Citadel Value Fund SICAV Value Fund Semi... · Citadel Value Fund SICAV Information for investors...

Unaudited semi-annual report as at November 30th 2019

Citadel Value Fund SICAV Société d'Investissement à Capital Variable Luxembourg

R.C.S. Luxembourg B85320

No subscription can be received on the basis of this financial report. Subscriptions are only valid if made on the basis of the current prospectus and the key investor information document ("KIID") supplemented by the latest annual report and the most recent semi-annual report, if published thereafter.

Citadel Value Fund SICAV

Table of contents

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Organisation ..................................................................................................................................................... 2

Information for investors in Netherlands ....................................................................................................... 4

Report on activities of the Board of Directors............................................................................................... 5

Statement of net assets ................................................................................................................................. 12

Statement of investments and other net assets ......................................................................................... 13

Industrial and geographical classification of investments ........................................................................ 14

Statement of changes in investments .......................................................................................................... 15

Notes to the financial statements ................................................................................................................. 16

Additional information ................................................................................................................................... 20


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Organisation

Registered office 88, Grand-Rue L-1660 LUXEMBOURG (since October 1st 2019) 11, rue Aldringen L-1118 LUXEMBOURG (until September 30th 2019) Board of Directors Directors Bas SCHREUDERS 9, Meescheck L-6384 BIWER Jos ROTTEVEEL ANDREAS CAPITAL S.A. One on One building 1, route d’Esch L-1470 LUXEMBOURG Marleen WATTE-BOLLEN 117, val des Bons Malades L-2121 LUXEMBOURG Management Company KREDIETRUST LUXEMBOURG S.A. 88, Grand-Rue L-1660 LUXEMBOURG (since October 1st 2019) 11, rue Aldringen L-2960 LUXEMBOURG (until September 30th 2019) Board of Directors of the Management Company Chairman Vincent DECALF Directors Olivier de JAMBLINNE de MEUX Managing Director Stefan VAN GEYT Conducting officers of Aurélien BARON the Management Company Kristel COOLS Stefan VAN GEYT Investment manager ANDREAS CAPITAL S.A. One on One building 1, route d’Esch L-1470 LUXEMBOURG


Organisation (continued)

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Investment advisor to the D&F FINANCIAL SERVICES B.V. Investment Manager Van Hengellaan 2, NL-1217 AS HILVERSUM Depositary and principal KBL EUROPEAN PRIVATE BANKERS S.A. paying agent 43, boulevard Royal L-2955 LUXEMBOURG Domiciliary, administrator, registrar KREDIETRUST LUXEMBOURG S.A. and transfer agent 88, Grand-Rue L-1660 LUXEMBOURG (since October 1st 2019) 11, rue Aldringen L-2960 LUXEMBOURG (until September 30th 2019) Delegated administrator, registrar EUROPEAN FUND ADMINISTRATION S.A. and transfer agent 2, rue d’Alsace L-1122 LUXEMBOURG Réviseur d’Entreprises agréé BDO Audit 1, rue Jean Piret L-2350 LUXEMBOURG


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Information for investors in Netherlands

Dutch investors can get all information required regarding payments on the issuance and redemption of shares of the Fund from D&F FINANCIAL SERVICES B.V., email [email protected] or telephone +31 35 582 1650.

mailto:[email protected]


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Report on activities of the Board of Directors

Dear Shareholder, Most equity markets have been very bullish so far this year, with some US indices reaching record highs. As per November 30th, the Fund’s fiscal half-year end, Citadel recorded an 8.8% year-to-date net return. On an absolute level this appears to be a satisfactory result, since it is above the long-term average of equity market returns. The underlying portfolio performance (excluding the Fund’s cash balance and Fund costs) was over 12%. About half of the portfolio companies showed returns in excess of 20%. These returns were made without exposure to expensive high-growth stocks and without the help of high levels of debt. In line with Citadel’s investment principles, returns were achieved by selecting companies with predictable income streams and solid balance sheets. Although we are not satisfied with Citadel’s performance relative to the index performance, we strongly believe that the deep value approach continues to be the best way to preserve your capital in the long run. Since inception, Citadel has more than doubled and the Class P return stands at +106.3%.

