Man Institute

Analysis

Varying by Degrees: Fire & Ice 2.0

January 2022
Time to read: 11 minutes

We describe enhancements made to our Fire & Ice framework. These

include making the regime classification system fully algorithmic, as well as
testing a much wider range of assets and strategies, as far back as 1877,
in some cases. We describe the key steps as we see them to reshaping
portfolios in a ‘Fire’ regime (high and rising inflation), run through some of
the differences between disinflation and reflation (the two most common
environments), as well as investigating some of the characteristics behind
‘Ice’ (low and falling inflation), the most mysterious of our four regimes.

For institutional investor, qualified investor and investment professional use only. Not for retail public distribution.

Authors

Henry Neville, CFA Teun Draaisma Ben Funnell

Analyst, Portfolio Manager, Portfolio Manager,
Man Solutions Man Solutions Man Solutions

www.man.com/maninstitute
‘‘
For decades, our
guiding principle
Introduction
For decades, our guiding principle has been that the level and direction of general
price rises are, together, the key determinants of asset allocation. In March 2017, we
published Fire, Then Ice, our first explicit introduction to this framework at Man Group.
The genesis of the process is much older though, back to the 1990s when Ben Funnell
has been that the and Teun Draaisma were analysts in Morgan Stanley’s research department, under
level and direction of Barton Biggs and Steve Roach, the two much-feted – and in the case of Barton, much-
missed – luminaries of financial market strategy.
general price rises
Up until recently we had always defined these regimes qualitatively for major asset
are, together, the key classes, making a judgement on what constituted high or low inflation, and on what
determinants of asset counted as falling or rising in terms of direction. Over the last year, we have sought
to add robustness by following a quantitative regime identification process for a much
allocation.  ’’ wider range of assets. Thus, we studied 95 investment strategies over 98 years (and
150 years in some cases). In doing this, we have found results which support our
original findings.

Lessons From FIRE

In Figure 1, we show a 150-year history of US inflation, overlaid with these new
regimes. Inflation – or FIRE as we term it – was the original impetus of the project, it
being the subject of a paper we wrote with Otto van Hemert, our colleague at Man
AHL, and Professor Campbell R. Harvey, finance professor at Duke University. Entitled
The Best Strategies for Inflationary Times, the study systematically defined periods of
high and rising inflation from 1926 to present day, and observed how various passive
and active investment strategies had historically moved through them. In Figure 1, we
show these FIRE regimes as the dark red shaded areas. The lighter red areas prior to
1926 are also FIRE, but are based on new data which we did not have previously.

Figure 1. Fire & Ice Quantitatively Defined Regimes for US

25%

20%

15%

10%

5%

0%

-5%

-10%

-15%

-20%
77

87

18

28

59

69

00

10

0
l- 9

-0

l- 3

-4

l- 7

-8

l- 2
n-

r-

n-

r-

n-

r-

n-

r-
ct

ct

ct
Ju

Ju

Ju

Ju
Ap

Ap

Ap

Ap
Ja

Ja

Ja

Ja
O

FIRE ICE DISINFLATION REFLATION Headline CPI YoY (%)

Source: Inflation data from Professor Shiller’s database, regimes defined by Man DNA team.
The full specification of the algorithm is beyond the scope of this paper, but in summary we can say the following: FIRE is where
YoY inflation moves up through 2%, breaches 5%, and then peaks, with the observation window for the peak ending where
inflation drops below its trailing 24 month maximum. ICE is where YoY inflation moves down through 1%, and then breaches
-1%, with the end of the regime being where it moves back up through -4% (or the trough if it never gets to -4%). REFLATION
is any regime which is not FIRE or ICE, and where CPI YoY has increased over the trailing 12 months. However, it is assumed
that REFLATION cannot follow FIRE, and so in the rare occasions where it does, it is subsumed within the next available regime.
DISINFLATION is the mirror image of REFLATION. For both DISINFLATION and REFLATION, any interruption of three months or
less is subsumed within the prevailing regime. For a full specification please reach out to the Man DNA team.

