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Man AHL Diversified plc Monthly Report as of 31 December 2016

man.com Monthly commentary

December came and closed out a year full of political surprises that moved
markets, from Brexit to Donald Trump’s election. The Federal Reserve (Fed) raised
US interest rates for the first time in a year in an entirely unsurprising move,
however there were still unexpected nuances in the forward guidance for 2017
both from the Fed and the European Central Bank (ECB). More of a surprise
perhaps was the OPEC organisation’s announcement that an agreement had
finally been reached with non-member countries, including Russia, to cut
production and help support oil prices. Equities rallied in Europe, yields rose in the
US and the dollar was broadly stronger. The Fund profited from moves in stocks,
currencies, credit and bond markets and was dragged back by metals, ending the
month up +1.58% net-of-fees. This brought performance over a relatively
challenging year to -7.55% net-of-fees. The ECB’s extension of the bond
purchasing programme helped calm markets and European equities had their best
month in the year with the German Dax index up nearly 8%. Long positions in
Australian and European indices led performance along with sector basket
exposure to European material and capital goods stocks. The rally wasn’t all
positive for the Fund though and short positions in European media and
telecommunication stocks suffered offsetting losses. Credit markets reacted
positively over the period with tightening in both the US and Europe.
Short protection swaps on the higher yielding European cross-over index particularly
benefitted as spreads fell nearly 15%. In currency trading the Fund saw profits
from markets such as South Korea, Australia and Turkey as the US dollar
strengthened, although volatility through the month in Canadian and New Zealand
dollars caused turnover without the positive returns. The Fund’s net direct
exposure to oil through December was low, so that performance from energy
trading was close to flat over the period, being buoyed slightly by long heating oil
and gasoline exposures and dragged by volatility in UK natural gas trading and
short positions in carbon emissions. It was trading in metals that drove most of the
commodity losses for the Fund, with a near 15% reversal in the price of palladium
following year-long highs at the end of November, contributing the most. Bond
trading has become pleasantly dispersed over the later part of the year, with Fund
positions being generally short in the US and Canada and long in Europe
particularly through German bunds. In December, the Fed rate rise and forecasts
of further hikes in 2017 helped push 10 year US yields up from below 2.4% to
nearly 2.6% before falling back towards the end of the month. As a result small
gains were made on most positions with a few exceptions like Japan and Korea.


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