MS Long Term Trends UCITS Fund October 2015 Offering a UCITS - - PowerPoint PPT Presentation

F O R I N S T I T U T I O N A L C L I E N T S , D I S T R I B U T O R S A N D M A N A G E R S O N L Y . C O N F I D E N T I A L A N D N O T F O R O N W A R D D I S T R I B U T I O N . T H I S P R E S E N T A T I O N I S O N L Y I N T E N D E D F O R P E R S O N S R E S I D E N T I N J U R I S D I C T I O N S W H E R E D I S T R I B U T I O N O F T H I S P R E S E N T A T I O N T O T H O S E P E R S O N S W O U L D N O T B E C O N T R A R Y T O L O C A L L A W S A N D R E G U L A T I O N S .

MS Long Term Trends UCITS Fund

Offering a UCITS Exposure to the Winton Diversified Program

October 2015

Contents

• Executive Summary
• I. Winton Diversified Program
• II. MS Long Term Trends UCITS Fund
• Appendix 1: Historical Returns of the Winton Diversified Program
• Appendix 2: Winton Organizational Charts and Biographies

Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

 Investment Objective:

• Provides exposure to managed futures trading strategies of long term trend-following commodity trading

advisors

• Empirical approach that is agnostic to fundamental interpretations: Winton focuses on scientific analysis of

data to find trading systems with a positive expected return over the long term

• Delivery Format: UCITS, a Sub-Fund within FundLogic Alternatives plc which is an Irish-domiciled Open Ended

Investment Company (the “OEIC”) fund with weekly liquidity  Overview:

• Background: Asset management company owned by Morgan Stanley, managing assets of both institutional

and retail clients

• Part of Morgan Stanley’s Multi-Asset Platform which oversees approximately $8.3bn in total, including

$3.7bn within FundLogic SAS

• FundLogic SAS is based in Paris and is registered with and regulated by the Autorité des Marchés Financiers

(AMF)  Assets under Management: FundLogic SAS manages approximately $3.7bn as of 30 June 2015, across a range of 16 Funds  Structure and Purpose: FundLogic Alternatives plc, set up by Morgan Stanley, enables investors to access investment strategies offered by Alternative Managers in a UCITS-compliant format  Morgan Stanley’s Role: Promoter, Risk Manager and Distributor of the OEIC  Exclusive Sub-Distributor for the Sub-Fund:

• Expertise in pan-European distribution of alternative strategies
• Appointed as exclusive sub-distributor to the Sub-Fund

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MS Long Term Trends UCITS Fund (“Sub-Fund”) FundLogic SAS (“Investment Manager”) Morgan Stanley Longchamp Asset Management

Executive Summary

• I. Winton Diversified Program

Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

Introducing Winton

Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation * This chart shows the net track records of AHL Diversified Program (Jan 1987 –Sep 1997, net of 6% management and 15% performance fee) and the Winton Diversified Program (from Oct 1997 net of 1% management and 20% performance fee) The AHL series is a composite track record supplied by a third party data provider and is based on the accounts that traded the AHL Diversified program at the time. Winton’s returns are based on the oldest and largest account following the Winton Diversified Program. Performance of other accounts which started at different times may differ from the performance shown in the chart. Past performance is not indicative of future results.

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

 The Winton Investment System ($33.2bn): Overarching research process, volatility/cost models and execution platform  The Winton Diversified Program ($17.3bn): Invests in futures, forwards and equities

The Making of WDP

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material. Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Bloomberg & Winton Capital Management Limited WDP performance figures relate to the oldest and largest account following WDP. WDP risk-adjusted figures relate to the same account. Prior to 01/2009 volatility has been adjusted lower to reflect more closely the risk levels at which WDP has operated post the ‘Global Financial Crisis’ (these results are simulated and do not represent actual trading; the accompanying disclaimers on the last page should be read carefully when reviewing this data; no representation is being made that any account will or is likely to achieve profits or losses similar to those being shown); from 01/2009, actual returns are used. Using actual returns for the entire period would result in a higher standard deviation of pre-2009 daily returns. Past performance is not indicative of future results.

Value Proposition

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material. Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Bloomberg & Winton Capital Management Limited WDP performance figures relate to the oldest and largest account following WDP. WDP risk-adjusted figures relate to the same account. Prior to 01/2009 volatility has been adjusted lower to reflect more closely the risk levels at which WDP has operated post the ‘Global Financial Crisis’ (these results are simulated and do not represent actual trading; the accompanying disclaimers on the last page should be read carefully when reviewing this data; no representation is being made that any account will or is likely to achieve profits or losses similar to those being shown); from 01/2009, actual returns are used. Past performance is not indicative of future results.

