Annual Management Report of Fund Performance – 2013 · 2016. 2. 22. · Man Canada AHL DP Investment Fund Management Report of Fund Performance 3 Results of Operations The Fund

Man Canada AHL DP Investment Fund

Annual Management Report of Fund Performance – 2013

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This annual management report of fund performance contains financial highlights but does not contain either the complete annual financial statements of the Man Canada AHL DP Investment Fund (the “Fund”). You may obtain a copy of the annual financial statements at your request, and at no cost, by calling (416) 775-3600 or toll-free at (877) 860-1080, by writing to us at Man Investments Canada Corp., 70 York Street, Suite 1202, Toronto, Ontario, M5J 1S9, Canada or by visiting our website at www.man.com or SEDAR at www.sedar.com. Unitholders may also contact us using one of these methods to request a copy of the investment fund’s proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosure. Caution Regarding Forward-looking Statements Certain portions of this report, including but not limited to, “Results of Operations” and “Recent Developments”, may contain forward-looking statements about Man Canada AHL DP Investment Fund (the “Fund”), including its strategies, risks, expected performance and condition. All statements, other than statements of historical fact, that address activities, events or developments that Man Investments Canada Corp. (the “Manager”) and Man Investments Limited, (the “Investment Manager”), (together, the “Companies”) believe, expect or anticipate will or may occur in the future (including, without limitation, statements regarding any targeted returns, projections, forecasts, statements and future plans and objectives of the Fund) are forward-looking statements. These forward-looking statements reflect the current expectations, assumptions or beliefs of the Companies based on information currently available to the Fund. Forward-looking statements are subject to a number of risks and uncertainties that may cause the actual results of the Fund to differ materially from those discussed in the forward-looking statements, and even if such actual results are realized or substantially realized, there can be no assurance that they will have the expected consequences to, or effects on the Fund. Factors that could cause actual results or events to differ materially from current expectations include, among other things, changes in international financial and commodities markets, fluctuations in currency exchange and interest rates, illiquidity of portfolio investments, reduction in availability of leverage, default by counterparties, special risks arising from short sales and investments in forward contracts and other derivatives, unintentional trades, accuracy of analytical models, valuation risks, limitations on redemptions, tax consequences, changes in applicable laws and other risks associated with investing in securities and those factors discussed under the section entitled “Risk Factors” in the Fund’s prospectus dated November 9, 2012. Any forward-looking statement speaks only as of the date on which it is made and, except as may be required by applicable securities laws, the Companies and the Fund disclaim any intent or obligation to update any forward-looking statement, whether as a result of new information, future events or results or otherwise. Although the Companies believe that the assumptions inherent in the forward-looking statements are reasonable, forward-looking statements are not guarantees of future performance and accordingly undue reliance should not be put on such statements due to the inherent uncertainty therein.

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Man Canada AHL DP Investment Fund Management Report of Fund Performance

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Investment Objective and Strategies Man Canada AHL DP Investment Fund (the “Fund”) is a commodity pool structured as an open-end investment trust established under the laws of the Province of Ontario.

As detailed in the Prospectus, the Fund’s investment objectives are: (i) to provide holders of units (the “unitholders”) with the opportunity to realize capital appreciation through investment returns that have a low correlation to traditional forms of stock and bond securities; and (ii) to pay to holders of Class O Units, Class P Units, Class Q Units, Class R Units, Class S Units, and Class T Units quarterly cash distributions in a calendar year equal to 6% of the net asset value of such units calculated as at the last valuation date of the preceding year. The Fund is intended to provide added diversification and enhance the risk/reward profile of conventional investment portfolios. To pursue its investment objectives, the Fund will obtain exposure to the Underlying Assets (as hereinafter defined) acquired and maintained by AHL DP Limited (as hereinafter defined) by investing in AHL DP Shares (as hereinafter defined) issued by AHL DP Limited.

The Fund obtains exposure to the returns of a diversified portfolio of financial instruments across a range of global markets including, without limitation, stocks, bonds, currencies, short-term interest rates, energy, metals and agricultural commodities (the “Underlying Assets”) managed by AHL Partners LLP (the “Investment Manager”) using a predominantly trend-following trading program (the “AHL Diversified Programme”). The AHL Diversified Programme is implemented and managed by the Investment Manager. The cornerstone of the AHL investment philosophy is that financial markets experience persistent anomalies or inefficiencies that take the form of price trends. Trends are a manifestation of serial correlation in financial markets, the phenomenon whereby past price movements can be informative of future price behaviour.

Man AHL DP Limited (“AHL DP Limited”), an exempted company with limited liability incorporated in the Cayman Islands, will acquire and maintain the Underlying Assets. The return to the Fund will be based on the performance of AHL DP Limited, which, in turn, will be based on the performance of the Underlying Assets. The Net Asset Value per Unit of each class of Units will vary depending on the performance of the Underlying Assets and will also vary depending on the expenses allocated to, and distributions paid in respect of, the particular class of Units of the Fund.

