glg european long-short strategy… · financials scaling up post draghi comments source: man...

GLG European Long-Short Strategy

Q3 performance update

Simon Savage and Darren Hodges

16 October 2012

For institutional/professional investor and intermediary use only. Not for public distribution.

This document has been prepared by GLG Partners UK Ltd, 1 Curzon Street, London W1J 5HB, a member of the Man Group. GLG Partners UK Ltd is authorised and regulated by the Financial Services Authority (“FSA”).

This document is provided to you for information purposes only and should not be used or considered as an offer or a solicitation to sell or buy the securities mentioned in it. Any decision by an investor to buy shares in a fund must be made solely on the basis of the information and terms contained in that fund's prospectus.

Nothing in this document should be construed as investment advice, or as an opinion regarding the appropriateness or suitability of any investment. This document does not take into account the particular investment objectives, restrictions, financial or tax situation or needs of any specific client. No representation is made that the objectives or goals of any investment fund will be met or that an investment will be profitable or will not incur losses. In order to fulfil the fund’s objectives the manager may invest principally in units of other collective investment schemes, bank deposits, derivatives contracts designed with the aim of gaining short term exposure to an underlying stock or index at a lower cost than owning the asset, or assets aiming to replicate a stock or debt securities index. The fund typically carries a risk of high volatility.

Performance data of the GLG Funds is not based on audited financial data but rather official custodian NAVs. Past performance is not a guide to future performance and the value of investments and the income derived from those investments can go down as well as up. Future returns are not guaranteed and a loss of principal may occur. Performance may be affected by economic and market conditions.

Full details of the fund objectives, investment policy and risks are located in the Prospectus which is available with the Key Investor Information document in English together with the Report and Accounts of the UCITS all of which are available free of charge from us on request. The information is furnished as of the date shown or cited; no representation is made with respect to its accuracy, completeness or timeliness. No part of this material may be (i) copied, photocopied or duplicated in any form, by any means, or (ii) redistributed to any person without GLG’s prior written consent, except to those of your agents and employees responsible for its evaluation.

All rights reserved, GLG Partners UK Ltd (2012).

© Man 2012 2

Important information

Q3 Performance review

Q&A

1 October 2009 to 30 September 2012

Source: Man database and Bloomberg.

1. Please note that the September 2012 figures for ELS is based on estimates. There is no guarantee of trading performance and past performance is no indication of current or future performance/results. Returns may increase or decrease as a result of currency fluctuations.

© Man 2012 4

ELS Composite: cumulative returns vs. MSCI Europe and HFRI Equity Hedge

850

900

950

1000

1050

1100

1150

1200

1250

1300

30 S

ep 0

9

31 J

an 1

0

31 M

ay 1

0

30 S

ep 1

0

31 J

an 1

1

31 M

ay 1

1

30 S

ep 1

1

31 J

an 1

2

31 M

ay 1

2

30 S

ep 1

2

GLG European Long/Short Composite

MSCI Europe Net Total Return Index hedged to EUR

HFRI Equity Hedge (Total) Index hedged to EUR

Ind

ex v

alu

e E

UR

GLG

European

Long/Short

Composite

MSCI Europe

Net Total

Return Index

hedged to EUR

HFRI Equity

Hedge (Total)

Index hedged to

EUR

July 2012 -0.5% 2.9% 0.3%

August 2012 -0.2% 2.3% 1.3%

September 2012 1.4%¹ 1.1% 1.9%

Q3 2012 0.7% 6.5% 3.4%

YTD (to Sept 2012) 6.4% 9.8% 5.7%


Source: Man database.

Data shown is based on GLG European Equity Alternative Fund. There is no guarantee of trading performance and past performance is no indication of current or future performance/results. Returns may increase or decrease as a result of currency fluctuations.

© Man 2012 5

Fund VaR Usage and Gross Exposure over last 12 months

0%

50%

100%

150%

200%

250%

300%

350%

0%

20%

40%

60%

80%

100%

120%

Oct 11 Nov 11 Dec 11 Jan 12 Feb 12 Mar 12 Apr 12 May 12 Jun 12 Jul 12 Aug 12 Sep 12

Gross (RHS)

VaR (LHS)

Limit

De-leverage in Q2, quiet summer, scaling up in September

1 July 2012 to 30 September 2012

© Man 2012 6

Q3 2012 Gross and VaR Breakdown by Strategy

Financials scaling up post Draghi comments




© Man 2012 7

Fund Cumulative Gross Return Attribution Last 12 months

Return of more rational market post central bank intervention?




