in depth in focus in front
Man AHL Diversified Futures Ltd
Monthly report as at 26 January 2009
NAV per unit USD 41.79 | Total NAV USD 1,433,878,429 | No. units 34,305,493
The Product posted a slight loss in January, with bond trading in particular
detracting from performance. However, positive contributions from stocks
and interest rates improved overall returns.
Bond trading experienced notable losses as the sector gave back gains
following a period of strong performance. As a result, long positions in US
Treasuries, Japanese bonds and UK gilts all underperformed as investors
remained cautious that further stimulus plans would require higher public
borrowing. Commodity trading further detracted from profits as trades in
silver, copper and platinum, offset gains from long gold positions which
benefited from safe haven buying. Meanwhile, in the energy sector, short
positions in crude oil also proved unfavourable as prices soared on
speculation that the implementation of OPEC production cuts would reduce
stockpiles.
On a more positive note, equity trading proved to be the most profitable
sector as short positions in various indices benefited from declining stock
markets. A succession of glum economic data, including figures from the
US Department of Commerce that showed a large contraction in US GDP
over the fourth quarter, weighed on investor sentiment. As a result, the S&P
500 index lost over 8.5% during the reporting period. Dire Japanese
industrial production data negatively impacted Asian bourses, with both the
TOPIX and Nikkei 225 ending 7.6% and 9.8% lower respectively.
Meanwhile, trading in short-term interest rates also helped offset losses as
long positions in Euribor and Short Sterling extended December gains.
Performance statistics 1
12 May 1998 to 26 January 2009
Performance chart
12 May 1998 to 26 January 2009
Last month
Last quarter
Year to date
Last 12 months
Last calendar year
Total return
Annualised return
Annualised volatility
Sharpe ratio
Worst drawdown
Correlation
Product
-1.9 %
4.1 %
-1.9 %
16.6 %
24.9 %
317.9 %
14.2 %
15.6 %
0.69
-17.4 %
World
stocks
-7.1 %
-12.2 %
-7.1 %
-38.9 %
-39.9 %
-23.0 %
-2.4 %
15.3 %
N/A
-47.9 %
-0.32
World
bonds
-1.6 %
3.8 %
-1.6 %
5.5 %
9.2 %
82.5 %
5.8 %
3.0 %
0.61
-2.7 %
0.28
Man AHL Diversified Futures Ltd
World stocks
World bonds
Portfolio sector allocations 2
As at 26 January 2009
Portfolio sector attribution
January 2009
1
2
3
4
5
6
7
Currencies
Bonds
Stocks
Energies
Metals
Interest rates
Agriculturals
24.2 %
19.0 %
17.0 %
16.5 %
9.2 %
8.7 %
5.4 %
1
2
3
4
5
6
7
Currencies
Bonds
Stocks
Energies
Metals
Interest rates
Agriculturals
1
Please refer to the 'Historical performance' table on page 2 for further performance information.
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.
2
Registered address: Hemisphere House, 9 Church Street, Hamilton HM 11, Bermuda. Man Corporate Services (Ireland) Limited is contracted by the registrar of the above product
to provide registrar services on behalf of the Product. Please address all correspondence relating to your investment Man Investments (Hong Kong) Limited, Suite 1301, Chater
House, 8 Connaught Road Central, Hong Kong. Tel: +852 2521 2933 Fax: +852 2537 1205
A member of the Man Group
41
www.maninvestments.com
1/3
in depth in focus in front
Man AHL Diversified Futures Ltd
Monthly report as at 26 January 2009
Economic highlights
January 2009
Key market attribution
January 2009
Global equities endured one of the worst January months on record as risk
aversion re-emerged, driven by poor economic data and concerns over the
global banking system. The announcement of fourth quarter losses for
banking heavyweights, Deutsche Bank, RBS and Citigroup, sparked a
sell-off in the sector. Expectations of further write downs as well as the
possibility of dividend cuts put further pressure on the banking sector.
1 Natural gas
2 Short Sterling
3 Euro: Japanese yen
4 Euro Bund
5 Crude oil
6 US Treasuries
In currencies, the British pound gained 8.0% against the euro as interest
rates in the UK were not cut as much as expected. The euro came under
pressure and lost 8.1% against the US dollar after Standard and Poor’s
downgraded the credit ratings of several EU member states. The single
currency came under further pressure after the European Commission and
the IMF reduced growth forecasts for 2009 to -1.8% and -2.0%
respectively.
