Man AHL Diversified Futures Ltd

Transcription

1 Important notes: Man AHL Diversified Futures Ltd (the "Company"), authorised as a Futures and Option Fund, invests primarily in futures and options. The Company will invest extensively in financial derivative instruments ( FDIs ) including warrants, options, futures, convertible securities, interest rates, equity swaps and may utilise over-the counter (OTC) FDIs. It may use long or short investment strategies. The Company may also utilise repurchase and reverse repurchase agreements for its cash management arrangements. Risks inherent in the Company are not typically encountered in traditional funds and be subject to various additional risk (including but not limited to commodity market risk, interest rate risk, foreign currency risk, concentration risk, counterparty risk, leverage risk, liquidity risk and sovereign risk). This may lead to substantial or total loss of investments and is not suitable for investors who cannot afford to take on such risk. The Company employs certain strategies which depend upon the reliability and accuracy of the Investment Manager s analytical models. To the extent such models or assumptions underlying them do not prove to be correct, the investments of the Company may not perform as anticipated which could result in losses. Investment involves risks. Before you decide to invest, you should make sure the intermediary has explained the Company is suitable to you. You should not make any investment decision solely based on this document. Please read the Offering Documents carefully for further details including the risk factors. 41 1/5

2 NAV per unit USD Total NAV USD 459,002,971 No. units 15,260,148 Investment Objective: Man AHL Diversified Futures Ltd seeks to achieve substantial medium-term capital growth while aiming to restrict the associated risk. Commentary: AHL delivered a loss over the period; profits that had been built up over the month were eroded as the nearing US budget deadline led to reversals in equity and bond markets. Currency trading was the most notable detractor. Long exposure to the US dollar generally was a loss-making trade; the greenback fell on a trade-weighted basis as reduced expectations of stimulus tapering and an impending government shutdown both weighed on the currency. Negative performance was particularly concentrated in dollar pairs against emerging-market currencies. Euro exposures also detracted slightly on both the long and short side. Bond holdings also hurt performance; short exposure to debt from commodity-focused economies suffered with investors piling into higher yielding debt as confidence grew off-the-back of continued asset purchasing by the Fed. Long holdings of Italian bonds delivered a loss with further destabilising of the coalition government resulting in heavy selling of the country s debt. Some performance was recovered via long German and French bonds as higher grade fixed income attracted safe haven inflows from investors concerned over political wrangling in Italy and America. Short exposure to Eurodollar and Short Sterling lost out as more accommodative monetary policy in the US lowered expectations for interest rates globally. Energy trading resulted in a loss; long exposure to oil detracted as fears over a possible Western military strike on Syria receded and the political melee in the US undermined growth prospects. Losses were mitigated somewhat as confidence in the US recovery and more positive reports from Japan resulted in a notable positive return from our long equity holdings though this performance was reduced as stock markets reversed in the last week. Short corn was one of the strongest positive trades for September as prices plummeted on larger-thanexpected stockpiles. Performance chart Performance statistics 1 Product Last month -2.2 % Last quarter -6.9 % Year to date % Last 12 months % Last calendar year -6.3 % Total return % Annualised return 7.4 % Annualised volatility 14.8 % Worst drawdown % Man AHL Diversified Futures Ltd Portfolio sector allocations 2 Portfolio sector attribution Key market attribution Highest performing markets Direction Attribution Corn Short 0.36 % NASDAQ 100 Index Long 0.35 % UK Sterling/US Dollar Long 0.34 % Lowest performing markets Direction Attribution Electricity Short % Brazilian Real/US Dollar Short % Crude Oil Long % Long term Current ST: Stocks, FX: Currencies, BO: Bonds, CR: Credit, ME: Metals, AG: Agriculturals, EN: Energies, IR: Interest rates. 1 Please refer to the 'Historical performance' table on page 3 for further performance information. 2 The chart shows long-term risk allocation calculated at the start of the reporting period versus the current sector risk allocations calculated at the end of the period. The current sector allocations give an indicative value of the relative risk of the positions taken within each sector at a given point in time; this number takes no account of correlations across sectors. The long-term risk allocations are designed to reflect the expected long-term risk exposure to each sector relative to the other sectors in the portfolio. The portfolio structure and constituents are regularly reviewed by the investment management team and sector allocations will change accordingly. 41 2/5