Varying by Degrees: Fire & Ice 2.0 |  2

‘‘
From a multi-asset
perspective, FIRE is
Next, in Figure 2, we show performance results in each of these regimes in aggregate.
Non-positive numbers are coloured red. Thus, at a simple glance we can see that,
from a multi-asset perspective, FIRE is the most dangerous regime. ICE, the other
dangerous environment for risk, at least has the advantage of solid returns to all
segments of fixed income, the key equity diversifier in most multi-asset portfolios.
the most dangerous
regime.  ’’ The FIRE Escape Plan
Thus, in Figure 3, we rehearse a ‘FIRE escape plan’ – 10 steps investors can take to
rapidly re-shape their portfolios if they perceive an inflationary regime to be emerging.

Figure 2. Real Annualised Returns in Regimes Defined in Figure 1

US Aggregate Regime Per formance (Returns are Real Annualised)

BD DURATION SINCE 1926 SINCE 1926 BD DURATION
EQ SECTORS EQ SECTORS
UST 30: 4% Equities: 14% Equities: (7%) UST 30: (8%)
Staples: 14% Staples: (6%)
UST 10: 4% Bonds: 4% Bonds: (5%) UST 10: (5%)
Disc.: 22% Disc.: (15%)
UST 2: 2% 60/40: 10% 60/40: (6%) UST 2: (3%)
Manu: 14% Manu: (8%)
TIPS: 2% Commod: 0% Commod:15% TIPS: 2%
Energy: 10% Energy: 1%
Chems.: 14% FULL HIST. FULL HIST. Chems.: (6%)
CREDIT CREDIT
Tech: 16% Equities: 12% Equities: (8%) Tech: (9%)
IG: 5% IG: (7%)
Comms: 13% Bonds: 4% Bonds: (7%) Comms: (7%)
HY: 6% HY: (7%)
Utils: 13% 60/40: 9% 60/40: (7%) Utils: (9%)
Retail: 18% Commod: 2% Commod: 13% Retail: (9%)
COMMOD. GROUPS COMMOD. GROUPS
Health: 12% Health: (1%)
Industrials: (6%) Industrials: 19%
Fins: 17% Fins: (9%)
Precious: (4%) Precious: 11%
Agris: (1%) Agris: 9%
EQ L/S STYLES EQ L/S STYLES
Softs: 1% Softs: 8%
Small Size: 2% Small Size: (4%)
Livestock: 0% Livestock: 7%
Value: 3% Value: (1%)
Energies: (9%) Energies: 31%
Profitability: 3% Profitability: (1%)
Cons. Invest.: 2% DIRECTION OF INFL ATION Cons. Invest.: 2%
Trend: 15% Trend: 25%
XS Mom.: 7% XS Mom.: 8%
Gold: (4%) Gold: 13%
Wine: 3%
Quality: 3% FALLING RISING Quality: 3%
Wine: 5%
Low Beta: 12% Low Beta: (3%)
Resi RE: 3% Resi RE: (2%)

CPI moves from 6% to 2% CPI moves from 2% to 11%

O ve r full t ime p er iod fr om 7% t o 2 %
DISINFLATION FIRE Ove r f u l l t i m e p e ri o d f ro m 2 % t o 1 3 %

40% of t i me 18% of t i me
LEVEL OF INFL ATION

HIGH

2% avg. i nflat i on 10% avg. i nflat i on

4% avg. grow t h 4% avg. grow t h
Num bers for ful l ti m e peri od: Num bers for ful l ti m e peri od:
34% / 1% / 3% 19% / 12% / 5%

ICE REFLATION
LOW

7% of t i me 34% of t i me
( 3%) avg. inflat ion 2% avg. i nflat i on
( 3%) avg. grow t h 4% avg. grow t h
Num bers for ful l ti m e peri od: Num bers for ful l ti m e peri od:

15% / (5% ) / 0% 32% / 2% / 4%

CPI moves from 2% to (4%) C P I move s fr om 0% to 2 %
O ve r full t ime p er iod fr om 3% t o ( 5 % ) Ove r f u l l t i m e p e ri o d f ro m ( 1 % ) t o 2 %
BD DURATION EQ SECTORS BD DURATION
EQ SECTORS
UST 30: 13% UST 30: 3%
Staples: 8% Staples: 9%
UST 10: 11% UST 10: 2%
Disc.: 6% Disc.: 6%
UST 2: 5% UST 2: 1%
Manu: (7%) Manu: 11%
TIPS: 2% TIPS: 4%
Energy: (7%) Energy: 10%
Chems.: 3% Chems.: 10%
CREDIT CREDIT
Tech: (9%) Tech: 13%
IG: 13% IG: 5%
Comms: (1%) Comms: 8%
HY: 7% HY: 7%
Utils: (5%) Utils: 9%
Retail: (1%) Retail: 8%
COMMOD. GROUPS COMMOD. GROUPS
Health: 7% Health: 11%
Industrials: (27%) FULL HIST. FULL HIST. Industrials: 22%
Fins: (11%) Fins: 9%
Precious: (14%) Equities: 14% Equities: 8% Precious: 4%
Agris: (22%) Bonds: 12% Bonds: 2% Agris: (1%)
EQ L/S STYLES EQ L/S STYLES
Softs: (8%) 60/40: 14% 60/40: 6% Softs: (7%)
Small Size: 14% Small Size: (2%)
Livestock: (34%) Commod:(7%) Commod: 6% Livestock: 7%
Value: 9% Value: 0%
Energies: (57%) Energies: 20%
Profitability: 11% Profitability: 1%
SINCE 1926 SINCE 1926
Cons. Invest.: 3% Cons. Invest.: 1%
Trend: 18% Equities: (2%) Equities: 10% Trend: 13%
XS Mom.: (14%) XS Mom.: 4%
Gold: 5% Bonds: 11% Bonds: 2% Gold: 2%
Quality: 14% Quality: 1%
Wine: 2% 60/40: 5% 60/40: 7% Wine: 9%
Low Beta: (3%) Low Beta: 5%
Resi RE: 0% Commod:(13%) Commod:7% Resi RE: 1%

Sources: Equities are the S&P 500 using Professor Shiller’s data. Bonds are UST10 from GFD. 60/40 is the monthly rebalanced
60% equity, 40% bonds portfolio. Commodities are proxied by an equal weight portfolio of all futures contracts as they appear
through history. From 1877 to 1946, this is based off work done by AQR. From 1946, we use returns data from the Man AHL
database. Sectors are the based off the 12 Fama-French industry portfolios. Similarly, styles are the Fama-French portfolios
(SMB, HML, RMW, CMA and Mom., respectively), apart from Quality and Low Beta which are AQR (QMJ and BAB). Duration
returns from GFD. TIPS prior to 1997 based off a backcast by William Marshall at Goldman Sachs, otherwise Bloomberg. Credit
portfolios constructed by the DNA team from data provided by Morgan Stanley. Wine returns from Credit Suisse to 2001, and
then the Liv-Ex 100 Fine Wine benchmark. Residential RE is based on the Case-Shiller index. All returns are total return. For
further details on regimes and asset returns, please see our paper, The Best Strategies for Inflationary Times, available here.

Varying by Degrees: Fire & Ice 2.0 |  3

 Figure 3. FIRE Escape Plan

Long-only
Over the last 150 years, a monthly rebalanced US 60/40 strategy has returned
1 Paper
Assets
CUT!
+6%. In FIRE, we think this drops to -7%

In the eight US inflations since 1926, while international assets have generally
Equities,
Diversify followed the same pattern as those in the US, there has tended to be some
2 Bonds and
Real Estate
Internationally diversification benefit. For instance, UK Equities and 10-year Gilts are both -2%,
versus -7% and -5% for the US equivalents

Skew to Large
Market Cap, High
Within In FIRE, long/short Large Size does +4%, High Quality +3%, High Beta +3% and
3 Equities
Quality, High
Beta, High Price High Price Momentum +8%
Momentum

Skew to Energy,
Healthcare, Gold
In FIRE, Energy does +1%, the only positive major sector. Health care is negative
Within Miners. Skew
4 Equities away from
but best-of-the-rest on -1%. At a sub-sector level, Gold Miners are the strongest
performers on +7%
Consumer, Utils,
Tech, Fins

