ZENIT MULTISTRATEGY SICAV · 2017-10-12 · ZENIT MULTISTRATEGY SICAV "Société d’Investissement à Capital Variable" ("SICAV") incorporated under Luxembourg law Annual Report

ZENIT MULTISTRATEGY SICAV

"Société d’Investissement à Capital Variable" ("SICAV")

incorporated under Luxembourg law

Annual Report including audited financial statements

As at December 31st

, 2016

Luxembourg Trade and Companies Register (R.C.S.) No. B 121.973

Subscriptions may only be accepted on the basis of the latest prospectus which is only valid if accompanied by the last

available annual report including audited financial statements and, if applicable, the last available unaudited semi-

annual report if the latter was published after the last annual report including audited financial statements.

ZENIT MULTISTRATEGY SICAV Table of Contents

2

Organization ...................................................................................................................................................... 3

General Information of the SICAV ..................................................................................................................... 4

Board of Directors' Report ................................................................................................................................ 5

Report of the Réviseur d’Entreprises agréé ....................................................................................................... 7

Combined Statement of Net Assets as at December 31st

, 2016 ....................................................................... 9

Combined Statement of Operations and Changes in Net Assets

from January 1st

, 2016 to December 31st

, 2016 ............................................................................................. 10

Statement of Net Assets as at December 31st

, 2016 ....................................................................................... 11

Statement of Operations and Changes in Net Assets

from January 1st

, 2016 to December 31st

, 2016 .............................................................................................. 12

Schedule of Investments as at December 31st

, 2016 ...................................................................................... 14

Geographic Allocation as at December 31st

, 2016 .......................................................................................... 21

Economic Allocation as at December 31st

, 2016 ............................................................................................. 22

Allocation by Currency as at December 31st

, 2016 ......................................................................................... 25

Changes in the Number of Shares ................................................................................................................... 26

Changes in Capital, Total Net Assets and Net Asset Value per Share ............................................................. 27

Notes to the Financial Statements as at December 31st, 2016 ....................................................................... 28

Other Information - Unaudited ....................................................................................................................... 36


Organization

(*) Cf. note 12

3

Registered Office :

12, rue Eugène Ruppert, L-2453 Luxembourg

Date of incorporation:

November 29th

, 2006

Board of Directors :

Chairman :

- Mr Marco Simion, Senior Portfolio Manager,

Member of the Investment Committee, Zenit SGR Spa, Milano.

Directors :

- Mr Marco Rosati, Chief Executive Officer, Zenit SGR Spa., Milano.

- Mr Régis Leoni, Sous-Directeur, Banque Degroof Petercam Luxembourg S.A. (*)

- Mrs Danièla Di Dodo, Fondé de Pouvoir Principal, Banque Degroof Petercam Luxembourg S.A. (*)

Co - Promoters:

Banque Degroof Petercam Luxembourg S.A. (*)


Zenit SGR Spa

Via Privata Maria Teresa, 7, I-20123 Milano

Management Company :

Degroof Petercam Asset Services S.A. (*)


Investment Manager :

Zenit SGR Spa

Via Privata Maria Teresa, 7, I-20123 Milano

Custodian, Domiciliary and Corporate Agent, Administrative Agent, Paying Agent,

Registrar and Transfer Agent:

Banque Degroof Petercam Luxembourg S.A. (*)


Cabinet de Révision Agréé :

Deloitte Audit

Société à responsabilité limitée

560, rue de Neudorf

L-2220 Luxembourg

ZENIT MULTISTRATEGY SICAV General Information of the SICAV

4

ZENIT MULTISTRATEGY SICAV (the “SICAV”) was established as an Investment Company with Variable

Capital (“SICAV”) on November 29th

, 2006 for an unlimited period, in accordance with part I of the

Law of December 17th

, 2010 relating to Undertakings for Collective Investment in transferable

securities ("UCITS") of the Grand-Duchy of Luxembourg as amended.

Its Articles are registered with the «Greffe du Tribunal d’Arrondissement» of Luxembourg where they

are available for inspection. Copies may be obtained there.

Unaudited semi-annual reports and annual reports including audited financial statements, the net

asset value, the subscription price and the redemption price along with any other notices to the

shareholders are available at the registered office of the SICAV, and the Management Company and

from all distributors.

The SICAV had four Sub-Funds during the financial year under review:

- ZENIT MULTISTRATEGY SICAV Global Opportunities;

- ZENIT MULTISTRATEGY SICAV Stock-Picking;

- ZENIT MULTISTRATEGY SICAV Defender (became inactive on January 7th

, 2016);

- ZENIT MULTISTRATEGY SICAV Stability.

The Sub-Funds ZENIT MULTISTRATEGY SICAV Global Opportunities, ZENIT MULTISTRATEGY SICAV

Stock-Picking, ZENIT MULTISTRATEGY SICAV Defender (on hold) and ZENIT MULTISTRATEGY SICAV

Stability offer 4 classes of shares which differ in the status of the investors and the minimum

amounts of subscription and holding requirements :

- Class I Institutional Shares, intended for institutional investors (“Class I”);

- Class P Private Shares, intended for private investors through management or advisory mandate

(“Class P”);

- Class R Retail Shares, intended for direct distribution to retail investors and individual investors with

direct placement (“Class R”);

- Class Q Shares, intended for all types of investors listed and tradable on a regulated European Stock

Exchange (“Class Q”).

The Net Asset Value for each Sub-Fund is calculated in Euro (EUR); it is determined on each bank

business day in Luxembourg.

The SICAV publishes an annual report closed on the last day of the financial year, including audited

financial statements, as well as unaudited semi-annual report closed on the last day of the sixth

month of the financial year.

ZENIT MULTISTRATEGY SICAV Board of Directors’ Report

5

2016 ended rather satisfactorily for the financial markets, registering a performance that has been

driven mainly by political events in a global economic scenario of moderate growth, but which has

been substantially stable in the last several years.

The first quarter was characterized by, particularly in the early weeks of the year, strong stock

market volatility, which then normalized again in the second half; the bond markets were the ones to

benefit from these movements, driven upwards by a more benevolent than expected hypothesis of

monetary policy.

In the second quarter of the year, after a positive start which had reduced the volatility of the

previous period, the markets were shaken by the outcome of the EU referendum on the permanence

of Britain in the European Union.

The third quarter saw an overall recovery in the financial markets, with positive influences for equity

investments and for the segments most at risk of fixed-income securities; whilst the volatility in the

foreign exchange market, which was disrupted by the British referendum, was attenuated.

The last quarter concluded positively for the market, with the unexpected victory of Trump in the US

presidential election catalyzing the interest of investors. The event has helped fuel the rise of the

American list on the assumption of a more aggressive fiscal policy put forward from the new

administration.

GLOBAL OPPORTUNITIES

The Sub-Fund GLOBAL OPPORTUNITIES reported for 2016, for Class I, a performance of -1,34% (with

a median of 30 days volatility of 15,04%). As an indication, it should be remembered that the MSCI

World Equity Index has registered +5,32% (with a median of 30 days volatility of 10,59%) and

Barclays Euro Agg Bond Index Total Return Index Value Unhedged EUR +3,32% (with a median of 30

days volatility of 2,87%).

The main stock sectors in which the Sub-Fund was invested were: Information Technology (21%),

Consumer Discretionary (13%), Healthcare (7%), Industrial (7%) and Financial (6%).

The equity sectors that contributed most to the positive performance of the Sub-Fund were

Information Technology, with a +6,3% contribution (positive influencers: Micron Technology +1,77%,

Digital Bros SpA +1,68%, Western Digital +1,33%, Anadigics +1,32%, STM +1,19%) and the Energy

sector with +1,65% (+0,41% Halliburton, +0,36% Kinder Morgan, +0,28% Anadarko Petroleum,

+0,21% Amec Foster Wheeler).

The use of derivative instruments on the major stock indexes contributed to -0,40% mainly due to

the use of derivatives tied to the VIX (Volatility Index).

The equity sectors that have most affected the results were: -2,28% Telecommunication Services

(Avanti Communications registering -2,04% has particularly weighed on the result) and -1,40%

coming from the Health Care sector. On an individual security level some of the names that have

weighted negatively on the performance have been Parrot SA (-0,99%), the Italian fund Zenit Pianeta

Italia (-0,90%), IAG (-0,69%) Credito Valtellinese (-0,59%) and Aryzta AG (-0,57).