3 Distribution of monthly returns Monthly sector contribution October 2012 to ST 3 ME 4 IR 5 FX 6 AG 7 CR 8 BO 9 EN 10 Historical performance 11 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD % 2.3 % 0.2 % 13.0 % -1.6 % 0.6 % 1.5 % 3.0 % 21.4 % % 1.7 % -1.7 % 5.0 % -3.4 % 2.1 % -1.7 % 2.4 % 2.0 % -4.5 % 4.2 % 2.4 % 3.6 % % 0.1 % -1.7 % -4.2 % 6.3 % -4.6 % -2.2 % 3.4 % -0.8 % 4.0 % 3.0 % 14.4 % 18.4 % % 2.2 % 10.2 % -5.5 % -2.4 % 0.6 % 1.1 % 0.3 % 14.1 % 0.8 % -4.0 % -2.4 % 15.6 % % -4.7 % -2.0 % -1.9 % -0.2 % 13.0 % 5.8 % 2.4 % 7.0 % -9.9 % -4.7 % 10.6 % 9.8 % % 8.0 % -6.6 % -0.8 % 10.6 % -3.5 % -0.5 % -0.8 % 0.5 % 2.0 % -2.9 % 6.3 % 19.4 % % -0.9 % -0.9 % -3.7 % -2.7 % -4.2 % -1.8 % 1.5 % 2.7 % 5.3 % 4.6 % 0.3 % 4.6 % % 3.4 % -1.0 % -1.9 % 2.2 % 5.7 % -0.3 % 2.4 % 3.6 % 1.0 % 5.5 % 0.1 % 16.2 % % -0.7 % -1.5 % 7.6 % -2.3 % -1.1 % -4.4 % 0.8 % 1.3 % 0.1 % 0.2 % 2.7 % 5.4 % % -2.4 % -6.1 % 6.3 % 2.3 % 4.5 % -2.5 % -2.8 % 4.4 % 7.3 % 4.1 % -3.5 % 18.0 % % 2.4 % 4.7 % 0.2 % 2.1 % -0.1 % -5.6 % -3.5 % -0.8 % 13.1 % 0.8 % 5.2 % 24.9 % % -0.2 % -4.9 % -3.4 % 0.3 % -3.0 % 0.4 % -0.8 % 1.9 % -1.6 % 2.1 % -6.3 % % % -1.0 % 5.0 % 1.8 % -1.3 % 0.7 % -2.7 % 6.2 % 0.7 % 6.4 % -6.6 % 4.8 % 11.6 % % 1.1 % -4.6 % 4.0 % -1.5 % -1.7 % 0.2 % 3.6 % 0.2 % -6.6 % 1.0 % -2.1 % -9.2 % % 2.6 % -2.7 % -1.8 % -2.4 % 2.6 % 0.7 % -2.8 % -0.2 % -3.5 % 1.1 % 0.5 % -6.3 % % -1.0 % 2.4 % 6.5 % -9.2 % -4.2 % -1.8 % -3.0 % -2.2 % % 3 Stocks 4 Metals 5 Interest rates 6 Currencies 7 Agriculturals 8 Credit 9 Bonds 10 Energies 11 With the introduction of MiFID, performance returns need to be shown on a 12 month rolling basis. As such the MiFID compliant period within the performance chart is shown with a solid line, the non- MiFID period is dashed. The MiFID compliant period from 30 September 1998 to 30 Man AHL Diversified Futures Ltd has a total return of %. 12 When 12 months of performance data is unavailable for a calendar year, partial year to date is shown. 41 3/5

4 Key facts summary Investment manager Man Investments Limited Launch date 12 May 1998 Tranche A Bloomberg ticker EDFDFTA BH Tranche B Bloomberg ticker EDFDFLI BH Tranche A Valoren Tranche B Valoren Subscription notification Redemption notification Minimum investment Minimum redemption 1 business day prior to the dealing day 1 business day prior to the dealing day USD 20,000 and minimum additional subscriptions of USD 10, shares Tranche A ISIN BMG5777T1099 Management fee 3% p.a. Tranche B ISIN Dealing frequency Valuation day BMG0122Q1087 Daily, on the first business day following a valuation day Every business day Financial year end September 30 Incentive fee Tranche A sales charge Tranche B sales charge Tranche A redemption fee Tranche B redemption fee Calculated at the rate of 20% of any net increase in net asset value per share and may only be payable if the net increase in value exceeds a previously attained value (high watermark). The incentive fee is accrued daily and payable annually in arrears. Up to 5% may be charged on new applications by the relevant distributor. Please refer to the prospectus for other charges and fees. Not applicable. Tranche B Shares are not open for new applications. None Redemptions will be subject to the following fee if shares are redeemed on a dealing day before they have been in issue for 2, 4 or 6 years. The respective fees per share are 4%, 2.5 % and 1% of redemption price per share. There will be no redemption fee for shares which are redeemed after they have been in issue for 6 years after their initial issuance. 41 4/5

