Man GLG Global Emerging Markets Debt Total Return

Transcription

1 For investment professionals only. Not for public distribution. Man GLG Global Emerging Monthly Report as at 31 December 2018 Fund MTD: % YTD: 0.72 % Annualised return since inception:3.28 % Annualised volatility since inception:2.91 % Fund Risks Prior to investing in the Fund investors should carefully consider the risks associated with investing, investors should consider the following risks and where appropriate seek professional advice before investing: Market Risk, Counterparty Risk, Currency Risk, Liquidity, Leverage, Emerging Markets, Non-Investment Grade Securities, Financial Derivatives and Concentration Risk. More details can be found in the Risk Glossary. Fund Aims Man GLG Global Emerging s investment objective is to maximize the upside capture of returns, while minimizing the draw-down capture in the blend of external and local debt benchmarks. The value of your investment and the income from it may rise as well as fall and you may not get back the amount originally invested. Prior to making investments investors should read and consider the Fund s offering documents. Fund Details Launch date 03-May-2016 Fund AUM 1 (USD) 3,354,927,280 Portfolio manager Currencies Dividend policy Fund domicile Minimum investment Management fee Guillermo Ossés / Phil Yuhn NOK / USD / EUR / GBP / SEK / CHF Share class specific Ireland Retail classes: 1,000 USD. Institutional classes: 1,000,000 USD Up to 1.75% per annum Performance fee 2 Up to 20% Net Performance Statistics* Fund Last month % Last 3 months 0.28 % Last 6 months % Year to date 0.72 % Last 1 year 0.72 % Since inception 9.00 % Annualised return since inception 3.28 % Annualised volatility since inception 2.91 % Sharpe ratio Worst drawdown % Worst drawdown length 4 7 months Net Track Record* Fund Statistics Fund Yield to Maturity External Duration Local Duration External Credit Spread Duration Average Maturity Average Rating of Long Positions (excluding FX) 9 AA+ Average Rating of Short Positions (excluding FX) 9 BB+ Number of Holdings 100 Man GLG Global Emerging Net Market Exposure Split 10 *Unless otherwise indicated, the performance data is based on the reporting share class of the Fund (shown in blue in the NAV table) and may be closed to new subscriptions. The performance data does not take account of the commissions and/or costs incurred on the issue and/or redemption of units. Past performance is not a reliable indicator of future results. Returns may increase or decrease as a result of currency fluctuations. Please refer to important information. 1/ 6

2 Monthly Commentary Market Review Emerging Markets (EM) Hard Currency (HC), as measured by JPM EMBIG, returned 1.5% in December, as carry income and lower US Treasuries yields (+2.4%) more than offset the negative impact of EM spreads that widened 15bps to 435bps (-0.9% return). 1 Similarly, the Local Currency (LC) segment, as measured by JPM GBI-EM GD, returned +1.3% in the same period, boosted by rates performance (+0.8%) and carry (+0.5%). The USD weakened and US treasuries rallied in December in a fl ight to quality, as US equities plummeted and the S&P 500 dropped -9% in the month. Meanwhile, the market questioned whether the Fed would slow the pace of its tightening policy and on concerns of a US government shutdown, following the disagreement between President Trump and Democrats on the funding for a border wall. 2 On December 19, the Fed hiked rates by 25 bps to 2.5%, as expected, but the policy statement did not validate the market s more dovish expectations. While longer-term Fed dots moved lower, the statement was only marginally more dovish and, importantly, the pace of balance sheet reduction was unchanged. Elsewhere, the ECB made no changes to its forward guidance on rates during its policy meeting on December 13. Recent economic data releases in the US, Eurozone and elsewhere disappointed, including below consensus US nonfarm payrolls, weaker than expected PMIs in Germany and France, China Caixin PMI, Korea exports and Singapore GDP, leading investors to be more concerned about the protectionist head-to-head between the U.S. and China and its impact on global economic growth. Oil prices were also down in December. Although the outcome of the December 6-7 OPEC meeting was favourable, with OPEC and its allies agreeing on a larger than expected cut of 1.2m barrels a day, oil reversed direction later in