Man AHL Diversified Futures Ltd July 2008 SlideID-10367
Important notes This material has not been reviewed by the Securities and Futures Commission (the ‘SFC’) in Hong Kong .This presentation is not an invitation to invest with Man AHL Diversified Futures Ltd (the ‘Company’) nor does it constitute an offer for sale of shares issued by the Company. Applications for shares issued by the Company will only be considered on the terms of the current prospectus (the ‘Prospectus’). Unless otherwise stated the terms defined in the Prospectus shall have the same meaning in this presentation. Information contained herein is provided from the Man Investments database except where otherwise stated. Potential 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. There is no guarantee of trading performance and past performance is no indication of current or future performance/results. Investors redeeming shares may be subject to an early redemption fees. Investments involve risk and potential investors should refer to the Prospectus including the risk factor therein for future details. In giving its authorisation the SFC does not take responsibility for the financial soundness of the scheme or for the correctness of any statements made or opinions expressed in this regard. The Company is authorised by the SFC under the Code on Unit Trusts and Mutual Funds as a ‘Futures Fund’ and not as a ‘Hedge fund’. The SFC’s authorisation does not imply official approval or recommendation. This presentation is issued by Man Investments Limited which is authorised and regulated by the Financial Services Authority. The data contained in this document has been calculated using a new relational database system which has enabled a more precise representation of pro forma fee simulations than previously published. www.maninvestments.com SlideID-15818 2
Global presence – Man Group plc Man Group plc Tokyo Chicago New York Miami Dublin London Switzerland Singapore • Origins date back to 1783 • Listed as (EMG) on the FTSE 100 Index of leading shares on the London Stock Exchange • Market capitalisation approximately USD 21.3 billion 1 • Approximately 1,870 employees operating in 13 countries 2 Man Investments • A leading provider of alternative investment solutions since 1983 • Funds under management approximately USD 79.5 billion 2 • Pioneer in principal protected and structured alternative investment products Bahamas Toronto Montevideo Guernsey Rotterdam Dubai Hong Kong Sydney Source: Man database and Bloomberg. 1 At 30 June 2008 (approximately GBP 10.7 billion, EUR 13.5 billion). ²As at 30 June 2008. 3
AHL Key facts • AHL is an investment division of the Man Group Based in London, managing approximately USD 24.7 billion 1 • • Quantitative investment manager formed in 1987 Man Investments 2 1 As at 31 March 2008. 2 Man Investments entered into a strategic partnership with Ore Hill in May 2008. Ore Hill is not a wholly owned subsidiary of Man Group plc. 4
The AHL team and investment infrastructure The AHL team • Continuity in the investment team helps sustain research and development of initiatives • Team of 70 employees¹ – Research: 40 employees – Trade execution: 17 employees – Trade operations: 13 employees Investment infrastructure • Execution team works alongside investment management • Operating 24-hours a day on a rotational 8-hour shift structure • Relationships with around 90 different execution brokers – business awarded on efficiency • Disaster recovery site with back-up trading platform 1 As at 31 March 2008. 5
AHL – a diversified approach Identifying opportunities 24 hours a day • Access to opportunities in over 140 global markets ranging Portfolio from the most liquid financial markets to a broad spectrum of construction commodity futures contracts • Primarily aims to identify opportunities to profit from price Trading movements and take advantage of strong market trends strategy • Direct link to an infrastructure capable of capturing the profit Trading potential in market moves over time frames ranging from a few duration days to several months 6
Portfolio construction: Man AHL Diversified Futures Ltd Diversification across sectors and markets Market sectors 1 Americas Europe Asia Pacific As at 30 June 2008 7 6 1 5 4 2 3 1 Currencies 24.2 % 2 Bonds 19.0 % 3 Stocks 17.0 % 12 12 12 12 11 11 4 Energies 16.5 % 1 1 11 1 11 1 10 2 10 2 10 2 10 2 5 Metals 9.2 % 9 3 9 3 9 3 9 3 8 4 8 4 6 Interest rates 8.7 % 8 4 8 4 7 7 5 5 7 5 7 5 6 6 6 6 7 Agriculturals 5.4 % 18:00 24:00 01:00 11:00 Over 140 markets Around 36 exchanges Source: Man database. 1 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. 7
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
Profit/loss from trading - example WTI Crude Oil Long position WTI Crude Oil Price Short position 2001 2002 2003 2004 2005 2006 2007 2008 Year 6 Year 1 Year 2 Year 3 Year 4 Year 5 Year 7 Year 8 • High volatility – small positions AHL position • Low volatility – large positions Year 8 2001 2002 Year 2 2003 Year 3 2004 Year 4 2005 Year 5 2006 Year 6 2007 Year 7 2008 • Small losses during range- Year 1 bound markets • Potential for large gains in Volatility trending markets 2001 2002 2003 2004 2005 2006 2007 2008 Year 8 Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Profit/loss Year 8 2001 2002 2003 2004 2005 2006 2007 2008 Year 1 Year 2 Year 5 Year 6 Year 7 Year 3 Year 4 Source: Man database. The trading example is for illustrative purposes only and is not indicative of the actual returns likely to be achieved by the investor. 9
Trade example AHL's positions in WTI crude oil • Upward trends in oil prices have been caused by an increased demand from emerging markets, supply fears and WTI Crude Oil Price political tension in the Middle East • While the long-term trend is upwards, Year 7 2006 2007 2008 Year 8 the price is volatile, with numerous Year 6 short-term corrections and rallies • The charts demonstrate how AHL has captured both long and short opportunities in WTI crude oil over a number of time horizons and at AHL position varying levels of exposure Year 7 Year 8 2006 Year 6 2007 2008 Long position Short position Source: Man database. The trading example is for illustrative purposes only and is not indicative of the actual returns likely to be achieved by the investor. 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 11
12 Man AHL Diversified Futures Ltd SlideID-15791
The opportunity for investors Man AHL Diversified Futures Ltd • Targets substantial medium-term capital growth while aiming to restrict the associated risk 1 • Has a long, impressive track record and has historically had a very low correlation to other asset classes • When added to an investment portfolio of stocks and bonds may help to reduce overall portfolio risk and enhance returns Source: Man database. 1 There is no guarantee of trading performance and past performance is no indication of current or future performance/results. 13
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