Man AHL Diversified (Guernsey)

Transcription

1 Man AHL Diversified (Guernsey) January 2011

2 AHL a market leading quantitative investment manager

3 Strength through size, capital position, independence and global presence One of the world s largest, independent hedge fund providers Australia Canada Guernsey Netherlands Singapore Switzerland Alternative investment management business Multi-manager business AHL managed futures Affiliated single manager hedge funds USD 68.6 billion under management 1 Approximately 1,600 employees 2 Hong Kong Ireland Italy Japan Luxembourg UAE United Kingdom United States Uruguay Man Group plc (listed company) Constituent of the FTSE 100 Index Man offices located in 16 jurisdictions worldwide USD 8.7 billion market capitalisation 3 Global and diverse client base 3 1. As at 31 December Unaudited final figures. 2. As at 31 December 2010 (permanent employees). 3. As at 31 December Source: Man database.

4 Expertise Integrating world-leading investment talent in a single asset management entity AHL GLG Multi-manager Single manager platform Quantitative managed futures manager Multi-strategy global alternative investment specialist FoHFs Structured products Managed accounts Advisory solutions Convertible bonds Man Systematic Strategies Nephila 1 Ore Hill 1 Australia Canada Cayman Is. Guernsey Hong Kong Ireland Italy Japan Luxembourg Netherlands Singapore Switzerland UAE UK Uruguay US Jurisdictions worldwide 4 1. Please note that Nephila and Ore Hill are Man affiliated managers but are not wholly owned by Man Group.

5 AHL Enviable track record supported by a strong commitment to research and development The AHL investment team: focused on investment management Area Investment management and research Trade execution People Formed in 1987 Based in London, with offices in Oxford and Hong Kong, managing around USD 23.6 billion 1 Since 1996, its flagship fund has produced annualised returns of 16.8% 2 Trade execution operates around the clock Continuously strives to extend the range, precision and versatility of its trading models Trade operations (including risk management) 23 Total As at 31 December 2010 (estimate). 2. Date range: 26 March 1996 to 31 December Man AHL Diversified plc is valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. 3. As at 31 December There is no guarantee of trading performance and past or projected performance is not a reliable indicator of future performance. Latest data available at the time of production has been used. Returns may increase or decrease as a result of currency fluctuations. It is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, Man AHL Diversified plc had an annualised return of 15.2%. Source: Man database.

6 AHL a diversified approach Identifying opportunities around-the-clock Portfolio construction Trades a diversified portfolio of around 200 instruments on around 36 exchanges Trading strategy Primarily aims to identify opportunities to profit from price movements and take advantage of strong market trends Trading duration Direct link to an infrastructure capable of capturing the profit potential in market moves over time frames ranging from a few days to several months 6

7 Portfolio construction: Man AHL Diversified (Guernsey) Diversification across sectors and markets Market sector 1 At 31 December 2010 Agriculturals 5.9 % Interest rates 10.1 % Credit 3.4 % 19.2 % Currencies Over 200 instruments Around 36 exchanges Metals 11.5 % 16.7 % Energies Bonds 16.6 % 16.7 % Stocks : : : : The sector allocations are designed to reflect the expected long-term risk exposure to each sector relative to the other sectors in the portfolio. The figures are based on estimates of the risk of each sector for the current portfolio. The portfolio structure and constituents are regularly reviewed by the investment management team and sector allocations will change accordingly. Source: Man database.

8 Trading strategy: trend-following approach Persistent price trends are the key inefficiency exploited by AHL programmes Serial correlations in financial markets past price movements inform about future price behaviour Characteristics of price trends Trends vary in intensity, duration, frequency Universally recurrent across all sectors and markets Attractive focus for an active diversified trading style 8

9 AHL profit/loss from trading an illustration EUR/YEN 1 January 2006 to 31 December 2010 Price Volatility 1 AHL aims to exploit the upward and downward trends over a range of timescales Position Profit/loss 2 3 Small losses during range-bound markets Positions are adjusted to control risk - when volatility increases, positions are scaled back There is no guarantee of trading performance and past performance is no indication of current or future performance/results. Source: Man database.

