MS Long Term Trends UCITS Fund October 2015 Offering a UCITS Exposure to the Winton Diversified Program 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 .
• Executive Summary • I. Winton Diversified Program Contents • II. MS Long Term Trends UCITS Fund • Appendix 1: Historical Returns of the Winton Diversified Program • Appendix 2: Winton Organizational Charts and Biographies
Executive Summary Investment Objective: • Provides exposure to managed futures trading strategies of long term trend-following commodity trading MS Long Term Trends advisors UCITS Fund • Empirical approach that is agnostic to fundamental interpretations: Winton focuses on scientific analysis of (“Sub - Fund”) 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 FundLogic SAS • Part of Morgan Stanley’s Multi-Asset Platform which oversees approximately $8.3bn in total, including (“Investment $3.7bn within FundLogic SAS Manager ”) • 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 Morgan Stanley 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: Longchamp Asset Management • Expertise in pan-European distribution of alternative strategies • Appointed as exclusive sub-distributor to the Sub-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. 3 Please refer to the Important Information section at the end of this material.
I. Winton Diversified Program
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. 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. 5 Please refer to the Important Information section at the end of this material.
The Making of WDP 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 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. 6 Please refer to the Important Information section at the end of this material.
Value Proposition 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. 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. 7 Please refer to the Important Information section at the end of this material.
Proven Track Record 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. 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. 8 Please refer to the Important Information section at the end of this material.
Favorable Risk / Return Profile 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. 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. 9 Please refer to the Important Information section at the end of this material.
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