The return to the holders of Class A Units, Class B Units, Class C Units, Class F Units, Class G Units, Class I Units, Class J Units, Class K Units, Class O Units, Class P Units, Class Q Units, Class R Units, Class S Units, and Class T Units is referable to the Class A CAD Shares (as hereinafter defined) issued by AHL DP Limited. The return to the holders of Class H Units is referable to the Class B CAD Shares (as hereinafter defined) issued by AHL DP Limited. The return to the holders of Class L Units and Class M Units is referable to the Class C CAD Shares (as hereinafter defined) issued by AHL DP Limited.

Man Investments Canada Corp. (the “Manager” or the “Trustee”) is the manager and the trustee of the Fund and performs the management and investment management functions, as well as providing all administrative services required by the Fund.

Risk The overall level of risk associated with an investment in the Fund has not changed over the relevant period. There can be no assurance that the Fund will achieve its investment objective in respect of the AHL Diversified Programme. For details of the risks associated with an investment in the Fund, please refer to the Prospectus.


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Results of Operations The Fund experienced a decrease in its net assets during the year ended December 31, 2013, with Class A decreasing from $9.42 to $8.70 per unit, Class B decreasing from $9.43 to $8.71 per unit, Class C decreasing from $9.42 to $8.71 per unit, Class D decreasing from $8.93 to $8.25 per unit, Class F decreasing from $9.81 to $9.19 per unit, Class G decreasing from $8.60 to $7.94 per unit, Class O decreasing from $7.80 to $6.75 per unit, Class P decreasing from $7.80 to $6.75 per unit, Class Q decreasing from $7.81 to $6.76 per unit, Class R decreasing from $8.10 to $7.13 per unit, Class S decreasing from $7.82 to $6.77 per unit and Class T decreasing from $7.54 to $6.52 per unit. Three new classes of units, Class H, L, and M, were issued for $10.00 per unit on February 4, 2013, December 30, 2013, and December 30, 2013 respectively, and ended at $9.08 per unit, $10.00 per unit, and $10.00 per unit respectively. Class I units were redeemed entirely during the year and ended with nil assets as at year end. Recent Developments Effective December 9, 2013, the Fund obtains exposure to the Underlying Assets, through its investment in the underlying fund Man AHL DP Limited (“AHL DP Limited”), an exempted company with limited liability incorporated in the Cayman Islands. AHL DP Limited will acquire and maintain the Underlying Assets. Prior to December 9, 2013, the Fund obtained exposure to the Underlying Assets through one or more forward purchase and sale agreements (collectively, the “Forward Agreement”) entered into with one or more Canadian chartered banks and/or their affiliates (TD Global Finance or the “Counterparty”). The Counterparty in turn held AHL Investment Strategies SPC – Class D Man AHL Diversified 2 CAD Notes (“AHL SPC Notes”) in order to hedge its exposure under the terms of the Forward Agreement. Performance commentary In 2013, Q1 and Q4 performance of the AHL Diversified Programme was strong, but not enough to offset poor Q2 and Q3 returns. With many developed market indices breaking all-time highs, unsurprisingly it was the equity sector that performed best. On the other hand, fixed income and, to a lesser extent, FX trading were the main detractors, being affected by sharp reversals in key markets caused by headlines about the tapering of quantitative easing (“QE”) in May. The year started with the Programme on the front foot, positioned well to capture bullish sentiment resulting from positive economic numbers in the US, diminishing concerns of a Eurozone breakup, and 'Abenomics' in Japan. All bolstered, of course, by the continuing tailwind for risk assets of QE by the Fed. Improvements in the global economic environment prompted the Fed to consider the withdrawal of QE stimulus in Q2. Despite the fact that there was only tapering talk and not tapering action, many markets reversed sharply in May, resulting in negative performance which spilled over into Q3. Ten year US Treasury yields, for example, widened around 50bp over the month of May, representing an increase of over 30% of their starting level of 1.63% over the course of the month . Unsurprisingly, the DXY trade weighted dollar index suffered a similar reversal. Stocks, on the other hand, showed remarkable resilience, wobbling slightly during May, but soon after resuming their relentless ascent into Q4 when, spurred by resolution of the US debt crisis and Janet Yellen’s nomination as the next Fed president, the main US indices reached new all-time highs. Such strong, steady upward moves in stock markets were beneficial for the Programme and the equity sector was by far the best performer. Fixed income, on the other hand, suffered considerably in May, giving up more than it gained in Q1. Losses were exacerbated for two reasons: First, the May reversal occurred across both developed and