10 A rigorous approach to risk control All systems designed to target defined volatility levels rather than returns Risk control is integral to each part of the investment process Computer-supported analytical instruments and management information systems Risk monitoring measures and focus areas Value-at-risk (VaR) Stress testing Implied volatility Leverage Margin-to-equity ratios Net exposures to sectors and different currencies 10

11 The investment approach is constantly evolving Innovation is key AHL founded Real-time, intra-day trading incorporated Switched to 24 hour trading Enhanced risk management via stress testing Credit, volatility and single stock trading introduced First diversified fund launched 1 Introduced carry and spread trading models Trade execution database established : Implemented continuous trading system Introduced automated electronic trading Increase in instruments traded: from 49 in 1990 to over 200 in Athena Guaranteed Futures Limited was launched on 30 November Source: Man database.

12 Man AHL Diversified (Guernsey)

13 Man AHL Diversified (Guernsey) The opportunity for investors Targets double digit returns in excess of 10% per annum for an annualised volatility of 13-16% over the medium term¹ Man AHL Diversified (Guernsey) is available in USD, along with AUD/EUR/CHF and JPY It has performed strongly in rising and falling market conditions, resulting in a low correlation to traditional asset classes Potential to reduce overall portfolio risk and enhance returns if added to a traditional portfolio of stocks and bonds The return and volatility figures quoted are targets and are based over the term of the bonds on the performance projections of the combined investment strategies with the targeted investment exposures and market interest rates at the time of modelling and therefore may change. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. Source: Man database.

14 Man AHL Diversified (Guernsey) USD 1 An impressive track record 26 March 1996 to 31 December 2010* Index value USD (log scale) Man AHL Diversified (Guernsey) USD 1 World bonds Total return Annualised return Annualised volatility Sharpe ratio 2 Worst drawdown Man AHL Diversified (Guernsey) USD % 16.5 % 17.6 % % World stocks 71.5 % 3.7 % 15.4 % % World bonds % 6.1 % 3.0 % % 2000 Date of worst drawdown Dec 08 to date Oct 07 to date May 03 to Aug 03 World stocks Months to recovery n/a n/a Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD 14 Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. 2. Sharpe ratio is calculated using the risk-free rate in the appropriate currency over the period analysed. Where an investment has underperformed the risk-free rate, the Sharpe ratio will be negative. Because the Sharpe ratio is an absolute measure of risk-adjusted return, negative Sharpe ratios are shown as n/a, as they can be misleading. *It is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, Man AHL Diversified (Guernsey) USD had a total return of 598.1%, an annualised return of 14.9 % and an annualised volatility of 17.6%. The Sharpe ratio for this period was 0.68 and the worst drawdown remains the same. World stocks: MSCI World Index hedged to USD (price return). World bonds: Citigroup World Government Bond Index hedged to USD (total return). There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. Source: Man database and Bloomberg.

15 Man AHL Diversified (Guernsey) USD 1 Calendar returns 26 March 1996 to 31 December 2010* Annual return 50 % 40 % Man AHL Diversified (Guernsey) USD¹ Calendar year Annual return 37.1 % % 41.1 % 30 % % 20 % % 19.7 % 10 % % 22.3 % 0 % % -10 % % 6.4 % -20 % % 27.3 % % % Annualised return since inception: 16.5 % through 31 December Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. 2. Part year. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. *It is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, Man AHL Diversified (Guernsey) USD had an annualised return of 14.9%. Source: Man database.

16 Man AHL Diversified (Guernsey) USD 1 Positive performance regardless of market direction 26 March 1996 to 31 December 2010* 10 % 6.7% 7.5% 5 % 4.2% 2.4% 1.0% 2.4% 1.3% 1.5% 0 % -5 % -10 % -8.3% Average return 1 during Average return 2 during Average 3return during world stocks world stocks all quarters positive quarters negative quarters Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. World stocks: MSCI World Index hedged to USD (price return). World bonds: Citigroup World Government Bond Index hedged to USD (total return). There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations.*it is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, Man AHL Diversified (Guernsey) USD had an average return during world stocks up quarters of 1.6%, an average return of 7.5% during world stocks down quarters and an average return during all quarters of 3.8%. Source: Man database and Bloomberg.

17 Proven performance in difficult market conditions Performance is not reliant on the direction of markets 26 March 1996 to 31 December 2010 Index value USD (log scale) Man AHL Diversified (Guernsey) USD 1 World stocks Total return over the period Asian crisis 1 Oct 1997 to 31 Oct 1997 Russian crisis and LTCM difficulty 1 Aug 1998 to 30 Sep 1998 Equity bear market 1 Apr 2000 to 31 Mar 2003 Financial crisis 1 Jul 2007 to 28 Feb 2009 Man AHL Diversified (Guernsey) USD¹ 2.1 % 20.3 % 72.1 % 32.8 % World stocks -6.2 % % % % The periods selected are exceptional and these results do not reflect typical performance. As a consequence, they give no indication of likely performance Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. World stocks: MSCI World Index hedged to USD (price return). There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. Source: Man database and Bloomberg.

