ADEQUITY ALPHA - 225 100% SG
ADEQUITY ALPHA - 225 1 2-3 4 5 6 7 8 9 10-29 30-31 32 33-34 35 2
ADEQUITY ALPHA - 225 Close Trustees (Cayman) Limited Lyxor Asset Management P.O. Box 1034 Harbour Place, 4th Floor Tour Société Générale 103 South Church Street 17 Cours Valmy Grand Cayman KY1-1102 92987 Paris-La Défense Cayman Islands France Close Trustees (Cayman) Limited Société Générale P.O. Box 1034 29 boulevard Haussmann Harbour Place, 4th Floor 75009 Paris 103 South Church Street France Grand Cayman KY1-1102 Cayman Islands PricewaterhouseCoopers 29 boulevard Haussmann P.O. Box 258 75009 Paris Strathvale House France George Town Grand Cayman KY1 1104 Cayman Islands 1
- ADEQUITY ALPHA 225-225 ADEQUITY Alpha 2006 6 12011 1 31 8 : 10.00 2006 6 6 : 10.10 2011 1 31 : 7.76 2011 1 31 2006 6 6 2011 1 31 AKZO NOBEL 0.00% 5.69% 5.69% ALLIANZ 0.00% 7.83% 7.83% BANCO BILBAO VIZCAYA 0.00% 3.89% 3.89% BASF 0.00% 8.61% 8.61% BMW 0.00% 4.86% 4.86% CREDIT AGRICOLE SA 0.00% 2.31% 2.31% DAIMLER 0.00% 8.74% 8.74% DEUTSCHE BANK AG 0.00% 1.86% 1.86% GDF SUEZ 0.00% 1.86% 1.86% HEIDELBERGEMENT AG 0.00% 3.80% 3.80% ING GROEP NV 0.00% 3.80% 3.80% INTESA SAN PAOLO SPA 0.00% 2.88% 2.88% KONINKLIJKE AHOLD NV 0.00% 1.02% 1.02% LINDE AG 0.00% 9.48% 9.48% NOKIA OYJ 0.00% 2.56% 2.56% RANDSTAD HOLDING NV 0.00% 1.06% 1.06% ROYAL PHILIPS 0.00% 0.75% 0.75% RWE AG 0.00% 1.68% 1.68% SANOFI-AVENTIS 0.00% 3.66% 3.66% SAP AG 0.00% 9.10% 9.10% UNIBAIL RODAMCO 0.00% 3.17% 3.17% ALL NIPPON AIRWAYS 0.00% 0.03% 0.03% ASTELLAS PHARMA INC ( YAMANOUCHI PHARM) 0.31% 0.00% -0.31% CASIO COMPUTER 0.00% 0.00% 0.00% CREDIT SAISON 0.41% 0.00% -0.41% DAI NIPPON PRINT 0.00% 0.00% 0.00% DAIKIN INDUSTRIES LTD 0.00% 1.50% 1.50% 2011 1 31 ADEQUITY Alpha - 225 2006 6 1 225 2014 6 2 2011 1 31 7.76 22.40% 225 34.39% 2
DAIWA HOUSE IND 0.00% 0.00% 0.00% DENSO 0.26% 0.00% -0.26% DOWA MINING 0.00% 0.00% 0.00% FUJIFILM HOLDINGS CORP 0.00% 1.04% 1.04% HITACHI CONST 0.00% 0.00% 0.00% ITOCHU CORP 0.00% 0.00% 0.00% JFE HOLDINGS 0.00% 0.00% 0.29% JGC CORPORATION 0.00% 0.00% 0.00% JTEKT 0.00% 0.00% 0.00% KAO CORPORATION 6.19% 0.00% -6.19% KAWASAKI HVY IND 0.00% 0.00% 0.00% KAWASAKI KISEN 0.00% 0.00% 0.00% KEIO ELEC RAIL 0.00% 0.00% 0.00% KUBOTA CORP 0.00% 0.00% 0.00% MITSUBISHI CORP 0.00% 0.96% 0.96% MITSUI CHEMICALS 0.00% 0.00% 0.00% MIZUHO SECURITIES CO 0.00% 0.14% 0.14% NIP MEAT PACKERS 0.00% 0.00% 0.00% NISSAN MOTOR CO 0.00% 0.00% 0.00% NTT DATA 0.33% 0.00% -0.33% OJI PAPER 0.00% 0.00% 