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emerging markets, where historically correlation has been lower. Second, prices started to fall when positioning was significantly long, following a period of steady price rises on low volatility. The environment for FX trading was been difficult, with the US dollar index oscillating around its starting point, rarely holding direction for more than a few months. Furthermore, with many high-yielding currencies falling over the course of 2013 relative to the USD, the environment was also tough for carry trading. Performance of commodity markets was bifurcated: gains were made on a predominantly short gold position, particularly in April when the precious metal fell 14% in two days, whereas trading in the oil complex suffered from price gyrations surrounding concerns over the potential of war in Syria. Credit trading was a success in 2013. As an asset class, credit has characteristics of both equity and fixed income, and AHL’s models are tuned specifically to exploit its return distribution, responding quickly to changes in the direction of credit spreads and utilizing information gleaned from volatility instruments. Consequently AHL’s credit models were able to minimize the detrimental effects of the sharp change in fixed income yields in Q2, yet still capture the strongly-trending performance of its equity-like component. Recent Developments The start of 2013 saw Man restructure its quantitative investment business resulting in the combination of AHL and Man Systematic Strategies (“MSS”), Man’s two quantitative businesses, to create a single quantitative investment function within Man. Combining the strengths of AHL and MSS allows us to enhance performance across the business, whilst continuing the development of our existing products and creating innovative, new products for clients. Maintaining the strong momentum that had been set in 2012, AHL’s research efforts in 2013 progressed strongly. Aware that yields on many instruments were reaching extreme lows and that a regime shift might well be imminent, our fixed income research team was very active in 2013. Decomposing the return from futures contracts into a spot return and carry return – the latter being what is obtained through the instrument’s coupon and roll-down characteristics alone – they analysed both historic data and simulations of future environments where rates are not biased downwards and established a conditioning mechanism which makes trend following more robust to flat or rising rates. Given that this is an environment many investors believe is likely in the medium term, we anticipate that this will be of significant benefit to fixed income trading in the years ahead. Late 2012 saw the introduction of an equity momentum model which aggregates prices of a variety of instruments in order to boost the momentum signal and mitigate mean-reversion effects seen in individual indices. In its first complete year the model has been a success, being one of the top performing models in the sector. Testament to the collaborative nature of AHL’s research effort, it has now been successfully adopted by the fixed income sector. With several reversals in the US dollar causing havoc with momentum and carry strategies, the FX team faced a difficult market environment in 2013. Undeterred, innovative research on new fundamental factors and price drivers from different asset classes has reaped rewards, particularly during the difficult second quarter, successfully leveraging AHL’s very broad access to both developed and emerging currency markets. More broadly across the portfolio, we have improved our allocation methods so as to maximise market diversification across the portfolio. As a result, rather than simply focusing on traditional sectors for portfolio optimisation, we have introduced more advanced clustering techniques to better model and allocate portfolio risk.


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From an operational standpoint, we also introduced BAML as an additional futures clearing broker during the year. This is part of our on-going efforts to receive better commercial terms and we now have a total of six clearing and prime brokers across AHL. 2013 has proved challenging but, with an exciting research pipeline for the next twelve months, we remain motivated and committed to attempt to generate strong returns for our clients over the coming months and years. Related Party Transactions The Manager is responsible for the day-to-day operations of the Fund and provides management services to the Fund, including the marketing, promotion and distribution of the Fund; transfer agency services; and unitholder reporting and servicing. In consideration of the management services, the Fund pay a manager’s fee (the “Manager’s Fee”) to the Manager based on the average NAV of the applicable class of units of the Fund. The Manager pays the Service Fees to registered dealers out of the Manager’s Fee and is not reimbursed for these payments. The Manager incurs operating expenses on behalf of the Fund and is then reimbursed by the Fund for such expenses. The Manager also provided start-up investment capital to the Fund and sufficient initial capital to each additional series of the Fund to permit that series to be valued effectively on a weekly basis. The Manager’s investment in the Fund is recorded at the NAV per Security of each series, as applicable. National Instrument 81-107 Independent Review Committee for Investment Funds (“NI 81-107”), which came into force on November 1, 2006, requires all publicly offered investment funds, such as the Fund, to establish an independent review committee (“IRC”). Consequently, the Manager has appointed three independent IRC members The purpose of the IRC is to: (i) review and provide input on the Manager’s written policies and procedures that deal with conflict of interest matters; (ii) consider and, if deemed appropriate, approve the Manager’s decision on a conflict of interest matter that the Manager refers to the IRC for approval; and (iii) perform such other duties as may be required of the IRC under applicable Canadian securities laws. Additional information about the IRC is available in the Fund’s prospectus dated November 9, 2012. The Fund also earns its returns based on the performance of the Class D1 and Class D2 Notes which are managed by the Investment Manager. The Investment Manager is part of Man Group plc which also owns the Manager.

Man Canada AHL DP Investment Fund Financial Highlights

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The following tables show selected key financial information about the Fund and are intended to help you understand the Fund’s financial performance from January 1, 2013 to December 31, 2013, from January 1, 2012 to December 31, 2012, from January 1, 2011 to December 31, 2011, from January 1, 2010 to December 31, 2010, and from December 1, 2009 to December 31, 2009.

