Lyxor / Winton Capital Management Fund Limited - CLASS B
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1 OVERVIEW NAV per share on 19-Feb-13 USD Fund Details Trading Advisor Details Fees Fund inception date Denomination ISIN Available classes Liquidity Listing Prime Broker Auditor Administrator May-2002 USD GB A, B, HE, HU Weekly DUBLIN NEWEDGE UK FINANCIAL LIMITED Pricewaterhousecoopers CI LLP (Jersey) SGSS FAS - Paris Please see the complete Offering Memorandum for a more detailed discussion of fees Strategy CTAs Sub Strategy Trend Follower, Systematic Geographical zone Global Date firm incorporation 01-Feb-1997 Program inception date Sep-1997 Assets under management Firm total USD million Program USD million Total firm staff 271 Registration FSA, NFA, CFTC Management fee 1.00% Performance fee 20% High watermark Yes Lyxor fee (up to) 0.70% HISTORY Winton Capital Management Ltd (" Winton ") was established in 1997 to offer investment advice in the international futures and forwards markets. Winton's founding principal is David Harding, who has over 20 years of experience in the managed futures industry. Mr Harding was one of the co-founders of Adam, Harding & Lueck Ltd (AHL), now part of the E D & F Man Group, which is one of the world's leading futures fund advisors. Winton became registered with the United States Commodity Trading Commission ("CFTC") as a commodity trading advisor ("CTA") in January 1998 and is also a member of the National Association ("NFA"). Winton's research team has extensive academic qualifications in a range of fields including mathematics (especially statistics), operational research and actuarial science, in addition to many years of practical experience in applying these skills to financial markets research. PERFORMANCE TABLE INVESTMENT POLICY Winton's strategy is based on the assumption that in the long term, profit can be derived from the futures markets by using statistical research into market activity and as a result, research constitutes the largest area of investment in the company. Winton's investment philosophy is that specific market behaviour and trends can be identified and profitably exploited. Winton's investment technique consists of trading a portfolio of more than 120 international futures and forward markets, employing a computerized, technical, trend-following trading system developed by its principals. This system tracks the daily price movements from these markets around the world and carries out certain computations to determine each day, how long or short the portfolio should be to maximize profit within a certain range of risk. Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD % 9.96% 8.14% % 3.27% 7.38% -1.63% 8.53% 2.97% 1.51% 10.99% 4.51% -5.70% 1.15% 9.50% % 3.61% -3.98% 10.51% -8.39% 5.29% -2.01% -3.47% -0.17% -6.20% 13.93% 9.04% % 1.75% -3.13% 1.53% -0.50% -1.28% -4.33% 2.82% -7.54% 2.50% 7.10% 16.04% % 0.57% 7.48% -5.23% -3.32% -2.95% 0.72% 0.02% 4.48% 12.45% -7.56% -4.02% % -6.36% 12.62% -3.76% -3.96% 5.43% 5.57% 8.47% 7.82% -9.91% -1.16% 15.40% % 11.54% % 0.24% 13.72% -2.06% -4.93% -0.39% 2.06% 4.78% -2.65% 9.72% % 4.37% 1.03% -5.92% -0.10% -5.56% -0.64% 5.42% 4.99% 4.62% 4.35% 1.24% % 6.96% 5.25% -1.34% 5.77% 3.32% -2.85% 6.99% -7.24% -3.35% 9.67% -3.33% % -2.80% 3.03% 7.10% -3.90% -1.12% -1.04% 2.63% 1.27% 1.21% 1.57% 2.74% % -5.22% -5.64% 5.22% 4.81% 1.79% -0.14% -2.06% 6.02% 4.23% 3.03% -0.48% % 5.98% 1.70% -1.01% 1.86% 3.71% -3.07% -2.15% -1.49% 5.10% 3.28% 2.55% % -0.27% -2.03% -2.30% -2.86% -1.71% -2.20% 0.51% 2.43% -0.06% 3.78% -2.25% % 0.02% 5.29% 1.08% -0.59% 1.47% -4.57% 6.19% 1.17% 1.77% -2.06% 3.35% % 1.65% 0.30% 2.84% -1.36% -2.43% 3.66% 2.44% -0.64% -1.47% 0.19% 0.37% % -0.38% -0.32% -1.91% -0.53% -0.16% 2.42% -2.08% -2.05% -2.61% 0.91% 2.16% % 0.76% Benchmark Program Lyxor fund CUMULATIVE PERFORMANCE* KEY PERFORMANCE FIGURES* Since date Program / Fund S&P 500 DJ Credit Suisse Indices / Managed Weekly 12/02/ % 0.76% - MTD 29/01/ % 1.53% 0.00% YTD 31/12/ % 7.34% 2.67% Last 3 months Last 6 months Last 12 months 20/11/ % 10.31% 4.39% 21/08/ % 8.33% -3.35% 21/02/ % 12.39% -1.46% Official Fund NAV calculated as of every Tuesday, subject to holidays & certain extraordinary events. Performance based on the Fund's last official NAV, and the Index level as of the same day. Page 1/7