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Citadel Value Fund Class P performance since inception to November 30th, 2019

Citadel Value Fund, Class P (+106.3%)

MSCI World Index (EUR, net) (+169.0%)

Fund Performance Since 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

- Class P - inception YTD

as of Nov 30, 2019 (11-Feb-02)

Citadel Value Fund 106,3% -18,4% 17,0% 17,2% 12,0% 9,7% -0,5% -35,8% 36,2% 12,9% -6,9% 12,7% 15,1% 10,1% 12,2% -0,1% 7,4% -12,1% 8,8%

MSCI World Index 169,0% -30,2% 10,7% 6,5% 26,2% 7,4% -1,7% -37,6% 25,9% 19,5% -2,4% 14,0% 21,2% 19,5% 10,4% 10,7% 7,5% -4,1% 28,5%

+/- vs. index -62,6% 11,8% 6,2% 10,7% -14,2% 2,3% 1,2% 1,8% 10,3% -6,6% -4,5% -1,3% -6,2% -9,4% 1,7% -10,8% -0,1% -8,0% -19,7%

Note: MSCI World Index (total returns, in EUR). Source: EFA, MSCI Bullish stock markets were perhaps best reflected in the performance of the MSCI World Index, a market cap weighted index which by construction is heavily geared towards US growth stocks. Its year-to-date performance has been a staggering 28.5% in Euros, supported by a 4% appreciation of the US$. The main underlying driver was the US equity market (the S&P 500 index was up 25.3%). On the other side of the geographical spectrum, Asian equity markets underperformed significantly (for example, the South Korean index was only up by 2%). Equity market performance: Value investing is underperforming, but will that last forever? Before we discuss the Fund’s portfolio developments, it might be helpful to spend a few more words on the performance of equity markets. The MSCI World Index is a widely used index consisting of a broad set of developed world stocks. Citadel has been using it since its inception as a reference index


Report on activities of the Board of Directors (continued)

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for its global set of investment opportunities. In the four charts below index returns from 2002 (the inception of Citadel) until now are shown. Chart 1: As we explained before, the MSCI World index is largely driven by US equity market performance. Based on market value, more than 60% of the MSCI World index constituents are US companies. The graph clearly shows that after the financial crisis of 2008-2009, US equity markets have not only recovered but in fact shot up to new highs. Other geographies, most notably Europe, have failed to recover and fell significantly behind. This has also made US stocks very expensive, often lacking the margin-of-safety Citadel typically requires. Chart 2: On its turn, the US market has been propelled by a relatively small number of technology stocks that have become mega-caps. As we can see from the graph, this effect was most pronounced in the past five years. Year-to-date, US technology stocks again showed a stunning return: the NASDAQ Composite index return was an almost incredible 30.6%. This return has been achieved despite growing regulatory and geopolitical risks for the likes of Amazon, Facebook, Google and Microsoft. The bull market has resulted in inflated valuation multiples: the NASDAQ index currently trades at a multiple of 19x operational earnings (EV/EBITDA). This is a level we haven’t seen since the burst of the Internet bubble in 2001. Chart 3: The MSCI World Value index is a subset of the MSCI World index. To separate the value investment style, MSCI uses three variables: a low price-to-book, a low price-earnings ratio and a high dividend yield. The Value investment style delivered significant outperformance in the period 2002-2009. However, from 2015 onwards, Value investing has underperformed the overall index, particularly during the last two years.

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Tech outperforms MSCI World

MSCI World Index NASDAQ Comp.

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USA drives MSCI World

EuroStoxx 50 S&P 500 MSCI World Index

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Global Value underperforms MSCI