18 Strong performance in recent financial crisis Highlighting potential to diversify an investment portfolio Recent financial crisis: 1 July 2007 to 28 February 2009 Index value USD (log scale) Man AHL Diversified (Guernsey) USD % World stocks have fallen 51.0% while the Man AHL Diversified (Guernsey) USD 1 has returned 32.8% 700 World stocks % Jul 07 Nov 07 Mar 08 Jul 08 Nov 08 The periods selected are exceptional and these results do not reflect typical performance. As a consequence, they give no indication of likely performance Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. World stocks: MSCI World Index hedged to USD (price return). There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. Source: Man database and Bloomberg.

19 A low level of correlation to traditional assets Correlation of monthly returns 26 March 1996 to 31 December 2010 Man AHL Diversified (Guernsey) USD 1 World stocks World bonds Man AHL Diversified (Guernsey) USD¹ 1.00 World stocks World bonds Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. World stocks: MSCI World Index hedged to USD (price return). World bonds: Citigroup World Government Bond Index hedged to USD (total return). There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. Source: Man database and Bloomberg.

20 Potential to diversify an investment portfolio Addition of the Man AHL Diversified (Guernsey) USD¹ to a traditional portfolio Actual performance: 26 March 1996 to 31 December 2010* Traditional portfolio Cash 20% 40% World bonds 40% World stocks Enhanced portfolio Man AHL Diversified (Guernsey) USD¹ 20% 80% Traditional portfolio Total return 250 % 200 % 150 % 100 % 50 % 0 % Annualised volatility 7 % 6 % 5 % 4 % 3 % 2 % 1 % 0 % 105.5% Traditional portfolio 6.0% Traditional portfolio 191.8% Enhanced portfolio 5.6% Enhanced portfolio Annualised return 8 % 6 % 4 % 2 % 0 % 5.0% Traditional portfolio Improvement of 86.3 % Improvement of 2.5 % Worst drawdown 0 % -5 % -10 % -15 % -20 % -25 % Traditional portfolio -21.1% Lowered by 0.4 % Improved of 7.9 % 7.5% Enhanced portfolio Enhanced portfolio -13.2% 20 Man, January Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. World stocks: MSCI World Index hedged to USD (price return). World bonds: Citigroup World Government Bond Index hedged to USD (total return). Cash: 3 month USD LIBOR Index. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. *It is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, the enhanced portfolio with a 20% allocation to Man AHL Diversified (Guernsey) USD had a total return of 156.2%, an annualised return of 7.0% and an annualised volatility of 5.5 %. The worst drawdown remains the same. Source: Man database and Bloomberg.