The Sub-Fund has been invested in equities over the course of the year at an average of 65,8% and

11,4% in cash.

ZENIT MULTISTRATEGY SICAV Board of Directors’ Report

6

STOCK-PICKING

The Sub-Fund STOCK-PICKING closed the year 2016 with a loss (for class I) of -14,58% down more

than the index FTSE Italy All share (benchmark of the Sub-Fund) that has registered -9,97%.

This underperformance was achieved with a volatility at 30 days annual median of 20,5% lower than

the 23,59% clocked by the benchmark index.

In terms of asset allocation, the Sub-Fund has been invested between 85% and 105%.

The performance was negatively affected by the bad start of the year reaching its lowest in mid-

February.

The small-cap component, as always, played an important role in the composition of the portfolio.

The stock-picking decisions that have added value were: RCS, Ferrari, Digital Bros, Sogefi, Moncler;

whilst positions especially penalizing to the portfolio were the ones in Carige, Mediaset, Banca

Sistema, Beni Stabili and OVS. Compared to the benchmark the fund was underweight on the utilities

(Enel, Terna and Snam).

Liquidity was on average between 5% and 10% of the Sub-Fund.

STABILITY

In the 2016 the Sub-Fund STABILITY for the class I had lost 0,32% with an average 30 days volatility

around 5%. Under a tough yearly environment characterized by numerous different risks the sub-

fund has exploited its flexibility in order to keep volatility low, but at the same time it has tried to

catch opportunities arising from the swings of the international equity markets.

In the first two months of 2016 the equity net exposure was reduced from 35% to 15% but grew

gradually in the third quarter where it reached 45%. The core of the Sub-Fund was exposed to big

European caps, but it also had exposure to Usa, Japan and Emerging Markets.

The fixed income portfolio was invested in European governatives, corporates, emerging markets

bonds and US high yield. The sub-fund used partial hedging to cover mid-long term euro govies

exposure; in the fourth quarter, as selling pressure on the European govies developed due to rising

yields, the sub-fund sold off the exposure and hence reduced the total duration of the portfolio.

Luxembourg, March 2017

Note: Past performance is no guarantee of future performance.

Deloitte.

To the Shareholders of ZENIT MULTISTRATEGY SICAV

Societe d'lnvestissement a Capital Variable

12, rue Eugene Ruppert

L-2453 Luxembourg

REPORT OF THE REVISEUR D'ENTREPRISES AGREE

Deloitte Audit Societe a responsabilite limitee

560, rue de Neudorf L-2220 Luxembourg BP. 1173 L-1011 Luxembourg

Tel: +352 451 451 Fax: +352 451 452 992 www.delo1tte.lu

Following our appointment by the annual general meeting of the Shareholders dated April 281h,

2016, we have audited the accompanying financial statements of ZENIT MULTISTRATEGY SICAV (the "SICAV") and of each of its Sub-Funds, which comprise the combined statement of net assets, the statement of net assets and the schedule of investments of its Sub-Funds as at December 3151, 2016, and the combined statement of operations and changes in net assets and the statement of operations and changes in net assets for each of its Sub-Funds for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements .

Responsibility of the Board of Directors of the SICA V for the financial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

Responsibility of the Reviseur d'Entreprises Agree

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the Reviseur d'Entreprises Agree's judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Reviseur d'Entreprises Agree considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the

entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion .

Sooete a responsabil1te limitee au capital de 35 000 € RCS Luxembourg B 67.895 Autorisation d'etablissement · 10022179 7

Deloitte.

Opinion

In our opinion, the financial statements give a true and fair view of the financial position of ZENIT MULTISTRATEGY SICAV and of each of its Sub-Funds as at December 3151

, 2016, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.

Other information

The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our report of Reviseur d'Entreprises Agree thereon .

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact . We have nothing to report in this regard .

For Deloitte Audit, Cabinet de Revision Agree

Partner

Luxembourg, April 6th, 2017

560, rue de Neudorf

L-2220 Luxembourg

8


Combined Statement of Net Assets as at December 31st, 2016

9

Notes Combined

(in EUR)

ASSETS

Investments in Securities 1a 61.388.373,99

Cash at Banks 3.752.011,03

Interest Receivable on Bonds 23.019,32

Dividends Receivable on Shares 1.294,14

Interest Receivable on Cash Accounts 95,36

Amounts Receivable on Subscriptions 5.771,04

Amounts Receivable on Investment Sold 675.031,52

Amounts Receivable on Spot Exchange Contracts 280.064,25

Unrealised Gain on Futures Contracts 1e, 8 28.343,03

Guaranty Deposit 687.689,55

Total ASSETS 66.841.693,23

LIABILITIES

Taxes and Expenses Payable 3 279.913,26

Overdraft Interest Payable 1.033,17

Amounts Payable on Redemptions 49.796,12

Amounts Payable on Spot Exchange Contracts 280.236,84

Unrealised Loss on Futures Contracts 1e, 8 5.625,00

Total LIABILITIES 616.604,39

NET ASSETS 66.225.088,84

The accompanying notes form an integral part of these Financial Statements.


Combined Statement of Operations and Changes in Net Assets

from January 1st, 2016 to December 31st, 2016

10

Notes Combined

(in EUR)

INCOME

Dividends, net of taxes 1f 1.327.501,35

Interest on Bonds, net of taxes 1f 137.664,99

Interest on Cash Accounts

867,56

Total 1.466.033,90

EXPENSES

Management Company and Investment Management Fees 5 722.160,12

Marketing Fees 7 138.039,35

Custodian Fees 80.655,11

Subscription Tax 4 10.840,13

Administration Fees 172.809,61

Transaction Fees 9 544.988,48

Miscellaneous Fees 11 368.772,43

Overdraft Interest Expenses 11.816,15

Taxes paid to Foreign Authorities 8.481,38

Performance Fees 6 132.101,97

Total 2.190.664,73

NET PROFIT / (LOSS) -724.630,83

Net Realised Profit / (Loss)

- on investments 1b -13.365.447,33

- on currencies -55.279,87

- on futures contracts 1i -355.132,04

NET REALISED PROFIT / (LOSS) -14.500.490,07

Change in Net Unrealised Appreciation / (Depreciation) 1j

- on investments 2.642.174,73

- on futures contracts 1i -97.263,50

RESULT OF OPERATIONS -11.955.578,84

- Subscriptions 12.335.943,84

- Redemptions -27.710.799,00

Net Result of operations for the year -27.330.434,00

Net Assets at the beginning of the year 93.555.522,84

Net Assets at the end of the year 66.225.088,84



Statement of Net Assets as at December 31st, 2016

11

Notes

Zenit Multistrategy

Sicav

Global Opportunities

(in EUR)

Zenit Multistrategy

Sicav

Stock-Picking

(in EUR)

Zenit Multistrategy

Sicav

Stability

(in EUR)

ASSETS

Investments in Securities 1a 6.828.049,27 45.567.972,91 8.992.351,81

Cash at Banks 784.372,14 1.744.649,24 1.222.989,65

Interest Receivable on Bonds 21.448,49 0,00 1.570,83

Dividends Receivable on Shares 1.294,14 0,00 0,00

Interest Receivable on Cash Accounts 30,44 1,06 63,86

Amounts Receivable on Subscriptions 0,00 5.771,04 0,00

Amounts Receivable on Investment Sold 675.031,52 0,00 0,00

Amounts Receivable on Spot Exchange Contracts 280.064,25 0,00 0,00

Unrealised Gain on Futures Contracts 1e, 8 28.343,03 0,00 0,00

Guaranty Deposit 283.853,55 363.300,00 40.536,00

Total ASSETS 8.902.486,83 47.681.694,25 10.257.512,15

LIABILITIES

Taxes and Expenses Payable 3 131.423,13 102.517,68 45.972,45

Overdraft Interest Payable 346,98 589,75 96,44

Amounts Payable on Redemptions 0,00 49.796,12 0,00

Amounts Payable on Spot Exchange Contracts 280.236,84 0,00 0,00

Unrealised Loss on Futures Contracts 1e, 8 0,00 4.500,00 1.125,00

Total LIABILITIES 412.006,95 157.403,55 47.193,89

NET ASSETS 8.490.479,88 47.524.290,70 10.210.318,26

Number of Shares Outstanding

(at the end of the Financial Year)