Class A - Net Assets per Unit (CAD):

For the periods ended Dec 31,

20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5

Net Assets, beginning of period

9.42

10.32

11.42

9.95

10.00

Increase (decrease) from operations: Total revenue 0.02 0.07 0.07 0.01 - Total expenses (0.21) (0.19) (0.21) (0.29) - Realized gains (losses) for the period 0.56 0.31 (2.13) (0.57) - Unrealized gains (losses) for the period (1.10) (1.11) 1.25 2.71 (0.05) Total (decrease) increase from operations (0.73) (0.92) (1.02) 1.86 (0.05) Distributions:

From income (excluding dividends) - - - - - From dividends - - - - - From capital gains - - - - - Return of capital - - - - - Total annual distributions - - - - - Net Assets, end of period,

8.70

9.42

10.32

11.42

9.95

Class B - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5


9.43

10.33

11.42

9.95

10.00



8.71

9.43

10.33

11.42

9.95


7

Class C - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5


9.42

10.33

11.42

9.95

10.00



8.71

9.42

10.33

11.42

9.95

Class D7 - Net Assets per Unit (CAD):

For the periods ended Dec 31, 2013

1 Dec 31,

20122

Dec 31, 2011

3 Dec 31,

20104


8.93

9.78

10.77

10.00

Increase (decrease) from operations: Total revenue 0.02 0.06 0.06 0.01 Total expenses (0.20) (0.18) (0.19) (0.11) Realized gains (losses) for the period 0.53 0.29 (2.16) (0.04) Unrealized gains (losses) for the period (0.87) (1.03) 1.40 0.59 Total (decrease) increase from operations (0.52) (0.86) (0.88) 0.45 Distributions:

From income (excluding dividends) - - - - From dividends - - - - From capital gains - - - - Return of capital - - - - Total annual distributions - - - - Net Assets, end of period,

8.25

8.93

9.78

10.77


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Class F - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5


9.81 10.61 11.58 9.95 10.00



9.19 9.81 10.61 11.58 9.95

Class G8 - Net Assets per Unit (CAD):


1 Dec 31,

20122

Dec 31, 2011

3 Dec 31,

20104


8.60

9.45

10.43

10.00

Increase (decrease) from operations: Total revenue 0.02 0.06 0.06 0.02 Total expenses (0.20) (0.19) (0.21) (0.05) Realized gains (losses) for the period 0.54 0.27 (2.26) - Unrealized gains (losses) for the period (1.00) (0.98) 1.68 0.86 Total (decrease) increase from operations (0.64) (0.84) (0.73) 0.83 Distributions:


7.94

8.60

9.45

10.43


9

Class H9 - Net Assets per Unit (CAD):


20131


10.00

Increase (decrease) from operations: Total revenue - Total expenses (0.09) Realized gains (losses) for the period (1.06) Unrealized gains (losses) for the period 0.11 Total (decrease) increase from operations (1.04) Distributions: From income (excluding dividends) - From dividends - From capital gains - Return of capital - Total annual distributions - Net Assets, end of period,

9.08

Class I - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5


9.73

10.55

11.56

9.95

10.00



-

9.73

10.55

11.56

9.95


10

Class L11 - Net Assets per Unit (CAD):


20131


10.00

Increase (decrease) from operations: Total revenue - Total expenses - Realized gains (losses) for the period - Unrealized gains (losses) for the period - Total (decrease) increase from operations - Distributions: From income (excluding dividends) - From dividends - From capital gains - Return of capital - Total annual distributions - Net Assets, end of period,

10.00

Class M11 - Net Assets per Unit (CAD):


1


10.00

Increase (decrease) from operations: Total revenue - Total expenses - Realized gains (losses) for the period - Unrealized gains (losses) for the period - Total (decrease) increase from operations - Distributions: From income (excluding dividends) - From dividends - From capital gains - Return of capital - Total annual distributions - Net Assets, end of period,

10.00


11

Class O - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5


7.80

9.12

10.76

9.95

10.00


From income (excluding dividends) (0.47) (0.54) (0.64) (0.60) - From dividends - - - - - From capital gains - - - - - Return of capital - - - - - Total annual distributions (0.47) (0.54) (0.64) (0.60) - Net Assets, end of period,

6.75

7.80

9.12

10.76

9.95

Class P - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5


7.80

9.12

10.78

9.95

10.00



6.75

7.80

9.12

10.78

9.95


12

Class Q - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5


7.81

9.14

10.79

9.95

10.00



6.76

7.81

9.14

10.79

9.95

Class R - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4

Dec 31, 2009

5


8.10

9.33

10.87

9.95

10.00



7.13

8.10

9.33

10.87

9.95


13

Class S7 - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4


7.82

9.15

10.86

10.00

Increase (decrease) from operations: Total revenue 0.02 0.06 0.07 0.01 Total expenses (0.18) (0.17) (0.21) (0.10) Realized gains (losses) for the period 0.47 0.28 (1.94) (0.18) Unrealized gains (losses) for the period (0.90) (0.95) (1.68) 1.17 Total (decrease) increase from operations (0.59) (0.78) (0.41) 0.90 Distributions:

From income (excluding dividends) (0.47) (0.54) (0.65) - From dividends - - - - From capital gains - - - - Return of capital - - - - Total annual distributions (0.47) (0.54) (0.65) - Net Assets, end of period,

6.77

7.82

9.15

10.86

Class T8 - Net Assets per Unit (CAD):