Within Shorten While the UST2 loses you 2% a year, the UST30 costs 8%. Assuming Macaulay
5 Fixed
Income
Duration durations of 2 and 20 years respectively, we can arrive at a heuristic that each
extra year costs 33bps

Within
Reduce Credit performs worse than would be expected given its duration (which tends to
6 Fixed
Income
Credit Risk be between 4-8 years), returning -7% for both IG and HY

Within
Add to floating
7 Fixed
Income
rate issuance The only positive segment of the fixed income space in FIRE (+2%)

Reduce
Within While long-term data is hard to come by, our calculations suggest that PE runs at
8 Alternatives
Private Equity
Allocations +14% in normal times; in FIRE, this drops to -4%

Within In the 15 episodes of FIRE since 1877, Commodities in aggregate return +13%
9 Alternatives
Buy
Commodities with a hit rate of almost 90%

Increase
Within Exposure to
10 Alternatives Trend-Following
In the eight FIRE regimes since 1926, All-Asset Trend has a 100% hit rate and
average performance of +25%
Strategies

‘‘
Source: Unless otherwise stated, all returns refer back to that shown in Figure 2, see source note there for details. All returns
are TR Real CAGR. Regarding international diversification, these numbers are taken from Exhibit 16 in The Best Strategies for
Inflationary Times. Similarly, the number for gold miners comes from Exhibit C1 of the same report. For PE, we take data from

Preparing for FIRE in Cambridge Associates PE index post 1986 and before that a proxy portfolio which takes US stocks, screens on size, profitability
and value, then applies two turns of leverage. Illustrative example – for information only. The above example is intended as an

price rises is a bit like illustration of typical investment considerations and strategy implementation. It should not be construed as indicative of potential
performance of a fund or strategy or of any investment made by a fund or strategy

preparing for real-

life fire; you make
Preparing for FIRE in price rises is a bit like preparing for real-life fire; you make sure
sure you have alarms you have alarms and extinguishers, but it’s a fairly infrequent occurrence, barring
and extinguishers, pyromaniac tendencies. DISINFLATION and REFLATION are the norm, accounting
for 74% of the time in the main sample period, per Figure 2. So, while it’s important
but it’s a fairly to prepare thoroughly for the tail risk, it is also right to make sure we are correctly
infrequent occurrence, calibrated for the usual market poise. Thus, to complement the FIRE Escape Plan, in
Figure 4, we give our observations for how portfolios should be calibrated within these
barring pyromaniac two regimes.
tendencies. It should be noted this is purely empirical – we’re just looking at Figure 2 and writing
DISINFLATION and down what we observe. While we can see a clear rationalisation for some – it makes
sense, for instance, that commodities should start to perform in REFLATION, as the
REFLATION are the market looks forward to possible FIRE ahead – others are more mysterious to us. Why
norm.  ’’ does Value seem to do better in falling as opposed to rising rate environments? Why
are financials not stronger in FIRE, where rising rates should allow banks to inflate

Varying by Degrees: Fire & Ice 2.0 |  4

‘‘
their net interest margins? Further work is required to ascertain the answers to these
questions, but we include where we are now anyway. We fit our priors to the data, and
not the other way around.

Gold and trend It’s worth also saying a word on gold and trend which, per Figure 2, both share
a similar characteristic of being much stronger in FIRE and ICE, than they are in
both share a similar DISINFLATION and REFLATION. Both display evidence of exhibiting ‘crisis alpha’, given
characteristic of being that FIRE and ICE tend to be times of elevated market stress. This finding was made
separately by Man Group colleagues a couple of years ago in a 2019 paper entitled
much stronger in FIRE The Best of Strategies for the Worst of Times. So, within DISINFLATION and
and ICE, than they are REFLATION, it might make sense to have a position in trend and gold, as a hedge
against moving unexpectedly into one of the two extreme environments. In that
in DISINFLATION and context, trend could be the better option given that it has positive ‘cost of carry’ within
REFLATION.  ’’ both the moderate regimes. However, in REFLATION, it may be right to shift some
of that exposure to gold, given that it moves into positive territory, and allows for
diversification of inflation alpha sources.