- Class I 13.652,714 322.254,068 34.612,839

- Class P 61.380,449 1.092,720 20.322,000

- Class R 7.917,597 333,287 56.076,473

- Class Q 50,000 50,000 50,000

Net Asset Value per Share

(at the end of the Financial Year)

- Class I 117,50 146,86 92,82

- Class P 100,34 138,54 92,15

- Class R 91,27 129,32 91,30

- Class Q 97,65 82,86 99,44


ZENIT MULTISTRATEGY SICAV Statement of Operations and Changes in Net Assets


12

Notes

Zenit Multistrategy Sicav

Global Opportunities

(in EUR)


Stock-Picking

(in EUR)

INCOME

Dividends, net of taxes 1f 100.553,65 1.203.741,97

Interest on Bonds, net of taxes 1f 137.216,99 0,00


312,53 52,16

Total 238.083,17 1.203.794,13

EXPENSES

Management Company and Investment Management Fees 5 111.623,80 510.505,89

Marketing Fees 7 72.914,21 3.932,01

Custodian Fees 12.910,59 55.474,98

Subscription Tax 4 4.362,16 5.236,92

Administration Fees 38.606,82 96.874,20

Transaction Fees 9 153.256,35 348.846,11

Miscellaneous Fees 11 103.390,88 200.255,71

Overdraft Interest Expenses 2.014,09 8.717,60

Taxes paid to Foreign Authorities 2.536,30 3.408,79

Performance Fees 6 132.101,97 0,00

Total 633.717,17 1.233.252,21

NET PROFIT / (LOSS) -395.634,00 -29.458,08


- on investments 1b -578.865,82 -12.628.539,96

- on currencies -73.511,93 31,60

- on futures contracts 1i -141.738,18 -172.706,50

NET REALISED PROFIT / (LOSS) -1.189.749,93 -12.830.672,94


- on investments 703.814,23 1.552.677,30

- on futures contracts 1i 43.246,50 -136.910,00

RESULT OF OPERATIONS -442.689,20 -11.414.905,64

- Subscriptions 371.681,19 11.749.776,68

- Redemptions -3.988.899,49 -23.079.747,60

Net Result of operations for the year -4.059.907,50 -22.744.876,56

Net Assets at the beginning of the year 12.550.387,38 70.269.167,26

Net Assets at the end of the year 8.490.479,88 47.524.290,70


ZENIT MULTISTRATEGY SICAV Statement of Operations and Changes in Net Assets


13

Notes


Defender (*)

(in EUR)


Stability

(in EUR)

INCOME

Dividends, net of taxes 1f 0,00 23.205,73

Interest on Bonds, net of taxes 1f 0,00 448,00


0,02 502,85

Total 0,02 24.156,58

EXPENSES

Management Company and Investment Management Fees 5 137,81 99.892,62

Marketing Fees 7 23,84 61.169,29

Custodian Fees 17,41 12.252,13

Subscription Tax 4 1,86 1.239,19

Administration Fees 600,96 36.727,63

Transaction Fees 9 0,00 42.886,02

Miscellaneous Fees 11 1,83 65.124,01

Overdraft Interest 6,40 1.078,06

Taxes paid to Foreign Authorities 0,00 2.536,29

Performance Fees 6 0,00 0,00

Total 790,11 322.905,24

NET PROFIT / LOSS -790,09 -298.748,66


- on investments 1b 0,00 -158.041,55

- on currencies -9,80 18.210,26

- on futures contracts 1i 0,00 -40.687,36

NET REALISED PROFIT / (LOSS) -799,89 -479.267,31


- on investments 0,00 385.683,20

- on futures contracts 1i 0,00 -3.600,00

RESULT OF OPERATIONS -799,89 -97.184,11

- Subscriptions 0,00 214.485,97

- Redemptions -191.205,00 -450.946,91

Net Result of operations for the year -192.004,89 -333.645,05

Net Assets at the beginning of the year 192.004,89 10.543.963,31

Net Assets at the end of the year 0,00 10.210.318,26

The accompanying notes form an integral part of these Financial Statements. (*) Cf note 12