20131

Dec 31, 2012

2 Dec 31,

20113

Dec 31, 2010

4


7.54

8.83

10.45

10.00

Increase (decrease) from operations: Total revenue 0.02 0.06 0.06 - Total expenses (0.18) (0.17) (0.20) (0.03) Realized gains (losses) for the period 0.49 0.28 (2.11) - Unrealized gains (losses) for the period (0.90) (0.93) 1.89 0.48 Total (decrease) increase from operations (0.57) (0.76) (0.37) 0.45 Distributions:

From income (excluding dividends) (0.45) (0.52) (0.62) - From dividends - - - - From capital gains - - - - Return of capital - - - - Total annual distributions (0.45) (0.52) (0.62) - Net Assets, end of period,

6.52

7.54

8.83

10.45


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1. This information is derived from the Fund’s audited financial statements for the year ended December 31, 2013.

2. This information is derived from the Fund’s audited financial statements for the year ended

December 31, 2012.

3. This information is derived from the Fund’s audited financial statements for the year ended December 31, 2011.

4. This information is derived from the Fund’s audited financial statements for the year ended

December 31, 2010. 5. This information is derived from the Fund’s audited financial statements for the period ended

December 31, 2009.

6. Net Assets and distributions are based on the actual number of units outstanding at the relevant time. The increase (decrease) from operations is calculated based on the average number of units outstanding over the period. Therefore, the beginning of period Net Assets, the increase (decrease) from operations and distributions, if any, will not sum to the end of period Net Assets.

7. Class D and Class S units were initially issued on June 14, 2010.

8. Class G and Class T units were initially issued on November 9, 2010. 9. Class H units were initially issued on February 4, 2013. 10. Distributions were paid in cash with the option for investors to reinvest if desired. 11. Class L and M units were initially issued on December 30, 2013.


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Class A – Ratios and Supplement Data:


Dec 31, 2012

Dec 31, 2011

Dec 31, 2010

Dec 31, 2009

Total net asset value (CAD 000s)1 31,108 53,900 78,538 50,880 724

Number of units outstanding1 3,575,253 5,723,378 7,607,444 4,456,401 72,756

Management expense ratio 5.59% 5.31% 5.22% 5.68% 9.76% Management expense ratio before waivers or absorptions

2

5.59% 5.31% 5.22% 5.91% 37.89%

Trading expense ratio3 0.92% 0.90% 0.94% 1.16% 0.11%

Portfolio turnover rate4 31.14% 22.57% 86.63% 107.76% -

Net asset value per unit (CAD) 8.70 9.42 10.32 11.42 9.95 Class B – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010 Dec 31,

2009 Total net asset value (CAD 000s)

1 15,755 24,966 28,831 18,799 417



2

5.61% 5.29% 5.19% 5.87% 34.85%



Net asset value per unit (CAD) 8.71 9.43 10.33 11.42 9.95 Class C – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010 Dec 31,


1 5,261 6,910 9,990 5,461 634

Number of units outstanding1 604,333 733,277 967,200 477,979 63,660


2

5.62% 5.30% 5.18% 5.84% 50.98%



Net asset value per unit (CAD) 8.71 9.42 10.33 11.42 9.95 Class D – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010

Total net asset value (CAD 000s)1 2,639 5,141 7,664 4,435

Number of units outstanding1 320,079 576,261 783,487 411,596

Management expense ratio 5.59% 5.29% 5.15% 4.52% Management expense ratio before waivers or absorptions

2

5.59% 5.29% 5.16% 4.72%

Trading expense ratio3 0.92% 0.90% 0.94% 1.16%

Portfolio turnover rate4 31.14% 22.57% 86.63% 107.76%

Net asset value per unit (CAD) 8.25 8.93 9.78 10.77


16

Class F – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010 Dec 31,


1 13,440 37,928 71,967 52,160 1,351



2

4.15% 3.92% 3.88% 4.48% 19.86%



Net asset value per unit (CAD) 9.19 9.81 10.61 11.58 9.95 Class G – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010

Total net asset value (CAD 000s)1 3,972 5,548 10,054 197

Number of units outstanding1 500,246 644,885 1,064,285 18,933


2

5.70% 5.48% 5.24% 4.51%



Net asset value per unit (CAD) 7.94 8.60 9.45 10.43 Class H – Ratios and Supplement Data: For the periods ended Dec 31,

2013

Total net asset value (CAD 000s)1 991

Number of units outstanding1 109,189

Management expense ratio 1.23% Management expense ratio before waivers or absorptions

2

1.23%

Trading expense ratio3 0.92%

Portfolio turnover rate4 31.14%

Net asset value per unit (CAD) 9.08 Class I – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010 Dec 31,


1 - 47 51 63 10

Number of units outstanding1 - 4,829 4,829 5,467 1,000


2

4.94% 4.20% 4.20% 4.77% 15.99%



Net asset value per unit (CAD) - 9.73 10.55 11.56 9.95


17

Class L – Ratios and Supplement Data: For the periods ended Dec 31,

2013

Total net asset value (CAD 000s)1 537


Management expense ratio - Management expense ratio before waivers or absorptions