Figure 4. Empirical Guidelines for Navigating DISINFLATION and REFLATION

IN DISINFLATION IN BOTH IN REFLATION

Skew toward Risk Parity

Be more Equity-heavy
Take risk than Risk Parity
Move Equity exposure
toward Consumer
Buy Financials Introduce Commodities
facing sectors
Buy Low Beta Buy Large Caps
Buy Small Caps
Buy Real Estate Be more relaxed
Move toward
about valuations
cheaper Value

Source: Man Solutions. Illustrative example – for information only.

Moving to ICE
Finally, we study the ICE quadrant. It may seem unnecessary to give thought to
deflation with price rises running over 6%, but there is a vocal minority – spearheaded
by ARK Invest’s Cathie Wood – which says that ICE is a realistic threat, driven by an
innovation-catalysed productivity boom. To be clear this isn’t our base case, but one
we do think is worthy of consideration.

One thing that is immediately clear about ICE is that it is much less predictable than
FIRE. This is particularly pertinent as regards equity performance. Looking at the boxes
entitled ‘Since 1926’ and ‘Full Hist.’ in the ICE quadrant of Figure 2, we see a stark
difference between returns to the asset class. While in the former – which as discussed
is the sample we have traditionally used in our backtesting work – equities return -2%
real annualised, or -5% in nominal space. In the latter, the equivalent numbers are
+14% and +9%.

Our intuition has always been that in ICE equities should be weak, as the Money Illusion
makes it harder for firms to cut their input costs (which will often have a significant
labour component) than their output prices. The result will be margin erosion which
should feed through into declining share prices.

Having been presented with these new empirical findings, we have nuanced our view in
two ways. First, we observe that there is often a difference between ICE that is led by
productivity gains, and that which is precipitated by slumping demand. It is the former

Varying by Degrees: Fire & Ice 2.0 |  5

 that dominate the pre-1926 period in our sample. We note that in the 10 ICE regimes
prior to 1926, real GDP growth averaged at +2% per annum. In the five that have
happened since, the average has been -3%.

We illustrate the point with the two most extreme examples. The ICE regime which ran
from October 1900 to April 1901 saw:

ƒƒ Inflation annualising at -6%;

ƒƒ Real growth at +8%;

ƒƒ Real equity CAGR of +99%.

This episode came off the back of a decade of heady innovation and workforce
expansion: the incorporation of General Electric and US Steel, Henry Ford’s first
car, the Wright Brothers’ first flight, the first major oil discovery in Texas, and a 21%
increase in the population from 63 million to 76 million as waves of immigration hit the
new promised land. 1 Ever industrious, the Gilded Generation even found time to annexe
Hawaii, Samoa, the Philippines and Alaska.

This is in sharp contrast to the ICE regime which ran between September 1929 and
June 1933; this saw:

ƒƒ Inflation annualising at -8%;

ƒƒ Real growth at -8%;

ƒƒ Real equity CAGR of -12%.

‘‘
Although ICE does not
always have negative
equity ramifications
in the regime itself;
immediately before
and after the episode
can be treacherous
times as well.  ’’
While the reasons behind the Great Depression are hotly debated to this day, there
is general agreement that it was led by demand turning in on itself, with emigration
increasing for the first time in US history and numerous bank defaults as solvency was
strangled, first for the farmers and then for corporate America more broadly.
The second observation we make is that although ICE does not always have negative
equity ramifications in the regime itself; immediately before and after the episode can
be treacherous times as well.
In Figure 5, we show the maximum real equity drawdown through the 15 ICE regimes
(shaded blue), and for each the 12 prior and subsequent months. This means that
some of the episodes become meshed together (due to their occurring within 12
months of one another), and we are left with 11 broader time periods, as indicated by
the dates in the blue boxes at the top of the chart.
From this we can see that in all but one of these 11, equities experienced at least
one real drawdown of 10% or more. This was sometimes before, sometimes after and
sometimes in-between ICE regimes, but to us it illustrates that where there is ICE there
is danger. The Titanic sailed through clear water, but the fact that it was travelling
through the vicinity of ice was ultimately to its peril.