21 Appendix

22 Man AHL Diversified (Guernsey) USD 1 Performance summary Monthly returns from 26 March 1996 to 31 December 2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Calendar year return % -2.5 % 0.5 % -2.1 % 0.6 % 10.6 % 8.7 % 9.8 % 3.2 % 37.1 % % 6.4 % -2.3 % -4.1 % 0.8 % 4.6 % 9.4 % -8.0 % 2.1 % 2.1 % -2.0 % 10.8 % 23.5 % % 5.8 % 1.2 % -2.8 % 4.9 % 3.9 % -0.4 % 19.9 % 0.4 % 0.0 % 2.4 % 3.8 % 41.1 % % 2.3 % -2.1 % 6.4 % -3.8 % 2.7 % -2.8 % 3.3 % 2.6 % -4.2 % 4.8 % 2.7 % 6.5 % % -0.2 % -2.5 % -4.2 % 7.0 % -5.3 % -2.2 % 3.4 % -0.6 % 4.6 % 3.8 % 14.9 % 19.9 % % 2.9 % 11.8 % -6.3 % -2.1 % 1.5 % 1.6 % 0.8 % 16.4 % 0.9 % -4.7 % -2.5 % 19.7 % % -4.7 % -2.0 % -1.9 % -0.2 % 13.0 % 5.7 % 2.5 % 8.3 % -9.6 % -4.6 % 10.4 % 11.4 % % 8.1 % -8.3 % -1.0 % 13.5 % -4.0 % -0.2 % -0.9 % 1.1 % 2.5 % -3.4 % 8.0 % 22.3 % % -1.0 % -0.9 % -4.4 % -3.4 % -4.9 % -2.0 % 1.5 % 2.8 % 7.1 % 6.4 % 0.2 % 5.1 % % 4.3 % -1.2 % -2.3 % 2.8 % 7.0 % -0.3 % 2.3 % 4.0 % 0.7 % 6.3 % -0.6 % 16.8 % % -0.8 % -2.0 % 8.8 % -3.3 % -1.1 % -5.4 % 1.1 % 1.8 % 0.2 % 0.3 % 3.4 % 6.4 % % -2.9 % -7.5 % 8.0 % 2.9 % 4.6 % -3.9 % -3.5 % 5.6 % 9.0 % 4.3 % -4.2 % 19.6 % % 2.5 % 4.3 % 0.9 % 3.2 % 1.4 % -6.1 % -3.8 % -0.9 % 14.7 % 1.1 % 5.5 % 27.3 % % 0.1 % -6.1 % -4.1 % 0.4 % -3.6 % 0.9 % -0.8 % 2.9 % -1.4 % 2.3 % -5.9 % % % -0.8 % 5.6 % 2.1 % -1.6 % 1.0 % -2.1 % 6.9 % 1.2 % 8.5 % -8.3 % 5.7 % 16.1 % Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. 2. Part year. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. Source: Man database.

23 Oxford-Man Institute of Quantitative Finance The Oxford-Man Institute of Quantitative Finance was opened in September 2007 The aim is to build the world s leading institute for research in this subject Man Group s initial contribution is GBP million Currently employs a staff of around 30, drawing on Oxford s world-class researchers In addition, Man has co-located its new Research Laboratory at the Institute 25

24 Man AHL Diversified (Guernsey) EUR 1 Performance from 26 March 1996 to 31 December 2010* Index value EUR (log scale) Man AHL Diversified (Guernsey) EUR 1 World bonds (EUR) Total return Annualised return Annualised volatility Sharpe ratio 2 Worst drawdown Man AHL Diversified (Guernsey) EUR % 16.0 % 17.6 % % World stocks (EUR) 61.2 % 3.3 % 15.4 % % World bonds (EUR) % 5.7 % 3.0 % % 2000 Date of worst drawdown Dec 08 to date Oct 07 to date Apr 99 to Aug World stocks (EUR) Months to recovery n/a n/a Performance of Man AHL Diversified (Guernsey) EUR from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the performance of Class A Man AHL Diversified (Guernsey) USD Shares has Man, been January shown. Performance 2011 has been hedged from USD to EUR using the relevant 3 month LIBOR rate differentials. From 14 October 2008, actual performance of Class B Man AHL Diversified (Guernsey) EUR Shares has been used. The 26 fees applied to Man AHL Diversified plc differ from those applied to the Class B Man AHL Diversified (Guernsey) EUR Shares and, as such, performance may differ. Class B Man AHL Diversified (Guernsey) EUR Shares, Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. 2. Sharpe ratio is calculated using the risk-free rate in the appropriate currency over the period analysed. Where an investment has underperformed the risk-free rate, the Sharpe ratio will be negative. Because the Sharpe ratio is an absolute measure of risk-adjusted return, negative Sharpe ratios are shown as n/a, as they can be misleading. World stocks: MSCI World Index hedged to USD (price return). World bonds: Citigroup World Government Bond Index hedged to USD (total return). Benchmark indices have been hedged to EUR using the relevant 3 month LIBOR rate differentials. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. *It is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, Man AHL Diversified (Guernsey) EUR had a total return of %, an annualised return of 14.4% and an annualised volatility of 17.6%. The Sharpe ratio for this period was 0.68 and the worst drawdown remains the same. Source: Man database and Bloomberg. 26