0.00% PACIFIC METALS 0.00% 0.00% 0.00% SECOM 1.88% 0.00% -1.88% SHARP CORP 0.00% 0.00% 0.00% SHIN-ETSU CHEM 0.43% 0.00% -0.43% SHINKO SECS 0.00% 0.00% 0.00% SOFTBANK 0.17% 0.00% -0.17% SUMITOMO RE&DEV 1.87% 0.00% -1.87% TOKYO GAS CO LTD 0.00% 0.00% 0.00% TOYOTA MOTOR CO 6.18% 0.00% -6.18% TREND MICRO INC 1.32% 0.01% -1.31% UBE INDUSTRIES 0.00% 0.00% 0.00% YAMATO TRANSPORT 0.00% 0.00% 0.00% YOGOKAWA ELEC 0.00% 0.00% 0.00% 95.85% 92.29% -3.56% SGA 4.15% 7.77% 3.62% 4.15% 7.77% 3.62% 100.00% 100.06% 0.06% 0.00% -0.06% 0.06% 2011 1 31 38,457,958.86 1,008,752.51 3
ADEQUITY ALPHA - 225 ALPHA - 225 Close Trustees (Cayman) Limited ALPHA - 225 4
ADEQUITY ALPHA - 225 Adequity Alpha - 225 Adequity Alpha - 225 ( ) ( ) E International Standards on Auditing Adequity Alpha - 225 5
ADEQUITY ALPHA - 225 2(i) 0.00 0.00 1 2(d) 8 38,476,349.59 37,778,678.73 723,106.15 0.00 39,199,455.74 37,778,678.73 2(i) 5 723,426.79 320.83 2(k) 18,070.09 15,900.67 ( 741,496.88 16,221.50 ) 38,457,958.86 37,762,457.23 39,199,455.74 37,778,678.73 Close Trustees (Cayman) Limited Alpha - 225 6
ADEQUITY ALPHA - 225 0.00 585,641.88 (1,999,634.76) (12,993,622.28) 3,031,340.01 15,083,499.59 2(d) 1,031,705.25 2,089,877.31 ( ) 1,031,705.25 2,675,519.19 3 (188,766.57) (181,542.52) (188,766.57) (181,542.52) 842,938.68 2,493,976.67 2(l) 0.00 0.00 0.00 0.00 842,938.68 2,493,976.67 7
ADEQUITY ALPHA - 225 37,762,457.23 35,452,035.88 6 20,832.58 18,963.75 6 (168,269.63) (202,519.07) 37,615,020.18 35,268,480.56 842,938.68 2,493,976.67 ( ) 7 38,457,958.86 37,762,457.23 8
ADEQUITY ALPHA - 225 (333,814,359.41) (318,330,607.80) 333,238,690.50 324,688,171.66 0.00 585,641.88 186,597.15 78,913,642.25 0.00 (85,489,050.35) (186,597.15) (184,290.11) (575,668.91) 183,507.53 0.00 0.00 20,832.58 18,963.75 (168,269.63) (202,519.07) (147,437.05) (183,555.32) (723,105.96) (47.79) (320.83) (273.04) (723,426.79) (320.83) 9
ADEQUITY ALPHA - 225 E 10.00 3% 96 96 10
ADEQUITY ALPHA - 225 ( ) 3 6 9 12 15 18 21 24 27 30 33 36 39 42 45 48 51 54 57 60 63 66 69 72 75 78 81 84 87 90 93 96 7 70% [A/B]-1 A B 1 Adequity Adequity Alpha - 225 11
ADEQUITY ALPHA - 225 ( ) Alpha 225 225 225 (a) (b)(1) (2) (a) (b) (1) x 1 + (2) x [X/Y] + X Y 12
ADEQUITY ALPHA - 225 ( ) 70% 30% 7 (a) (b)(1) (2) (a) (b) 13
ADEQUITY ALPHA - 225 ( ) 25.1(c) 50% 2 (a) 23 32 39 9 14
ADEQUITY ALPHA - 225 ( ) 39 7 1 2 8 9 39 15 16 17 18 19 24 27 34 3 9 : 13 (b) 15
ADEQUITY ALPHA - 225 ( ) (c) (d) SGA Société Générale Acceptance N.V. 16