MSCI World Value Index MSCI World Index



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Chart 4: The MSCI World Value index can be used as a reference for the Value investment style in general. Of course, in constructing a true value portfolio there are many more selection criteria at stake than only a few quantitative metrics. The chart depicts that until 2015 the Citadel Value Fund has slightly outperformed the returns of the World Value index despite holding an average cash balance of more than 10%. From 2015 onwards, Citadel has started outperforming the MSCI World Value index with a wider margin. In fact, Citadel has outperformed the broader MSCI World index during the first 16 years of the Fund’s record. Starting in 2018, however, the performance difference between value investing and large cap growth stocks has reversed in favour of expensive growth stocks. This effect has coincided with the global trend towards passive index investing, which is price-insensitive investing without much consideration of underlying company fundamentals. Index investing has increased valuations of large index stocks in general and resulted in staggering valuations of technology mega-caps in particular. As active investors since the beginning of the 90’s of last century, we can’t help but seeing parallels to the so-called ‘Internet bubble’ years of 1997- 2000. Growing demand for passive investing and the artificially low interest rates have stimulated investments in high-multiple growth stocks. In quite a few cases valuation levels now appear completely separated from company fundamentals. To us the relevant question is whether these very rich valuations are an accident waiting to happen. Pricing to perfection: the miraculous disappearance of risks When many stocks are priced to perfection, the fundamental risks of investing in stocks are not sufficiently priced in. To some this may sound like a theoretical issue, to others perhaps as a frequently heard mantra, so an example might clarify this point. In the insurance industry the correct pricing of risks is tantamount to survival. When an insurance company structurally underestimates risks and sells its insurance contracts at too low prices, its reserves won’t be enough to pay out all claims over the long run. Particularly in case of catastrophe insurance (i.e. insurance against very large yet infrequent risks), an insurance company may enjoy a long string of wonderful years with very high profits, completely ignorant of the fact that it is mispricing the risks it is accepting. But the very risks that the company mispriced will eventually materialise. When this happens, probably to the shock of many, the insurance company will incur heavy losses and it might even be insufficiently solvent to pay out all claims. Returning to the stock market: when stocks are bought without taking into account the fundamental risks associated with holding a stake in a business, an accident is waiting to happen. Stocks might be purchased simply because their prices went up and buyers expect prices to continue to go up. Or because the increased index weighting triggers additional demand. Alternatively, justification is sought in unrealistic expectations, like high earnings growth for many years to come, eternal low interest rates, disregarding business or economic cycles, and so on. The basic flaw behind this reasoning is that, while perfect scenarios could materialize, it is highly unlikely they do. A multitude of events may occur and have a significant negative impact on a company’s earnings power. Among them are mundane things like cost inflation or economic recessions, but also specific risks like trade-wars inflicting severe damage upon individual companies or the squandering of capital on expensive acquisitions stimulated by cheap financing. Moreover, there are unknown and hard to quantify risks like natural disasters. The key point is that when many companies trade at elevated multiples for a long time, most risks are not adequately accounted for in

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Citadel outperforms MSCI World Value

MSCI World Value Index Citadel Class-P



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stock prices. And this situation has always, and in our view, will eventually self-correct. In other words, risks will become apparent again and stock prices are going to reflect that. We at Citadel believe that the very sound principles formulated by Benjamin Graham more than 70 years ago are still as valid as ever. Perhaps the most valuable is the requirement of a margin-of-safety when purchasing a stock. Risks have not disappeared, although stock markets might make you think otherwise. Citadel has for almost 18 years invested in a sensible and risk-reducing way and will continue to do so. In practice, this means investing only in shares that offer a sufficient margin-of-safety to properly account for the many risks. We are convinced that long term capital preservation is best served by ignoring the priced-to-perfection cases. Many strong performers in the portfolio… As mentioned in the introduction, the majority of the Fund’s holdings performed satisfactorily over the year. Our two UK holdings MPAC Group and Dewhurst Plc did very well and each of our four Japanese holdings significantly outperformed the Japanese Nikkei index. Dewhurst was the largest contributor to the Fund’s performance with its share price up 48%. Dewhurst is a UK-based, but globally active producer of components for the lift industry. Although a relatively small player in the global lift sector, the company has enjoyed solid returns on capital, a direct result of management’s sound capital allocation policy. In 2018 it acquired a lift component distributor for 4x EBIT and in 2019 it divested its lift controlling software business for 10x EBIT. Management teams being selective in what to buy and what to sell, and being critical about valuations, is music to the ears of a value investor.

Most significant performance contributors & detractorsJanuary 1st 2019 to November 30th 2019

Holding Contribution Absolute return Holding Contribution Absolute return

Dewhurst PLC -A- 2,9% 48,2% CNIM -3,6% -56,9%

Toyota Industries Corp. 2,4% 34,1% GS Home Shopping -1,3% -15,8%

Pronexus Inc. 2,3% 24,2% National Oilwell Varco -0,5% -8,2%

Signify 1,8% 37,4% Hanil Holdings -0,4% -12,1%

Proto Corp. 1,7% 58,5% Daekyo -preferred- -0,4% -8,0%

MPAC Group 1,5% 55,3% Nongshim Co. -0,3% -8,9%

Note: Returns include net dividends Also Signify (formerly Philips Lighting) is worthwhile mentioning. The stock performed well this year after we were able to add to the position at depressed share prices last year. Signify hasn’t been a stock market darling – perhaps because it is not a growth stock. Surely, its conventional lamps business is on a rapid decline rather than growing. What we find attractive, though, is that this decline is managed very well by maximising cash flow, and is more than compensated by growing profits and cash flow from its future-proof businesses (LED lamps & electronics, smart home lighting and professional lighting systems). Management does an outstanding job in raising profitability in those business segments despite tough market conditions and has made some wise capital allocation decisions. We believe that Signify’s strong cash generating business is worth much more than the current share price. During 2019, we weren’t the only ones to notice. … and only one significant detractor Where our Japanese stock picks performed strongly, the Fund’s Korean holdings generally showed poor returns so far this year, mirroring the dull overall performance of the Korean equity market. GS Home Shopping, a top-5 portfolio holding, was down 15.8%, which resulted in the remarkable situation of cash & investments on the balance sheet exceeding its entire market capitalisation. For a market leading e-commerce business with an 11% operating margin and negative capital employed, this valuation does not make sense and we see strong upside potential.