25 Man AHL Diversified (Guernsey) CHF 1 Performance from 26 March 1996 to 31 December 2010* Index value CHF (log scale) Man AHL Diversified (Guernsey) CHF 1 World bonds (CHF) Total return Annualised return Annualised volatility Sharpe ratio 2 Worst drawdown Man AHL Diversified (Guernsey) CHF % 13.9 % 17.6 % % World stocks (CHF) 25.6 % 1.6 % 15.4 % % World bonds (CHF) 75.7 % 3.9 % 2.9 % % World stocks (CHF) Date of worst drawdown Months to recovery Dec 08 to date n/a Mar 00 to date n/a Jan 99 to Jan Performance of Man AHL Diversified (Guernsey) CHF from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the performance of Class A Man AHL Diversified (Guernsey) USD Shares has Man, been January shown. Performance 2011 has been hedged from USD to CHF using the relevant 3 month LIBOR rate differentials. From 10 February 2009, actual performance of Class C Man AHL Diversified (Guernsey) CHF Shares has been used. 27 The fees applied to Man AHL Diversified plc differ from those applied to the Class C Man AHL Diversified (Guernsey) CHF Shares and, as such, performance may differ. Class C Man AHL Diversified (Guernsey) CHF Shares, Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. 2. Sharpe ratio is calculated using the risk-free rate in the appropriate currency over the period analysed. Where an investment has underperformed the risk-free rate, the Sharpe ratio will be negative. Because the Sharpe ratio is an absolute measure of risk-adjusted return, negative Sharpe ratios are shown as n/a, as they can be misleading. World stocks: MSCI World Index hedged to USD (price return). World bonds: Citigroup World Government Bond Index hedged to USD (total return). Benchmark indices have been hedged to CHF using the relevant 3 month LIBOR rate differentials. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. *It is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, Man AHL Diversified (Guernsey) CHF had a total return of 410.4%, an annualised return of 12.3% and an annualised volatility of 17.5%. The Sharpe ratio for this period was 0.67 and the worst drawdown remains the same. Source: Man database and Bloomberg. 27

26 Man AHL Diversified (Guernsey) JPY 1 Performance from 26 March 1996 to 31 December 2010* Index value JPY (log scale) Man AHL Diversified (Guernsey) JPY 1 Total return Annualised return Annualised volatility Sharpe ratio 2 Man AHL Diversified (Guernsey) JPY % 12.5 % 17.5 % 0.74 World stocks (JPY) 5.9 % 0.4 % 15.4 % 0.08 World bonds (JPY) 48.5 % 2.7 % 2.9 % World bonds (JPY) Worst drawdown % % -5.0 % World stocks (JPY) Date of worst drawdown Months to recovery Dec 08 to date n/a Mar 00 to date n/a Sep 98 to Jan Performance of Man AHL Diversified (Guernsey) JPY from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the performance of Class A Man AHL Diversified (Guernsey) USD Shares has Man, been January shown. Performance 2011 has been hedged from USD to JPY using the relevant 3 month LIBOR rate differentials. From 19 May 2009, actual performance of Class D Man AHL Diversified (Guernsey) JPY Shares has been used. The 28 fees applied to Man AHL Diversified plc differ from those applied to the Class D Man AHL Diversified (Guernsey) JPY Shares and, as such, performance may differ. Class D Man AHL Diversified (Guernsey) JPY Shares, Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. 2. Sharpe ratio is calculated using the risk-free rate in the appropriate currency over the period analysed. Where an investment has underperformed the risk-free rate, the Sharpe ratio will be negative. Because the Sharpe ratio is an absolute measure of risk-adjusted return, negative Sharpe ratios are shown as n/a, as they can be misleading. World stocks: MSCI World Index hedged to USD (price return). World bonds: Citigroup World Government Bond Index hedged to USD (total return). Benchmark indices have been hedged to JPY using the relevant 3 month LIBOR rate differentials. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. *It is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, Man AHL Diversified (Guernsey) JPY had a total return of %, an annualised return of 11.0% and an annualised volatility of 17.5%. The Sharpe ratio for this period was 0.67 and the worst drawdown remains the same. Source: Man database and Bloomberg.