Proven Track Record

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

Since inception, WDP has generated higher risk-adjusted returns than most other asset classes

Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Bloomberg & Winton Capital Management Limited WDP performance figures relate to the oldest and largest account following WDP. WDP risk-adjusted figures relate to the same account. Prior to 01/2009 volatility has been adjusted lower to reflect more closely the risk levels at which WDP has operated post the ‘Global Financial Crisis’ (these results are simulated and do not represent actual trading; the accompanying disclaimers on the last page should be read carefully when reviewing this data; no representation is being made that any account will or is likely to achieve profits or losses similar to those being shown); from 01/2009, actual returns are used. WDP risk-adjusted returns are shown here as this is a more consistent with expected performance. Using actual returns for the entire period would result in 13.9% annualized returns and 16.6% annualized volatility.

Favorable Risk / Return Profile

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material. Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Bloomberg & Winton Capital Management Limited WDP performance figures relate to actual returns of the oldest and largest account following WDP. Past performance is not indicative of future results.

WDP’s annualized returns have been higher than those of broad stock and bond indices over most holding periods

Consistent Returns

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

WDP assesses a wider range of risk factors, helping it achieve more stable returns

Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Bloomberg & Winton Capital Management Limited WDP performance figures relate to actual returns of the oldest and largest account following WDP. Past performance is not indicative of future results.

Tight Risk Control

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

WDP has only had two negative calendar years since 1997 providing positive returns in most market conditions

Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Bloomberg & Winton Capital Management Limited WDP performance figures relate to actual returns of the oldest and largest account following WDP. The Barclay hedge Fund and CTA Hedge Fund Index are not shown in the “Resilience During Crises” as they do not have daily series. Past performance is not indicative of future results.

Outperformed in Most Market Conditions

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

WDP follows multiple strategies in more than 100 markets, providing diversification from traditional investments

Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Winton Capital Management Limited WDP sector and market exposures are based on 20-year simulated risk allocations. WDP strategy allocations are indicative; actualvalues are confidential. Sector returns are gross and do not include fees, interest or currency movements. Performance of derivatives for hedging purposes of cash equities are included in the cash equities’ returns. WDP risk-adjusted figures relate to the same account. Prior to 01/2009 volatility has been adjusted lower to reflect more closely the risk levels at which WDP has operated post the ‘Global Financial Crisis’ (these results are simulated and do not representactual trading; the accompanying disclaimers

• n the last page should be read carefully when reviewing this data; no representation is being made that any account will or is likely to achieve profits or losses similar to those being shown); from 01/2009,actual returns are used. Past performance is not indicative of future results. Performance of
• ther accounts which started at differenttimes may differ from the performance shown in the chart.

Diversified Sources of Return

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

WDP has been uncorrelated with equities and bonds in the long-term, with beta caps introducing a minimum level of diversification

Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Bloomberg * Beta caps are indicative, the actual values are confidential. WDP performance figures relate to actual returns of the oldest and largest account following WDP. Past performance is not indicative of future results.

Good Diversifier

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

WDP is backed by an ongoing research program which Winton believe provides advantages across the investment process

Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation * See Winton working paper Blinded by Optimism (M. Roulston, D. Hand, 2014) www.wintoncapital.com/Knowledgecentre/Research/2014-04-16/Blinded-by-Optimism/ ** See Winton research brief Over Optimisation (WCM, 2014) www.wintoncapital.com/Knowledgecentre/Research/2014-02-01/Over-Optimisation/

Active Research Process

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

Directors, Staff and Offices

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material. Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation

Portfolio Construction

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

Strategies

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• II. MS Long Term Trends UCITS Fund

Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

 While the UCITS Sub-Fund aims to provide an exposure to a strategy similar to Winton Diversified Program there can be differences between the performances of the UCITS Sub-Fund and the Winton Diversified Program due to following reasons – The Investment Manager will rebalance the investment of UCITS in SFIs in order to achieve 100% exposure to the Winton Diversified Program Investment strategy on a weekly basis. This can result in the UCITS Sub-Fund being either overexposed or underexposed to the strategy – The Investment Manager will rebalance the investment of UCITS in SFIs based on the strategy performance until the last business day resulting in UCITS Sub-Fund being either overexposed or underexposed to the strategy – The level of management fees paid by the UCITS Sub-Fund is higher than the management fees charged by the Winton Diversified Program. This may lead to underperformance of the UCITS Sub-Fund against the Winton Diversified Program