ADEQUITY ALPHA - 225 ( ) 10,000 (Monte Carlo approach) BLOOMBERG TOTEM ( ) 7 1 2 3 (e) 17
ADEQUITY ALPHA - 225 ( ) (f) (g) 32 (h) (i) (j) (k) 18
ADEQUITY ALPHA - 225 ( ) (l) (m) 3 0.50% 3% 3% Adequity Adequity 1% 19
ADEQUITY ALPHA - 225 ( ) 4 14 26 26A 5 723,426.79 320.83 6 4,975,055.370 5,000,267.960 2,682.550 2,546.440 (22,046.420) (27,759.030) 4,955,691.500 4,975,055.370 20
ADEQUITY ALPHA - 225 ( ) 7 38,457,958.86 37,762,457.23 4,955,691.50 4,975,055.37 7.76 7.59 8 (a) 3 667,053,049.91 100.00 0.00 0.00 643,018,779.46 100.00 0.00 0.00 (b) 21
ADEQUITY ALPHA - 225 ( ) 9 10 11 12 13 14 15 (a) (b) 22 MVaR
ADEQUITY ALPHA - 225 ( ) 40 40 99% 99%Adequity Alpha - 225 10.50% 10.93% 2d 23
ADEQUITY ALPHA - 225 ( ) 1 3 1 3 1 5 5 : - - 2,988,321.03-35,488,028.56 38,476,349.59 - - - - 723,106.15 723,106.15 - - 2,988,321.03-36,211,134.71 39,199,455.74 - - - - 18,070.09 18,070.09 723,426.79 - - - - 723,426.79 - - - 38,457,958.86 38,457,958.86 723,426.79 - - - 38,476,028.95 39,199,455.74 (723,426.79) - 2,988,321.03 - (2,264,894.24) - 1 3 3 1 1 5 5 - - 2,414,979.28-35,363,699.45 37,778,678.73 - - 2,414,979.28-35,363,699.45 37,778,678.73 - - - - 15,900.67 15,900.67 320.83 - - - - 320.83 - - - - 37,762,457.23 37,762,457.23 320.83 - - - 37,778,357.90 37,778,678.73 (320.83) - 2,414,979.28 - (2,414,658.45) - 24
ADEQUITY ALPHA - 225 ( ) 2,988,321.03 34,078,279.97 1,409,748.59 723,106.15 0.00 0.00 (741,496.88) 0.00 0.00 2,969,930.30 34,078,279.97 1,409,748.59 2,414,979.28 35,363,699.45 0.00 0.00 (16,221.50) 0.00 2,398,757.78 35,363,699.45 1.00000 1.371 0.01215 1.00000 0.01107 25
ADEQUITY ALPHA - 225 ( ) (c) 38,457,958.86 37,762,457.23 1.84% 3 3 12 12 18,070.09 - - - 18,070.09 723,426.79 - - - 723,426.79 38,457,958.86 - - - 38,457,958.86 39,199,455.74 - - - 39,199,455.74 3 12 3 12 15,900.67 - - - 15,900.67 320.83 - - - 320.83 37,762,457.23 - - - 37,762,457.23 37,778,678.73 - - - 37,778,678.73 26
ADEQUITY ALPHA - 225 ( ) 2(d) 1 2 3 35,488,028.56-2,988,321.03 38,476,349.59 35,488,028.56-2,988,321.03 38,476,349.59 - - - - - - - - 2(d) 1 2 3 35,363,699.45-2,414,979.28 37,778,678.73 35,363,699.45-2,414,979.28 37,778,678.73 - - - - - - - - 7 27
ADEQUITY ALPHA - 225 ( ) 3 2,414,979.28 2,414,979.28 83,902,754.55 83,902,754.55 (78,165,092.03) (78,165,092.03) (5,164,320.77) (5,164,320.77) 2,988,321.03 2,988,321.03 586,620.74 586,620.74 3 1,931,623.25 1,931,623.25 85,489,050.35 85,489,050.35 (78,913,642.25) (78,913,642.25) (6,092,052.07) (6,092,052.07) 2,414,979.28 2,414,979.28 492,742.73 492,742.73 (d) 28
