Fact sheet: ML Divfd Fut UCITS

Fund information
Fund name
ML Diversified Futures UCITS C Acc USD
Fund manager company
Merrill Lynch International
Fund type
Offshore Fund
Fund managers
  • Harjinder Bainssince 05/08/2014
  • Winton Capital Management Limitedsince 23/06/2016
Fund objective
The Fund aims to achieve long term investment growth by investing in a range of financial instruments in accordance with a computer-based trading strategy designed by Winton Capital Management Ltd (“Investment Manager” or “Winton”). The investment strategy is a systematic strategy based on the Winton Diversified Program (“Program”). The Program uses statistical analysis of a large amount of data to attempt to determine the probability of a particular market rising or falling, and along with the assessment of a variety of risks, determine what the Fund should hold in order to maximise the chance of making a profit.
Benchmark
  • HFRX Macro: Systematic Diversified CTA Index
Investment style
Managed Futures
Investment method
Futures
Quick stats
1 Year return
0.4%
1 Year rank in sector
34/123
Sector
FO Hedge/Stru Prod - Mixed
Yield
-
Ongoing charge (OCF)
?A fund’s ongoing charges figure (OCF) is similar to the old-style total expense ratio. It reflects the annual charge to investors in the fund, in percentage terms, but does not include extra performance-related fees (where these are levied) or the fund’s trading expenses on its underlying investments.
2.55%
Fund size
£233m (£246m last year)
Top in this sector
Fund name1 Year
LFIS VisionPremiaOpps18.7%
Castellain Value17.6%
Avia Altus14.6%
Garraway Garr FT11.1%
Nordea 1 Alpha 1510.6%
...more in FO Hedge/Stru Prod - Mixed

Performance snapshot

Holdings snapshot

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-1%-2%2.7%0.4%--
Sector-0.5%-1.2%-0.2%-2.1%3.2%6.9%
Rank within sector79 / 11693 / 14022 / 13734 / 123--
Quartile3rd3rd1st2nd
Calendar performance
 YTD - 20162015201420132012
Fund4.5%----
Sector-1.3%-0.6%5.1%1.4%1.9%
Rank within sector16 / 124----
Quartile1st
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
-
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
-
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
-
Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
-
Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
-
Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
-
R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
-
Price movement
52 week high104.62
52 week low96.1
Current bid price-
Current offer price-
Current mid price100.54
Region
No data available.
Industry sector
No data available.
Asset type
1Global Fixed Interest122.9%
2International Equities55.5%
3Money Market-12.1%
Individual holdings
No data available.
Management
Fund manager group
Merrill Lynch
Fund manager company
Merrill Lynch International
Fund type
Offshore Fund
Fund objective
The Fund aims to achieve long term investment growth by investing in a range of financial instruments in accordance with a computer-based trading strategy designed by Winton Capital Management Ltd (“Investment Manager” or “Winton”). The investment strategy is a systematic strategy based on the Winton Diversified Program (“Program”). The Program uses statistical analysis of a large amount of data to attempt to determine the probability of a particular market rising or falling, and along with the assessment of a variety of risks, determine what the Fund should hold in order to maximise the chance of making a profit.
Benchmark
  • HFRX Macro: Systematic Diversified CTA Index
Investment style
Managed Futures
Investment method
Futures
Fund managers
NameSinceBiography
Harjinder Bains05/08/2014
Winton Capital Management Limited23/06/2016David Harding founded Winton in 1997. His intention, born from his experiences with AHL, the UK investment company he co-founded in 1987, was to build an investment management company based on the scientific method, driven by his belief that the widely accepted wisdom of market efficiency was wrong. From managing less than US$2 million with three employees the company has grown to be a global investment management business. As of February 2014 we had US$24 billion in assets under management, with 280 employees.
Compliance
Transparent for Austrian Tax, Transparent for Swiss Tax, Reporting Fund Status, UCITS IV Compliant
Domicile
No data available.
Fund for sale in
Austria, Belgium, Switzerland, Germany, Denmark, Spain, Finland, France, United Kingdom, Ireland, Italy, Luxembourg, Netherlands, Norway, Offshore, Portugal, Sweden
ML Diversified Futures UCITS B Acc USD
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)1.76%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price100.79
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeKZXX
ML Diversified Futures UCITS B Hedged Acc EUR
Initial charge-
Annual charge1.35%
Min single investment£1,000,000
Min regular saving£100
Available in ISANo
Ongoing charge (OCF)1.82%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price103.14
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeKX8A
ML Diversified Futures UCITS B Hedged Acc GBP
Initial charge-
Annual charge1.35%
Min single investment£1,000,000
Min regular saving£100
Available in ISANo
Ongoing charge (OCF)1.82%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price95.23
CurrencyGBP
Price updated13/10/2015
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeMEDZ
ML Diversified Futures UCITS C Acc USD
Initial charge5%
Annual charge2.1%
Min single investment£10,000
Min regular saving£100
Available in ISANo
Ongoing charge (OCF)2.55%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price100.54
CurrencyUSD
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeMZYX
ML Diversified Futures UCITS C H Acc EUR
Initial charge5%
Annual charge2.1%
Min single investment£10,000
Min regular saving£100
Available in ISANo
Ongoing charge (OCF)2.61%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price102.18
CurrencyEUR
Price updated14/10/2014
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeKQ6O
ML Diversified Futures UCITS D Hedged Acc EUR
Initial charge-
Annual charge-
Min single investment£0
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)1.77%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price110.62
CurrencyEUR
Price updated30/11/2016
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeJW3I
ML Diversified Futures UCITS Z Hedged Acc GBP
Initial charge5%
Annual charge1.35%
Min single investment£10,000
Min regular saving£100
Available in ISANo
Ongoing charge (OCF)1.86%
Total expense ratio (TER)-
Bid price-
Offer price-
Mid price105
CurrencyGBP
Price updated30/11/2016
TypeAccumulation
Institutional or retail classRetail
Domicile-
Citi codeKSCN
Data provided by

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You should be aware that prices may fall as well as rise and that the income derived can go down as well as up. When buying or selling any investment that fluctuates in price or value you may get back less than you invested. Past performance is not necessarily a guide to future performance.