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The largest detractor was CNIM. Paris-listed CNIM is an industrial engineering company and a leading provider of waste-to-energy technology. It also runs several high-tech engineering businesses related to energy, industrial and defence systems. As a contractor for waste incinerators, it provides incineration technology and flue gas treatment, amongst others. In this line of business, CNIM has been the leading vendor in the UK and France with a 50-year track record and a record order book of projects. The share price of CNIM fell sharply after a few disappointing announcements. The market digested weak 2018H2 results caused by cost overruns on one project and management promised actions to improve risk management. Following this, the Fund added to its position. Later in 2019 however, CNIM announced cost overruns at several other projects for a variety of reasons, causing a significant loss over the first 6 months of 2019. Losses and working capital investments turned the net cash position – which was significant at the time we invested – into a large net debt position, a risk uncommon for Citadel to be exposed to. It appears that a company, which is majority owned and managed by an entrepreneurial family, has vast expertise and a strong track record of 20 years of uninterrupted profitability and is active in a secular growth market with the benefit of a very strong balance sheet… can still face a haemorrhaging period. With the benefit of hindsight, the specific project risks associated with the company’s line of business were underestimated by the company and also by us. In analogy to the insurance company’s example, a heavy loss can still occur after many good years when project risks are not sufficiently limited and priced in. Portfolio movements during 2019 Given generally elevated market valuations, we have been quite picky before adding new names to the portfolio. During 2019, we have added two new names, Nichirin Co. and Bed Bath & Beyond Inc. We purchased a stake in Nichirin during the second quarter of 2019 and already discussed this company briefly in our previous letter. Nichirin is a Japanese manufacturer mainly of rubber hoses for the automotive and motorcycle industry. It sells brake hoses, fuel hoses and other products predominantly in Japan, China and the Asian emerging markets and enjoys a near-monopoly position in brake hoses for the two-wheel market in Asia. We bought the shares at around 2x EV/EBIT and less than 2/3 of Capital Employed. Meanwhile, the shares performed strongly, outperforming the broader Japanese market. Nichirin initiated a small share buy-back program for the first time in its corporate history – still unconventional in Japan, but a great management decision given the share’s low valuation and very cash rich balance sheet. Bed Bath & Beyond was the second addition this year. Bed Bath & Beyond has been a household name in the US domestic merchandise and furniture retail sector. The company enjoyed high profitability and a solid return on capital in the 2000-2015 period. During the last few years, poor management in combination with ineffective adaptation to new trends and competition led to faltering sales growth and profitability. Early 2019, a group of activist shareholders pointed to the vast opportunity if the company were to be managed more professionally. This led to a change of management and a refresh of the Board of Directors that jumpstarted strategic and operational change. We were able to buy the shares at a quite depressed valuation level of c. 3x EV/EBITDA. As an additional margin of safety, the aggregate value of assets and non-core divestment potential was roughly equal to the Enterprise Value at the time of our investment. Although the financial proof of a successful operational turnaround has yet to become visible, the shares have already performed strongly after we made the investment.



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Changes in the PortfolioJanuary 1st 2019 to November 30th 2019

Holdings bought or added to Holdings reduced, sold or acquired in a buy-out

Bed Bath & Beyond Ahold Delhaize

CNIM Bijou Brigitte

National Oilwell Varco Pronexus

Nichirin Signify

Signaux Girod

Village Super Market

We increased the position in National Oilwell Varco this year around the time its share price hit a ten-year low. NOV’s results are hampered by a sluggish North American shale oil environment, a segment in which the company holds a considerable market position. On the positive side, offshore oil markets have started to recover and NOV’s revenue growth in this part of the business improved to double-digit rates. Management quality is widely recognised for managing operating cost and cash flow. We foresee significant upside potential for the shares. We sold the Fund’s position in Bijou Brigitte, a German fashion jewellery retailer, after a decent share price performance early-2019. Further, we reduced the weighting of several positions at attractive share price levels. These include Ahold Delhaize and Pronexus. Both were positions that we had increased at lower price levels, taking advantage of market volatility. Furthermore, we reduced weightings in Signify, Village Super Market and Signaux Girod for portfolio management reasons.