ZENIT MULTISTRATEGY SICAV Schedule of Investments as at December 31st, 2016

14

Zenit Multistrategy Sicav Global Opportunities

ACQUISITION COST MARKET VALUE % TOTAL

DESCRIPTION NOMINAL CCY (IN EUR) AS AT 31.12.2016 NET

(IN EUR) ASSETS

Transferable Securities admitted to an Official Stock

Exchange or dealt in on Another Regulated Market

Shares & Related Securities

ASSICURAZIONI GENERALI 15.000 EUR 218.333,33 211.800,00 2,49%

AXA 8.500 EUR 195.349,43 203.872,50 2,40%

BANCA IFIS SpA 9.000 EUR 194.936,86 234.000,00 2,76%

COMPAGNIE DE SAINT-GOBAIN 3.900 EUR 135.404,49 172.594,50 2,03%

CONTINENTAL A.G. 1.100 EUR 200.839,39 202.070,00 2,38%

MEDIOBANCA 20.000 EUR 157.866,00 155.100,00 1,83%

MERCK KGAA 1.690 EUR 163.827,30 167.563,50 1,97%

OPENJOBMETIS SpA 10.000 EUR 66.000,00 61.100,00 0,72%

OVS SpA 30.000 EUR 163.206,00 143.400,00 1,69%

SOGEFI SpA 100.000 EUR 230.308,35 243.600,00 2,87%

SONAE SGPS S.A. 260.000 EUR 178.983,10 227.240,00 2,68%

STMICROELECTRONICS 21.500 EUR 135.076,06 232.200,00 2,73%

TELECOM ITALIA SpA 230.000 EUR 198.830,00 192.510,00 2,27%

Total EURO 2.238.960,31 2.447.050,50 28,82%

ALPHABET INC. -C- 240 USD 172.166,28 175.621,52 2,07%

ANADARKO PETROLEUM CORP. 3.400 USD 199.719,53 224.775,54 2,65%

APACHE CORP. 3.000 USD 176.201,34 180.526,19 2,13%

BANK OF AMERICA CORP. 8.600 USD 130.835,58 180.194,36 2,12%

CEVA INC. 6.500 USD 199.714,29 206.755,16 2,44%

CITIGROUP INC. 3.350 USD 152.584,93 188.756,10 2,22%

GOLDMAN SACHS GROUP 800 USD 131.427,62 181.616,50 2,14%

HALLIBURTON 4.400 USD 216.577,20 225.642,10 2,66%

MICRON TECHNOLOGY 9.500 USD 130.671,15 197.430,67 2,33%

NIKE INC. -B- 3.500 USD 170.769,34 168.670,30 1,99%

NXP SEMICONDUCTORS N.V. 2.000 USD 185.353,65 185.844,99 2,19%

PALO ALTO NETWORKS INC. 1.300 USD 163.817,31 154.126,57 1,82%

TRIMBLE 6.640 USD 168.051,22 189.804,22 2,24%

VALERO ENERGY CORP. 3.500 USD 211.578,89 226.707,75 2,67%

WESTERN DIGITAL CORP. 3.000 USD 132.700,61 193.268,55 2,28%

Total U.S. DOLLAR 2.542.168,94 2.879.740,52 33,92%

Total Shares & Related Securities 4.781.129,25 5.326.791,02 62,74%



15

Zenit Multistrategy Sicav Global Opportunities



(IN EUR) ASSETS

Bonds

OBRASCON HUARTE 4,75 14-150322 250.000 EUR 193.437,50 182.868,75 2,15%

Total EURO 193.437,50 182.868,75 2,15%

ADVANCED MICRO DEVELOPMENT 6,75 14-010319 150.000 USD 124.193,90 153.146,48 1,80%

ADVANCED MICRO DEVICES INC. 7,00 14-010724 150.000 USD 132.352,94 148.036,02 1,74%

WESTERN DIGITAL 10,50 16-010424 400.000 USD 400.042,89 449.632,62 5,30%

Total U.S. DOLLAR 656.589,73 750.815,12 8,84%

Total Bonds 850.027,23 933.683,87 11,00%

Total Transferable Securities admitted to an Official Stock


5.631.156,48

6.260.474,89

73,74%

Investment Funds

ZENIT MC PIANETA ITALIA -CAP- 47.921 EUR 617.567,68 567.574,38 6,68%

Total EURO 617.567,68 567.574,38 6,68%

Total Investment Funds 617.567,68 567.574,38 6,68%

Total Portfolio 6.248.724,16 6.828.049,27 80,42%



16

Zenit Multistrategy Sicav Stock-Picking



(IN EUR) ASSETS




4AIM -SICAF- SpA 375 EUR 180.750,00 176.250,00 0,37%

ARNOLDO MONDADORI ED. 496.060 EUR 454.377,55 580.886,26 1,22%

ASSICURAZIONI GENERALI 182.407 EUR 2.323.597,39 2.575.586,84 5,42%

AUTOGRILL SpA 127.256 EUR 999.455,73 1.092.492,76 2,30%

AZIMUT HOLDING SpA 30.206 EUR 476.795,67 479.067,16 1,01%

B&C SPEAKERS SpA 63.450 EUR 453.972,36 506.013,75 1,06%

BANCA IFIS SpA 30.528 EUR 696.423,64 793.728,00 1,67%

BANCA MEDIOLANUM SpA 71.048 EUR 449.762,53 485.257,84 1,02%

BANCA POPOLARE DI MILANO 2.359.900 EUR 936.611,61 845.552,17 1,78%

BANCA POPOLARE DI SONDRIO SCPA 192.886 EUR 721.202,30 603.347,41 1,27%

BANCA SISTEMA SpA AZ. 225.000 EUR 897.743,66 495.000,00 1,04%

BASICNET SpA 117.334 EUR 379.575,49 393.303,57 0,83%

BE THINK SOLVE EXECUTE SpA AZ. 468.000 EUR 266.760,00 317.070,00 0,67%

BENI STABILI SpA 1.858.583 EUR 1.115.198,59 1.009.210,57 2,12%

BIESSE SpA 27.810 EUR 441.144,47 532.283,40 1,12%

CAIRO COMMUNICATION SpA 197.570 EUR 518.098,74 752.741,70 1,58%

CALEFFI SpA 148.016 EUR 147.228,34 187.980,32 0,40%

CEMENTIR HLDG 41.221 EUR 205.496,58 173.210,64 0,36%

CLABO SpA 68.500 EUR 168.136,36 42.196,00 0,09%

COVER 50 SpA 27.000 EUR 373.275,00 241.650,00 0,51%

CREDITO EMILIANO SpA CREDEM 78.930 EUR 498.648,17 450.690,30 0,95%

DANIELI & C. OFFICINE MECCANICHE 25.110 EUR 480.398,91 484.874,10 1,02%

DAVIDE CAMPARI SpA POST FRAZION 69.717 EUR 623.597,65 647.670,93 1,36%

DIASORIN SpA 9.200 EUR 529.641,24 517.500,00 1,09%

DIGITAL BROS SpA 39.150 EUR 130.451,55 523.435,50 1,10%

DIGITAL MAGICS SpA 32.200 EUR 223.642,03 125.000,40 0,26%

ELECTRO POWER SYSTEMS S.A. 47.110 EUR 332.125,50 287.371,00 0,60%

ELETTRA INVESTIMENTI SpA 30.450 EUR 174.000,00 159.253,50 0,34%

ELICA SpA 254.340 EUR 483.156,57 471.800,70 0,99%

ENAV SpA 147.507 EUR 482.819,91 484.412,99 1,02%

ENEL AZ 236.129 EUR 919.193,89 988.908,25 2,08%

ENI SpA 204.628 EUR 2.727.337,20 3.165.595,16 6,66%



17




(IN EUR) ASSETS

ERG SpA 75.687 EUR 947.826,19 772.007,40 1,62%

EXOR HOLDING N.V. -REG- 17.344 EUR 721.321,35 710.757,12 1,50%

EXPERT SYSTEM SpA 215.736 EUR 390.115,17 407.741,04 0,86%

FERRARI N.V. 23.102 EUR 805.354,99 1.277.540,60 2,69%

FRENDY ENERGY SpA AZ. 720 EUR 460,46 198,00 0,00%

GAMBERO ROSSO SPA. 86.000 EUR 137.600,00 35.346,00 0,07%

GIGLIO GROUP SpA 137.250 EUR 260.775,00 394.456,50 0,83%

GLENALTA FOODS SpA AZ. 24.800 EUR 248.000,00 257.920,00 0,54%

GO INTERNET SpA 95.200 EUR 183.526,24 142.800,00 0,30%

HERA SpA 197.656 EUR 449.904,59 433.261,95 0,91%

H-FARM VENTURES SpA AZ. 160.000 EUR 160.000,00 108.000,00 0,23%

INTESA SAN PAOLO SpA 514.036 EUR 1.051.121,26 1.247.051,34 2,62%

INTESA SAN PAOLO SpA 738.972 EUR 1.744.814,31 1.650.863,45 3,47%

ITALGAS SpA 227.342 EUR 817.675,27 849.804,40 1,79%

KI GROUP SpA 40.260 EUR 225.762,23 110.312,40 0,23%

LEONE FILM GROUP SpA . 107.100 EUR 415.424,91 285.957,00 0,60%

LU-VE SpA 39.900 EUR 414.420,81 444.885,00 0,94%

MAIRE TECNIMONT SpA AZ. 240.000 EUR 585.480,00 619.200,00 1,30%

MASI AGRICOLA SpA 48.250 EUR 221.950,00 211.238,50 0,44%

MC-LINK SpA 11.000 EUR 83.362,47 56.100,00 0,12%

MEDIOBANCA 180.416 EUR 1.434.501,27 1.399.126,08 2,94%

NET INSURANCE SpA 3.500 EUR 69.300,00 15.365,00 0,03%

NOTORIOUS PICTURES SpA 280 EUR 751,61 234,92 0,00%

OPENJOBMETIS SpA 76.786 EUR 507.095,93 469.162,46 0,99%

OVS SpA 198.000 EUR 1.078.060,24 946.440,00 1,99%