the month as the planned production cut failed to curb fears of oversupply in the face of persistent growth in output from the US and concerns about weaker oil demand amid a potential slowdown in global economy. In LC, Mexico was the month s top performer (+6.9%) as risk premium came off after bondholders accepted Mexico s offer to buy back USD1.8bn of debt used to fund Mexico City s airport construction, Andrés Manuel López Obrador(AMLO) published a conservative fi scal plan for 2019 and an anticipated fall in infl ation (helped by the VAT cut). Nonetheless, investors are still wary of the fi scal execution and question if the president can maintain a primary budget surplus even while spending more on social programs. Thailand was the 2nd best performer of the month. Bank of Thailand (BoT) raised its one-day bond repurchase rate to 1.75% from 1.5% on December 19 in a move to curb accumulation of vulnerabilities in the fi nancial system. BoT s downward revisions to growth and infl ation projections reduced expectations for further imminent hikes and thus supported local bond performance. In Hungary, also a top performer, National Bank of Hungary kept the key rate on hold and revised CPI projections downwards for 2019 on the back of lower oil prices. After a long delay, the Hungarian authorities received roughly HUF 700bn from the European Commission (November to year-end), also supporting local asset s performance. South Africa, was the local index worst performer. Despite the good intentions of the Ramaphosa administration, the 2018 medium term budget policy statement returned the more expansive fi scal policy signalled in late Without a generous pick-up in underlying growth, we believe the government budget is likely to remain under pressure in 2019, while the contingency risks from loss-making state-owned enterprises, or further slippage in debt/gdp and primary budget balance may end up forcing the hand of Moody s and ultimately triggering a credit downgrade. Russia followed suit, in light of the risk of potential new sanctions by the US. If Special Counsel Robert Mueller s investigation into the Kremlin s interference in the 2016 American election reaches a negative conclusion, that could trigger new penalties, including restrictions on trading Russian securities. In HC, Turkey was the month s best performer, as October balance of payments data showed a high pace of external rebalancing. The country s current account surplus reached an all-time high in October, due to the increased price competitiveness that followed the sharp TRY weakening and the collapse in domestic demand, while banks (voluntarily or not) continued de-levering. Oman was the worst performer. The country s credit rating was recently downgraded to BB+ by Fitch, the second rating agency to rate the country below investment grade. Consequently, as per the EMBIG index criteria, Oman will exit the IG-only sub-indices of the EMBIG family at the January month-end rebalance. Potential new supply also weighed on performance. Argentina also underperformed, but mainly in response to technical factors as the nominal monetary base monthly average ran below its target in December and infl ation is already decelerating according to high-frequency indicators. Nevertheless, volatility surrounding the credit will likely remain high over the coming months as presidential elections start to take focus. From January 31st, 2019, Saudi Arabia, Qatar, United Arab Emirates, Bahrain and Kuwait will be included in the EMBIG index. 3 On the rating front, S&P upgraded El Salvador s FC and LC ratings to B- from CCC+, with a Stable outlook. In contrast, S&P downgraded Costa Rica s FC and LC ratings to B+ from BB-, with a Negative outlook. Moody s had also downgraded the country to B1 from Ba2 earlier in the month. Lastly, Moody s changed Ecuador s and Lebanon s rating outlook to Negative from Stable while it affi rmed the B3 ratings of both sovereigns. JPM GBI-EM GD USD Returns in December 4 JPM EMBIG Top & Bottom Performers December4 8% Carry Local Rates FX Return TOP 5 BOTTOM 5 6% Return Index 1-mo Return Return Index 1-mo Return Mexico Thailand Hungary Czech Rep. Brazil Malaysia Outlook and Positioning We continue to keep a defensive positioning in the portfolio as we believe that both EM HC and LC are likely to face a challenging 2019 as a consequence of the global tightening in global liquidity conditions. In our opinion this should, in turn, bring