2

-



Net asset value per unit (CAD) 10.00 Class M – Ratios and Supplement Data: For the periods ended Dec 31,

2013

Total net asset value (CAD 000s)1 4,855


Management expense ratio - Management expense ratio before waivers or absorptions

2

-



Net asset value per unit (CAD) 10.00 Class O – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010 Dec 31,


1 4,112 7,210 8,715 4,570 281



2

5.60% 5.34% 5.23% 6.03% 40.75%



Net asset value per unit (CAD) 6.75 7.80 9.12 10.76 9.95 Class P – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010 Dec 31,


1 1,605 2,149 3,025 1,422 15



2

5.63% 5.32% 5.19% 5.89% 17.49%



Net asset value per unit (CAD) 6.75 7.80 9.12 10.78 9.95


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Class Q – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010 Dec 31,


1 777 1,021 1,133 551 60



2

5.63% 5.30% 5.10% 5.88% 28.59%



Net asset value per unit (CAD) 6.76 7.81 9.14 10.79 9.95 Class R – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010 Dec 31,


1 2,911 9,638 9,596 4,431 50

Number of units outstanding1 407,985 1,190,148 1,028,271 407,628 5,000


2

4.17% 3.93% 3.87% 4.58% 26.09%



Net asset value per unit (CAD) 7.13 8.10 9.33 10.87 9.95

Class S – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010

Total net asset value (CAD 000s)1 185 250 282 -

Number of units outstanding1 27,266 31,948 30,829 10


2

5.63% 5.36% 5.12% 4.51%




Class T – Ratios and Supplement Data: For the periods ended Dec 31,

2013 Dec 31,

2012 Dec 31,

2011 Dec 31,

2010

Total net asset value (CAD 000s)1 656 827 610 1

Number of units outstanding1 100,595 109,587 69,042 50


2

5.73% 5.49% 5.16% 4.07%





19

1. This information is provided as at December 31, 2013, 2012, 2011, 2010, and 2009.

2. Management expense ratio is based on total expenses of the Fund and the Fund’s allocated percentage of the AHL SPC Notes and Man AHL DP Limited expenses for the stated period (excluding commission and other portfolio transaction costs) and is expressed as an annualized percentage of daily average net asset value during the period. The management expense ratio is calculated in accordance with Part 15 of NI 81-106.

3. The trading expense ratio represents total commissions and other portfolio transaction

costs expressed as an annualized percentage of daily average net asset value during the period.

4. The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio manager

manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher the Fund’s portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of the Fund.


20

Management Fees For the period from January 1 to December 9, 2013, for its services to the Fund, the Manager is entitled to receive from the Fund, a management fee (the “Management Fee”) at an annual rate of: (i) 1.25% of the portion of its Net Asset Value represented by the Class A units, Class B units, Class C units, Class D units, Class O units, Class P units, Class Q units and Class S units; and (ii) 1.30% of the portion of its Net Asset Value is represented by the Class G units and Class T units and (iii) 0.25% of the portion of Net Asset Value is represented by the Class I units, calculated weekly and paid quarterly in arrears, plus applicable taxes. The Fund does not pay a management fee to the Manager in respect of the Class F units, the Class H units, and the Class R units.

As a percentage of management fees

Annual Rates Dealer Compensation

General administration, investment advice and profit

Class A Units 1.25% 100.00% -

Class B Units 1.25% 20.00% 80.00%

Class C Units 1.25% 40.00% 60.00%

Class D Units 1.25% 60.00% 40.00%

Class F Units - - -

Class G Units 1.30% 38.46% 61.54%

Class H Units - - -

Class I Units 0.25% 100.00% -

Class O Units 1.25% 100.00% -

Class P Units 1.25% 20.00% 80.00%

Class Q Units 1.25% 40.00% 60.00%

Class R Units - - -

Class S Units 1.25% 60.00% 40.00%

Class T Units 1.30% 38.46% 61.54%


21

For the period from December 10 to December 31, 2013, for its services to the Fund, the Manager is entitled to receive from the Fund, a management fee (the “Management Fee”) at an annual rate of: (i) 2.25% of the portion of its Net Asset Value represented by the Class A units, Class B units, Class C units, Class D units, Class O units, Class P units, Class Q units and Class S units; and (ii) 2.30% of the portion of its Net Asset Value is represented by the Class G units and Class T units and (iii) 1.25% of the portion of Net Asset Value is represented by the Class I units, calculated weekly and paid quarterly in arrears, plus applicable taxes. The Fund does not pay a management fee to the Manager in respect of the Class F units, the Class H units, and the Class R units.