PITECO SpA 94.500 EUR 312.691,85 407.295,00 0,86%

PRIMA INDUSTRIE SpA 25.380 EUR 432.452,74 401.511,60 0,84%

PRIMISUIMOTORI SpA 100 EUR 1.046,17 188,00 0,00%

RAI WAY SpA AZ. 121.833 EUR 425.785,19 436.162,14 0,92%

S.M.R.E. SpA BONUS 114.500 EUR 286.250,00 272.510,00 0,57%

SAES GETTERS SpA 19.827 EUR 226.710,44 236.536,11 0,50%

SAIPEM SpA 1.134.941 EUR 456.358,54 607.193,44 1,28%

SALINI IMPREGILO SpA 165.317 EUR 432.899,10 496.281,63 1,04%

SALVATORE FERRAGAMO SpA 51.269 EUR 1.071.368,24 1.149.963,67 2,42%

SERVIZI ITALIA SpA 61.469 EUR 248.728,23 219.936,08 0,46%



18




(IN EUR) ASSETS

SESA SpA AZ. 29.504 EUR 449.936,00 521.925,76 1,10%

SIAS 78.762 EUR 747.266,92 637.972,20 1,34%

SOGEFI SpA 448.030 EUR 962.644,80 1.091.401,08 2,30%

TELECOM ITALIA SpA 1.775.716 EUR 1.437.426,06 1.486.274,29 3,13%

TELECOM ITALIA SpA -RISP- NON CONV 2.217.037 EUR 1.809.200,24 1.523.104,42 3,20%

TENARIS S.A. -REG- 29.000 EUR 344.343,10 492.130,00 1,04%

TESMEC SpA 871.627 EUR 592.492,51 474.600,90 1,00%

TRIBOO MEDIA SPA 180.000 EUR 742.242,19 487.440,00 1,03%

UNIPOL GRUPPO FINANZIARIO SpA 325.893 EUR 852.547,00 1.115.857,63 2,35%

Total EURO 44.597.612,25 45.493.394,33 95,73%




44.597.612,25

45.493.394,33

95,73%

Other Transferable Securities

CLABO SpA WARRANT 15-300615 115.000 EUR 0,00 2.771,50 0,01%

COGEME-COGEME SET 09-130314 41.600 EUR 41.600,00 0,00 0,00%

ELETTRA INVESTIMENTI WARRANT 15-131017 29.000 EUR 0,00 6.084,20 0,01%

EXPERT SYSTEM WARRANT 16-311018 20.736 EUR 0,00 2.488,32 0,01%

GLENALTA FOOD - CALL WARRANT 15-261020 12.500 EUR 1,25 16.625,00 0,03%

GLENALTA FOODS SpA-DSO-161229-24893 24.800 EUR 0,00 1.034,41 0,00%

LU-VE SpA WARRANT 15-280820 17.400 EUR 0,00 34.800,00 0,07%

S.M.R.E. WARRANT 16-270519 28.625 EUR 0,00 5.725,00 0,01%

SAFE BAG SpA CALL 13-151216 48.500 EUR 0,00 1.692,65 0,00%

TE WIND CALL 13-111018 42.500 EUR 0,00 3.357,50 0,01%

Total EURO 41.601,25 74.578,58 0,16%

Total Other Transferable Securities 41.601,25 74.578,58 0,16%

Total Portfolio 44.639.213,50 45.567.972,91 95,88%



19

Zenit Multistrategy Sicav Stability



(IN EUR) ASSETS




ADIDAS A.G. 1.127 EUR 109.651,23 169.219,05 1,66%

ARKEMA 1.849 EUR 167.096,25 171.846,06 1,68%

ATOS SE 497 EUR 47.914,23 49.824,25 0,49%

BREMBO SpA 896 EUR 48.987,31 51.520,00 0,50%

CHRISTIAN DIOR SE 421 EUR 82.819,50 83.884,25 0,82%

HOCHTIEF A.G. 1.061 EUR 100.956,37 141.166,05 1,38%

INFINEON TECHNOLOGIES 3.194 EUR 51.011,78 52.732,94 0,52%

KERING 535 EUR 110.823,32 114.115,50 1,12%

LANXESS A.G. 1.827 EUR 108.538,36 113.913,45 1,12%

SIEMENS A.G. -REG- 567 EUR 65.738,55 66.225,60 0,65%

SODEXO 577 EUR 60.098,73 63.008,40 0,62%

SOFTWARE A.G. 3.329 EUR 109.657,72 114.800,57 1,12%

STADA ARZNEIMITTEL 2.532 EUR 118.436,67 124.536,42 1,22%

TELEPERFORMANCE 670 EUR 64.468,46 63.851,00 0,63%

THALES 1.858 EUR 159.889,17 171.177,54 1,68%

Total EURO 1.406.087,65 1.551.821,08 15,20%


Bonds

WIND ACQUISITION FINANCE 7,00 14-230421 100.000 EUR 104.200,00 104.333,50 1,02%

Total EURO 104.200,00 104.333,50 1,02%

EIB 5,50 12-281117 200.000 TRY 51.746,97 51.686,16 0,51%

Total TURKISH LIRA 51.746,97 51.686,16 0,51%

Total Bonds 155.946,97 156.019,66 1,53%



1.562.034,62

1.707.840,74

16,73%



20

Zenit Multistrategy Sicav Stability



(IN EUR) ASSETS

Investment Funds

ANIMA GEO GLOBAL EQUIT. -I- 17.555 EUR 186.782,36 207.737,25 2,03%

AXA WORLD FUND US HIGH YIELD BONDS -I- EUR 1.347 EUR 275.000,06 284.349,95 2,78%

AXA WORLD FUNDS GLOBAL HIGH YIELD BONDS -CAP- 2.996 EUR 265.000,00 271.081,97 2,65%

CANDRIAM BONDS GOLBAL HIGH YIELD -I- 1.715 EUR 344.999,99 356.006,34 3,49%

EURIZON EASYFUND BOND HIGH YIELD Z 1.567 EUR 364.999,98 377.080,98 3,69%

EURIZON EASYFUND EQUIT. EURO Z -CAP- 2.137 EUR 248.463,82 263.868,62 2,58%

EURIZON EASYFUND EQUIT. JAPAN LTE ZH -CAP- 2.274 EUR 253.447,33 263.726,22 2,58%

EURIZON EASYFUND EQUIT. NORTH AMERICA Z 2.024 EUR 306.428,96 300.782,83 2,95%

FRANKLIN TEMPLETON INVESTMENT TECHNOLOGY W

EUR ACC

10.829

EUR

187.990,71

204.667,31

2,00%

FRANKLIN TEMPLETON ASIAN GROWTH -CAP- 6.700 EUR 186.782,34 201.387,27 1,97%

HENDERSON HORIZON PAN EUROPEAN SMALLER CIE 4.185 EUR 179.999,99 193.266,67 1,89%

ISHARES MSCI EMERGING MARKETS 14.872 EUR 363.022,55 370.982,04 3,63%

LEMANIK ASIAN OPPORTUNITY EUR -CAP- 719 EUR 180.353,54 189.902,22 1,86%

PARVEST BOND EURO SHORT-TERM -P-RIV 691 EUR 700.657,06 701.512,91 6,87%

PICTET EUR GOVERNMENT BONDS -I- -CAP- 0 EUR 0,16 0,16 0,00%

PICTET EUR SHORT MID-TERM BONDS IC 5.107 EUR 700.069,96 701.448,76 6,87%

PICTET-JAPAN EQUIT. SELECT HI EUR -CAP- 2.425 EUR 181.999,93 190.534,97 1,87%

PIONEER EMERGING MARKETS BOND -CAP- 118 EUR 265.001,01 273.861,47 2,68%

PIONEER EUR HIGH YIELD -H- -CAP- 174 EUR 352.999,85 359.767,58 3,52%

PIONEER EURO STRATEGIC BOND -H- -CAP- 142 EUR 260.026,31 262.516,51 2,57%

THREADNEEDLE ASIA INVESTMENT ICVC 83.281 EUR 185.483,41 189.206,07 1,85%

Total EURO 5.989.509,32 6.163.688,10 60,37%

AXA ROSENBERG JAPAN ENH INDEX EQUIT. ALPHA -A- 16.224 JPY 179.059,54 182.145,97 1,78%

Total JAPANESE YEN 179.059,54 182.145,97 1,78%

ABERDEEN GLOBAL INDIA EQUIT. I2 -CAP- 1.481 USD 188.552,21 185.408,60 1,82%

CANDRIAM BONDS EMERGING MARKETS -CAP- 118 USD 273.704,54 279.323,78 2,74%

SCHRODER ISF FRONTIER MARKETS EQUIT. -C- -CAP- 1.343 USD 171.860,19 173.887,91 1,70%

THREADNEEDLE LUX AMERICAN IU -CAP- 8.714 USD 305.988,67 300.056,71 2,94%

Total U.S. DOLLAR 940.105,61 938.677,00 9,19%

Total Investment Funds 7.108.674,47 7.284.511,07 71,34%

Total Portfolio 8.670.709,09 8.992.351,81 88,07%


ZENIT MULTISTRATEGY SICAV Geographic Allocation as at December 31st, 2016

21

Zenit Multistrategy Sicav Global Opportunities % TOTAL NET ASSETS

UNITED STATES OF AMERICA 40,57%

ITALY 21,31%

NETHERLANDS 4,92%

FRANCE 4,43%

GERMANY 4,35%

PORTUGAL 2,68%

SPAIN 2,15%

Portfolio Total 80,42%

Zenit Multistrategy Sicav Stock-Picking % TOTAL NET ASSETS

ITALY 90,05%

NETHERLANDS 4,18%

Luxembourg 1,04%

France 0,60%


Zenit Multistrategy Sicav Stability % TOTAL NET ASSETS

Luxembourg 63,57%

GERMANY 7,66%

IRELAND 7,45%

France 7,03%

UNITED KINGDOM 1,85%

ITALY 0,50%


These allocations of assets were established on basis of data (gross) used by the Administrative Agent and do not reflect inevitably the geographical

analysis which directed the assets selection.