Portfolio Holdingsas of 30 November 2019

Company Activity % of NAV

Pronexus business services (printed & electronic financial documentation) 9,1%

Toyota Industries Corp industrial goods (Toyota, forklifts, engines, cars & parts) 8,0%

Dewhurst -A- industrial goods (elevator fixtures & controls) 7,5%

GS Home Shopping speciality retail (TV home shopping & e-commerce) 5,7%

Signify industrial goods (lighting, lighting electronics, lighting systems) 5,2%

Village Super Market -A- retail (supermarkets) 4,9%

National Oilwell Varco industrial goods (oil field equipment & services) 4,5%

Berentzen Gruppe consumer goods (spirits & beverages) 4,3%

Ahold Delhaize retail (supermarkets) 4,0%

TGS Nopec industrial services (seismic data) 3,9%

Nichirin industrial goods (automotive components) 3,8%

Proto Corp. media (internet, magazines & data products) 3,8%

Nongshim Holdings holding co. (Nongshim, packaging, ingredients) 3,7%

MPAC Group industrial goods (packaging machinery) 3,6%

Daekyo -preferred- consumer services (education) 3,5%

Bed Bath & Beyond retail (furniture retail and domestic merchandise) 2,9%

Zwack Unicum consumer goods (spirits) 2,9%

Nongshim Co. consumer goods (food & beverages) 2,5%

Hanil Holdings holding co. (Hanil Cement, Hyundai Cement) 2,4%

CNIM high-tech engineering & equipment (waste-to-energy plants) 2,3%

Signaux Girod industrial goods (traffic signs) 0,5%

Cash and other assets & liabilities 11,0%100,0%

As per November 30th, 2019 the portfolio consists of holdings in 21 companies. The portfolio top-5 consists of two Japanese companies, two European businesses and one Korean company. Companies listed in Europe represent roughly one third of the Fund’s NAV. The Fund’s exposure to Asia is around 40%, with Japan as most important market. The exposure of Citadel to the US equity market has increased to 12%. This is still low relative to the size of the US equity market but caused by the fact that the Fund’s geographical mix is purely a result of the bottom-up search for attractive valuations. Ranked by sector exposure, the largest concentrations are in industrial goods, consumer staples and industrial services. These sectors usually offer healthy, predictable businesses with



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defendable market positions and solid financials. The Fund’s cash balance (net of other assets & liabilities) per November 30th, 2019 amounted to 11% of NAV. TGS Nopec: navigating the cycle As is usual, we would like to include a representative investment case in this shareholder’s letter. TGS Nopec is one of the most interesting but perhaps not so well-known portfolio companies. TGS is a provider of seismic data required to perform efficient oil exploration. 2019 hasn’t been a strong year for the average oil services provider. Performance of most companies in the peer group was sluggish due to difficult markets in combination with high net debt loads. TGS was a rare exception, as it posted strong revenue growth in 2019, even stronger profit growth, finalised an excellent acquisition and still retained a cash-rich balance sheet. Investors were rewarded with an almost 30% year-to-date share price increase. What makes TGS different? Well, for one, the company has always made sure to hold excess cash on its balance sheet. This is not only a safety cushion, but it also enabled management to invest countercyclically at depressed prices during the offshore market downturn. The prices of seismic data are linked to seismic vessel day rates – it’s the opportunity cost of producing data. Now that offshore markets are recovering and the seismic vessel market has become healthier again, vessel rates are on the rise. This enables TGS to also raise prices for selling seismic data produced during the downturn when it was paying lower day rates. It is this cyclical pricing mechanism that provides huge value upside for the seismic database TGS carries on its balance sheet. 2019 is turning out to be a strong year for TGS and we foresee even stronger results next year. In conclusion By spending more words than usual on indexing and performance, this shareholder letter ended up a little longer than you are used to. But we hope to have provided you with a better perspective on Citadel’s performance amidst runaway equity markets in 2019. Rest assured that on a normal working day, we spend more time analysing companies than writing about the market. Ending with the great Benjamin Graham: investing is most intelligent when it is most-business like. We would like to express our gratitude for your investment and continued trust in the Fund. We wish you and your family a wonderful holiday season, a Merry Christmas and a Happy New Year! Kind regards, The Board of Directors December 19, 2019 Citadel Value Fund SICAV


Statement of net assets (in EUR) as at November 30th 2019

The accompanying notes are an integral part of these financial statements.