Comparison of the Winton Diversified Program with the MS Long Term Trends UCITS Fund

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

 Exclusive Sub-Distributor for the Sub-Fund

• Expertise in pan-European distribution of alternative strategies
• Appointed as exclusive sub-distributor to the Sub-Fund

 Robust regulatory framework of UCITS, both from an infrastructure and investment perspective  Access to investment strategies offered by alternative managers in a UCITS-compliant format  Robust operating framework supported by well-established fund service providers  Morgan Stanley oversight through roles of Promoter, Risk Manager and Distributor to the UCITS OEIC  Promoter to the OEIC

• Liaising with the Irish regulator (Central Bank of Ireland) on behalf of the OEIC in relation to the
• ngoing authorisation of the OEIC and its sub-funds, including compliance reporting
• Liaising with the OEIC’s service providers on behalf of the OEIC
• Marketing and sales of the OEIC on a cross-border basis

 Risk Manager to the OEIC

• Daily post-trade monitoring of the sub-fund portfolio to detect any breaches of UCITS regulations
• Periodic trade monitoring/reconciliation to detect discrepancies with administrator NAV data
• Periodic review of Investment Objectives and Policies of the sub-fund with a view to keeping the

board of OEIC informed

FundLogic Alternatives Plc Longchamp Asset Management Morgan Stanley

Various Roles

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

• Responsible for safekeeping the fund’s
• assets. Segregated custody accounts
• Monitoring of investment guidelines

Custodian And Trustee (Northern Trust)

• Opens investor accounts (performs

required checks)

• Acts as investor contact point for

subscriptions and redemptions

• Provides monthly statement of holdings
• Reports on trailer fees

Transfer Agent (Northern Trust)

• Calculates NAV for each Sub-Fund
• Performs reconciliation functions
• Produces and distributes NAV

statements to authorised third parties Administrator (Northern Trust)

• Appointed out of Northern Trust by the

Board of Directors Money Laundering Risk Officer (Northern Trust)

• Management and Oversight of OEIC
• Monitoring of investment manager to

ensure no breach of the investment policy and/or UCITS rules

• Quarterly board meetings

Board Of Directors (At Least 2 Independent Directors)

• Promoter
• Risk Manager
• Distributor

Morgan Stanley

• Manages the investment strategy

within UCITS rules Investment Manager (Winton Capital Management) Auditor (Ernst & Young)

• Independent Auditor

UCITS Platform (Irish OEIC) FUNDLOGIC ALTERNATIVES PLC

• Exclusive Sub-Distributor for

the Sub-Fund Longchamp AM

• Sub-fund under umbrella

UCITS Sub-fund (MS Long Term Trends UCITS Fund)

Overview of FundLogic Alternatives Plc

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

• 1. Investor buys shares in UCITS Fund for cash
• 2. Fund invests in UCITS eligible cash deposits and near cash

instruments (ETFs, Treasury Bills, Money Market Funds)

• 3. Fund gains exposure to the Winton Diversified Program

(excluding the cash equities allocation) by investing in Structured Financial Instruments (“SFI”), issued by various issuers

MS Long Term Trends UCITS Fund Investor

(2) Cash and near cash instruments are held by custodian Shares (1) Cash

FundLogic SAS Investment Manager Issuer

 Fund only exposed to the Winton Diversified Program via SFIs issued by various issuers  Fund’s issuer exposure to each SPV is max 10% of NAV, monitored daily**  Fund produces weekly NAV, with weekly liquidity (3) SFIs

* Management Fee of 1.0% and 20% performance fees are charged at the E2 tradeCo level in order to remunerate the Commodity Trading Advisor ** For the propose of clarification, even though the issuer exposure to each SPV is capped at 20% , the Fund may potentially lose its entire net assets in line with the performance of Reference Strategy

Reference Strategy E2 Winton Diversified Program* Custodian (Northern Trust)

MS Long Term Trends UCITS Fund Structure

23

Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material. Sub-Fund MS Long Term Trends UCITS Fund Investment Strategy Winton Diversified Program Investment Manager FundLogic SAS Promoter & Distributor Morgan Stanley & Co International Plc Exclusive Sub-Distributor Longchamp Asset Management Legal Structure UCITS OEIC Domicile Ireland