27 Man AHL Diversified (Guernsey) AUD 1 Performance from 26 March 1996 to 31 December 2010* Index value AUD (log scale) Man AHL Diversified (Guernsey) AUD 1 World bonds (AUD) Total return Annualised return Annualised volatility Sharpe ratio 2 Worst drawdown Date of worst drawdown Man AHL Diversified (Guernsey) AUD % 18.2 % 17.6 % % Dec 08 to Feb 10 World stocks (AUD) % 5.6 % 15.4 % % Oct 07 to date World bonds (AUD) % 8.0 % 2.9 % % Apr 99 to Jul 99 World stocks (AUD) Months to recovery 8 n/a Performance of Man AHL Diversified (Guernsey) AUD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the performance of Class A Man AHL Diversified (Guernsey) USD Shares has Man, been January shown. Performance 2011 has been hedged from USD to AUD using the relevant 3 month LIBOR rate differentials. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) 29 USD Shares and, as such, performance may differ. Class E Man AHL Diversified (Guernsey) AUD Shares, Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. 2. Sharpe ratio is calculated using the risk-free rate in the appropriate currency over the period analysed. Where an investment has underperformed the risk-free rate, the Sharpe ratio will be negative. Because the Sharpe ratio is an absolute measure of risk-adjusted return, negative Sharpe ratios are shown as n/a, as they can be misleading. World stocks: MSCI World Index hedged to USD (price return). World bonds: Citigroup World Government Bond Index hedged to USD (total return). Benchmark indices have been hedged to AUD using the relevant 3 month LIBOR rate differentials. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. Returns may increase or decrease as a result of currency fluctuations. *It is a requirement of MiFID to include performance statistics on a 12 month rolling basis. From 31 December 1996 to 31 December 2010, Man AHL Diversified (Guernsey) AUD had a total return of 750.9%, an annualised return of 16.5% and an annualised volatility of 17.6%. The Sharpe ratio for this period was 0.66 and the worst drawdown remains the same. Source: Man database and Bloomberg.

28 Four worst drawdowns and recovery speed since inception AHL has historically performed strongly after a large drawdown 26 March 1996 to 31 December 2010 Index value USD (log scale) Man AHL Diversified (Guernsey) USD Drawdown % % % Months to recovery Performance in 12 months following drawdown trough 50.3 % 25.0 % 22.9 % Drawdown Months to recovery % 10 n/a Performance of Man AHL Diversified (Guernsey) USD from 26 March 1996 to 31 December 2007 is represented by Man AHL Diversified plc. From 3 January 2008 the actual performance of Class A Man AHL Diversified (Guernsey) USD Shares has been shown. The fees applied to Man AHL Diversified plc differ from those applied to the Class A Man AHL Diversified (Guernsey) USD Shares and, as such, performance may differ. Class A Man AHL Diversified (Guernsey) USD Shares and Man AHL Diversified plc are valued weekly; however, for comparative purposes, statistics have been calculated using the last weekly valuation for each month. There is no guarantee of trading performance and past performance is no indication of current or future performance/results. Returns may increase or decrease as a result of currency fluctuations. Source: Man database.