As a percentage of management fees

Annual Rates Dealer Compensation

General administration, investment advice and profit

Class A Units 2.25% 55.56% 44.44%

Class B Units 2.25% 11.11% 88.89%

Class C Units 2.25% 22.22% 77.78%

Class D Units 2.25% 33.33% 66.67%

Class F Units 1.00% - 100.00%

Class G Units 2.30% 21.74% 88.26%

Class H Units 1.00% - 100.00%

Class I Units 1.25% 20.00% 80.00%

Class L Units 2.25% 55.56% 44.44%

Class M Units 1.00% - 100.00%

Class O Units 2.25% 55.56% 44.44%

Class P Units 2.25% 11.11% 88.89%

Class Q Units 2.25% 22.22% 77.78%

Class R Units 1.00% - 100.00%

Class S Units 2.25% 33.33% 66.67%

Class T Units 2.30% 21.74% 88.26%

In accordance with the Manager’s appointment under the Fund’s declaration of trust dated as of April 29, 2009, (the “Declaration of Trust”) the services to be provided by the Manager in relation to the assets of the Fund include the following:

1. to administer and manage the day-to-day operations of the Fund;

2. to act as agent for the Trust, execute documents on behalf of the Fund; and

3. to make decisions which conform to general policies and general principles set forth in the Declaration of Trust or established by the Trustee.

Man Canada AHL DP Investment Fund Past Performance

22

Year-By-Year Returns Reported returns are from December 1, 2009 (the Fund’s inception date) to December 31, 2009, January 1, 2010 to December 31, 2010, January 1, 2011 to December 31, 2011, January 1, 2012 to December 31, 2012 and January 1, 2013 to December 31, 2013, as applicable. The returns based on net asset value have been restated for dividend reinvestment and have not materially changed from results previously disclosed. The performance information shown assumes that all distributions made by the Fund in the periods shown were reinvested in additional securities of the Fund. The performance information shown does not take into account sales, redemption, distribution or other optional charges that would have reduced returns or performance. How the Fund has performed in the past does not necessarily indicate how it will perform in the future.

-0.5%

14.8%

-9.6% -8.7% -7.6% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2009 2010 2011 2012 2013

Class A

-0.5%

14.8%

-9.5% -8.7% -7.6% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2009 2010 2011 2012 2013

Class B

-0.5%

14.8%

-9.5% -8.8% -7.5% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2009 2010 2011 2012 2013

Class C

7.7%

-9.2% -8.7% -7.6% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2010 2011 2012 2013

Class D1

-0.5%

16.4%

-8.4% -7.5% -6.3%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2009 2010 2011 2012 2013

Class F

4.3%

-9.4% -9.0% -7.7% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2010 2011 2012 2013

Class G2


23

-0.5%

14.5%

-9.5% -8.7% -7.6% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2009 2010 2011 2012 2013

Class O

-0.5%

14.7%

-9.7% -8.6% -7.6% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2009 2010 2011 2012 2013

Class P

-0.5%

14.8%

-9.6% -8.7% -7.6% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2009 2010 2011 2012 2013

Class Q

-0.5%

15.7%

-8.4% -7.3% -6.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2009 2010 2011 2012 2013

Class R

8.6%

-10.0% -8.8% -7.6% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2010 2011 2012 2013

Class S1

4.5%

-9.7% -8.8% -7.7% -15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

2010 2011 2012 2013

Class T2


24

1. Class D and Class S units were initially issued on June 14, 2010. The 2010 period return presented is from

June 14, 2010 to December 31, 2010.

2. Class G and Class T units were initially issued on November 9, 2010. The 2010 period return presented is from November 9, 2010 to December 31, 2010.

3. Class H returns for the period are not presented as the class was first issued on February 4, 2013.

4. Class L and M returns for the period are not presented as the classes were first issued on December 30, 2013.


25

Annual Compound Returns The following table shows the historical annualized compound returns for each Class of units of the Fund, for each of the periods ended December 31, 2013. It also shows, for the same periods, the returns for world stocks and world bonds. The performance of world stocks and world bonds have been hedged into the Fund’s currency Canadian dollars using the relevant three month LIBOR interest rate differentials. The indices selected are not benchmarks, as they are not representative of the Fund’s investment strategy.

Percentage Return 1 year 3 years 5 years 10 years Since

Inception5

Class A Units1 -7.6% -8.7% n/a n/a -3.3%

Class B Units1 -7.6% -8.6% n/a n/a -3.3%

Class C Units1 -7.5% -8.6% n/a n/a -3.3%

Class D Units1 -7.6% -8.5% n/a n/a -5.3%

Class F Units1 -6.3% -7.4% n/a n/a -2.0%

Class G Units1 -7.7% -8.7% n/a n/a -7.1%

Class O Units1,2

-7.6% -8.5% n/a n/a -3.3%

Class P Units1,2

-7.6% -8.6% n/a n/a -3.3%

Class Q Units1,2

-7.6% -8.6% n/a n/a -3.3%

Class R Units1,2

-6.0% -7.3% n/a n/a -2.1%

Class S Units1,2

-7.6% -8.8% n/a n/a -5.3%

Class T Units1,2

-7.7% -8.8% n/a n/a -7.1%

World Stocks3 29.5% 12.3% n/a n/a 11.5%

World Bonds4 1.2% 4.3% n/a n/a 4.2%

Source: Man database and Bloomberg. There is no guarantee of performance and past or projected performance is not a reliable indicator of future performance. The latest data available at the time of production has been used. Returns may increase or decrease as a result of currency fluctuations. The performance of world stocks and world bonds have been hedged into the Fund’s currency (CAD) using the relevant three month LIBOR interest rate differentials.