EM default rates close to averages not seen since the 1990s. However, we believe we are fi nally beginning to see risk premium embedded in the EM asset class again (as well as in other credit asset classes). This should help investors that are still capable to deploy assets in a very differentiated way, with the potential to generate attractive absolute and relative return performances over the next few years. The overall short currency exposure of the Fund stood month-end at -12% (stable versus the end of November and October) and was comprised of a long ARS (+8.8%), and short BRL (-11.5%), IDR (-5.1%) and COP (-4.5%) positions. The Fund kept the -0.5 years short in local currency DWE in Brazil. In HC, the duration weighted exposure (DWE) stood at 0.2 years (-0.1 years versus the previous month close). We increased the short credit spread DWE of the Fund by -0.4 years to -2.6 years, as EM credit was lagging the correction of other risk assets in December. As of month end, the largest short credit spread DWEs of the Fund were to Brazil, South Africa, Indonesia (-0.5 years each), Colombia (-0.4 years), Malaysia and Lebanon (-0.2 years each). Performance Highlights In December, the Fund s net performance was -0.07%. The Fund s cash exposure contributed with +0.18% and the LC short exposure added a further +0.02%, to its +0.00% total estimated gross performance, while the HC short exposure detracted in -0.20%. In HC, the short credit spread exposures to South Africa (-0.05%), Indonesia (-0.04%) and Brazil (-0.03%) as well as the long credit spread to Argentina (-0.03%) were the largest detractors from performance. In LC, the short exposures to BRL (-0.14) and Brazilian local rates (-0.18%) detracted from performance. However, these impacts were more than offset by the contribution ARS long exposure (+0.30%) and IDR and COP short exposures (+0.02% and +0.01%, respectively). 1 US Treasury 10 Year Yields declined 30bps to 2.68% in December. Source: Bloomberg, as of January 2. 2 A partial government shutdown began on December The new countries will represent approximately 11.4% in the EMBIG. Source: JP Morgan, as of January 2, Source: J.P. Morgan. Poland Argentina Dom. Rep. Colombia Romania Peru Uruguay Philippines Turkey Indonesia Chile Russia S. Africa GBI-EM GD 4% 2% 0% -2% -4% Country (%) Weight (%) Volatility Country (%) Weight (%) Volatility Turkey Oman Lebanon Argentina Uruguay Venezuela Azerbaijan Costa Rica Sri Lanka Ecuador EMBIG www. man.com 2/ 6

3 Emerging Market Debt Analysis Top 10 EM Absolute Exposures for External Debt (USD) Issuer Country Month End Market Value Contribution Duration Spread Duration Month End Exposure Brazil 0.72 % % % Indonesia 1.06 % % % South Africa 2.08 % % % Colombia 0.92 % 0.03 % % Lebanon 1.22 % % % Malaysia 0.02 % % % Russian Federation 0.08 % % % Kazakhstan % 0.00 % % Saudi Arabia % 0.00 % % Turkey 0.23 % % % Local FX and Rates Top 10 EM Absolute Exposures for Local Currency and Rates 11 Issuer Country Contribution Duration Month End Exposure Brazil % % Argentina 0.30 % % Indonesia 0.02 % % Colombia 0.01 % % Top 10 EM Absolute Exposure for Local Rates (split out) 12 Country Contribution Month End Exposure Brazil % % Expected Life Breakdown 13 Ratings Breakdown (including CDS positions) 14 Fund FX Debt + Rates 3/ 6

4 Top 10 EM Country Exposures 15 1 Brazil 2 Indonesia 3 Colombia 4 Argentina 5 South Africa 6 Lebanon 7 Malaysia 8 Russian Federation 9 Kazakhstan 10 Saudi Arabia FX Debt + Rates Historical performance 16 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD % 0.37 % % 0.97 % 1.90 % 0.66 % % 0.19 % % 0.27 % 0.08 % % 0.72 % % 1.29 % 0.27 % 0.04 % % 0.46 % % % % 0.82 % 0.11 % % 2.33 % % 1.77 % 0.28 % 1.29 % 1.13 % 0.84 % % 1.25 % 5.76 % NAVs 18 Class NAV ISIN Bloomberg 2015 Return 2016 Return 2017 Return I USD 109 IE00BD3B6F79 MGLGIUS ID N/A N/A 2.33 % IMF USD Net-Dist A IE00BYXZ2Y79 MGEDIMF ID N/A N/A N/A IMF USD IE00BYZJRM02 MGEMIMU ID N/A N/A 2.25 % IMF H GBP Net-Dist IE00BD8GLC99 MGLGDIM ID N/A N/A 1.26 % A IMF H EUR Net-Dist IE00BDB77768 MGLGIMF ID N/A N/A 0.46 % A IMF H EUR IE00BD6GFC99 MGGEIMF ID N/A N/A 0.34 % IL USD IE00BD3B9362 MGLGILU ID N/A N/A 2.19 % IL H EUR IE00BD3B6G86 MGLGILE ID N/A N/A 0.18 % I USD Net-Dist A IE00BYWC7X35 N/A N/A N/A I H SEK IE00BD3B6D55 MGLGIHS ID N/A N/A 0.17 % I H GBP IE00BD3B6C49 MGLGIHG ID N/A N/A 1.14 % I H EUR Net-Dist A IE00BDB77545 MGGEMIH ID N/A N/A 0.25 % I H EUR IE00BD3B6B32 MGLGIHE ID N/A N/A 0.30 % I H CHF IE00BD37M355 MGLGDIC ID N/A N/A % I H AUD IE00BYVW6714 N/A N/A N/A DY USD IE00BD37M462 MGEMDYU ID N/A N/A 1.32 % DY H EUR IE00BF20KP72 N/A N/A N/A DR USD Net-Dist A IE00BYXQ8195 N/A N/A N/A DMF USD IE00BD8GLB82 MGLGDMF ID N/A N/A 1.49 % DMF H EUR IE00BD8GL969 N/A N/A N/A DL USD IE00BD3B9693 MGLGDDL ID N/A N/A N/A DL H EUR IE00BD3B9586 MGEMDLE ID N/A N/A % D USD IE00BD3B6K23 MGLGDUS ID N/A N/A 1.57 % D H NOK IE00BZCGN561 MGLGDHN ID N/A N/A 0.71 % D H GBP IE00BD3B6H93 MGLGDHG ID N/A N/A 0.55 % D H EUR IE00BD3B9479 MGLGDHE ID N/A N/A % D H CHF IE00BYXPSM70 N/A N/A N/A 4/ 6

