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Man AHL Diversified plc(ADP)Monthly Report as of 29 February 2016

Man AHL Diversified plc(ADP)
Monthly Report as of 29 February 2016

Monthly commentary
February began with continuing stresses in global markets as deepening concerns
over China, the impact of oil prices and the rise in US interest rates all weighed on
risk assets. As equity markets reached new two year lows, bearish positioning in
the Fund aligned well with the prevailing sentiment. Following predictably
supportive words by central bankers, there was something of a reversal in prices
later in the month, but the Fund performed well over the period. Positive returns
coming from all asset classes except currencies, and the Fund ended the month
up 3.42% net.

Some of the clearest market stresses showed up early in the month in European
banks. Following weaker than expected earnings both Deutsche and Credit
Suisse saw their Credit Default Swap (CDS) spreads widen sharply as the market
factored the risk of default in their additional Tier 1 bonds. The Fund’s overall
position of long credit protection benefited as spreads widened both in investment
grade and high yield indices. European financial stress may have been the trigger
to Mario Draghi to speak out mid-month and promise that the European Central
Bank “will not hesitate to act” in an effort to stabilise prices. While this statement
appears to have helped halt the downward march in both equity markets and
perhaps more surprisingly the oil market, its implication led to a further rally in
safe-haven bonds and short interest rate futures, to the benefit of the Fund’s long
fixed income positions. Elsewhere, the announcement of the British referendum,
due in June this year, over whether the UK should leave the European Union led to
significant weakness in the pound, while gilts also rallied.

Energy markets continued to see high volatility, with crude oil trading in a range of
more than 20% intra-month. The Fund did well in the first two weeks, but suffered
as markets reversed following Draghi’s speech despite ongoing disagreements
between Saudi Arabia, Iran and Russia about cuts to oil production. In fact, it was
the US natural gas market that saw the largest directional moves, with April 2016
contracts falling 26% steadily over the period, accelerating a trend that started in
the middle of last year, and making it the biggest positive contributor to
performance this month. Currency trading was more mixed, with a wide spread
between different markets reflecting divergence in economies and central bank
policies. The euro, which had rallied early in the month, saw a sharp reversal as
the market anticipated potential lower interest rates in Europe leading to losses on
euro crosses to most other currencies. Long positions in Japanese yen, however,
and short positions in British pounds both helped as the yen rallied and sterling

Man AHL Diversified plc February 2016


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