1The Fund is valued weekly; however, for

comparative purposes, statistics have been calculated using a year-end valuation as at December 31, 2013. 2Dividend-adjusted

returns. 3World stocks: MSCI World Net Total Return Index hedged to CAD.

4World bonds: Citigroup World Government Bond Index

hedged to CAD (Total return). 5Inception date varies by class. For World Stocks and World Bonds the Inception date used is

December 1, 2009, the inception date of the fund.

Man Canada AHL DP Investment Fund Summary of Investment Portfolio

26

The following shows the Underlying Assets allocation by asset class and the top 25 holdings as presented in the Man AHL DP Limited Management Report on Fund Performance posted on SEDAR. This summary of the Underlying Assets may change due to ongoing portfolio transactions. For further details, see the Man AHL DP Limited consolidated financial statements for the year ended December 31, 2013 as posted on SEDAR.

Top 25 Holdings

Issuer % of Net Assets

Long Positions

S&P500 EMINI FUT - CME Group Inc 2.10

Euro-BTP Future - EUREX 1.72

KOSPI2 INX FUT - Korea Futures Exchange 1.27

NASDAQ 100 E-MINI - CME Group Inc 1.26

DAX INDEX FUTURE - EUREX 1.20

SOYBEAN FUTURE - Chicago Board Of Trade 1.19

BRENT CRUDE FUTR - ICE FUTURES EUROPE 1.03

KOREA 3YR BND FUT - Korea Futures Exchange 1.02

EURO STOXX 50 - EUREX 0.90

FTSE 100 IDX FUT - LIFFE 0.88

AUST 3YR BOND FUT - Sydney Futures Exchange 0.84

3MO EURO EURIBOR - LIFFE 0.73

BANK ACCEPT FUTR - Montreal Options Exchange 0.68

RUSSELL 2000 MINI - ICE Futures US 0.66

LME ZINC FORWARD ($) 2014 - LME 0.64

COPPER FUTURE - CMX 0.63

NIKKEI 225 (SGX) - SIMEX 0.62

OMXS30 IND FUTURE - Stockholm Options Exchange 0.59

Short Positions

CORN FUTURE - Chicago Board Of Trade 1.91

LONG GILT FUTURE - LIFFE 1.69

LME ALUMINUM FORWARD 2014 - LME 1.68

CBOE VIX FUTURE - Chicago Board Options Exchange 1.16

WHEAT FUTURE(KCB) - Kansas City Board Of Trade 0.79

WHEAT FUTURE(CBT) - Chicago Board Of Trade 0.78

SUGAR #11 (WORLD) - ICE Futures US 0.58

Total Net Asset Value of the Underlying Fund: CAD – 31,941,188

Portfolio Allocation Asset Class % of Net Assets

Stock Indices 15.69 Interest Rates 9.61 Agriculturals 7.65 Metals 3.73 Energies 2.64 Currencies 0.12

Man Canada AHL DP Investment Fund Summary of Investment Portfolio

27

1. The total fair value of the Fund’s investments is referable to Class A, Class B, and Class C Shares issued by Man AHL DP Limited. As at December 31, 2013,286,492 Class A shares with a Net Asset Value of approximately $29.4 million representing 100% of the outstanding Class A shares, 354,031 Class B shares with a Net Asset Value of approximately $0.354 million representing 100% of the outstanding Class B shares, and 2,168,958 Class C shares with a Net Asset Value of approximately $2.2 million representing 100% of the outstanding Class C Shares were issued to the Fund.

2. The percentage of the Class net assets refer to the amount of margin required in cash terms to be pledged against the relevant investments. The cash requirement has then been converted into a percentage of the Net Asset Value of Man AHL DP Limited. The investments of Man AHL DP Limited consist predominately of futures contracts in the AHL Portfolio written across a range of global markets including currencies, bonds, stocks, energies, agriculturals, metals and interest rates and have a substantially larger notional value than is reflected by the investment amount with the result that the portfolio is exposed to a form of leverage. Based on the Investment Manager’s view, such futures contracts may be purchased or sold resulting in a long or short investment position.

3. Cash is comprised of cash in bank deposits and cash held with brokers in order to meet margin requirements.

Man Canada AHL DP Investment Fund Contact Us

28

Man Investments Canada Corp 70 York Street Suite 1202 Toronto, Ontario M5J 1S9 Custodian Citibank Canada Citibank Place 123 Front Street West Suite 1900 Toronto, Ontario M5J 2M3

Man Investments Canada Corp.

70 York Street, Suite 1202 Toronto, ON M5J 1S9

Tel: 416 775-3600 Fax: 416 775-3601

www.man.com

Documents

Annual Management Report of Fund Performance – 2013 · 2016. 2. 22. · Man Canada AHL DP Investment Fund Management Report of Fund Performance 3 Results of Operations The Fund