5 1 Represents the combined AUM of all share-classes in the Portfolio 2 See prospectus for details 3 Sharpe ratio is a measure of risk-adjusted performance that indicates the level of excess return per unit of risk. It 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. As the Sharpe ratio is an absolute measure of risk-adjusted return, negative Sharpe ratios can be misleading and are therefore shown as n/a. 4 The length is the peak-to-trough decline. 5 The weighted average yield of the fund, including yield to maturity for bond positions and carry for forward FX trades (based on interest rate differentials). 6 The portfolio s sensitivity to a 1% parallel shift in the yield curve. 7 The portfolio s sensitivity to a 1% parallel shift in the credit spread. 8 The weighted average expected life of the credit positions within the portfolio. 9 The weighted average rating of the portfolio, using the best rating of Moody s, Fitch and Standard and Poor s for each security. Where a bond is not rated, the rating of the legal entity has been used. 10 Data reflective of security exposure and may include exposures to developed markets in this breakdown. For FX positions the Dollar legs have been excluded. Excludes Cash and cash equivalents. 11 Data includes both FX forward positions and EM local currency-denominated bonds. 12 Data includes EM local currency-denominated bonds. 13 Data reflective of security exposure. Includes only fixed income cash instruments and bond futures as well as securities used for cash management and duration hedging. Expected life refers to the length of time the principal of a debt issue is expected to be outstanding. 14 Data reflective of security exposure. Ratings obtained by using the best of Moody s, Fitch and Standard and Poor s for each security. Where a bond is not rated, the rating of the legal entity has been used. FX ratings derive from the long term, local currency rating of the relevant EM government. Includes securities used for cash management and duration hedging. 15 FX includes FX forwards and EM denominated bonds. Debt includes EM and USD denominated bonds. Ranked by the total of FX and Debt exposure on an absolute basis. 16 Performance Disclosures: The inception date of the Fund is 3rd May The net returns are calculated net of 0.75% management fees per annum. Please note that some share classes may charge higher management fees. 17 When 12 months of performance data is unavailable for a calendar year, partial year to date is shown. 18 The share class in blue in the table above is the reporting share class for the Fund and may be closed to new subscriptions. Performance of other share classes shown may vary. Risk Glossary Market Risk: The Fund is subject to normal market fluctuations and the risks associated with investing in international securities markets and therefore the value of your investment and the income from it may rise as well as fall and you may not get back the amount originally invested. Counterparty Risk: The Fund will be exposed to credit risk on counterparties with which it trades in relation to on-exchange traded instruments such as futures and options and where applicable, over-the-counter ("OTC","non-exchange") transactions. OTC instruments may also be less liquid and are not afforded the same protections that may apply to participants trading instruments on an organised exchange. Currency Risk: The value of investments designated in another currency may rise and fall due to exchange rate fluctuations. Adverse movements in currency exchange rates may result in a decrease in return and a loss of capital. It may not be possible or practicable to successfully hedge against the currency risk exposure in all circumstances. Liquidity: The Fund may make investments or hold trading positions in markets that are volatile and which may become illiquid. Timely and cost