May 2017
All data expressed as at 28 April 2017
www.schroders.co.uk
Schroder GAIA
BlueTrend
C Accumulation GBP Hedged Share Class
Fund Launch Date
09 December 2015
Total Fund Size (Million)
USD 263.0
Share Price End of Month (GBP)
84.22
Fund Manager
Leda Braga & David Kitson
(Systematica)
Investment Objective and Policy
The fund aims to provide capital growth by investing in bonds, equity, foreign exchange and commodity markets.
The investment manager has established a sophisticated computerised system which through quantitative analysis
identifies trends and price patterns to determine trades which are then placed. The investment manager seeks to
exploit opportunities where prices display persistent and identifiable upward or downward trends.The fund invests
globally in bonds, shares, foreign exchange and commodities, as well as in cash, deposits, money market
instruments and investment funds investing in such instruments.The fund uses derivatives extensively.
Investments can be made directly by purchasing physical holdings and/or indirectly by entering into financial
derivative instruments. Investments in commodities will be made indirectly using a combination of linked bonds,
options, swaps and/or commodity indices. The fund may hold synthetic short positions and may be net long or net
short when long and short positions are combined.Recommendation: Investors should seek independent advice
and satisfy themselves that they have an understanding of the techniques employed by the manager.
Performance Analysis
Performance (%)
1 month
3
months
YTD
1 year
5 years
0.8
1.3
-0.9
-13.0
---
Fund
Since Average p.a.
Launch since launch
-15.8
-11.7
Monthly Returns
(%)
Jan Feb Mar Apr May Jun Jul Aug Sep
Oct Nov
Dec
Year End
2015
2016
2017
--6.6
-2.2
---4.7
---
-1.4
0.8
---
-1.4
-13.8
---
Fund
Fund
Fund
Discrete Yearly
Performance (%)
--- --- --2.0 -3.0 -6.9
1.8 -1.2 0.8
---2.8
---
--2.8
---
--- --- --2.7 -4.0 -6.4
--- --- ---
---0.8
---
Q1/2016 Q1/2017
Q1/2015 Q1/2016
Q1/2014 Q1/2015
Q1/2013 Q1/2014
Q1/2012 Q1/2013
-19.6
---
---
---
---
Fund
Performance Since Launch (%)
10.0
Past performance is not a reliable indicator of
future results, prices of shares and the income
from them may fall as well as rise and investors
may not get back the amount originally invested.
All fund performance data are on a NAV to NAV
basis, net income reinvested. Data is not available
for the time periods with no % growth stated. In case
a share class is created after the fund's launch date,
a simulated past performance is used, based upon
the performance of an existing share class within the
fund, taking into account the difference in the
ongoing charges and the portfolio transaction costs,
and including the impact of any performance fees if
applicable.
Source: Schroders
Prospective investors should consult with their
independent financial advisor with respect to their
specific investment objectives, financial situation or
particular needs to determine the suitability of
investment.
http://Schroder-GAIA-BlueTrend-GBP-Hedged-C-Acc-FMR-UKEN
5.0
0.0
-5.0
-10.0
-15.0
-20.0
Dec 2015
Feb 2016
May 2016
Aug 2016
Nov 2016
Feb 2017
Schroder GAIA
BlueTrend
Fund Manager
Comment
The fund posted positive performance in the month, mainly driven by equities and bonds, with small contributions
from specific commodities.
In April, the focus shifted towards France and its upcoming presidential election. Syrian air strikes continued and
US vs North Korea tensions rose. In the UK, Prime Minister Theresa May called a snap election in an attempt to
solidify her backing for negotiations with the European Union.
Equities responded positively to the narrow victory of Emmanuel Macron, following the first round of voting in the
French presidential election. Negative trading leading into elections was quickly rectified with France and Germany
leading the way in positive performance. Equities also performed well globally, with the MXWO World Index
gaining 1.5%. In US equities it was the NASDAQ that led with a strong rally gaining 2.8%. The fund maintained a
net long delta in equities through the end of April.
The fund increased its long bonds (short yields) net delta throughout the month. The positioning significantly
benefited the fund ahead of the French presidential election, but slightly detracted from performance after the
event. The French 10-year bond yield had been relatively elevated through Q1. We saw buying of German bonds
into the election and a subsequent reduction of those long trades afterwards. In the US, 10-year bond yields
continued to slowly descend from the year's high of 2.6%. Minor losses in Europe were eclipsed by gains in the
sector, although modest compared to intra-month positive performance.
Despite maintaining a positive outlook for oil prices, "black gold" fell under its own weight of supply. Continued
increases in inventory were met with sharp reductions in risk and oil prices dropped below the $50 mark. The
upcoming Saudi Aramco IPO could result in efforts to squeeze the spot price of oil higher, although inventory
builds persist. The side effects of oil prices were also felt in its second derivatives as gasoline saw heavy losses.
