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Man AHL Diversified plc(ADP)Monthly Report as of 31 March 2016

Man AHL Diversified plc(ADP)
Monthly Report as of 31 March 2016

Monthly commentary
Following the initial weak start to the year for risk assets, March continued the
recovery for global markets, with more support coming from the European Central
Bank (ECB) and the US Federal Reserve. In spite of apparent disagreements
within the ranks of the US Federal Open Market Committee, with both hawkish
and dovish commentary reported over the month, Janet Yellen ultimately guided
markets to expect lower rates for much of the year. The fund saw mixed
performance, with the on-going reversal in equities and commodity markets
causing losses while the weaker US dollar helped drive positive performance in
currency trading, leaving overall returns for the month down -2.15%.
In commodities the reversal in risk appetite saw crude oil prices climb more than
40% from the lows in mid-February, before falling back. The higher volatility and
the scale of the reversal saw fund short positions in energy markets cut sharply
and limited losses from both oil markets and related products. Natural gas in the
US also saw a jump in prices following months of weakness as cold weather
concerns returned following the unusually warm February. The fund realised a
loss on its short position in this commodity and also on shorts in grain markets
such as soybeans and wheat that saw a modest rally in prices. Month-end
planting figures from the USDA, however, seemed to trigger a collapse in price for
corn where the fund made more positive returns. The US dollar was really the
biggest mover in currency markets, retreating against most other currencies as
expectations for higher interest rates faded. Appetite for emerging market risk has
been growing and the biggest contributors to performance for the fund came from
long FX positions in Turkey, Brazil and Malaysia, where currencies each
appreciated between 5 and 10% over the month. While emerging FX trading was
very positive for the period, developed markets were less successful with dollar
weakness ending the recent trend in under-performance for the UK pound and
impacting the fund’s short position. Risk positioning in equities was short going
into the month. The biggest losses in futures trading came in Asia where shorts in
the Kospi and Hang Seng indices cost the fund as markets rallied. Shorts in US
banking and energy sector stocks also took losses, while longs in stocks from
utility and food and beverage companies added positively. Early in the month,
when risk markets rallied, developed market bonds fell out of favour. Declines in
prices for US treasuries, gilts and Japanese government bonds saw the fund face
losses on long positions, although other markets were more supported. Italian and
French bond futures in particular continued to rise with more stimulus announced
by the ECB’s Mario Draghi, contributing to more positive performance overall.



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