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Not to be distributed outside RQSI without prior consent
RQSI GAA SYSTEMATIC GLOBAL MACRO FUND
February 2018
Not to be distributed outside RQSI without prior consent
This material is for informational purposes only and is being furnished on a confidential basis to a limited number of prospective investors. This presentation is not an offer to sell, nor a solicitation of an offer to buy any security of any of the funds referenced in this material (each, a “Fund”) or any other investment product. Offers to sell or solicitations to invest in any Fund are made only by means of a confidential offering memorandum and in accordance with applicable securities laws. Investors should review the confidential offering memorandum (including, without limitation, the information therein as to investment strategy, conflicts and risks) prior to making an investment decision. Certain terms with respect to the Funds referenced herein are subject to change. This material has been prepared from original sources and data believed to be reliable. However no representations are made as to the accuracy or completeness thereof. No assurance can be given that the Funds will invest in the manner described herein.
Certain information herein reflects the opinion of RQSI and is subject to change without further notice. An investment in a Fund involves a high degree of risk and is suitable only for sophisticated investors. Qualified and interested parties may obtain a complete set of offering materials from RQSI, including a detailed description of the investment program and the applicable fees and expenses. Pursuant to an exemption from the Commodity Futures Trading Commission in connection with accounts of qualified eligible persons, this document is not required to be, and has not been, filed with the Commission. The Commodity Futures Trading Commission does not pass upon the merits of participating in a trading program, or upon the adequacy or accuracy of commodity trading advisor disclosure. Consequently, the Commodity Futures Trading Commission has not reviewed or approved this trading program or this brochure or account document. This document is confidential and not for further circulation.
THIS MATERIAL MAY NOT BE REPRODUCED IN WHOLE OR IN PART, AND IT MAY NOT BE DELIVERED TO ANY PERSON WITHOUT THE PRIOR WRITTEN CONSENT OF RQSI
Important Information & Disclosures
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Not to be distributed outside RQSI without prior consent
RQSI Firm Overview
Products
$570M in Total Systematic Product Assets $455M in GAA Systematic Global Macro Strategy (Fund/Managed Accts) $80M in SmallCap Hedged Equity Strategy $35M in Custom Solutions (subset of GAA trading strategies)
AUM*
RQSI Global Asset Allocation (“GAA”) Systematic Global Macro Fund RQSI Small Cap Hedged Equity Fund
Firm
A global asset-oriented investment firm that leverages 30 years of experience developing, managing and allocating to alternative strategies Developing systematic trading & price based strategies since 1986 Developing fundamental non-price-based trading strategies since 2002 Developed statistical arbitrage program from 1997-2005 where we
developed proprietary execution & routing platform
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* As of 1/31/18
Not to be distributed outside RQSI without prior consent
RQSI History of Systematic Strategy Development
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Systematic Trading & Investing Across Multiple Markets
Technical Futures Models
1986 History of various strategic investment programs since Neil Ramsey launched firm in 1986• Launched propriety CTA portfolio designed to diversify traditional stock/bond portfolio (1986)• Formed Guaranteed Weather, a weather derivatives trading joint venture with Mitsui Sumitumo and Hanover RE (sold to Mitsui
Sumitumo in 2007) (2004)• Established Chinese Real Estate Joint Venture with Everbright Bank (ALAM) (2007)• Launched distressed debt and equity product with Bay Harbour (2010)
1988 An integral part of RQSI’s risk profile since inception• Awarded Managed Futures mandate from Virginia State Teachers Retirement Fund (1988)• Built in-house managed account platform w/automated reconciliation and real-time risk monitoring (1991)• Started trading in-house technical futures models (1992)• Launched TradePipe, electronic multi-asset class execution platform (sold to Lehman Brothers in 2005) (2000)• Launched RQSI Managed Futures Fund & created Emerging CTA Index (2002)
Fundamental Equity Factor & Econometric Models
2003-2009 Developed by our research team.