The fund had minimal positioning in the energy space throughout April. The net short delta was squeezed at the
start of the month, but gradually increased towards month-end. Metals had a relatively flat month. Base metals
continue to hold at inflated levels as investors await any news from the US administration on infrastructure
spending. In precious metals, gold and silver benefited from inflows ahead of the French presidential election, only
to give their leads back after the perceived risk was nullified. The fund maintained a net long delta in the metals
space, with predominantly long base metals and short precious metals positioning. In agriculture, oversupply of
products led wheat and corn to reach new lows. Cocoa continued its lengthy decline and traded to ten-year lows.
The fund maintained a net short delta in agriculture. A similar story was seen in meats as lean hogs and live cattle
were squeezed throughout the month due to poor weather conditions.
In FX the US dollar lost ground during the month to both the G-10 and emerging market (EM) FX crosses. The
British pound rallied the most against the US dollar, recovering from some of its poor performance since Brexit last
June. Elsewhere, the euro was well-offered into the French election and climbed to year-to-date highs shortly after.
The New Zealand dollar was the worst performer in G-10. In EM, the Czech central bank lifted the floor on the peg
versus the euro, allowing for the strongest performance among EM pairs. The Turkish lira also performed well
following the referendum. The fund maintained its net short US dollar versus G-10 pairs and net long US dollar
versus EM FX pairs.
Portfolio Structure
Exposure Analysis (%)
Source: Schroders
Gross Rates Long
Gross Equities Long
Number of Positions
1,167.1
Long
254
102.4
Short
168
Gross FX Long
64.8
Gross Commodity Long
28.2
Gross CDS / CDX Long
12.8
Gross Equities Short
-3.9
Gross Commodity Short
-53.6
Gross FX Short
-87.9
Gross Rates Short
Fund Gross Exposure
Fund Net Exposure
Fund Gross Exposure (delta-adjusted)
Fund Net Exposure (delta-adjusted)
Cash & Cash Equivalents
-790.9
2,311.7
439.0
2,311.7
439.0
34.8
Schroder GAIA
0
1
2
3
4
5
6
7
8
9
0
1
2
3
4
5
6
7
8
9
0
1
2
3
4
5
6
7
8
9
0
1
2
3
4
5
6
BlueTrend
Holdings Analysis
Top 10 Long Holdings
Stock names have been suppressed for short
positions. Source: Schroders
Holdings
Sector
1.
F/C 3Mo Euro Euribor
Others
233.5
2.
F/C 90Day Sterling Fu
Others
162.1
3.
F/C 90 Day Bank Bill
Others
112.9
4.
F/C Bank Accept Futr
Others
74.5
5.
US Treasury
Government
63.5
6.
F/C Jpn 10Y Bond(Ose) Jun17
Government
50.8
7.
F/C Long Gilt Future Jun17
Government
37.3
8.
F/C Asx 90 Day Bank Bill
Others
36.4
9.
F/C Short Euro-Btp Fu Jun17
Government
17.5
10.
F/C Aust 3Yr Bond Fut Jun 17
Government
14.8
Top 10 Short Holdings
Sector
Country
1.
Government
South Korea
-14.3
2.
Government
South Korea
-8.9
Asset Allocation (%)
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
% NAV
% NAV
Region
Sector
Interest Rate 3 Month
Long
Europe
Interest Rate Long
Short
Bonds
Net position
North America
FX
Source: Schroders
Equity
Asia Pacific
Agricultural
Energy
Emerging Markets
Metals
CDS
Other
Volatility
-600
-400
-200
0
200
400
600
Currency
Euro
Other
US Dollar
UK Sterling
Japanese Yen
Swiss Franc
Singapore Dollar
-400 -300 -200 -100
0
100 200 300 400 500
-600
-400
-200
0
200
400
600
800
Schroder GAIA
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
BlueTrend
Performance
Contribution
Analysis expressed is month to date contribution on
a gross of fees basis using a total return
methodology. The impact of any currency movement
at a position level is reflected within each position's
return. Stock names have been suppressed for short
positions.
Summary
(%)
Long Equity
0.9
Short Equity
-0.6
Corporate Bonds
Index Options
Currency
Other
0.5
0.0
-0.3
0.0
Source: Schroders
Region
0.2
United Kingdom
0.0
North America
0.2
Pacific ex-Japan
0.1
Emerging Markets
Other (including Cash & FX)
Liquidity Breakdown
Historic data based on 20% participation rate in
average traded volumes over last 20 days assuming
100% redemption. This data is a representation only
and should not be viewed as an indication of
ongoing/future liquidity. Percentages for liquidity
assessment are subject to change.
