Next Edge CIA Disciplined Growth Portfolio · TSX:PCD.UN
Next Edge CIA Disciplined Growth Portfolio — Next Edge AHL Fund — Investor Presentation (September 2019)
39 slides from Next Edge CIA Disciplined Growth Portfolio's investor presentation, September 2019
Slide 1: Next Edge AHL Fund
Next Edge AHL Fund September 2019 1
Slide 2: Important Notes
Important Notes The ‘Next Edge AHL Fund’ or ‘Fund’ means the ‘Next Edge AHL Fund’. Capitalized terms not defined in this presentation are defined as set forth in the prospectus of the Fund (the ‘Prospectus’). This communication is not, and under no circumstances is to be construed as, an invitation
Slide 3: Cautionary Note Regarding Forward Looking Statements
Cautionary Note Regarding Forward Looking Statements The following presentation may contain forward-looking statements. All statements, other than statements of historical fact, that address activities, events or developments that Next Edge Capital Corp., AHL Partners LLP or any affiliates thereof (
Slide 4: Certain Risks of Investing in Next Edge AHL Fund
Certain Risks of Investing in Next Edge AHL Fund There are risks associated with an investment in the Fund, as a result of, among other considerations, the nature and operations of the Fund. An investment in Units should only be made after consultation with independent qualified sources of investmen
Slide 5: Certain Risks of Investing in Next Edge AHL Fund
Certain Risks of Investing in Next Edge AHL Fund Insufficient Trading Capital The Investment Advisor manages risk to ensure that the Underlying Assets risk are within predetermined levels. Nevertheless, in the event of an exceptional decline in value of the underlying portfolio’s trading capital to
Slide 6: Alternative investment fund manager providing leading-edge solutions
We are an alternative investment fund manager providing leading-edge solutions for investors. For almost two decades our experienced team has launched numerous investment solutions in a variety of product structures. The people and approaches we discover may not be well known, but we believe they pr
Slide 7: Next Edge Capital Corp.
Next Edge Capital Corp. Formed in July 2006, was renamed Next Edge Capital Corp. after the spinout of Man Investments Canada Corp. from Man Group plc (“Man”) in June 2014. Licensed as an Exempt Market Dealer, Portfolio Manager and Investment Fund Manager. Management team responsible for raising over
Slide 8: An overview of Man Group
An overview of Man Group1 Entrepreneurial fund management within an institutional framework ●● A global investment management firm focused on delivering performance for clients through a diverse spectrum of specialist active investment disciplines, empowered by the latest technology ●● Individual pe
Slide 9: Man AHL experience: who we are
Man AHL experience Who we are Approximate Team headcount Overview Research and Research and develop systematic strategies across styles and asset classes ~45 Organised in nine distinct thematic teams: Alternative Markets, Core, Data Innovation, Equities, Liquid Investment Strategies, Machine Lea
Slide 10: Man AHL experience: what we believe in
Man AHL experience What we believe in People Freedom Collaboration Responsible Investment We are not academic We don’t view markets We believe that ESG has theorists; we are practical through a traditional We are collaborative scope beyond investment scientists using our skills finance lens. We look
Slide 11: History of Man AHL
Man AHL experience History of Man AHL: more than 30 years experience of research and innovation BINARY AND VOLATILITY SEASONALITY FX MACHINE ML IN TREND- MODEL MILESTONES BREAKOUT TRADING MEAN FUNDAMENTAL LEARNING FOLLOWING MODELS REVERSION MODELS FLAGSHIPS 1987 1992 1995 2006 2009
Slide 12: Institutional Solutions
Man AHL Asset class specialisation reinforces development of our flagship programmes Client facing Programme FUM (programme AUM) Traditional Alpha ($6.0bn) / $7.7bn Diversified ($1.7bn) AHL’s broadest momentum trading programme (also in UCITS format) Momentum Evolution $4.1bn Momentum trading on OTC
Slide 13: Why invest in Managed Futures?