efficient sale of trading positions can be impaired by decreased trading volume and/or increased price volatility. Concentration Risk: The Fund may hold a limited number of investments which can increase the volatility of performance. Financial Derivatives: The Fund will invest in financial derivative instruments ("FDI") (instruments whose prices are dependent on one or more underlying asset) to achieve its investment objective. The use of FDI involves additional risks such as high sensitivity to price movements of the asset on which it is based. The extensive use of FDI may significantly multiply the gains or losses. Leverage: The Fund's use of FDI may result in increased leverage which may lead to significant losses. Emerging Markets: The Fund may invest a significant proportion of its assets in securities with exposure to emerging markets which involve additional risks relating to matters such as the illiquidity of securities and the potentially volatile nature of markets not typically associated with investing in other more established economies or markets. Non-Investment Grade Securities: The Fund may invest a significant proportion of its assets in non-investment grade securities (such as high yield securities) and are considered higher risk investments that may cause income and principal losses for the Fund. They are instruments which credit agencies have given a rating which indicates a higher risk of default. The market values for high yield bonds and other instruments tend to be volatile and they are less liquid than investment grade securities. Important Information The Fund is a sub-fund of Man Funds VI PLC, domiciled in Ireland and registered with the Central Bank of Ireland. Full details of the Fund objectives, investment policy and risks are located in the Prospectus which is available with the Key Investor Information Document in English and in an official language of the jurisdictions in which the Fund is registered for public sale, together with the Report and Accounts of the UCITS. The Fund s documentation are available free of charge from the local information/paying agent, from authorised distributors and from. In order to fulfil the fund s objectives the Prospectus allows the manager the ability to invest principally in units of other collective investment schemes, bank deposits, derivatives contracts designed with the aim of gaining short term exposure to an underlying stock or index at a lower cost than owning the asset, or assets aiming to replicate a stock or debt securities index. The Fund currently has or intends to have more than 35% of its total holdings in bonds issued by or guaranteed by: EU and OECD Governments World Bank European Investment Bank International Financing Corp The value of an investment and any income derived from it can go down as well as up and investors may not get back their original amount invested. Alternative investments can involve significant additional risks. This material is for information purposes only and does not constitute an offer or invitation to invest in any product for which any Man Group plc affiliate provides investment advisory or any other services. Prior to making any investment decisions, investors should read and consider the fund's offering documents. Opinions expressed are those of the author as of the date of their publication, and are subject to change. 5/ 6

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FL Man (Europe) AG is an associated participant in the investor compensation scheme, which is operated by the Deposit Guarantee and Investor Compensation Foundation PCC (FL ) and corresponds with EU law. Further information is available on the Foundation s website under A number of the Fund s share classes are registered for distribution to professional and non-professional investors in Germany. The Fund s documentation can be obtained in German free of charge from the paying agent in Germany,BHF-BANK Aktiengesellschaft, Bockenheimer Landstraße 10, Frankfurt am Main. This material is of a promotional nature. Recipients of this material are deemed to be investment professionals and/or qualified investors that have employed appropriately qualified individuals to manage their financial assets and/or are a financial services entity appointed by an investor to provide fiduciary advisory and/or portfolio management services in respect of their financial assets. 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