ADEQUITY ALPHA - 225 ( ) A+ A+ (e) (f) Adequity 16 29
ADEQUITY ALPHA - 225 () ( ) 49,557,255.00 2,988,321.03 7.77 2,988,321.03 7.77 NOKIA OYJ 91,422.00 983,915.56 2.56 CREDIT AGRICOLE SA 59,271.00 889,802.92 2.31 GDF SUEZ 18,007.00 716,557.51 1.86 SANOFI-AVENTIS 20,849.00 1,406,760.53 3.66 UNIBAIL RODAMCO 6,372.00 1,218,673.67 3.17 ALLIANZ SE-NOM 21,890.00 3,011,622.92 7.83 BASF SE 42,913.00 3,311,750.27 8.61 BMW 23,893.00 1,870,442.00 4.86 DAIMLER 44,750.00 3,362,103.30 8.74 DEUTSCHE BANK AG-NOM 11,976.00 716,365.16 1.86 HEIDELBERGCEMENT AG 22,125.00 1,459,945.34 3.80 LINDE AG 25,232.00 3,644,380.14 9.48 RWE AG 8,940.00 645,194.79 1.68 SAP AG 60,552.00 3,499,157.78 9.10 BCO BILBAO VIZCAYA 122,643.00 1,495,468.76 3.89 INTESA SANPAOLO SPA 335,701.00 1,108,042.42 2.88 ALL NIPPON AIRWAYS 2,805.00 10,401.96 0.03 DAIKIN INDUSTRIES 16,522.00 576,536.63 1.50 FUJIFILM HOLDINGS CORP 10,721.00 398,877.11 1.04 MITSUBISHI CORPORATION 13,055.00 367,460.16 0.95 MIZUHO SECURITIES 19,781.00 53,633.42 0.14 TREND MICRO 93.00 2,839.31 0,01 AKZO NOBEL NV-CVA 34,723.00 2,187,936.51 5.69 ING GROEP NV-CVA 128,447.00 1,460,932.54 3.80 KONINKLIJKE AHOLD 29,067.00 392,132.43 1.02 RANDSTAD HOLDING NV 7,379.00 407,497.01 1.06 ROYAL.PHILIPS ELECTR 9,176.00 289,598.41 0.75 35,488,028.56 92.27 38,476,349.59 100.04 32,307,995.25 30
ADEQUITY ALPHA - 225 () ( ) 49,750,893.70 2,414,979.28 6.40 2,414,979.28 6.40 ASTELLAS PHARMA INC 22,144.00 839,014.71 2.22 CASIO 7,225.00 54,349.43 0.14 CREDIT SAISON CO LTD 127,757.00 1,671,560.110 4.43 DAI NIPPON PRINTING 90,077.00 1,258,393.290 3.33 DAIWA HOUSE IND 129,714.00 1,386,760.810 3.67 DENSO CORP 28,911.00 868,000.15 2.30 DOWA HOLDINGS 62,253.00 352,426.52 0.93 HITACHI CONST MACH 27,425.00 617,995.03 1.64 ITOCHU CORP 71,423.00 569,715.43 1.51 JFE HOLDINGS 3,137.00 109,474.37 0.29 JGC 136,740.00 2,619,256.100 6.94 JTEKT CORP 120,005.00 1,447,820.150 3.83 KAO CORP 58,128.00 1,439,296.610 3.81 KAWASAKI HEAVY IND 14,961.00 39,613.75 0.10 KAWASAKI KISEN 172,312.00 608,966.78 1.61 KEIO CORP 95,296.00 608,113.37 1.61 KUBOTA CORPORATION 93,348.00 867,669.58 2.30 MITSUI CHEMICALS 14,493.00 39,659.08 0.10 MIZUHO SECURITIES 163,390.00 506,840.02 1.34 NIPPON MEAT PACKER 101,729.00 1,285,931.440 3.41 NISSAN MOTOR CO LTD 144,316.00 1,170,342.450 3.10 NTT DATA 704.00 2,257,920.370 5.98 OJI PAPER 58,990.00 253,569.79 0.67 PACIFIC METALS CO 51,706.00 354,011.04 0.94 SECOM