Passporting Approved in the U.K., Germany, France, Italy and in Spain and in Switzerland Dealing Day Weekly Dealing Deadline 12 midday Irish time 3 Business Days prior to the relevant Dealing Day Subscriptions: in amount only Redemptions: in amount and number of shares Launch Date 1 February 2013 Settlement Deadline Subscriptions: 12 midday Irish time one Business Day prior to the relevant Dealing Day Redemptions: within 5 Business Days after the relevant Dealing Day. Currency Denomination Base Currency of Fund: USD Hedged Share Classes: Euros, Sterling, CHF Share Classes Accumulation Issue Price $1,000; €1000; £1000; CHF1,000 Fees Mgmt Fees Perf Fees Admin Fees TER Initial Charge Minimum Initial Subscription ISINs BBG Tickers Class B (Initial Share Class) 1.30% 20% 0.40% 1.70% 0% USD 1M EUR 1M GBP 1M CHF 1M USD: IE00B731X101 EUR: IE00B8DL2C15 GBP: IE00B84YP422 CHF: IE00B847VH68 USD: FMSMFBU ID EUR: FMSMFBE ID GBP: FMSMFBS ID CHF: FMSMFBC ID Class I (Institutional) 1.60% 20% 0.40% 2.00% 0% USD 1M EUR 1M GBP 1M CHF 1M USD: IE00B891LP16 EUR: IE00B8FNDR77 GBP: IE00B803QY09 CHF: IE00B7KLM491 USD: FMSMFIU ID EUR: FMSMFIE ID GBP: FMSMFIS ID CHF: FMSMFIC ID Class A (Retail) 2.35% 20% 0.40% 2.75% Up to 5% USD 100K EUR 100K GBP 100K CHF 100K USD: IE00B757S338 EUR: IE00B8B21L82 GBP: IE00B8K0KC79 CHF: IE00B7M5YF40 USD: FMSMFAU ID EUR: FMSMFAE ID GBP: FMSMFAS ID CHF: FMSMFAC ID

Fund Details

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

Share E EUR Jan Feb** Mar Apr May Jun Jul August Sept Oct Nov Dec YTD* Ann. Vol. 2015 3.10%

• 0.09%

2.60%

• 3.40%

0.04%

• 3.07%

3.92%

• 2.58%

2.69%

• 1.82%

0.51% 7.46% 2014

• 1.65%

1.72%

• 0.64%

1.75% 1.70% 0.11%

• 1.78%

3.94% 0.07% 3.48% 5.44% 0.78% 15.66% 2013 0.01% 1.87% 2.87%

• 1.40%
• 1.92%
• 1.19%
• 2.63%

2.76% 2.37% 2.69% 0.60% 5.75%

* 2013 YTD performance from share class inception, 08/02/2013, to 01/03/2013 The above figures refer to the past. Past performance is not a reliable indicator of future results. ** February performance is from share class inception, 08/02/2013, to 31/12/2013 Source: Morgan Stanley, Northern Trust, Bloomberg

MS Long Term Trends UCITS Fund Historical Performance

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Appendix 1: Winton Diversified Program Historical Returns

Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material. Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Source: Bloomberg & Winton Capital Management Limited WDP performance figures are net of 1% management fees and 20% performance fees. WDP risk-adjusted figures relate to the oldest and largest account following WDP. Prior to 01/2009 volatility has been adjusted lower to reflect more closely the risk levels at which WDP has operated post the ‘Global Financial Crisis’ (these results are simulated and do not represent actual trading; the accompanying disclaimers on the last page should be read carefully when reviewing this data; no representation is being made that any account will or is likely to achieve profits or losses similar to those being shown); from 01/2009, actual returns are used. Performance of other accounts which started at different times may differ from the performance shown in the chart. Past performance is not indicative of future results.

Winton Diversified Program

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material. Please note the MS Long Term Trends UCITS Fund provides exposure to the Winton Diversified Program excluding the cash equities allocation Note: e = estimate. Cash equities were included in the Program from June 2010. Source: Citco Fund Services. Based on the oldest and largest account trading WDP’s strategy at the respective time. Performance of other accounts which started at different times may differ from the performance shown in the chart. Past performance is not indicative of future results.