2 PERFORMANCE PERFORMANCE STATISTICS* Since inception Last 12 months Cumulative performance % 59.18% % -2.50% 14.89% -1.46% Annualized Rate of Return 13.51% 3.07% 5.86% -2.51% 14.95% -1.47% Average Monthly Return 1.19% 0.36% 0.53% -0.20% 1.21% -0.09% Median Monthly return 1.06% 0.76% 0.43% -0.35% 2.06% 0.51% Best Month 16.04% 9.67% 9.95% 2.42% 5.73% 4.68% Worst Month % % -8.62% -2.61% -2.88% -4.64% % Positive Months 56.52% 57.61% 54.89% 33.33% 58.33% 58.33% Average Monthly Gain 4.58% 3.46% 2.98% 1.92% 3.45% 1.86% % Negative Months 43.48% 42.39% 45.11% 66.67% 41.67% 41.67% Average Monthly Loss -3.21% -3.85% -2.45% -1.26% -1.93% -2.82% Annualized Alpha VS Index 13.65% 7.06% -6.51% -1.88% Excess Kurtosis Skewness MONTH ROLLING RISK / RETURN PROFILE Last 12 Months Return 12 Months Volatility Rolling Return, for any point in time, refers to the performance of the Program for the immediately preceding twelve-month period. Similarly, Rolling Volatility refers to the volatility of the Program for the immediately preceding twelve-month period. PROGRAM PERFORMANCE VS INDEX* Performance vs 10 Worst Index Months Program Index: S&P 500 Page 2/7
3 PERFORMANCE Performance vs 10 Best Index Months Program Index: S&P 500 MONTHLY PERFORMANCE STATISTICS Monthly Performance History Program Monthly Performance Distribution Program Page 3/7
4 RISK RISK STATISTICS* Since inception Last 12 months Maximum Drawdown % % % -7.11% -6.55% -7.41% Maximum Runup 44.00% 45.67% 28.40% 5.37% 9.21% 4.68% Maximum Drawdown Period (in month) Time to Recovery (in month) 7 N/A 6 N/A 3 N/A Annualized Standard Deviation 17.43% 16.37% 11.53% 6.21% 10.39% 9.66% Annualized Downside Deviation 10.22% 12.21% 7.41% 4.49% 4.81% 6.94% Monthly Modified VaR (5%) -6.92% -8.43% -4.91% -3.06% -3.89% -4.81% Correlation VS Index Beta VS Index Based on monthly returns RISK-ADJUSTED PERFORMANCE* Since inception Last 12 months Sharpe Ratio Sortino Ratio Omega Ratio Calmar Ratio DRAWDOWN & RUN UP HISTORY Run Up Drawdown Page 4/7
5 EXPOSURES & STRESS TESTS EXPOSURE BREAKDOWN BY ASSET CLASS (NAV CURRENCY) LONG SHORT GROSS NET # LINES EXPOSURE # LINES EXPOSURE EXPOSURE EXPOSURE BETA ADJ. EQUITIES % % 61.42% 61.42% Listed equities % % 61.42% 61.42% Call Options Put Options (*) Convertible Bonds Mark-to-Mark CBs ASCOTs Mark-to-Mark ASCOTs Non Listed Equities FIXED INCOME - CREDIT % % 70.50% 59.77% - LONG TERM BONDS AAA+~AA Sovereign Ex-Sovereign A+~A BBB+~B Below B- and unrated SHORT TERM BONDS AAA+~AA Sovereign % % 68.40% - Ex-Sovereign A+~A BBB+~B Below B- and unrated BANK LOANS DERIVATIVES % % 70.50% 59.77% - Long Term % % 41.31% 38.02% - Short Term % % 29.19% 21.76% - Swaps Options & Swaptions CDS & CDX (*) ABS / MBS Investment Grade BB+~BB Below BB- and unrated COMMODITIES % % 19.43% -4.35% % % 19.43% -4.35% - Options FOREX VS. USD % % % % % % 77.21% % - Forwards % % 31.33% % - Options OTHERS TOTAL % % % % 61.42% TOTAL MARGIN TO EQUITY 8.64% IMPORTANT INFORMATION : The presentation of PUT Option and CDS&CDX positions in the table above is specific: LONG Put Option positions (resp. SHORT Positions) are indicated in the SHORT column (resp. LONG column) of the table to reflect the NEGATIVE (resp. POSITIVE) corresponding delta equivalent exposure. The same logic applies for CDS&CDX positions. LONG positions (resp. SHORT Positions) are indicated as in the SHORT column (resp. LONG column) of the table to reflect the corresponding SHORT (resp. LONG) exposure. MONTHLY GLOBAL MARGIN TO EQUITY GROSS HISTORY GLOBAL NOMINAL NET EXPOSURE Global Global Page 5/7
6 EXPOSURES & STRESS TESTS EXPOSURE - GEOGRAPHICAL BREAKDOWN North America Western Europe Eastern Europe Japan Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Equities Equities Equities Equities Long 23.64% - Long 21.11% - Long - - Long 5.89% - Short - - Short - - Short - - Short - - Net 23.64% - Net 21.11% - Net - - Net 5.89% - Gross 23.64% - Gross 21.11% - Gross - - Gross 5.89% - Interest Rates / Credit Interest Rates / Credit Interest Rates / Credit Interest Rates / Credit Long 26.10% - Long 23.71% - Long - - Long 14.75% - Short 0.78% - Short 3.07% - Short - - Short - - Net 25.32% - Net 20.64% - Net - - Net 14.75% - Gross 26.88% - Gross 26.77% - Gross - - Gross 14.75% - South / Central America Africa Middle-East Central Asia Asia / Pacific - ex Japan Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Exposure Curr. Value Prev. Value Equities Equities Equities Equities Long - - Long 0.37% - Long - - Long 10.41% - Short - - Short - - Short - - Short - - Net - - Net 0.37% - Net - - Net 10.41% - Gross - - Gross 0.37% - Gross - - Gross 10.41% - Interest Rates / Credit Interest Rates / Credit Interest Rates / Credit Interest Rates / Credit Long - - Long - - Long - - Long 0.59% - Short - - Short - - Short - - Short 1.51% - Net - - Net - - Net - - Net -0.93% - Gross - - Gross - - Gross - - Gross 2.10% - The geographic classification of a security depends on the location of the issuer's main business activity. Treasury securities are categorized according to the issuing country. STRESS TESTS Parameters % Change in relative terms