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Assets Securities portfolio at market value 24,332,076.02 Cash at banks 3,004,529.93 Receivable on sales of securities 14,081.14 Income receivable on portfolio 26,827.86 Prepaid expenses 369.81

Total assets 27,377,884.76

Liabilities Interest payable on bank overdrafts 34.72 Expenses payable 34,439.20

Total liabilities 34,473.92

Net assets at the end of the period 27,343,410.84

Breakdown of net assets per share class

Share class Number of

shares

Currency of

share class

NAV per share in currency of

share class

Net assets per share class

(in EUR)

MP capitalisation 3,048.56 EUR 255.86 779,990.20 P capitalisation 24,386.65 EUR 206.33 5,031,727.50 X capitalisation 99,911.58 EUR 215.51 21,531,693.14

27,343,410.84


Statement of investments and other net assets (in EUR) as at November 30th 2019

The accompanying notes are an integral part of these financial statements.

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Currency Number / nominal

value Description Cost Market value % of

total net assets

Investments in securities

Transferable securities admitted to an official stock exchange listing

Shares

EUR 168,569 Berentzen-Gruppe AG 1,381,814.48 1,179,983.00 4.32 EUR 17,500 CNIM Group SA 2,091,343.06 635,250.00 2.32 EUR 47,000 Koninklijke Ahold Delhaize NV 468,371.21 1,099,095.00 4.02 EUR 12,771 Signaux Girod SA 710,183.75 137,926.80 0.50 EUR 53,000 Signify NV 1,284,251.67 1,434,710.00 5.25

5,935,964.17 4,486,964.80 16.41

HUF 15,000 Zwack Un Liq Ind and Trad Plc 572,052.36 780,664.82 2.86 JPY 65,000 Nichirin Co Ltd Reg 853,103.18 1,047,621.13 3.83 JPY 250,000 Pronexus Inc 1,255,982.89 2,499,167.34 9.14 JPY 120,400 Proto Corp 717,525.72 1,036,072.37 3.79 JPY 41,000 Toyota Industries Corp 1,099,434.84 2,183,448.17 7.99

3,926,046.63 6,766,309.01 24.75

KRW 300,000 Daekyo Co Ltd Pref 1,163,273.98 968,922.61 3.54 KRW 18,548 Hanil Holdings Co Ltd 894,560.05 643,928.07 2.35 KRW 3,740 Nong Shim Co Ltd 761,364.50 673,622.04 2.46 KRW 17,000 Nong Shim Holdings Co Ltd 893,739.22 1,017,157.52 3.72

3,712,937.75 3,303,630.24 12.07

NOK 41,000 TGS Nopec Geophysical Co ASA 808,129.20 1,059,609.78 3.88 USD 60,000 Bed Bath and Beyond Inc Reg 535,055.19 793,397.42 2.90 USD 60,000 National Oilwell Varco Inc 1,467,811.42 1,227,099.58 4.49 USD 51,950 Village Super Market Inc A 939,521.49 1,332,437.87 4.87

2,942,388.10 3,352,934.87 12.26

Total shares 17,897,518.21 19,750,113.52 72.23

Transferable securities dealt in on another regulated market

Shares

GBP 248,500 Dewhurst Plc A Non Voting 638,657.67 2,055,008.34 7.52 GBP 495,673 MPAC Group Plc 853,454.02 976,793.19 3.57

1,492,111.69 3,031,801.53 11.09

KRW 13,500 GS Home Shopping Inc 1,162,936.33 1,550,160.97 5.67

Total shares 2,655,048.02 4,581,962.50 16.76

Total investments in securities 20,552,566.23 24,332,076.02 88.99

Cash at banks 3,004,529.93 10.99

Other net assets/(liabilities) 6,804.89 0.02

Total 27,343,410.84 100.00


Industrial and geographical classification of investments as at November 30th 2019

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Industrial classification

(in percentage of net assets)

Industrials 27.80 %

Non-cyclical consumer goods 25.79 %

Cyclical consumer goods 24.68 %

Energy 8.37 %

Raw materials 2.35 %

Total 88.99 %

Geographical classification

as at November 30th 2019 (in percentage of net assets)

Japan 24.75 %

South Korea 17.74 %

United States of America 12.26 %

United Kingdom 11.09 %

The Netherlands 9.27 %

Germany 4.32 %

Norway 3.88 %

Hungary 2.86 %

France 2.82 %

Total 88.99 %


Statement of changes in investments from June 1st 2019 to November 30th 2019

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Currency Description Purchases Sales Other