29 Important notes This material is distributed by Man Investments Inc. ( Man Investments ), which is registered as a broker-dealer with the U.S. Securities and Exchange Commission ( SEC ) and is a member of the Financial Industry Regulatory Authority ( FINRA ) and the Securities Investor Protection Corporation ( SIPC ). The registrations and memberships described in the preceding sentence in no way imply that the SEC, FINRA or SIPC have endorsed any of the referenced entities to provide any of the services discussed herein. Man Investments is a member of the Man Investments division of Man Group plc. Man Group refers to the group of entities affiliated with Man Group plc. This material is for the confidential use only for those institutional investors, investment professionals, market counterparties or intermediate customers to whom it is transmitted directly by Man Investments or one of its affiliates. This material has been furnished upon request, solely for the recipient s information. By acceptance hereof, recipients agree not to transmit, reproduce, or make this material available to any third party. This material is being provided for information and discussion purposes only and is qualified in its entirety by the information included in the confidential offering documents (collectively, the Offering Documents ) of each private investment fund (a Fund ) described herein, and is not intended to be, nor should it be, construed or used as investment, tax or legal advice or an offer to sell, or a solicitation of an offer to buy, an interest in a Fund. Any offer or solicitation of an investment in a Fund may be made only by delivery of such Fund s Offering Documents to qualified investors. An investment in a Fund is not suitable for all investors. Alternative investments and privately-offered investment vehicles can involve significant risks and the value of a Fund may go up or down. Before making any investment in a Fund, you should thoroughly review the Offering Documents with your professional advisor(s) to determine whether an investment in a Fund is suitable for you in light of your investment objectives and financial situation. Each Fund s Offering Documents contain important information concerning risk factors, including a more comprehensive description of the risks and other material aspects of the investment (including a Fund s investment program and applicable fees and expenses), and should be read carefully before any decision to invest is made. You should not rely in any way on this summary. The information in this document does not represent the performance of a Fund available for US investment (a US Fund ), or any predecessor to a US Fund. Investment vehicles whose performance is presented in this document were not and are not offered to United States investors, and are not available to prospective investors in the US Funds. It is inappropriate, and would be inaccurate, for an investor to consider separately or in combination any of the performance presented herein as an indication, expectation or conclusion relating to the possible future performance of the US Funds. Rather, this information is presented to show the expertise and insight of Man in the strategies presented. It is important to note that the performance results presented herein do not represent the performance of any US Funds and are no indication of how any US Funds would have performed in the past or will perform in the future. An investor should note that there may be material differences between the performance of other investment vehicles shown and the performance to be expected of a US Fund, if a US Fund were available. The performance presented herein reflects the performance of other investment vehicles, certain of which are offered overseas and not available to United States investors. Any statements regarding market events, future events or other similar statements constitute only subjective views, are based upon expectations or beliefs, should not be relied on, are subject to change due to a variety of factors, including fluctuating market conditions, and involve inherent risks and uncertainties, both general and specific, many of which cannot be predicted or quantified and are beyond a Fund s control. Future evidence and actual results could differ materially from those set forth in, contemplated by, or underlying these statements. In light of these risks and uncertainties, there can be no assurance that these statements are now or will prove to be accurate or complete in any way. No representation is made that a Fund s investment process or investment objectives will or are likely to be successful or achieved. Benchmarks and financial indices are shown for illustrative purposes only, may not be available for direct investment, are unmanaged, assume reinvestment of income, do not reflect the impact of any management incentive fees and have limitations when used for comparison or other purposes because they may have different volatility or other material characteristics (such as number and types of instruments). A Fund s investments are not restricted to the instruments composing any one index. Certain information is based on data provided by third-party sources and, although believed to be reliable, has not been independently verified and its accuracy or completeness cannot be guaranteed. PAST PERFORMANCE IS NO INDICATION OR GUARANTEE OF FUTURE PERFORMANCE. Man Investments Inc. One Rockefeller Plaza, 16th floor, New York, NY Tel: (646) N. Wacker Drive, 28th floor, Chicago, IL Tel: (312) Man Investments Inc., Member FINRA and SIPC 32

30 Important notes Man AHL Diversified (Guernsey) is the collective marketing name for Class A Man AHL Diversified (Guernsey) USD Shares, Class B Man AHL Diversified (Guernsey) EUR Shares, Class C Man AHL Diversified (Guernsey) CHF Shares, Class D Man AHL Diversified (Guernsey) JPY Shares and Class E Man AHL Diversified (Guernsey) AUD Shares issued by Man AHL Diversified PCC Limited, an open-ended investment protected cell company incorporated with limited liability under the laws of the Island of Guernsey. This material is communicated by Man AHL Diversified PCC Limited, which is not a member of the Man Group. This material is not an invitation to make an investment in Man AHL Diversified PCC Limited (the Company ) nor does it constitute an offer for sale of shares to be issued by the Company. Applications for shares will only be considered on the terms of the supplements dated 21 August 2009 as amended and the prospectus issued by the Company dated 19 March 2008 as amended (together, the Prospectus ). This presentation is not comprehensive. The detailed terms and conditions of the issue of the shares are subject to substantial qualifications, restrictions and risk factors, all of which are set out in the Prospectus and which apply to this material. This material must therefore be read in conjunction with the terms, qualifications, conditions and restrictions described in the Prospectus. Information contained herein is provided from the database of Man Investments Limited except where otherwise stated. Distribution of this material and the offer of shares may be restricted to certain jurisdictions and in other jurisdictions (for example HK and Singapore) the minimum investment permitted may be higher than elsewhere. Potential investors should note that alternative investments can involve significant risks and the value of an investment may go down as well as up. Man Investments Limited and/or any of its associates may invest in the Company. It is intended only for investment professionals or professional clients and must not be relied upon by any other person. Although we have taken every professional care in gathering and regularly updating this information, we do not assume any liability in the case of incorrectly reported or incomplete information. This material is proprietary information of Man Investments Limited and its affiliates and may not be reproduced or otherwise disseminated in whole or in part without prior written consent from Man Investments Limited. The shares have not been and will not be registered under the US Securities Act of 1933, as amended, and may not at any time be directly or indirectly offered or sold in the United States or to or for the benefit of any US Person (as defined in the Prospectus). This material is not suitable for US investors. 33