Winton Diversified Program Performance

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Appendix 2: Winton Organizational Chart and Biographies

Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

Key People

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

• Investments in funds managed by Winton and managed accounts or third party funds advised by Winton involve a number
• f risks, including but not limited to

►

Risks associated with Winton

►

Counterparty risks

►

Regulatory and tax risks

►

Risks associated with derivatives trading

►

Risks associated with cash equity trading

►

General investment risks

►

In respect of investments in a Winton sponsored fund, risks associated with that particular fund

• The key risks associated with investments in Winton sponsored funds are described in the relevant fund offering
• memorandum. The key risks associated with investments in managed accounts advised by Winton are described in WCM’s

SEC Form ADV Part 2A. All investors should read the relevant documents in their entirety and, in particular, the Risk Factors section

Risks of Investing in Winton Sponsored Funds and Managed Accounts

31

Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

This document is a marketing communication and has been prepared solely for information purposes. None of the information contained in it constitutes a solicitation or offer by Longchamp Asset Management to buy or sell any securities, futures, options or other financial instruments or adopt any other strategy. This information is confidential and is being delivered to a limited number of sophisticated prospective, institutional or qualified investors in jurisdictions where distribution of this presentation to those persons would not be contrary to local laws and regulations. In particular, the information in this marketing communication is not for distribution in the United States. Any securities referred to on this marketing communication, or any offering material in relation thereto, will not be registered under the Securities Act. This marketing communication is not directed to persons who are residents of the United States. The products described on this marketing communication may not be

• ffered, sold, transferred or delivered directly or indirectly in the United States to, or for the account or benefit of, any U.S. Person (as defined in Regulation S under the Securities Act).

Information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. Information is current as of the date of this communication and is subject to change without notice. No representation or warranty can be given with respect to the accuracy or completeness of the information, or with respect to the terms of any future offer of transactions conforming to the terms hereof. Certain assumptions may have been made in the analysis which resulted in any information and returns/results detailed herein. No representation is made that any results/returns indicated will be achieved or that all assumptions in achieving these returns have been considered or stated. We do not undertake to update the information in this document or the assumptions on which it is based. Information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. Information is current as of the date of this communication and is subject to change without notice. Winton Capital Management Limited (“Winton”) does not approve, authorise the use or distribution thereof, or otherwise endorse or make any representations regarding any Managed Account Literature, including, but not limited to, any advertisement, marketing and sales materials or other literature that is prepared by Longchamp AM on the basis of information furnished by Winton. Winton does not take any responsibility for the accuracy or completeness of the contents of this document, any representations made herein, or for the performance of the MS Long Term Trends UCITS Fund. Winton disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred by you or by any third party that may arise from any reliance on this document. Winton is neither responsible for or involved in the marketing, distribution or sales of the Sub-Fund nor for compliance with any marketing or promotion laws, rules, or regulations; and no third party is authorised to make any statement about any of Winton’s respective products or services in connection with any such marketing or sales. This document is not a research report and the information contained in it has not been prepared in accordance with legal requirements designed to promote the independence of investment research. Longchamp Asset Management is not qualified to give legal, tax or accounting advice to their clients and do not purport to do so in this document. Clients are strongly encouraged to seek the advice of their own professional advisors about the consequences of the proposals contained herein. You will be deemed to have acknowledged that you have understood the risks and consequences associated with the strategies mentioned herein. Any transaction will be subject to legal, regulatory and tax review, and will be entered into only pursuant to documentation to be negotiated on terms acceptable to you. This document may not be distributed in any jurisdiction where it is unlawful to do so. The products described in this communication may not be marketed, sold or be available for offer in a number of jurisdictions where it is unlawful to do so. Applications for shares in any Sub-Fund of FundLogic Alternatives plc (the “OEIC”) should not be made without first consulting the OEIC’s current prospectus, key investor information document, annual report and semi-annual report (“Offering Documents”), or other documents available, which to the extent they are permitted to be distributed in your local jurisdiction, are available free of charge at the address above or on www.fundlogic.com. The Offering Documents contain material information not contained herein. In particular, the Prospectus contains details relating to the terms of investment and information regarding investment risks and conflicts of interest. Any representation to the contrary is not permitted. In the event of such offering, the information in this document will be superseded, amended and/or supplemented in its entirety by the Prospectus. For Investors in Switzerland: The representative and paying agent of FundLogic Alternatives plc, an Irish UCITS fund, in Switzerland is BNP PARIBAS Securities Services, Paris, succursale de Zurich, Selnaustrasse 16, 8002

• Zurich. The prospectus and the key investor information documents for Switzerland, the articles as well as the annual and semi-annual reports of FundLogic Alternatives plc may be obtained free of charge from the

representative in Switzerland.