Figure 5. ICE Regimes Combined with 12 Months Before and Afterwards

Sep Jun Dec Mar Jul

Dec 1876
Jul 1881 - 1899 - Apr 1907 - Dec 1919 - 1925 - Aug 1928 - 1936 - 1948 - 2007 -
- Nov 1887 - Oct 1897
Nov 1886 Apr Sep 1912 Oct 1923 Apr Jun 1934 Oct Oct Jul
Jul 1880
1902 1928 1939 1950 2010
0%

-10%

-20%

-30%

-40%

-50%

-60%

-70%

-80%
ICE Regimes Equity Max Real Drawdown

Source: Man Group.

1. Source: US Census Office.

Varying by Degrees: Fire & Ice 2.0 |  6

‘‘
ICE and FIRE are both
damaging, but ICE is
In summary, we would synthesise the lessons of ICE as:

ƒƒ ICE and FIRE are both damaging, but ICE is less predictable, and thus a time
where it pays to be particularly humble about your known knowns. This is
further illustrated in the Sharpe of US equities in the different regimes. For FIRE,
DISINFLATION, REFLATION and ICE, these are, respectively, -0.5, +0.8, +1.2
less predictable, and
and -0.1. 2 The ICE number being closest to zero in absolute terms is indicative of
thus a time where it greater uncertainty of returns during these environments;
pays to be particularly ƒƒ In ICE, you should think especially carefully about productivity and real growth.
These are particularly important in distinguishing between ‘good’ and ‘bad’ ICE;
humble about your
known knowns.  ’’ ƒƒ The pain of ICE may not actually come in the freeze itself. Be fearful in the
12-month build-up and aftermath as well.

2. As per Figure 2.

Varying by Degrees: Fire & Ice 2.0 |  7

Authors

Henry Neville, CFA

Analyst, Man Solutions
Henry Neville has been at Man Group since the beginning of 2016.
Previously, he was an equity analyst at Walter Scott & Partners,
a subsidiary of BNY Mellon, and a graduate analyst at Hoares
Bank. He studied History at St. Andrew’s University and is a CFA
charterholder.

Teun Draaisma
Portfolio Manager, Man Solutions
Teun Draaisma is the joint lead Portfolio Manager within Man
Group’s multi-asset offering. He joined Man Group in May 2018
from BlackRock, where he was global equity strategist since 2012,
focusing on portfolio management and asset allocation. Prior to
this, he was European equity strategist at Morgan Stanley from
1997 to 2010, where he ran the European Equity Strategy team. He has also been a
portfolio manager at TT International. Teun holds a master’s degree in Econometrics
from Erasmus University Rotterdam.

Ben Funnell
Portfolio Manager, Man Solutions
Ben Funnell is the joint lead Portfolio Manager within Man Group’s
multi-asset offering. Previously, he was a lead portfolio manager
and chief equity strategist at Man GLG. Prior to joining Man GLG in
2005, he spent 11 years at Morgan Stanley, the last nine of those
years on the European Equity Strategy team, which he co-headed
in his final three years at the firm. He was educated in modern languages at Durham
University, UK.