Introduction Why invest in Managed Futures? Investor Requirements Managed Futures Performance Has delivered positive returns over 40 years through economic cycles Simplicity Core strategy identifies and profits from price trends Liquidity Liquid portfolio holdings at all times Portfolio enhancement
Slide 14: Providing access to the AHL Diversified Programme
Introduction Providing access to the AHL Diversified Programme Systematic trend following over 500 markets Strategy Access to many unique markets through AHL Evolution Programme Diversification across trend-following models and time horizons Investors looking for: Target investors ─ diversif
Slide 15: Overview of trend following
AHL Diversified Programme Overview of trend following Momentum models use proprietary algorithms to identify trends: Across a universe of over 500 highly liquid futures, FX, OTC and cash equity markets Downward Lasting a few days to many months trend Upward trend Able to profit from both up an
Slide 16: Example: Momentum on a typical futures market
AHL Diversified Programme Example: Momentum on a typical futures market 1 Man AHL aims to Trade example exploit the upward and downward trends over 1 2 3 a range of timescales Price 2 Small losses during range-bound markets 3 Positions are adjusted to control risk – when Volatility volatility increa
Slide 17: Portfolio construction as at September 30, 2019
AHL Diversified Programme Portfolio construction as at September 30, 2019 AHL Diversified Conventional Long term sector allocations¹ Number of Programme market CTA portfolio Sector markets examples markets Treasuries, Fixed income Interest Rate Swaps across Bunds, 20.9% Stocks Fixed Income 118 EM an
Slide 18: Advantage of trading non-traditional markets
AHL Diversified Programme The advantage of trading non-traditional markets: AHL Evolution Programme Interest rates Diversification in energy markets 30% 11000 140 Dax Index (LHS) Electricity (RHS) US Brazil South Africa Brent Crude (RHS) 1 130 Rates in many G7 economies remain 10000 25% at all time
Slide 19: Illustrative momentum calculation
Model features Illustrative momentum calculation Model features A Moving average signals Price Slow (longer-term average) Fast (shorter-term average) 100% systematic, with no discretion Profits from sustained periods of rising or falling markets Suffers from markets reversals May-06 Jun-06 Jul
Slide 20: Dealing with the unexpected
Model features Dealing with the unexpected Model-driven strategies rely on robust analysis of historical market behaviour, without behavioural biases But some risks don’t show up in back-tests, e.g., With yields in much of the developed world at all time lows, yield volatility is also at unprecede
Slide 21: Momentum conditioned carry
Model features Momentum conditioned carry Carry is an effective predictor in fixed income… 4.0% 12000 Older Model (RHS) …but returns are negatively skewed Enhanced reative model (RHS) US 10 Year Interest Rates (LHS) When carry and momentum agree trade slowly 3.0% 8000 When they disagree be
Slide 22: Better environment for trend following
New markets and models Better environment for trend following After a very strong 2008, average CTA returns were flat for five years Unprecedented central bank and government intervention (Trend reversals; ‘Risk-on, risk-off’) Portfolio diversification severely diluted, high inter-market corre
Slide 23: Highly diversified set of instruments, growing through time
New markets and models Highly diversified set of instruments, growing through time Adding markets and models Correlation¹ between traded markets (1 Jan ’06 to 30 Sep ’19) 600 0.35 Futures/FX Markets in AHL Diversified Programme Futures/FX Markets "Non-traditional" instruments "Non-traditional" instr
Slide 24: New research has added value
New markets and models New research has added value Contribution to gross performance¹ Contribution to gross performance¹ Markets Models Markets added to AHL Diversified Programme in Models added to AHL Diversified Programme in 2012 2013 2014 2015 2016 2017 2018 2012 2013 2014 2015 2016 2017 2018 20
Slide 25: Managed Futures are a small part of hedge funds and futures markets
Better environment for trend following Managed Futures are a small part of hedge funds and futures markets Managed Futures AUM as % of Hedge Funds (1997–2018)¹ Managed futures’ participation in futures markets (2000–18)2 30% 8% CTA AUM / Total Hedge Fund AUM CTA Futures Volume / Total Futures Volume