Economic Allocation as at December 31st, 2016

22


ELECTRIC & ELECTRONIC COMPONENTS 13,03%

BANKS 11,07%

OIL & DERIVED 10,10%

INFORMATION, TECHNOLOGY & COPIERS 7,57%

UNIT TRUSTS, UCITS 6,68%

INSURANCE COMPANIES 4,90%

BUILDING MATERIALS 4,19%

TEXTILE & GARMENTS 3,68%

ROAD VEHICLES 2,87%

FOREST PRODUCTS & PAPER INDUSTRY 2,68%

ELECTRIC & ELECTRONIC MATERIALS 2,44%

TYRES & RUBBER 2,38%

TELECOMMUNICATIONS 2,27%

FINANCIAL SERVICES - HOLDINGS 2,07%

PHARMACOLOGY & PERSONAL CARE 1,97%

IT & INTERNET 1,82%

OTHER SERVICES 0,72%


These allocations of assets were established on basis of data (gross) used by the Administrative Agent and do not reflect inevitably the economic




23


BANKS 16,77%

OIL & DERIVED 9,56%


INSURANCE COMPANIES 7,80%



PUBLISHING & BROADCASTING 5,58%

ROAD VEHICLES 4,98%

ENERGY SOURCES 3,34%

MECHANICAL CONSTRUCTION 3,15%

ELECTRIC & ELECTRONIC MATERIALS 2,41%

LEISURES & TOURISM 2,30%

IT & INTERNET 2,28%

REAL ESTATE 2,12%

TOBACCO & SPIRITS 1,81%

OTHER SERVICES 1,67%

MISCELLANEOUS 1,60%



ROAD & RAILWAY TRANSPORTS 1,34%

CHEMICAL PRODUCTS 1,30%

INTERMEDIATE INDUSTRY PRODUCTS 1,04%

AIRLIFT 1,02%


FOOD & CLEANING MATERIALS 0,23%

CAPITAL GOODS (MISCELLANEOUS) 0,09%






24


UNIT TRUSTS, UCITS 71,34%

CHEMICAL PRODUCTS 2,80%

AEROSPACE INDUSTRY & DEFENCE 1,68%



IT & INTERNET 1,61%



RETAIL TRADING, DEPARTMENT STORES 1,12%

MISCELLANEOUS CONSUMER GOODS 0,82%

CAPITAL GOODS (MISCELLANEOUS) 0,65%



EUROPEAN ORGANIZATIONS 0,51%

ROAD VEHICLES 0,50%





Allocation by Currency as at December 31st, 2016

25


U.S. DOLLAR 42,76%

EURO 37,66%



EURO 95,88%



EURO 76,59%

U.S. DOLLAR 9,19%

JAPANESE YEN 1,78%

TURKISH LIRA 0,51%




ZENIT MULTISTRATEGY SICAV Changes in the Number of Shares

26


Global Opportunities Zenit Multistrategy Sicav

Stock-Picking

Shares issued and outstanding at beginning of the financial year

- Class I 20.509,614 405.084,711 - Class P 89.239,194 3.342,720 - Class R 8.584,225 478,626 - Class Q 50,000 50,000

Shares issued during the financial year

- Class I 3.372,066 83.805,618 - Class P 0,000 0,000 - Class R 0,000 163,369 - Class Q 0,000 0,000

Shares redeemed during the financial year

- Class I 10.228,966 166.636,261 - Class P 27.858,745 2.250,000 - Class R 666,628 308,708 - Class Q 0,000 0,000

Shares issued and outstanding at end of the financial year

- Class I 13.652,714 322.254,068 - Class P 61.380,449 1.092,720 - Class R 7.917,597 333,287 - Class Q 50,000 50,000


Defender (*) Zenit Multistrategy Sicav

Stability

Shares issued and outstanding at beginning of the financial year

- Class I 0,000 35.736,595 - Class P 2.100,000 20.899,814 - Class R 0,000 56.943,148 - Class Q 0,000 50,000

Shares issued during the financial year

- Class I 0,000 170,964 - Class P 0,000 0,000 - Class R 0,000 2.253,431 - Class Q 0,000 0,000

Shares redeemed during the financial year

- Class I 0,000 1.294,720 - Class P 2.100,000 577,814 - Class R 0,000 3.120,106 - Class Q 0,000 0,000

Shares issued and outstanding at end of the financial year

- Class I 0,000 34.612,839 - Class P 0,000 20.322,000 - Class R 0,000 56.076,473 - Class Q 0,000 50,000

(*) Cf note 12

ZENIT MULTISTRATEGY SICAV Changes in Capital, Total Net Assets and Net Asset Value per Share

27

Sub-fund Valuation

Date

Shares Outstanding Total Net Assets

(in EUR)

Share Price

(in EUR)

Zenit Multistrategy Sicav 31.12.2014 25.347,947 Class I 13.780.947,29 107,43 Class I

Global Opportunities 105.179,756 Class P 95,41 Class P

11.619,457 Class R 87,98 Class R

31.12.2015 20.509,614 Class I 12.550.387,38 119,10 Class I

89.239,194 Class P 104,05 Class P

8.584,225 Class R 95,16 Class R

50,000 Class Q 100,60 Class Q

31.12.2016 13.652,714 Class I 8.490.479,88 117,50 Class I

61.380,449 Class P 100,34 Class P

7.917,597 Class R 91,27 Class R



Stock-Picking 2.051,147 Class P 138,30 Class P

471,818 Class R 131,55 Class R

31.12.2015 405.084,711 Class I 70.269.167,26 171,92 Class I

3.342,720 Class P 163,69 Class P



31.12.2016 322.254,068 Class I 47.524.290,70 146,86 Class I

1.092,720 Class P 138,54 Class P




Defender (**) 44.227,193 Class P 94,49 Class P

31.12.2015 2.100,000 Class P 192.004,89 91,43 Class P

25.04.2016 2.100,000 Class P 191.205,00 91,05 Class P

(***)


Stability (*) 17.146,750 Class R 100,00 Class R

31.12.2015 35.736,595 Class I 10.543.963,31 93,12 Class I

20.899,814 Class P 92,93 Class P

56.943,148 Class R 92,53 Class R


31.12.2016 34.612,839 Class I 10.210.318,26 92,82 Class I

20.322,000 Class P 92,15 Class P

56.076,473 Class R 91,30 Class R


(*) First Net Asset Calculation.

(**) Cf. note 12

(***) Last redemption settlement on April 25th

, 2016

ZENIT MULTISTRATEGY SICAV Notes to the Financial Statements as at December 31st, 2016

28

Note 1 - Accounting principles

The Financial Statements of ZENIT MULTISTRATEGY SICAV (the “SICAV”) are prepared in accordance

with legal and regulatory requirements and generally accepted accounting principles in Luxembourg,

including the following significant policies:

a) Valuation of investments

The value of each security or other asset which is quoted or dealt in a stock exchange is based on its

last available price in Luxembourg on the stock exchange which is normally the principal market for

such security.

The value of each security or other asset dealt in on any other regulated market that operates

regularly, recognized and open to the public (a “regulated market”) is based on its last available price

in Luxembourg.

In the event that any assets are not listed nor dealt in on any stock exchange or on any other

Regulated Market, or if, with respect to assets listed or dealt in on any stock exchange or on any

other Regulated Market as aforesaid, the price as determined above is not representative of the fair

market value of the relevant assets, the value of such assets will be based on the reasonably

foreseeable sales price determined prudently and in good faith by the Board of Directors of the

SICAV.

Units or shares of undertakings for collective investment are valued at their last determined and

available net asset value or, if such price is not representative of the fair market value of such assets,

then the price is determined by the Board of Directors of the SICAV on a fair and equitable basis.

The liquidating value of futures, spot, forward or options contracts not traded on stock exchanges

nor on other regulated markets mean their net liquidating value determined, pursuant to the policies

established by the Board of Directors of the SICAV, on a basis consistently applied for each different

variety of contracts. The liquidating value of futures, spot, forward or options contracts traded on

stock exchanges or on other regulated markets is based upon the last available settlement prices of

these contracts on stock exchanges and regulated markets on which the particular futures, spot,

forward or options contracts are traded by the Board of Directors of the SICAV; provided that if a

futures, spot, forward or options contract is not liquidated on the day with respect to which net

assets are being determined, the basis for determining the liquidating value of such contract is such

value as the Board of Directors of the SICAV may deem fair and reasonable. Swaps are valued at their

market value.

The value of money market instruments not traded on stock exchanges nor on other regulated

markets and with a remaining maturity of less than 12 months and of more than 90 days is deemed

to be the nominal value thereof, increased by any interest accrued thereon. Money market

instruments with a remaining maturity of 90 days or less are valued by the amortized cost method,

which approximates market value.

All other securities and other assets are valued at fair market value as determined in good faith

pursuant to procedures established by the Board of Directors of the SICAV.

ZENIT MULTISTRATEGY SICAV Notes to the Financial Statements as at December 31st, 2016 (cont.)

29

Note 1 - Accounting principles (continued)

b) Net realised profit or loss on sale of investments

The net realised profit or loss on sale of investments is determined on the basis of the average cost

of investments sold.

c) Conversion of foreign currencies

All assets and liabilities expressed in currencies other than the concerned currency of the Sub-Fund

are converted into the Sub-Fund’s currency at the exchange rate prevailing on closing date in

Luxembourg.

