 97 1, , , ITG DU GLAXOSMITHKLINE PLC 31, , , GBP ITG DU QFS SICAV - Alternative Risk Premia I dis Page 20 of 30

21 6.1 Purchases And Sales of Securities / Trades Buy/ SellName Nominal Price Executed Market Value in Broker Fees in Taxes in Other Expences in Accrued Interest in Total Value in Curr Broker SANOFI 1, , , ITG DU ALLIANZ SE-REG 4, , , ITG DU BOLIDEN AB 7, , , SEK ITG DU TOTAL SA 16, , , ITG DU MAIRE TECNIMONT SPA 6, , , ITG DU UNILEVER NV-CVA 6, , , ITG DU ANTOFAGASTA PLC 38, , , GBP ITG DU DEUTSCHE BETEILIGUNGS AG 1, , , ITG DU KAZ MINERALS PLC 8, , , GBP ITG DU NMC HEALTH PLC 1, , , GBP ITG DU TKH GROUP NV-DUTCH CERT 1, , , ITG DU 08/22/2018 DEUTSCHE BETEILIGUNGS AG , , ITG DU GEFRAN SPA 3, , , ITG DU TKH GROUP NV-DUTCH CERT 2, , , ITG DU 08/23/2018 DEUTSCHE BETEILIGUNGS AG , , ITG DU TKH GROUP NV-DUTCH CERT , , ITG DU 08/24/2018 DEUTSCHE BETEILIGUNGS AG , , JPM LN TKH GROUP NV-DUTCH CERT , , JPM LN 08/28/2018 KAZ MINERALS PLC 24, , , GBP ITG DU NMC HEALTH PLC 1, , , GBP ITG DU DEUTSCHE BETEILIGUNGS AG , , ITG DU SELL Total 17,506, , Broker Fees SELL 0.03% 17,500, Trades Total 40,831, , ,857, Broker Fees 0.03% QFS SICAV - Alternative Risk Premia I dis Page 21 of 30

22 6.2 Purchases And Sales of Securities / Futures, Options Ots Buy/ Opening/ Type Name Maturity Trade Date Value Date Curr Price Contract Value Sell Closing 39 BUY O F EurBobl_Future_ /06/ /02/ /03/ ,133, BUY C F EurBuxl_Future_ /06/ /02/ /03/ , BUY O F IT3Yr_Future_ /06/ /02/ /03/ , BUY O F LongGilt_Future_ /26/ /02/ /03/2018 GBP , BUY O F US10YrNote_Future_ /19/ /02/ /03/2018 USD , BUY O F US5YrNote_Future_ /28/ /02/ /03/2018 USD , SELL O F CA10Yr_Future_ /19/ /02/ /03/2018 CAD , SELL C F EurBund_Future_ /06/ /02/ /03/ ,067, BUY C F FTSE100_Future_ /21/ /02/ /03/2018 GBP 7, , BUY C F NASDAQ100E-Mini_Future_ /21/ /02/ /03/2018 USD 7, ,643, BUY O F Russel2000e-mini_Future_ /21/ /02/ /03/2018 USD 1, , BUY C F S&P500Mini_Future_ /21/ /02/ /03/2018 USD 2, ,711, BUY C F SMI_Future_ /21/ /02/ /03/2018 CHF 9, , SELL O F CAC40_Future_ /17/ /02/ /03/2018 5, ,836, SELL O F OSTOXX50_Future_ /21/ /02/ /03/2018 3, ,604, SELL C F FTSE/JSE/TOP40_Future_ /20/ /02/ /03/2018 ZAR 50, ,006, SELL C F IBEX35_Future_ /17/ /02/ /03/2018 9, ,904, BUY O F HangSeng_Future_ /30/ /02/ /03/2018 HKD 27, ,381, BUY C F MSCITaiwan_Future_ /30/ /03/ /06/2018 USD , BUY O F TOPIX_Future_ /13/ /03/ /06/2018 JPY 1, ,000, SELL O F AU10Yr_Future_ /17/ /03/ /06/2018 AUD , SELL O F JP10YrNote_Future_ /12/ /03/ /06/2018 JPY ,990, BUY O F EurBobl_Future_ /06/ /09/ /10/ , BUY O F EurBund_Future_ /06/ /09/ /10/ , BUY O F IT3Yr_Future_ /06/ /09/ /10/ , BUY O F LongGilt_Future_ /26/ /09/ /10/2018 GBP ,107, BUY O F US10YrNote_Future_ /19/ /09/ /10/2018 USD ,077, BUY O F US5YrNote_Future_ /28/ /09/ /10/2018 USD , SELL O F CA10Yr_Future_ /19/ /09/ /10/2018 CAD ,348, SELL O F EurBuxl_Future_ /06/ /09/ /10/ , SELL O F USUltraLongBond_Future_ /19/ /09/ /10/2018 USD , BUY O F DAX30_Future_ /21/ /09/ /10/ , ,019, BUY C F OSTOXX50_Future_ /21/ /09/ /10/2018 3, ,943, BUY O F Russel2000e-mini_Future_ /21/ /09/ /10/2018 USD 1, , BUY O F S&P/MIB_Future_ /21/ /09/ /10/ , ,056, SELL O F AEX_Future_ /17/ /09/ /10/ , SELL O F CAC40_Future_ /17/ /09/ /10/2018 5, , SELL O F DJIndustrialsCoMini_Future_201 09/21/ /09/ /10/2018 USD 25, ,027, QFS SICAV - Alternative Risk Premia I dis Page 22 of 30

23 6.2 Purchases And Sales of Securities / Futures, Options Ots Buy/ Opening/ Type Name Maturity Trade Date Value Date Curr Price Contract Value Sell Closing 6 SELL O F FTSE100_Future_ /21/ /09/ /10/2018 GBP 7, , SELL O F S&P500Mini_Future_ /21/ /09/ /10/2018 USD 2, ,143, SELL O F SMI_Future_ /21/ /09/ /10/2018 CHF 9, , BUY C F AEX_Future_ /17/ /10/ /13/ ,003, BUY C F CAC40_Future_ /17/ /10/ /13/2018 5, ,045, SELL O F AEX_Future_ /21/ /10/ /13/ ,994, SELL O F CAC40_Future_ /21/ /10/ /13/2018 5, ,042, SELL C F FTSE/JSE/TOP40_Future_ /20/ /10/ /13/2018 ZAR 51, ,471, SELL O F AU10Yr_Future_ /17/ /10/ /13/2018 AUD ,162, BUY O F HangSeng_Future_ /30/ /10/ /13/2018 HKD 28, ,426, BUY C F MSCITaiwan_Future_ /30/ /10/ /13/2018 USD ,885, BUY O F TOPIX_Future_ /13/ /10/ /13/2018 JPY 1, ,810, SELL C F MSCISingapur_Future_ /30/ /10/ /13/2018 SGD ,425, SELL C F HangSeng_Future_ /30/ /16/ /17/2018 HKD 27, ,653, BUY C F CA10Yr_Future_ /19/ /16/ /17/2018 CAD ,494, BUY O F EurBobl_Future_ /06/ /16/ /17/ ,299, BUY C F EurBuxl_Future_ /06/ /16/ /17/ , BUY C F USUltraLongBond_Future_ /19/ /16/ /17/2018 USD , SELL C F EurBund_Future_ /06/ /16/ /17/ ,415, SELL C F LongGilt_Future_ /26/ /16/ /17/2018 GBP , SELL C F US10YrNote_Future_ /19/ /16/ /17/2018 USD ,804, SELL C F US5YrNote_Future_ /28/ /16/ /17/2018 USD , BUY C F AEX_Future_ /21/ /16/ /17/ ,882, BUY C F CAC40_Future_ /21/ /16/ /17/2018 5, ,926, BUY O F DAX30_Future_ /21/ /16/ /17/ , , BUY O F IBEX35_Future_ /21/ /16/ /17/2018 9, ,216, BUY O F S&P/MIB_Future_ /21/ /16/ /17/ , , BUY C F S&P500Mini_Future_ /21/ /16/ /17/2018 USD 2, , BUY C F SMI_Future_ /21/ /16/ /17/2018 CHF 8, ,085, SELL O F OSTOXX50_Future_ /21/ /16/ /17/2018 3, ,985, SELL O F FTSE100_Future_ /21/ /16/ /17/2018 GBP 7, ,733, SELL O F NASDAQ100E-Mini_Future_ /21/ /16/ /17/2018 USD 7, ,965, SELL C F Russel2000e-mini_Future_ /21/ /16/ /17/2018 USD 1, , BUY O F TOPIX_Future_ /13/ /17/ /20/2018 JPY 1, ,805, SELL O F SPI200_Future_ /20/ /17/ /20/2018 AUD 6, ,561, BUY C F AU10Yr_Future_ /17/ /17/ /20/2018 AUD , BUY C F JP10YrNote_Future_ /12/ /17/ /20/2018 JPY ,360, BUY C F OSTOXX50_Future_ /21/ /23/ /24/2018 3, ,983, BUY C F FTSE100_Future_ /21/ /23/ /24/2018 GBP 7, , QFS SICAV - Alternative Risk Premia I dis Page 23 of 30

24 6.2 Purchases And Sales of Securities / Futures, Options Ots Buy/ Opening/ Type Name Maturity Trade Date Value Date Curr Price Contract Value Sell Closing 47 BUY C F NASDAQ100E-Mini_Future_ /21/ /23/ /24/2018 USD 7, ,974, SELL C F IBEX35_Future_ /21/ /23/ /24/2018 9, , SELL C F Russel2000e-mini_Future_ /21/ /23/ /24/2018 USD 1, , SELL O F S&P500Mini_Future_ /21/ /23/ /24/2018 USD 2, , SELL O F SMI_Future_ /21/ /23/ /24/2018 CHF 9, ,951, BUY O F EurBobl_Future_ /06/ /23/ /24/ ,158, BUY C F EurBuxl_Future_ /06/ /23/ /24/ , BUY O F LongGilt_Future_ /26/ /23/ /24/2018 GBP , BUY O F US10YrNote_Future_ /19/ /23/ /24/2018 USD , BUY O F US5YrNote_Future_ /28/ /23/ /24/2018 USD , SELL O F CA10Yr_Future_ /19/ /23/ /24/2018 CAD , SELL C F EurBund_Future_ /06/ /23/ /24/ ,752, SELL O F AU10Yr_Future_ /17/ /24/ /27/2018 AUD , SELL O F JP10YrNote_Future_ /12/ /24/ /27/2018 JPY ,440, SELL O F SPI200_Future_ /20/ /24/ /27/2018 AUD 6, , BUY C F CA10Yr_Future_ /19/ /24/ /27/2018 CAD ,314, BUY O F LongGilt_Future_ /27/ /24/ /28/2018 GBP ,756, BUY O F US10YrNote_Future_ /19/ /24/ /27/2018 USD ,063, BUY O F US5YrNote_Future_ /31/ /24/ /27/2018 USD ,329, BUY C F USUltraLongBond_Future_ /19/ /24/ /27/2018 USD ,273, SELL O F CA10Yr_Future_ /18/ /24/ /27/2018 CAD ,374, SELL C F LongGilt_Future_ /26/ /24/ /28/2018 GBP ,847, SELL C F US10YrNote_Future_ /19/ /24/ /27/2018 USD ,434, SELL C F US5YrNote_Future_ /28/ /24/ /27/2018 USD ,169, SELL O F USUltraLongBond_Future_ /19/ /24/ /27/2018 USD ,124, BUY C F CA10Yr_Future_ /18/ /30/ /31/2018 CAD , BUY O F EurBund_Future_ /06/ /30/ /31/ ,490, BUY O F US10YrNote_Future_ /19/ /30/ /31/2018 USD ,681, BUY O F US5YrNote_Future_ /31/ /30/ /31/2018 USD , SELL C F EurBobl_Future_ /06/ /30/ /31/ ,440, SELL O F EurBuxl_Future_ /06/ /30/ /31/ , SELL O F USUltraLongBond_Future_ /19/ /30/ /31/2018 USD , BUY C F DJIndustrialsCoMini_Future_201 09/21/ /30/ /31/2018 USD 26, , BUY C F FTSE100_Future_ /21/ /30/ /31/2018 GBP 7, ,028, BUY C F S&P500Mini_Future_ /21/ /30/ /31/2018 USD 2, , BUY C F SMI_Future_ /21/ /30/ /31/2018 CHF 9, ,959, SELL C F DAX30_Future_ /21/ /30/ /31/ , , SELL O F OSTOXX50_Future_ /21/ /30/ /31/2018 3, , QFS SICAV - Alternative Risk Premia I dis Page 24 of 30