Source: Schroders
Risk Considerations
(%)
Europe ex-UK
Summary
0.0
-0.0
% NAV
1.
1 to 3 days
100.0
2.
4 to 5 days
0.0
3.
6 to 10 days
0.0
4.
>10 days
0.0
Counterparty risk: The counterparty to a derivative or other contractual agreement or synthetic financial product
could become unable to honour its commitments to the fund, potentially creating a partial or total loss for the fund.
Counterparty risk / money market & deposit: A failure of a deposit institution or an issuer of a money market
instrument could create losses.
Credit risk: A decline in the financial health of an issuer could cause the value of its bonds to fall or become
worthless.
Currency risk: The fund can be exposed to different currencies. Changes in foreign exchange rates could create
losses.
Derivatives risk: A derivative may not perform as expected, and may create losses greater than the cost of the
derivative.
Equity risk: Equity prices fluctuate daily, based on many factors including general, economic, industry or company
news.
High yield bond risk: High yield bonds (normally lower rated or unrated) generally carry greater market, credit and
liquidity risk.
Interest rate risk: A rise in interest rates generally causes bond prices to fall.
Leverage risk: The fund uses derivatives for leverage, which makes it more sensitive to certain market or interest
rate movements and may cause above-average volatility and risk of loss.
Liquidity risk: In difficult market conditions, the fund may not be able to sell a security for full value or at all. This
could affect performance and could cause the fund to defer or suspend redemptions of its shares.
Operational risk: Failures at service providers could lead to disruptions of fund operations or losses.
Short selling risk: The fund may take positions that seek to profit if the price of a security falls. A large rise in the
price of the security may cause large losses.
Capital risk / distribution policy: the expenses of this share class are paid out of capital rather than out of
investment income. Capital growth will be reduced and in periods of low growth capital erosion may occur.
Currency risk / hedged share class: Changes in exchange rates will affect the returns on your investment. The aim
of this hedged share class is to provide you with the performance returns of the fund's investments by reducing the
effects of exchange rate fluctuations between this currency and the fund's base currency.
Schroder GAIA
BlueTrend
Information
Schroder Investment Management (Luxembourg) S.A.
5, rue Höhenhof
1736 Senningerberg
Luxembourg
Tel.: (352) 341 342 212
Fax: (352) 341 342 342
For your security, communications may be taped or
monitored.
SEDOL
Bloomberg
Reuters
ISIN
CEDEL
Fund Domicile
Fund Base Currency
Dealing Frequency
Accumulation
BZBWK09
SCGBCAG:LX
LU1293074123.LUF
LU1293074123
129307412
Luxembourg
USD
Distribution
BZBWK21
SCGBCDG:LX
LU1293074396.LUF
LU1293074396
129307439
Weekly on Wednesdays and Month End (3 days notice)
Entry Charge
1.00 % of gross investment amount
Ongoing Charges (latest
available)
2.02 %
Performance Fee
20% of the absolute outperformance over a High Water
Mark.
Distribution Fee
Settlement Timing
0.00 %
T+3 days
Third party data is owned or licensed by the data provider and may not be reproduced or extracted and used for any other purpose without the data provider's consent. Third
party data is provided without any warranties of any kind. The data provider and issuer of the document shall have no liability in connection with the third party data. The
Prospectus and/or www.schroders.com contain additional disclaimers which apply to the third party data.
This document does not constitute an offer to anyone, or a solicitation by anyone, to subscribe for shares of Schroder GAIA (the "Company"). Nothing in this document
should be construed as advice and is therefore not a recommendation to buy or sell shares. Subscriptions for shares of the Company can only be made on the basis of its
latest Key Investor Information Document and prospectus, together with the latest audited annual report (and subsequent unaudited semi-annual report, if published), copies
of which can be obtained, free of charge, from Schroder Investment Management (Luxembourg) S.A. The Company is a Luxembourg-registered UCITS recognised in the
UK under Section 264 of the Financial Services and Markets Act 2000. There will be no right to cancel any agreements to purchase shares under section 6.7 of the UK
Financial Services Conduct of Business Sourcebook. All or most of the protection provided by the UK regulatory system does not apply to investments in the Company and
compensation will not be available under the UK Financial Services Compensation Scheme. An investment in the Company entails risks, which are fully described in the
prospectus. Schroders has expressed its own views and opinions in this document and these may change.
This document is issued by Schroder Investment Management (Luxembourg) S.A., 5, rue Höhenhof, L-1736 Senningerberg, Luxembourg. Registered No. B 37.799.
Approved for issue in the UK by Schroder Investment Management Limited, 31, Gresham Street, London EC2V 7QA. Authorised and regulated by the Financial Conduct
Authority. Registration No. 1893220, England.