CO LTD 42,742.00 1,979,331.410 5.24 SHARP CORPORATION 119,031.00 1,472,992.890 3.90 SHIN-ETSU CHEMICAL 25,677.00 1,362,596.250 3.61 SOFTBANK CORP 135,836.00 3,528,946.920 9.35 SUMITOMO REALTY 29,136.00 532,277.34 1.41 TOKYO GAS CO LTD 204,878.00 833,007.26 2.21 TOYOTA MOTOR CORP 16,142.00 636,641.19 1.69 TREND MICRO INC 93.00 3,554.59 0.01 UBE INDUSTRIES LTD 19,298.00 51,952.44 0.14 YAMATO HOLDINGS 246,085.00 3,410,592.610 9.03 YOKOGAWA ELECTRIC 39,127.00 325,106.17 0.86 35,363,699.45 93.65 37,778,678.73 100.05 34,641,664.40 31
ADEQUITY ALPHA - 225 (9,926,024.60) (12,420,001.27) 842,938.68 2,493,976.67 0.00 0.00 0.00 0.00 842,938.68 2,493,976.67 (9,083,085.92) (9,926,024.60) 32
ADEQUITY ALPHA - 225 7.77 6.40 7.77 6.40 NOKIA OYJ 2.56 0.00 CREDIT AGRICOLE SA 2.31 0.00 GDF SUEZ 1.86 0.00 SANOFI-AVENTIS 3.66 0.00 UNIBAIL RODAMCO 3.17 0.00 ALLIANZ SE-NOM 7.83 0.00 BASF SE 8.61 0.00 BMW 4.86 0.00 DAIMLER 8.74 0.00 DEUTSCHE BANK AG-NOM 1.86 0.00 HEIDELBERGCEMENT AG 3.80 0.00 LINDE AG 9.48 0.00 RWE AG 1.68 0.00 SAP AG 9.10 0.00 BCO BILBAO VIZCAYA 3.89 0.00 INTESA SANPAOLO SPA 2.88 0.00 AKZO NOBEL NV-CVA 5.69 0.00 ING GROEP NV-CVA 3.80 0.00 KONINKLIJKE AHOLD 1.02 0.00 RANDSTAD HOLDING NV 1.06 0.00 ROY.PHILIPS ELECTR 0.75 0.00 33
ADEQUITY ALPHA - 225 ( ) ALL NIPPON AIRWAYS 0.03 0.00 ASTELLAS PHARMA INC 0.00 2.22 CASIO 0.00 0.14 CREDIT SAISON CO LTD 0.00 4.43 DAI NIPPON PRINTING 0.00 3.33 DAIKIN INDUSTRIES LTD 1.50 0.00 DAIWA HOUSE IND 0.00 3.67 DENSO CORP 0.00 2.30 DOWA HOLDINGS 0.00 0.93 FUJIFILM HOLDINGS CORP 1.04 0.00 HITACHI CONST MACH 0.00 1.64 ITOCHU CORP 0.00 1.51 JFE HOLDING 0.00 0.29 JGC 0.00 6.94 JTEKT CORP 0.00 3.83 KAO CORP 0.00 3.81 KAWASAKI HEAVY IND 0.00 0.10 KAWASAKI KISEN 0.00 1.61 KEIO CORP 0.00 1.61 KUBOTA CORPORATION 0.00 2.30 MITSUBISHI CORPORATION 0.95 0.00 MITSUI CHEMICALS 0.00 0.10 MIZUHO SECURITIES 0.14 1.34 NIPPON MEAT PACKER 0.00 3.41 NISSAN MOTOR CO LTD 0.00 3.10 NTT DATA 0.00 5.98 OJI PAPER 0.00 0.67 PACIFIC METALS CO 0.00 0.94 SECOM CO LTD 0.00 5.24 SHARP CORPORATION 0.00 3.90 SHIN-ETSU CHEMICAL CO LTD 0.00 3.61 SOFTBANK CORP 0.00 9.35 SUMITOMO REALTY & DEVELOPMENT 0.00 1.41 TOKYO GAS CO LTD 0.00 2.21 TOYOTA MOTOR CORP 0.00 1.69 TREND MICRO INC 0.01 0.01 UBE INDUSTRIES LTD 0.00 0.14 YAMATO HOLDINGS 0.00 9.03 YOKOGAWA ELECTRIC 0.00 0.86 92.29 93.65 100.06 100.05 34
ADEQUITY ALPHA - 225 38,457,958.86 7.76 37,762,457.23 7.59 35,452,035.88 7.09 8.12 7.09 7.86 5.99 10.05 5.90 12.14 8.81 11.52 9.30 35