Important Information

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Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

Some results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, such results do not represent actual trading. Also, because such trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those being shown using simulated data. PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE PERFORMANCE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. THE VALUE OF THE INVESTMENTS AND THE INCOME FROM THEM CAN GO DOWN AS WELL AS UP AND AN INVESTOR MAY NOT GET BACK THE AMOUNT INVESTED. THERE CAN BE NO ASSURANCE THAT THE FUND WILL ACHIEVE ITS INVESTMENT OBJECTIVES. AS SUCH, NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING STRATEGY IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. INVESTMENTS MAY BE IN A VARIETY OF CURRENCIES AND THEREFORE CHANGES IN RATES OF EXCHANGE BETWEEN CURRENCIES MAY CAUSE THE VALUE OF INVESTMENTS TO DECREASE OR INCREASE. FURTHERMORE, THE VALUE OF INVESTMENTS MAY BE ADVERSELY AFFECTED BY FLUCTUATIONS IN EXCHANGE RATES BETWEEN THE INVESTOR’S REFERENCE CURRENCY AND THE BASE CURRENCY OF THE INVESTMENTS. INVESTMENTS IN DERIVATIVE INSTRUMENTS CARRY CERTAIN INHERENT RISKS SUCH AS THE RISK OF COUNTER PARTY DEFAULT AND BEFORE INVESTING YOU SHOULD ENSURE YOU FULLY UNDERSTAND THESE RISKS. USE OF LEVERAGE MAY ALSO MAGNIFY LOSSES AS WELL AS GAINS TO THE EXTENT THAT LEVERAGE IS EMPLOYED. THESE INVESTMENTS ARE DESIGNED FOR INVESTORS WHO UNDERSTAND AND ARE WILLING TO ACCEPT THESE RISKS. PERFORMANCE MAY BE VOLATILE, AND AN INVESTOR COULD LOSE ALL OR A SUBSTANTIAL PORTION OF ITS INVESTMENT. FundLogic SAS has been appointed as the investment manager of the Sub-Fund by the OEIC. While the board of the OEIC has overall responsibility for monitoring of the investment objective, policy and performance of the Sub-Fund, the performance of the Sub-Fund will be dependent on the proper functioning of the internal management and systems of FundLogic SAS and the other service providers to the Sub-Fund. The OEIC will generally not have the opportunity to evaluate the specific investments made by FundLogic SAS before they are made. Accordingly, you should not consider investing in the Sub- Fund unless you are willing to entrust all aspects of selection and management of the Sub-Fund’s investments to FundLogic SAS. Longchamp AM does not accept any liability for any losses caused by the action or inaction of FundLogic SAS in connection with the performance of its management duties to the Fund. Any estimates, projections or predictions (including in tabular form) given in this communication are intended to be forward-looking statements. The trademarks and service marks contained herein are the property of their respective owners. Third-party data providers make no warranties or representations of any kind relating to the accuracy, completeness, or timeliness of the data they provide and shall not have liability for any damages of any kind relating to such data. Any index or other relevant financial product or platform is the intellectual property (including registered trademarks) of the applicable licensor. Any product based on an index or other relevant financial product or platform is in no way sponsored, endorsed, sold or promoted by the applicable licensor and it shall have no liability with respect thereto. Neither Longchamp Asset Management, nor any of its directors, officers or employees, will be liable or have any responsibility of any kind for any loss or damage that you incur in the case of inconstancies

• r incompleteness of the data contained herein or in the case of misuse of this marketing communication, whether or not the circumstances giving rise to such cause may have been within the control of

Longchamp Asset Management. In no event will Longchamp Asset Management or any such parties be liable to you, whether in contract or tort, for any direct, special, indirect, consequential or incidental damages or any other damages of any kind even if Longchamp Asset Management or any other such party has been advised of the possibility thereof.

Important Information

33

Further information about the Sub-Fund, including the Prospectus, latest annual and half yearly reports and latest published share prices, can be obtained, free of charge, from Northern Trust International Fund Administration Services (Ireland) Limited, George’s Court, 54-62 Townsend Street, Dublin 2, Ireland and at www.fundlogic.com. The share prices are also available on Bloomberg. Please refer to the Important Information section at the end of this material.

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