The value of the combined statement of net assets of the SICAV equals the sum of all different Sub-

Funds’ net assets converted into EUR at the exchange rate prevailing on closing date in Luxembourg.

Income and expenses in currencies other than EUR are converted into EUR at the exchange rates

prevailing at the closing date of the accounts.

d) Acquisition cost of investments

The costs of investments expressed in currencies other than EUR are converted into EUR at the

exchange rate prevailing on the purchase date.

e) Unrealised appreciation or depreciation

In accordance with generally accepted accounting principles in Luxembourg, unrealised gains or

losses on all components of the Statement of Net assets at the end of the financial year are

accounted for in the Statement of Net Assets.

f) Investment income

Interest income is accounted on a day-to-day basis and dividends are booked on an ex-dividend are

booked on an ex-dividend basis. Interest and dividend are stated net of irrecoverable withholding

taxes, if any.

g) Purchases and sales of investments

The details of purchases and sales of investments may be obtained at the registered office of the

SICAV, free of charge.

h) Expenses

When the SICAV incurs any expenses, which relate to a particular Sub-Fund or to any action taken in

connection with a particular Sub-Fund, such expenses shall be allocated to the relevant Sub-Fund.

Expenses of the SICAV, which cannot be considered as being attributable to a particular Sub-Fund,

shall be allocated to all the Sub-Funds pro rata to the net asset value of each Sub-Fund.

i) Futures contracts

Amounts receivable / payable to the broker and guaranty deposits are disclosed in the Statement of

Net Assets. Figures are detailed in note 8.

Net realised profit or loss on futures contracts and the change in net unrealised appreciation or

depreciation on futures contracts are disclosed in the Statement of Operations and Changes in Net

Assets.

The amounts detailed in the Statement of Net Assets, under the captions Unrealised Gain/Loss on

Futures Contracts, consider the margin call amounts and the gain/loss.


30

Note 1 - Accounting principles (continued)

j) Change in net unrealised appreciation or depreciation

Unrealised appreciation or depreciation on all components of the Statement of Net Assets at the end

of the financial period are accounted for in the Statement of Operations and Changes in Net Assets.

Note 2 - Exchange rates as at December 31st

, 2016

1 EUR = 1,45660 AUD 1 EUR = 4,73165 MYR

1 EUR = 1,41445 CAD 1 EUR = 9,07900 NOK

1 EUR = 1,07200 CHF 1 EUR = 9,58200 SEK

1 EUR = 7,43555 DKK 1 EUR = 1,52380 SGD

1 EUR = 0,85360 GBP 1 EUR = 37,77115 THB

1 EUR = 8,17765 HKD 1 EUR = 1.273,92710 KRW

1 EUR = 123,02080 JPY 1 EUR = 1,05475 USD

Note 3 - Taxes and Expenses Payable

Management Company and Investment Management Fees (note 5) 62.199,74 EUR

Performance Fees (note 6) 82.951,49 EUR

Subscription Tax (note 4) 2.472,14 EUR

Custodian Fees 18.663,00 EUR

Marketing Fees (note 7) 34.264,79 EUR

Other expenses 79.362,10 EUR

Total 279.913,26 EUR

Note 4 - Subscription Tax

The SICAV is subject to Luxembourg tax laws.

Under current laws and regulations, the SICAV is subject in Luxembourg to the subscription tax ("taxe

d'abonnement") at an annual rate of 0,05%, such tax being payable quarterly and calculated on the

basis of the net assets at the end of the relevant quarter. However, this tax is reduced to 0,01% per

annum for the net assets attributable to the Class I Institutional Shares, intended for institutional

investors.

However the portion of assets which are invested in units or shares of UCI shall be exempt from such

tax as far as those UCIs are already submitted to this tax in Luxembourg.

Note 5 - Management Company and Investment Management Fees

A management company fee is payable to the Management Company by each Sub-Fund in

remuneration for its services. Such fee is payable quarterly in arrears and calculated on the average

of the net assets of each Sub-Fund for the relevant quarter as follows:

- 0,075% per annum on the first EUR 10 million of average net assets;

- 0,050% per annum on the average net assets over EUR 10 million with a minimum of EUR 5.000.


31

Note 5 - Management Company and Investment Management Fees (cont.)

An investment management fee is payable to the Investment Manager by the Management

Company at the expense of the relevant Sub-Fund, in compensation for its services. Such fee,

payable monthly in arrears and calculated on the average of the net assets of the Sub-Fund for the

relevant month, is set at the annual rate of :

- 0,95% for I, P, R shares and 1,30% for Q shares for the Sub-Fund Zenit Multistrategy Sicav Global

Opportunities ;

- 0,90% for the Sub-Fund Zenit Multistrategy Sicav Stock-Picking ;

- 1,15% for the Sub-Fund Zenit Multistrategy Sicav Defender (cf note 12) ;

- 0,90% for the Sub-Fund Zenit Multistrategy Sicav Stability.

Note 6 - Performance Fees

Zenit Multistrategy Sicav Global Opportunities Sub-Fund :

The Investment Manager is entitled to receive from the Management Company at the expense of the

Zenit Multistrategy Sicav Global Opportunities Sub-Fund a quarterly performance fee.

The quarterly performance fee in respect of the Class I Shares represents 10% of the increase of the

Net Asset Value per Share before the calculation of the performance fee, in relation to the reference

Net Asset Value per Share. The reference Net Asset Value per Share is the highest one ever

previously achieved by the Class I Shares in the Zenit Multistrategy Sicav Global Opportunities Sub-

Fund; in the case of any dividend payment, this will be added to the Net Asset Value for the purpose

of the calculation of the highest Net Asset Value ever achieved.

Under the high water mark (”HWM”) principle, the reference NAV per share of the class is

maintained, as the case may be, until an outperformance of the NAV per share of the class is

recorded. The HWM is reset at each fiscal year end by considering as new HWM the last NAV per

share of the class of the previous fiscal year.

A provision shall be created for the performance fee on each valuation day, on the basis of the

number of shares outstanding in the Class I Shares of the Zenit Multistrategy Sicav Global

Opportunities Sub-Fund on that valuation day.

The amount of the provision is paid to the Management Company in favour of the Investment

Manager at the end of each quarter.

The quarterly performance fee in respect of both Classes P, Q and R represents per Share 10% of the

quarterly positive performance of the Net Asset Value per Share of the relevant Class of Shares in the

Zenit Multistrategy Sicav Global Opportunities Sub-Fund. The amount of the performance fee as

calculated on a daily basis is withdrawn on a daily basis from the Zenit Multistrategy Sicav Global

Opportunities Sub-Fund's assets attributable to the relevant Class of Shares and accrued in view of

the payment at the end of each quarter of such performance fee. In case of a redemption of Shares

on which a performance fee is accrued, such performance fee will be deemed realised and become

payable immediately. The daily accruals of the performance fee are aggregated in order to determine

a positive or negative end-result.

The performance fees for the financial year amounts to EUR 132.101,97.


32

Note 6 - Performance Fees (continued)

If the end-result at the end of each quarter is negative, no performance fee is paid. A negative end-

result is however not brought forward from one quarter to another.

The performance fee accrued on each valuation day equals:

N x 10% x (NAV1 – NAV2)

Where:

N = the number of shares in issue in the relevant class of shares on the relevant valuation day;

NAV1 = the net asset value per share on the relevant valuation day (net asset value prior to the

accrual of a performance fee);

NAV2 = the net asset value per share on the preceding valuation day (net asset value after the

accrual of any performance fee on that date).

Zenit Multistrategy Sicav Stock-Picking Sub-Fund :

The SICAV pays to the Management Company, at the end of each fiscal year, a performance fee

equal to 20% of the outperformance of the Zenit Multistrategy Sicav Stock-Picking Sub-Fund

compared with the FTSE Italia All-Share Capped benchmark. There is outperformance of the net

asset value (the “NAV”) of the SICAV compared with the benchmark if the NAV performance on the

last valuation day of the fiscal year under review compared to the last valuation day of the previous

fiscal year (“reference NAV”) is higher than the performance of the benchmark. If there is an under-

performance for a given period or a given fiscal year, this under-performance would not be taken

into consideration.

The amount of the performance fee is accrued at each net asset value calculation, based on the

average net asset value. The amount of the performance fee is equal to 20% of the outperformance

of the sub-fund compared with the benchmark.

For the financial year, no performance fee was booked for this Sub-Fund.