North America Developed Countries Western Europe Japan Eastern Europe Asia / Pacific - ex Japan Developing Countries Africa Middle-East Central Asia South / Central America Equity Spot -10% -2.36% -2.11% -0.59% % -0.04% % Equity Volatility +10% 0.00% 0.00% 0.00% % 0.00% % Interest Rates +10% -0.19% -0.27% -0.06% -0.01% -0.01% 0.00% % -0.53% Interest Rates Volatility +10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% Credit Spread +50% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% Commodity Spot -10% 0.53% -0.09% 0.00% % % Commodity Volatility +10% 0.00% 0.00% 0.00% % % FX Spot -10% -0.07% -4.42% -0.51% -0.65% -2.79% -0.25% % -8.82% FX Volatility +10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% % 0.00% Combined Stress Tests Above scenarios combined -2.09% -6.90% -1.16% -0.65% -3.87% -0.29% % % Results show change in the value of the Fund's underlying assets given a change in market parameters Total Page 6/7
7 MANAGER COMMENTS 01/2013 The fund generated a nice performance in January. The equity portfolio made the most significant contribution to performance, with markets in Europe and Japan rising along with their US cousins. Indications of early repayments of European Central Bank loans were greater than anticipated and from a more diverse set of institutions, including those from less well capitalised countries. In Asia, the first major policy initiative from the new Japanese government made good their promise to promote growth and end deflation, initiating a new 10.3 trillion yen stimulus package. These developments helped the short yen and long euro positions in the currency portfolio achieve large gains. A further consequence of the sustained positive sentiment has been increased focus on if, and when, monetary policy will slow and liquidity removal will start. This attention has pushed interest rates higher and reduced the value of the fixed income positions, particularly in Europe. Finally, energy prices also increased through the month, with a negative impact on the short oil and natural gas positions. 12/2012 Economic data indicated further signs of recovery in December with US employment, Chinese economic activity and even ECB balance of payments lifting investor sentiment. Global Equity markets traded higher, making a significant contribution to the portfolio's performance. American markets faced a head-wind in the final two weeks of the month as Congress and President Obama struggled to negotiate an alternative to the "Fiscal Cliff". A last minute deal was finally agreed in the early hours of New Year's Day, which saw the US markets open 2013 in a more optimistic mood. Further monetary easing and adjustments to the inflation target in Japan look increasingly likely under the new LDP government. A consequence of which has been an extension of the recent Yen sell off which helped the currency portfolio put in a strong performance during December. The gains in stock indices and currencies were partly offset by a small pull back in US fixed income and a fall in the precious metal complex which left gold trading at its lowest level since August. 11/2012 The Winton Fund returned a positive performance. Equity markets initially sold off in November but buoyed by a series of global developments perceived to encourage market stability recovered in the last two weeks, all of which left the indices broadly unchanged on the month. Central banks, with their various forms of monetary easing, remain in focus and bonds continued to trade higher, which made the most significant contribution to our portfolio. Greece simultaneously secured their next bailout instalment and improved the terms of existing loans from their international creditors. In the USA, Obama extended his presidential tenure and positive economic data has, for now, allayed fears of a hard landing in China. Also in the US, 'Black Friday' saw record retail store traffic and online sales exceed $1bn for the first time but attention has quickly switched to the negotiations required to avoid the "fiscal cliff". Some radical suggestions from the LDP party in Japan, who are favourites to win the December election, have subsequently seen the Yen trade at its lowest level for over six months, resulting in the fund's position posting strong profits. Elsewhere in the world speculation is growing that the Reserve Bank of Australia will cut rates to equal their all-time low of 3% and Canadian Mark Carney has been appointed as the next Governor of the Bank of England. All of which might have an impact on the portfolio in the short to medium term Page 7/7
Lyxor / Winton Capital Management Fund Limited - CLASS B
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