Varying by Degrees: Fire & Ice 2.0 |  8

Important Information
This information is communicated and/or distributed by the relevant Man entity identified below (collectively the ‘Company’) subject to the following
conditions and restriction in their respective jurisdictions.
Opinions expressed are those of the author and may not be shared by all personnel of Man Group plc (‘Man’). These opinions are subject to change
without notice, are for information purposes only and do not constitute an offer or invitation to make an investment in any financial instrument or
in any product to which the Company and/or its affiliates provides investment advisory or any other financial services. Any organisations, financial
instrument or products described in this material are mentioned for reference purposes only which should not be considered a recommendation
for their purchase or sale. Neither the Company nor the authors shall be liable to any person for any action taken on the basis of the information
provided. Some statements contained in this material concerning goals, strategies, outlook or other non-historical matters may be forward-looking
statements and are based on current indicators and expectations. These forward-looking statements speak only as of the date on which they
are made, and the Company undertakes no obligation to update or revise any forward-looking statements. These forward-looking statements are
subject to risks and uncertainties that may cause actual results to differ materially from those contained in the statements. The Company and/or its
affiliates may or may not have a position in any financial instrument mentioned and may or may not be actively trading in any such securities. This
material is proprietary information of the Company and its affiliates and may not be reproduced or otherwise disseminated in whole or in part without
prior written consent from the Company. The Company believes the content to be accurate. However accuracy is not warranted or guaranteed.
The Company does not assume any liability in the case of incorrectly reported or incomplete information. Unless stated otherwise all information is
provided by the Company. Past performance is not indicative of future results.
Unless stated otherwise this information is communicated by the relevant entity listed below.
Australia: To the extent this material is distributed in Australia it is communicated by Man Investments Australia Limited ABN 47 002 747 480 AFSL
240581, which is regulated by the Australian Securities & Investments Commission (ASIC). This information has been prepared without taking into
account anyone’s objectives, financial situation or needs.
Austria/Germany/Liechtenstein: To the extent this material is distributed in Austria, Germany and/or Liechtenstein it is communicated by
Man (Europe) AG, which is authorised and regulated by the Liechtenstein Financial Market Authority (FMA). Man (Europe) AG is registered in
the Principality of Liechtenstein no. FL-0002.420.371-2. Man (Europe) AG is an associated participant in the investor compensation scheme, which
is operated by the Deposit Guarantee and Investor Compensation Foundation PCC (FL-0002.039.614-1) and corresponds with EU law. Further
information is available on the Foundation’s website under www.eas-liechtenstein.li. This material is of a promotional nature.
European Economic Area: Unless indicated otherwise this material is communicated in the European Economic Area by Man Asset Management
(Ireland) Limited (‘MAMIL’) which is registered in Ireland under company number 250493 and has its registered office at 70 Sir John Rogerson’s
Quay, Grand Canal Dock, Dublin 2, Ireland. MAMIL is authorised and regulated by the Central Bank of Ireland under number C22513.
Hong Kong SAR: To the extent this material is distributed in Hong Kong SAR, this material is communicated by Man Investments (Hong Kong)
Limited and has not been reviewed by the Securities and Futures Commission in Hong Kong. This material can only be communicated to
intermediaries, and professional clients who are within one of the professional investors exemptions contained in the Securities and Futures
Ordinance and must not be relied upon by any other person(s).
Japan: To the extent this material is distributed in Japan it is communicated by Man Group Japan Limited, Financial Instruments Business Operator,
Director of Kanto Local Finance Bureau (Financial instruments firms) No. 624 for the purpose of providing information on investment strategies,
investment services, etc. provided by Man Group, and is not a disclosure document based on laws and regulations. This material can only be
communicated only to professional investors (i.e. specific investors or institutional investors as defined under Financial Instruments Exchange Law)
who may have sufficient knowledge and experience of related risks.
Switzerland: To the extent this material is distributed in Switzerland, this material is communicated by Man Investments AG, which is regulated by
the Swiss Financial Market Authority FINMA.
United Kingdom: Unless indicated otherwise this material is communicated in the United Kingdom by Man Solutions Limited (‘MSL’) which is an
investment company as defined in section 833 of the Companies Act 2006. MSL is registered in England and Wales under number 3385362 and has
its registered office at Riverbank House, 2 Swan Lane, London, EC4R 3AD, United Kingdom. MSL is authorised and regulated by the UK Financial
Conduct Authority (the ‘FCA’) under number 185637.
United States: To the extent this material is distributed in the United States, it is communicated and distributed by Man Investments, Inc.
(‘Man Investments’). Man Investments is registered as a broker-dealer with the SEC and is a member of the Financial Industry Regulatory Authority
(‘FINRA’). Man Investments is also a member of the Securities Investor Protection Corporation (‘SIPC’). Man Investments is a wholly owned
subsidiary of Man Group plc. The registration and memberships described above in no way imply a certain level of skill or expertise or that the SEC,
FINRA or the SIPC have endorsed Man Investments. Man Investments, 452 Fifth Avenue, 27th fl., New York, NY 10018.
This material is proprietary information and may not be reproduced or otherwise disseminated in whole or in part without prior written consent. Any
data services and information available from public sources used in the creation of this material are believed to be reliable. However accuracy is not
warranted or guaranteed. © Man 2022.
MKT000270-062/NS/GL/W

Varying by Degrees: Fire & Ice 2.0 |  9