Slide 26: Use of clustering seeks to reduce uncertainty around correlations
Portfolio construction Use of clustering seeks to reduce uncertainty around correlations Maximum Diversification Example: Diversification through hierarchical clustering Bottom-up allocation Correlation of momentum returns more predictable than means Clustering creates ‘ultra-metric’ correlati
Slide 27: Execution research yields significant benefits
Execution Execution research yields significant benefits Reactive models and active risk management only possible Example of execution in AHL Diversified Programme in 2018¹ with efficient execution Futures algorithms Man has three decades of experience in developing 100 systematic trading method
Slide 28: Risk Management: Process and Reporting
Risk Management Process and Reporting Independent risk oversight Examples: Risk reports for each underlying strategy, as well as bespoke portfolio Factor analysis, stress testing and VaR measurement Comprehensive portfolio risk reporting CRO (rarely) intervenes to reduce portfolio risks Market
Slide 29: Crisis Alpha in the long term
Crisis Alpha in the long term Performance during equity market stress January 1, 1997 to December 31, 2018 16% Average performance during crisis periods¹ Average annual return Most hedge fund strategies lose money 12% during crises 8% Managed Futures is one of the few strategies with positive lo
Slide 30: Summary
Summary AHL Diversified Programme aims to offer: access to a strategy with a proven track record the benefits of Man AHL’s 30 year experience transparency on process and model features a trend following strategy that is able to benefit from the current strong prospects more markets and str
Slide 31: Next Edge AHL Fund
Next Edge AHL Fund Investments ●● To achieve capital appreciation through investment returns that have a low correlation to traditional forms Objectives of stock and bond securities. ●● Exposure to the AHL Diversified Programme which has an 20 year proven track record and an annualized net return of
Slide 32: Performance of Next Edge AHL Fund – Class A
Performance of Next Edge AHL Fund – Class A1 December 29, 2009 to September 30, 2019 $24,000 $22,000 $20,000 $18,000 $16,000 $14,000 $12,000 $10,000 $8,000 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19 Jul-19 Next
Slide 33: AHL Diversified Programme: Track record
Performance AHL Diversified Programme¹: Track record March 26, 1996 to September 30, 2019 1300 AHL AHL Diversified Programme 1 Diversified World Managed 1100 Programme1 stocks2 Futures3 900 Annualised 11.3% 7.1% 4.7% Index value USD (log scale) 700 return 2 World stocks 500 Annualised 16.2% 13.9% 8.
Slide 34: Performance during difficult equity market conditions
Performance Performance during difficult equity market conditions March 26, 1996 to September 30, 2019 The periods selected are exceptional and these results do not reflect typical performance. As a consequence, they give no indication of likely performance. Additionally, selective periods are subje
Slide 35: Historical Performance of The Strategy
Historical Performance of The Strategy Next Edge AHL Fund, Man AHL Diversified (Canada) Fund & AHL Diversified Programme March 26, 1996 to September 30, 2019 JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD 2019 -5.03% 3.11% 1.24% 5.20% -0.71% 4.02% 6.69% 3.88% -4.65% -- -- -- 13.84%** 2018 8.77%
Slide 36: Appendix
Appendix 36
Slide 37: Research Process: How does a new model enter the portfolio?
Research Process How does a new model enter the portfolio? Informal reviews 1st Formal Review 2nd Formal Review Team head 2 independent Same reviewers Research fellows reviewers Analysis of test-trading Interested peers Head of Research Input from investment Chief Risk Officer oper
Slide 38: Biographies
Biographies Matthew Sargaison Antoine Forterre Matthew Sargaison is Co-Chief Executive Officer of Man AHL, acting Chief Antoine Forterre is Co-Chief Executive Officer of Man AHL (‘AHL’) and a member Investment Officer, and a member of the Man Group Executive Committee. of the Man Executive Committee
Slide 39: For more information please contact
For more information please contact: Next Edge Capital Corp. 1 Toronto Street, Suite 200 Toronto, ON M5C 2V6 Local – 416.775.3600 Toll Free – 877.860.1080 info@nextedgecapital.com www.nextedgecapital.com 39
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