Shares

EUR Signaux Girod SA 0 1,773 0

JPY Nichirin Co Ltd Reg 24,600 0 0 JPY Pronexus Inc 0 5,000 0 JPY Proto Corp 0 0 60,200

USD Bed Bath and Beyond Inc Reg 60,000 0 0


Notes to the financial statements as at November 30th 2019

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Note 1 - General information

Citadel Value Fund SICAV ("the Fund") is a "Société d’Investissement à Capital Variable" ("SICAV"), established on January 3rd 2002 for an indefinite duration. The financial year of the Fund runs from June 1st to May 31st. The reference currency of the Fund is the Euro (EUR). The most recent annual report and the most recent semi-annual report, the Articles of Association, the Prospectus and the KIID are available at the registered office of the Fund and on its website www.citadelfund.com. At those places the last three annual reports of the Fund are available. Note 2 - Significant accounting policies a) Presentation of the financial statements The financial statements of the Fund are prepared in accordance with the Luxembourg legal and regulatory requirements concerning undertakings for collective investment and with generally accepted accounting principles in Luxembourg. b) Valuation of assets The valuation of the investments is based on the following principles: 1) Investments (transferable securities and money market instruments) listed on any stock

exchange and on any regulated market are valued at the last closing price, unless the price is not representative. In the latter case the price will be valued at the probable realization value estimated with care and good faith and are placed under the responsibility of the Board of Directors.

2) Investments (transferable securities and money market instruments) which are not listed on any

stock exchange are valued on the basis of the probable realization value estimated with care and good faith under the responsibility of the Board of Directors.

3) The value of any cash on hand or on deposit, bills and demand notes and accounts receivable,

prepaid expenses, cash dividends and interest declared or accrued and not yet received is deemed to be their nominal value thereof, unless in any case the same is unlikely to be paid or received in full, in which case the value thereof is arrived at after making such a discount as may be considered appropriate by the Board of Directors in such case to reflect the true value thereof.

The Board of Directors, at its discretion, may permit some other method of valuation to be used if it considers that such valuation better reflects the fair value of any asset of the Fund. c) Acquisition cost of securities in the portfolio The acquisition cost of the securities held by the Fund that are denominated in currencies other than the reference currency of the Fund is converted into this currency at the exchange rate prevailing on the date of purchase. d) Net realised gain /(loss) on securities portfolio The realised gains and losses on securities portfolio are calculated on the basis of the average acquisition cost.


Notes to the financial statements (continued) as at November 30th 2019

17

e) Investment income Dividend income is recorded at the “ex-date”, net of any withholding tax. f) Conversion of foreign currencies Cash at banks, other net assets, liabilities and the market value of the securities in portfolio expressed in currencies other than the reference currency of the Fund are converted into this currency at the exchange rate prevailing on the date of the financial statements. Income and expenses expressed in currencies other than the reference currency of the Fund are converted into this currency at the exchange rate prevailing on the date of the transaction. At the date of the financial statements, the exchange rates are the following: 1 EUR = 0.8525148 GBP Pound Sterling 334.3304219 HUF Hungarian Forint 120.7402144 JPY Japanese Yen 1,301.9615622 KRW South Korean Won 10.1570410 NOK Norwegian Krona 1.1026000 USD US Dollar Note 3 - Investment management fees The Management Company KREDIETRUST LUXEMBOURG S.A. appointed Andreas Capital S.A. as Investment Manager. The Investment Manager is entitled to an investment management fee, calculated monthly, payable at the end of each month and based on the net assets of the Fund as at the last monthly Valuation Date at a rate of 0.75% p.a. The net assets pertaining to the Class “MP” shares are not included in this calculation as they are not subject to the investment management fee. The Investment Manager appointed as its investment advisor D&F Financial Services B.V., who may, subject to approval of the Investment Manager, sub-delegate its powers under an Investment Advisory Agreement signed on November 27th 2015 for an indefinite period. D&F Financial Services B.V. is remunerated by the Investment Manager. The Investment Manager pays the Investment Advisor on a monthly basis a fee of 80% of the Investment Management Fee. The Investment Advisor provides assistance and advice to the Investment Manager regarding investment decisions. Note 4 - Management Company fees The Fund appointed KREDIETRUST LUXEMBOURG S.A. as Management Company. The Management Company is entitled to a fee amounting to 0.05% p.a. calculated on the basis of the Net Asset Value of the Fund, with an annual minimum of EUR 20.000 payable out of the assets of the Fund. Note 5 - Incentive fees The Investment Manager is entitled to an incentive fee equal to 20% in case of the “P” share Class and to 10% in case of the “X” share Class of the Excess Return (as defined below), if any, achieved by the Fund, which is calculated and payable annually at the end of each financial year. The net assets pertaining to the Class "MP" shares are not included in this calculation as they are not subject to the incentive fee.