Short
Long
Key facts summary
Investment manager
Man Investments Limited
Valor number
CH895929
Portfolio manager
AHL
Reuters page
MAN01
Bloomberg ticker
EDFDFLI
Dealing frequency
ISIN number
BMG0122Q1087
Weekly
Historical performance 3
Year
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Jan
Feb
Mar
Apr
-4.3 %
0.9 %
1.2 %
-3.5 %
7.1 %
4.9 %
-5.0 %
3.0 %
6.0 %
5.1 %
-1.9 %
1.7 %
0.1 %
2.2 %
-4.7 %
8.0 %
-0.9 %
3.4 %
-0.7 %
-2.4 %
2.4 %
-1.7 %
-1.7 %
10.2 %
-2.0 %
-6.6 %
-0.9 %
-1.0 %
-1.5 %
-6.1 %
4.7 %
5.0 %
-4.2 %
-5.5 %
-1.9 %
-0.8 %
-3.7 %
-1.9 %
7.6 %
6.3 %
0.2 %
May
1.4 %
-3.4 %
6.3 %
-2.4 %
-0.2 %
10.6 %
-2.7 %
2.2 %
-2.3 %
2.3 %
2.1 %
Jun
2.3 %
2.1 %
-4.6 %
0.6 %
13.0 %
-3.5 %
-4.2 %
5.7 %
-1.1 %
4.5 %
-0.1 %
Jul
0.2 %
-1.7 %
-2.2 %
1.1 %
5.8 %
-0.5 %
-1.8 %
-0.3 %
-4.4 %
-2.5 %
-5.6 %
Aug
13.0 %
2.4 %
3.4 %
0.3 %
2.4 %
-0.8 %
1.5 %
2.4 %
0.8 %
-2.8 %
-3.5 %
Sep
-1.6 %
2.0 %
-0.8 %
14.1 %
7.0 %
0.5 %
2.7 %
3.6 %
1.3 %
4.4 %
-0.8 %
Oct
0.6 %
-4.5 %
4.0 %
0.8 %
-9.9 %
2.0 %
5.3 %
1.0 %
0.1 %
7.3 %
13.1 %
Nov
1.5 %
4.2 %
3.0 %
-4.0 %
-4.7 %
-2.9 %
4.6 %
5.5 %
0.2 %
4.1 %
0.8 %
Dec
3.0 %
2.4 %
14.4 %
-2.4 %
10.6 %
6.3 %
0.3 %
0.1 %
2.7 %
-3.5 %
5.2 %
YTD
N/A
3.6 %
18.4 %
15.6 %
9.8 %
19.4 %
4.6 %
16.2 %
5.4 %
18.0 %
24.9 %
-1.9 %
3
With the introduction of MiFID, performance returns need to be shown on a 12 month rolling basis. As such the MiFID compliant returns within the Historical Returns table are
highlighted. From 31 January 1999 to 26 January 2009 Man AHL Diversified Futures Ltd has a total return of 259.6 %.
Registered address: Hemisphere House, 9 Church Street, Hamilton HM 11, Bermuda. Man Corporate Services (Ireland) Limited is contracted by the registrar of the above product
to provide registrar services on behalf of the Product. Please address all correspondence relating to your investment Man Investments (Hong Kong) Limited, Suite 1301, Chater
House, 8 Connaught Road Central, Hong Kong. Tel: +852 2521 2933 Fax: +852 2537 1205
A member of the Man Group
41
www.maninvestments.com
2/3
in depth in focus in front
Man AHL Diversified Futures Ltd
Monthly report as at 26 January 2009
Important notes
There is no guarantee of trading performance and past or projected performance is no indication of current or future performance/results. Returns may
increase or decrease as a result of currency fluctuations.
Issuer: Man Investments (Hong Kong) Limited. This report has not been reviewed by the Securities and Futures Commission in Hong Kong.
World stocks - MSCI World Index hedged to USD (price return). This index is a price return index that does not include reinvestment of dividends. Man
AHL Diversified Futures Ltd (the "Company") is not a dividend paying product and the Company's performance includes income reinvestments.
World bonds - Citigroup WGBI World Index hedged to USD (total return).
Units in issue refer to Shares in issue.
Source: Man database and Bloomberg. NAV to NAV in USD with dividends reinvested.
Man AHL Diversified Futures Ltd is valued weekly and statistics have been calculated using the last weekly valuation for each month. Total NAV, Shares in
issue and NAV per share are as at the last Monday of each month. For comparative purposes, other indices are based on the last monthly business day
value.
Sharpe ratios are calculated using the risk-free rate in the appropriate currency over the period analysed. Where an investment has underperformed the
riskfree rate, the Sharpe ratio will be negative. As the Sharpe ratio is an absolute measure of risk-adjusted return, negative Sharpe ratios are shown as N/A,
as they can be misleading. The range of contracts traded and the allocation to each sector are regularly refined by the Investment Manager based on
continuing research. The market sector and key market attributions above are to be used as indications only. The figures are estimated and generated from
the underlying AHL Diversified Programme system and do not take into account the fees/interest/commission charges on any particular account.
Differences may also occur due to slippage variation, portfolio changes, FX movements and post execution adjustments. Therefore the sum total of these
sector indications will not necessarily equate to the reported performance for the month in question. 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. Past performance is not indicative of future
performance. Investment involves risk and investors should refer to the prospectus including the risk factors therein for further details. The prices of futures,
options and other investments in which the Company may invest may fall in value as rapidly as they may rise and it may not be possible to liquidate the
Company's position in the relevant markets before a loss is sustained. Man Investments Ltd and/or any of its associates may have an investment in the
Company.
Access the latest performance and other information on the Man Investments website: http://www.maninvestments.com.
Registered address: Hemisphere House, 9 Church Street, Hamilton HM 11, Bermuda. Man Corporate Services (Ireland) Limited is contracted by the registrar of the above product
to provide registrar services on behalf of the Product. Please address all correspondence relating to your investment Man Investments (Hong Kong) Limited, Suite 1301, Chater
House, 8 Connaught Road Central, Hong Kong. Tel: +852 2521 2933 Fax: +852 2537 1205
A member of the Man Group
41
www.maninvestments.com
3/3