© Man 2012 8

Q3 2012 Gross Return Attribution by Month

Stock selection main driver of returns




© Man 2012 9

Q3 2012 Gross Return Breakdown by Strategy

Noisy summer, more rational September

-0.19%

0.04%

0.24%

0.01%

-0.20%

0.01%

-0.11%

-0.22%

-0.04%

-0.12%

-0.44%

0.37%

0.34%

-1.00% -0.50% 0.00% 0.50% 1.00%

Other

Fund Overlay

Delta Hedge

Incubators

Max Conviction

Consumer

Materials

Utilities and Pharma

TMT

Global Mining

Energy

Financials

Industrials

Jul 12

-0.09%

-0.19%

-0.02%

0.04%

-0.02%

0.00%

0.10%

0.32%

0.46%

-0.07%

-0.38%

-0.21%

0.11%

-1.00% -0.50% 0.00% 0.50% 1.00%

Aug 12

-0.08%

0.12%

-0.05%

0.01%

-0.02%

-0.05%

-0.02%

0.65%

0.60%

0.11%

0.05%

0.74%

-0.33%

-1.00% -0.50% 0.00% 0.50% 1.00%

Sep 12




© Man 2012 10

Q3 2012 Attribution for Significant Strategies

0.02%

-0.05%

-0.03%

-0.35%

-0.14%

-0.21%

-0.76%

-1.00% -0.50% 0.00% 0.50% 1.00% 1.50%

Other

Optionality

Index Selection

Stock Selection

Sector Selection

Market Attribution

Total Return

Energy

0.00%

0.00%

-0.14%

0.45%

0.41%

0.29%

1.01%

-1.00% -0.50% 0.00% 0.50% 1.00% 1.50%

TMT

0.00%

-0.06%

-0.20%

1.23%

-0.09%

-0.14%

0.74%

-1.00% -0.50% 0.00% 0.50% 1.00% 1.50%

Utilities/Pharma

COASTAL ENERGY CO 0.47% INTEL CORP 0.37% GN STORE NORD 0.25%

AFRICA OIL CORP 0.21% APPLE INC 0.26% ENAGAS 0.22%

LUNDIN PETROLEUM AB 0.18% KONINKLIJKE KPN NV 0.26% ELECTRICIDADE DE PORTUGAL SA 0.22%

CAIRN INDIA LTD 0.11% ARM HOLDINGS PLC 0.24% EDP RENOVAVEIS SA 0.16%

DET NORSKE OLJESELSKAP ASA 0.10% FUSION-IO INC 0.20% RED ELECTRICA DE ESPANA 0.14%

HESS CORP -0.27% FACEBOOK INC -0.31% ELECTRICITE DE FRANCE -0.24%

TULLOW OIL PLC -0.25% WESTERN DIGITAL CORP -0.17% H. LUNDBECK A/S -0.18%

RUSPETRO PLC -0.17% SEAGATE TECHNOLOGY HOLDINGS -0.15% INDITEX SA -0.17%

TATNEFT -0.16% NOKIA OYJ -0.14% WARNER CHILCOTT PLC -0.14%

TOTAL SA -0.10% CITRIX SYSTEMS INC -0.11% ENEL SPA -0.06%

Stock return attribution shown as %NAV highlight diverse nature of the Fund



© Man 2012 11

Fund VaR Usage and Exposure by Strategy as of September 2012

Risk Gross

Industrials 6.8% 27%

Financials 18.6% 18%

Energy 23.5% 23%

Global Mining 2.0% 2%

TMT 38.4% 40%

Utilities 9.4% 52%

Materials 0.6% 2%

Consumer 1.0% 3%

Max Conviction 1.0% 1%

Incubators 1.6% 8%

Hedge -2.7% 1%

Fund Risk Usage 38% and Gross Exposure 177%

Top 10 Positions Decomposed DNV

ARM HOLDINGS PLC 3.12%

ENAGAS 2.81%

Computer Chip Manufacturer -2.77%

ELECTRICITE DE FRANCE 2.36%

Unregulated Utility -2.20%

WARNER CHILCOTT PLC 2.03%

COASTAL ENERGY CO 1.89%

Large Cap Oil Major -1.84%

ENDO HEALTH SOLUTIONS INC 1.79%

Computer Software Company -1.73%



As at 30 September 2012

© Man 2012 12

Fund Positioning by Sector as of September 2012

Technology

Healthcare

Utilities

Consumer Durables & Apparel

Commercial Services & Supplies

Diversified Financials & Real Estate

Metals & Mining

Construction, Containers and Paper

Media

Hotels, Restaurants & Leisure

Transportation

Autos & Parts

Staples

Banks

Energy

Capital Goods

Retailing (Discretionary)

Insurance

Chemicals

Telecoms

Unclassified

Unclassified (Index)

2.7%

1%3%

1.1%0.5%0.1%-0.1%

Net Equity DNV ex

Hedge Book

3.1%7.2%5.2%4.0%

5%6%

-1.5%-2.0%-6.0%0.0%-1.0%

-0.8%-0.9%-1.0%-1.1%-1.3%

0%1%

Gross Equity DNV

ex Hedge Book

177%35%23%18%

15%26%22%2%2%

-1.4%

-0.1%-0.2%-0.3%

3%2%2%4%0%5%

TOTAL

1%1%

-30% -20% -10% 0% 10% 20% 30%

Technology

Healthcare

Utilities

Consumer Durabl

Commercial Serv

Diversified Fin

Metals & Mining

Construction, C

Media

Hotels, Restaur

Transportation

Autos & Parts

Staples

Banks

Energy

Capital Goods

Retailing (Disc

Insurance

Chemicals

Telecoms

Unclassified

Unclassified (I

Long Stock Long Index Short Stock Short Index

Stock Specific Portfolio



As at 30 September 2012

© Man 2012 13

Fund Factor Sensitivity as of September 2012

Style agnostic portfolio with overlays hedging downside and upside shocks

-5%

-3%

-1%

1%

3%

5%

7%

9%

-10% -5% 0% 5% 10%

Ret

urn

Mkt Return

6M 3Y 1M Beta 1 7-11/11 Jul08-09

-0.3

%

-0.2

%

-0.3

%

-0.1

%

0.0

%

0.0

%

0.0

%

-0.5

%

-0.3

%

0.4

%

-0.3

%

0.0

%

-0.2

%

0.3

%

-3%

-2%

-1%

0%

1%

2%

3%

Fact

or

Sen

siti

vity



Q3 Performance review

Q&A

glg european long-short strategy… · financials scaling up post draghi comments source: man...

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