5 Important notes Investors should note that an investment in alternative investments can involve significant risks and the value of an investment may go down as well as up. Investors should refer to the prospectus of Man AHL Diversified Futures Ltd (the 'Company') including the risk factors therein for further details. Investors redeeming shares may be subject to early redemption fees. The prices of futures, options and other investments in which the Company may invest may fall in value as rapidly as they may rise and it may not be possible to liquidate the Company's position in the relevant markets before a loss is sustained. No assurance can be given that the investment objective of the Company will be achieved or that substantial losses will not be suffered. The underlying investment of Man AHL Diversified Futures Ltd is the AHL Diversified Programme which: - A quantitative investment approach that primarily aims to identify and capitalise on upward and downward price trends across more than 170 markets - Investment decisions are generated by mathematical models based on market trends and other historical relationships - Provide diversification away from traditional equity and bond investments and thereby provide opportunities for enhancement of investment portfolios - A dedicated team of investment specialists researching new strategies, sectors and markets to further diversify and enhance the return potential of the programme. Suitable for an investor who... - is looking for a product which aims to have low correlation to stock and bond markets; and - is seeking medium-term capital growth with the AHL Diversified Programme; and - fully understands and is willing to assume the risks associated with it Investment involves risks. There is no guarantee of trading performance and past performance is not a reliable indicator of future results. Returns may increase or decrease as a result of currency fluctuations. Units in issue refer to Shares in issue. NAV is net of fees. Please refer to the prospectus of Man AHL Diversified Futures Ltd (the 'Company') for fees and charges. NAV to NAV in USD with dividends reinvested. The Company is not a dividend paying product and the Company's performance includes income reinvestments. Commissions and costs for subscriptions and redemptions of shares are not considered in the performance presented. Prior to 4 September 2012, the Company was valued weekly, and statistics were calculated using the last weekly valuation of each month. The Company moved to daily dealing from 4 September 2012 onwards. Source: Man database. The range of strategies and the allocations to each sector are regularly refined by the investment manager based on continuing research. The portfolio sector and key market attributions are to be used as indications only. The figures are estimated and generated from the underlying AHL Diversified Programme system and do not take into account the fees/interest/commission charges on any particular account. Differences may also occur due to slippage variation, portfolio changes, FX movements and post execution adjustments. Therefore the sum total of these sector indications will not necessarily equate to the reported performance for the month in question. Man Investments Ltd and/or any of its associates may have an investment in the Company. Undefined capitalised terms used in this document have the respective meanings given to them in the prospectus. This document is produced for information purposes and does not constitute investment advice, nor does it constitute a recommendation or solicitation to buy or offer to sell any shares or investments. The offering of shares may be restricted in certain jurisdictions. In particular shares may not be offered or sold, directly or indirectly in the United States or to U.S. Persons. Hong Kong: To the extent that this document is distributed in Hong Kong, this document is issued by Man Investments (Hong Kong) Ltd and has not been reviewed by the Securities and Futures Commission in Hong Kong. Singapore: To the extent that this document is distributed in Singapore, this document can only be distributed together with the prospectus to institutional, accredited investors and any other relevant person as defined in Appendix 3 of the prospectus. The offer or invitation of the shares (the Shares ) of Man AHL Diversified Futures Ltd (the Company ), which is the subject of this Prospectus, does not relate to a collective investment scheme which is authorised under section 286 of the Securities and Futures Act, Chapter 289 of Singapore (the SFA ) or recognised under section 287 of the SFA. The Company is not authorised or recognised by the Monetary Authority of Singapore (the MAS ) and Shares are not allowed to be offered to the retail public. Each of this Prospectus and any other document or material issued in connection with the offer or sale is not a prospectus as defined in the SFA. Accordingly, statutory liability under the SFA in relation to the content of prospectuses would not apply. You should consider carefully whether the investment is suitable for you. This Prospectus has not been registered as a prospectus with the MAS. Accordingly, this Prospectus and any other document or material in connection with the offer or sale, or invitation for subscription or purchase, of Shares may not be circulated or distributed, nor may Shares be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons in Singapore other than (i) to an institutional investor under Section 304 of the SFA, (ii) to a relevant person pursuant to Section 305(1), or any person pursuant to Section 305(2), and in accordance with the conditions specified in Section 305 of the SFA, or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the SFA. Investors should read the prospectus for detailed information prior to subscription. The prospectus is available from Man Investments or its authorised distributors. Applications for shares may only be made on forms of application available with the prospectus. Access the latest performance and other information on the Man Investments website: The indices shown are not benchmarks as they are not representative of the Fund's investment strategy. They shall be used as a comparison of different strategies only. Please note that if no index is offered for selection, we refrain from showing financial indices as no such index would be representative of the Fund's investment strategy and a comparison of strategies would be misleading. 41 5/5