Zenit Multistrategy Sicav Defender Sub-Fund (cf. note 12):

The Investment Manager is entitled to receive from the Management Company a quarterly

performance fee equal to 18% of the increase of the Net Asset Value (the “NAV”) per share of each

class before the calculation of the performance fee, compared to the reference NAV per share of the

class.

The reference NAV per share of each class is the highest NAV per share (after performance fee

accrual) ever previously achieved by the class during the fiscal year (for the first fiscal year of each

class the first reference NAV per share is the initial subscription price). Under the high water mark

(”HWM”) principle, the reference NAV per share of the class is maintained, as the case may be, until

an outperformance of the NAV per share of the class is recorded.

The HWM is reset at each fiscal year end by considering as new HWM the last NAV per share of the

class of the previous fiscal year.

The amount of the performance fee is accrued at each Net Asset Value calculation, based on the

outstanding Shares of each class on the day the Net Asset Value is calculated.

The amount of the provision is paid to the Management Company in favour of the Investment

Manager at the end of each quarter.



33

Note 6 - Performance Fees (continued)

Zenit Multistrategy Sicav Stability Sub-Fund :

The Investment Manager is entitled to receive from the Management Company at the end of each

fiscal year, a performance fee equal to 20% of the outperformance of the sub-fund compared with

the Euribor 3 months plus 3% benchmark. There is outperformance of the net asset value (the

“NAV”) of the sub-fund compared with the benchmark if the NAV performance on the last Valuation

Day of the fiscal year under review compared to the last Valuation Day of the previous fiscal year

(“reference NAV”) is higher than the performance of the benchmark. If there is an under-

performance for a given period or a given fiscal year, this under-performance would not be taken

into consideration.

The amount of the performance fee is accrued at each net asset value calculation, based on the

average net asset value.

The amount of the performance fee is equal to 20% of the outperformance of the sub-fund

compared with the benchmark.


Note 7 - Marketing Fees

A marketing fee is payable to the Management Company by the Sub-Funds in remuneration for its

services. Such fee is different for each class of Shares, payable monthly in arrears and calculated on

the average of the net assets of the Sub-Funds in the respective class of shares for the relevant

month as follows:

Sub-Funds Classes of Share Rate

Zenit Multistrategy Sicav Class I 0% per annum

Global Opportunities Class P Up to 0,75% per annum

Class R Up to 1,60% per annum

Class Q 0% per annum


Stock-Picking Class P Up to 0,90% per annum




Defender Class P Up to 0,65% per annum




Stability Class P Up to 0,50% per annum

Class R Up to 1% per annum



34

Note 8 - Futures contracts

The amounts detailed in the Statement of Net Assets, under the captions Unrealised Gain/Loss on

Futures Contracts, consider the margin call amounts and the gain/loss mentioned here-below.

The outstanding futures contracts, as of December 31st

, 2016, dealt with Banque Degroof Petercam

Luxembourg S.A. (*), are detailed as follows :

Zenit Multistrategy Sicav Global Opportunities :

Ccy Quantity Description Price

(in EUR) Contract Size

Unrealised Gain/(Loss)

(in EUR)

Commitment

(in EUR)

EUR

50

EURO STOXX BANKS FUTURE

MARCH 2017

117,10

50

-300,00

292.750,00

EUR

20

EUROSTOXX 50 FUTURE MARCH

2017

3.277,00

10

31.000,00

655.400,00

USD 50 CBOE VIX FUTURE JANUARY 2017 15,13 1000 10.666,03 716.994,58

USD

15

CME EUR-USD FUTURE MARCH

2017

1,06

125000

5.155,25

1.879.710,90

Total 46.521,28 3.544.855,48

Zenit Multistrategy Sicav Stock - Picking:




(in EUR)

Commitment

(in EUR)

EUR -25 FTSE MIB FUTURE MARCH 2017 19.205,00 5 -127.575,00 2.400.625,00

Total -127.575,00 2.400.625,00

Zenit Multistrategy Sicav Stability:




(in EUR)

Commitment

(in EUR)

EUR -2 DAX FUTURE MARCH 2017 11.465,00 25 -3.600,00 573.250,00

Total -3.600,00 573.250,00

Note 9 - Transaction Fees

The caption “Transaction Fees” includes fees on purchases and sales of securities and derivatives as

brokerage fees, bank charges, taxes and other costs.

Note 10 - Movements in the securities portfolios

The list of changes in the composition of the securities portfolios is available free of charge at the

registered office of the SICAV.

(*) Cf. note 12


35

Note 11 - Miscellaneous fees

The caption “Miscellaneous Fees” includes fees relating to publication, legal matters, director fees,

ALFI/CSSF information and audit fees.

Note 12 - Events during the financial year

On January 7th

, 2016, the Board of Directors of the SICAV decided to put Zenit MultiStrategy SICAV -

Defender (the “Sub-Fund”) on hold. Zenit SGR Spa, the Investment Manager and sponsor of the

SICAV, immediately invited its Shareholders to redeem. The decision was motivated by the economic

situation and the unsatisfactory sizeable level of assets of the Sub-Fund. These rendered the prudent

asset allocation investment objectives and policy treacherous to be prolonged.

On January 7th

, 2016, further to the accounting of the last 2.100,00 shares redemption, the

Domiciliary Agent officially announced that the Sub-Fund became inactive.

As at April 1st

, 2016, the denomination of Banque Degroof Luxembourg S.A. has been changed to

Banque Degroof Petercam Luxembourg S.A..

As at April 1st

, 2016, the denomination of Degroof Gestion Institutionnelle - Luxembourg has been

changed to Degroof Petercam Asset Services S.A..

ZENIT MULTISTRATEGY SICAV Other Information - Unaudited

36

OVERALL RISK DETERMINATION

Each Sub-Fund must ensure that its overall risk relating to derivatives does not exceed the total net

value of its portfolio.

Overall risk is a measurement designed to limit the leverage generated for each Sub-Fund by using

derivatives. The method used to calculate overall exposure for each Sub-Fund of the SICAV is the

‘commitment method’. The commitment method consists in converting positions on derivatives into

equivalent positions of the underlying assets and then aggregating the market value of these

equivalent positions.

According to the commitment methodology, the maximum level of derivative leverage is 100%.

REMUNERATION

The Management Company, Degroof Petercam Asset Services S.A., applies a remuneration policy,

the purpose of which is to set the remuneration mechanisms for promoting sound and effective risk

management and which do not encourage risk-taking that exceeds the level of tolerated risk, while

promoting the long-term objectives and discouraging conflicts of interest.

Its Board of Directors ultimately assumes all the roles and responsibilities relating to the

remuneration policy, adopting and periodically reviewing its general principles.

The Board of Directors of the Management Company is also responsible for its implementation. The

remuneration policy is an integral part of governance and is approved by the Management

Committee and then the Board of Directors of the Management Company.

The heads of control functions and the head of human resources contribute to preparing and revising

the remuneration policy independently.

Performance is assessed every year at the Degroof Petercam Group and Management Company

level. Individual staff evaluations are based on a set of financial and non-financial objectives in

accordance with the role and responsibility of each employee. The evaluation focuses on the

technical and behavioral skills which the employee must have a command of as part of his/her

function. Remuneration is determined by taking into account the complexity of the post, the level of

responsibility, the performance and the Luxembourg market conditions.

Special principles are applied for staff identified as "material risk takers": deferred payment, malus

and claw-back arrangements.

The amount of the Management Company’s remuneration for this SICAV is available, free-of-charge,

from the registered office of the Management Company on request by the shareholders of the

SICAV.

According to the “European Securities and Markets Authority (ESMA) Guidelines”, the UCITS V

requirements in terms of remuneration will be effective from January 1st

, 2017, at the end of the first

accounting year following their implementation and will be disclosed in the next annual report.

The amounts of remuneration are therefore not mentioned in this report.

ZENIT MULTISTRATEGY SICAV Other Information - Unaudited

37

SFTR

As at December 31th

, 2016, the Company is currently not in the scope of the requirements of the

Regulation (EU) 2015/2365 on transparency of Securities Financing Transactions and of Reuse

(“SFTR”).

Furthermore, no corresponding transactions were carried out during the period referring to the

financial statements.

ZENIT MULTISTRATEGY SICAV · 2017-10-12 · ZENIT MULTISTRATEGY SICAV "Société d’Investissement à Capital Variable" ("SICAV") incorporated under Luxembourg law Annual Report

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