MW Tops - IMS Statement

 
TIDMTOPE 
 
MW TOPS Limited 
 
                    Interim Management Statement 
 
This interim management statement relates to the period from 1  April 
2009 to  the date  of  publication of  this  statement and  has  been 
prepared solely to  provide additional information  in order to  meet 
the relevant requirement  of the Transparency  Directive, and  should 
not be relied on by shareholders,  or any other party, for any  other 
purpose. 
 
Overview 
 
MW  TOPS   Limited  (the   "Company")  is   a  Guernsey   registered, 
closed-ended limited liability investment company listed on the  main 
market of  the  London  Stock  Exchange.  The  Company's  shares  are 
denominated in Sterling, Euro and US$. The investment objective of MW 
TOPS Limited  is to  provide  consistent absolute  returns  primarily 
derived through trading in equities  of companies incorporated in  or 
whose principal operations are in Europe (including Eastern Europe). 
 
NAV Performance as at 31 July 2009 
 
                                                              31 July 
                 Final NAV                     Return since      2009 
                   31 July Apr - Jul    YTD       inception     Share 
                      2009    return return        (net)[1]     Price 
Euro Share NAV        9.78     6.25%  8.16%          -2.25%      8.70 
US$ Share NAV         9.65     6.24%  8.12%          -3.53%      8.60 
Sterling  Share 
NAV                   9.89     6.25%  8.06%          -1.09%      8.90 
MSCI AC Daily 
TR Net 
Europe Local 
Index                  N/A    26.88% 12.64%         -27.05%       N/A 
 
 
Note 1: Trading in the fund began on the Euronext Amsterdam  Exchange 
on 13  December 2006,  with  an opening  NAV  of 10.00  and  includes 
issuance costs of approximately 1% of NAV. 
 
Source: Morgan Stanley Capital International ("MSCI") 
 
Investment Review by Marshall Wace LLP (the "Investment Manager") 
 
While the  fundamentals of  the global  economy continued  to  hamper 
belief in  a sustained  recovery of  the cycle,  market  participants 
became more optimistic  that the attempts  by various governments  to 
inject liquidity into  the financial system  through monetary  policy 
and fiscal stimuli  may be  sufficient in staving  off deeper  global 
recession.  However, continued fragility of financial institutions in 
combination with asset managers'  own efforts to deleverage  combined 
to contribute  to  equity market  uncertainty  from 1  April-31  July 
2009. 
 
As  at  31  July  2009,  the   total  assets  of  the  Company   were 
EUR150,830,139.  From 1 April-31 July 2009, the risk-return profile  of 
the Company remained attractive, with  the Euro NAV returning  +6.25% 
with a volatility of 3.77%.  This compares favourably to the European 
equity market, which  rose +26.88% over  the same period  but at  the 
expense of a volatility of  22.65%.   The share price performance  of 
the three Share Classes of MW TOPS Limited from 1 April-31 July  2009 
was also pleasing, with the Euro, US$ and GBP Share Classes returning 
+11.54%, +13.91% and  +11.54% respectively.  The  discount to NAV  of 
the London-listed shares averaged -13.41%  in the Euro line,  -12.87% 
in the US$ line and -13.28% in the GBP line across the 4 month period 
under review  and as  such remained  considerably narrower  than  the 
average discount across the listed hedge fund space (-19.00%) and  in 
line with the better single-managed quoted hedge funds. 
 
Contributors to the MW TOPS system were defensively positioned from 1 
April-31 July 2009, maintaining conservative levels of net and  gross 
market exposure.  In  addition,  the  holding  periods  of  positions 
declined across  the applications  in which  the Company  invests  as 
contributors sought to  opportunistically capture  short term  upside 
within the market and lock in profits. 
 
Considerable resource continues to be  deployed by Marshall Wace  LLP 
to further  improve optimisation  techniques. The  MW TOPS  portfolio 
construction process  explicitly recognises  that patterns  of  alpha 
generation differ  on the  long and  short side  across various  time 
horizons. The  Investment  Manager's research  effort  embodies  this 
distinction and worked  over the review  period to develop  different 
methods of  optimising the  contributor dataset.  Certain  investment 
sub-strategies focus  on  individuals and  their  characteristics,  a 
second group analyses  patterns of behaviour  within the networks  of 
contributors, while a third group  of models are targeted to  analyse 
behaviour and trading costs at  the single stock level. Although  the 
investment horizon within MW TOPS is typically 20-100 days per  idea, 
the optimisation process also  uses shorter-term pattern  recognition 
techniques to extract value from  themes and changes in sentiment  as 
they are detected.  A further module  seeks to aid  the avoidance  of 
crowded trades to ensure low correlation with other long/short equity 
strategies. 
 
Investment Allocation 
 
Up to  1  June 2009,  the  Company's  assets were  allocated  in  the 
following approximate 
proportions to the relevant sub-trusts of Marshall Wace TOPS Trust: 
 
 
                                      % 
Sub-Trust C (Opportunistic - hedged) 45 
Sub-Trust D (Fundamental - hedged)   45 
Sub-Trust N (Market Neutral)         10 
 
 
 
For the  period  1  June-31  July 2009,  the  Company's  assets  were 
allocated in the following approximate 
proportions to the relevant sub-trusts of Marshall Wace TOPS Trust: 
 
 
                               % 
Sub-Trust A (Opportunistic)   35 
Sub-Trust B (Fundamental)     35 
Sub-Trust H (Balanced Europe) 10 
Sub-Trust N (Market Neutral)  20 
 
 
 
With effect  from  1 August  2009,  the Company's  assets  have  been 
allocated in the following approximate 
proportions to the relevant sub-trusts of Marshall Wace TOPS Trust: 
 
 
                               % 
Sub-Trust H (Balanced Europe) 10 
Sub-Trust European TOPS       70 
Sub-Trust N (Market Neutral)  20 
 
 
Material events 
 
The Company delisted from Euronext Amsterdam with effect from 1  July 
2009. 
 
Other than set  out above,  the Board is  not aware  of any  material 
events during  the period  from 1  April  2009 to  the date  of  this 
announcement, which would have had a material impact on the financial 
position of the Company. 
 
Investor Information 
 
The latest available information on  the Company can be accessed  via 
www.mwtops.eu. 
 
By order of the Board 
MW TOPS Limited 
 
Enquiries: 
Anson Fund Managers Limited - Tel [phone] 
 
18 August 2009 
 
This announcement  is for  information purposes  only and  is not  an 
offer to invest. The Company  is registered with the Dutch  Authority 
for the Financial Markets as a collective investment scheme which may 
offer participations in The Netherlands  pursuant to article 2:66  of 
the  Financial  Markets  Supervision  Act  (Wet  op  het   financieel 
toezicht).  All investments are subject to risk.  Past performance is 
no guarantee of future returns.  Prospective investors are advised to 
seek expert  legal,  financial,  tax and  other  professional  advice 
before making any investment decision.  The value of investments  may 
fluctuate.  Results achieved in the  past are no guarantee of  future 
results. 
 
E&OE - In Transmission 
 
END OF ANNOUNCEMENT 
 
=--END OF MESSAGE--- 
 
 
http://hugin.info/139474/R/1335647/317488.pdf 
 
 
This announcement was originally distributed by Hugin. The issuer is 
solely responsible for the content of this announcement.