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The incentive fee is calculated in the following manner: If the Fund Return (as defined below) exceeds the Hurdle Rate (as defined below), the difference between the Fund Return and the Hurdle Rate shall constitute the Excess Return. The incentive fee will be subject to the following 2 restrictions: 1) There will be no incentive fee if the Excess Return so defined is 0 or negative. 2) A High Watermark restriction: There will be no incentive fee if the total net assets of the current financial year (before accrual of the incentive fee and adjusting for subscriptions, redemptions and dividends, if any are paid in the current financial year) is lower than the total net assets (after accrual of the incentive fee and adjusting for subscriptions, redemptions and dividends, if any are paid) as of the end of any of the three financial years preceding the current financial year. The Fund Return in any year is calculated by deducting the total net assets of the previous financial year (after accrual of the incentive fee) (to be referred to as the initial net assets for the calculation of the performance fee) from the last total net assets of the current financial year (before accrual of the incentive fee and adjusting for subscriptions, redemptions and dividends, if any are paid in the current financial year). The Hurdle Rate is defined as the return that would have accrued had a sum equal to the initial net asset value ("NAV") (and subsequently adjusted for subscriptions, redemptions and dividends) been invested at the higher of the 1 year EURIBOR or 4% and the lower of 10% or 1 year EURIBOR during the relevant year. For the purpose of calculating the NAV per share as of any Valuation Date, the incentive fee (if applicable) will be expensed and provisioned. On each Valuation Date, the incentive fee will be recalculated, based on the actual Excess Return, if any, on that Valuation Date. The fund will pay out an incentive fee, if any, to the Investment Manager, only once a year after the end of each fiscal year, based on the Excess return, if any, as per the date of the fiscal year end. In case of a redemption at a net asset value per share that includes an incentive fee provision, the pro rata part of that incentive fee will be carried forward as a materialised incentive fee until the fiscal year end, and will be paid to the Investment Manager after the fiscal year end. The Investment Manager pays the Investment Advisor 100% of the Incentive Fee. At the date of the financial statements, no incentive fee was recorded. Note 6 - Subscription tax ("Taxe d’abonnement") In accordance with current law and practice in Luxembourg, the Fund is not subject to Luxembourg corporate tax. Nor are dividends that are paid by the Fund subject to any Luxembourg withholding tax. However, the Fund is subject in Luxembourg to a registration tax of 0.05% per annum with regard to the "Class P", "Class X" and "Class MP" shares that is payable quarterly in arrears on the basis of the value of the aggregate net assets of the Fund at the end of the relevant calendar quarter. No stamp duty or other tax is payable in Luxembourg on the issue of new shares, except for the payment of an initial capital tax of EUR 1,250.00 that was paid at the incorporation of the Fund. Note 7 - Depositary fees and Central administration costs The Board of Directors appointed KREDIETRUST LUXEMBOURG S.A. as administrative agent and KBL EUROPEAN PRIVATE BANKERS S.A. as depositary. KREDIETRUST LUXEMBOURG S.A. delegated this function to EUROPEAN FUND ADMINISTRATION S.A..



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Central administration costs and depositary fees are based on annual rates as defined in the respective contracts. Note 8 - Directors’ fee The members of the Board of Directors may be entitled to a Directors’ fee, to be approved by the general assembly of Shareholders, as well as reimbursements of expenses incurred by them in the conduct of their duties. At the date of the report, the Directors’ fee incurred by the Fund amounted to EUR 5,446.41 (the net amount is EUR 4,357.13 and EUR 1,089.28 is the 20% WHT). Note 9 - Subscription and redemption fees No subscription and no redemption fees are payable. Shares redeemed have no voting rights and do not participate in dividends, if applicable, or other distributions.


Additional information as at November 30th 2019

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Information concerning the transparency of securities financing transactions and of reuse of cash collateral (regulation EU 2015/2365, hereafter "SFTR") During the reporting period, the Fund did not engage in transactions which are subject to the publication requirements of SFTR. Accordingly, no information concerning the transparency of securities financing transactions and of reuse of cash collateral should be reported.

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