Quantitative Equity Models1996-2007 Over a decade of research, development and profitable trading
• Launched Statistical Arbitrage Fund (1997)• Built Flexfolio for asset allocation & portfolio optimization (1999)• Received patent on synthetic average pricing system (2002)
GAA
2008 Created initial GAA approach.
2012 Introduced current GAA trading approach.
Small Cap2015 Launched Small Cap Mutual Fund
Primary RQSI Current Focus
Not to be distributed outside RQSI without prior consent
Fund Approach
RQSI has been developing investment strategies for over 30 years. The RQSI GAA Systematic Global Macro program leverages our experience into a single investment product by combining a strong econometric-based asset allocation process with proven quantitative and technical inputs.
1. Deep Understanding of Market DynamicsWe understand how markets interrelate and how to leverage market anomalies.
2. Broad Based Risk AllocationOur programs are developed to allocate risk across multiple dimensions including instrument, asset class, style and timeframe and trade only the most liquid markets.
3. Experienced Execution ManagementOur proprietary execution platform analyzes market liquidity and trading volumes and was built by the same team that operated a top-decile statistical arbitrage strategy.
Why RQSI GAA Systematic Global Macro?
The Fund seeks to provide attractive risk-adjusted returns with little or no correlation to traditional asset classes.Goal
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Strategy Differentiation
What makes the RQSI GAA Systematic Global Macro Program different?
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Benefits of GAA Approach How is this done?
1. Designed to aim for equity like returns with limited equity downside.
Adoption of fluctuating equity exposures that are designed to participate in up markets with ability to go flat/short in other periods. Also can use other assets to potentially capture return and offset equity risks primarily through fixed income positions.
2. More likely to perform in multiple market environments.
Highly diversified use of trading approaches across different trading anomalies and timeframes resulting in very dynamic portfolio exposures
3. Broad asset exposure both long and short.
Trading universe of 30+ global futures across different asset classes, geographies, sectors and duration (i.e., limits exposure to single instrument risk)
4. Designed to potentiallybenefit from a sustained down equity cycle.
Use of price and fundamental based hedging approaches that can take meaningful risk off exposures in prolonged periods of equity weakness (i.e., no persistent long equity beta)
Diversification does not ensure a profit or guarantee against a loss.
Not to be distributed outside RQSI without prior consent
GAA Systematic Global Macro : A Quantamental Approach
Economic Theory
StatisticalMethods
Market Knowledge
Core Opportunity
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Not to be distributed outside RQSI without prior consent
GAA Systematic Global Macro Framework
Global Equities
Global Fixed Income
Econometric Relative Value Technical
Currencies
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The GAA Systematic Global Macro program (“GAA”) is a purely systematic, global futures strategy designed to attempt to provide attractive risk-adjusted returns with little/no correlation to traditional asset classes.* Trades only the most liquid global futures* Seeks to take advantage of multiple levels of diversification across the portfolio.* Utilizes multiple return sources across Thematic Risk Buckets of Style, Asset Class and Timeframe
Examples of the types of factors included across the different assets and trading styles are shown below
Diversification does not ensure a profit or guarantee against a loss.
Variety of Economic indicators including
factors such as inflation, growth rates
and interest rates
How cheap/expensive instruments are based on current price levels and
economic factors such as interest rates
Variety of purely price driven factors
including both short and longer term price
trends
Not to be distributed outside RQSI without prior consent
RQSI Research Process Overview
STAGE 1:IDEA AND METHOD
STAGE 2:BUILD RESEARCH MODEL
STAGE 3:BUILD PRODUCTION MODEL
STAGE 4:MODEL ENTRY
STAGE 5:MONITORING
Research Team Member | Research Team | Investment Committee | Operational Committee | CIO
Define Project
Decide Project Scope
Selection of Methods and Parameters
Analysis using in-sample data
Assess results and decide on potential Academic Advisor involvement
Build Research Model using in-sample data
Research Model Discussion
Out-of-Sample Analysis
Investment Committee & CIO: Discuss Performance of Research Model Out-of-Sample
Operational Committee:Highlight potential implementation issues of new model
Investment Committee: Review portfolio level model impact• Balance across risk
dimensions• Alignment issues• Drawdown review• Exposure spikes• “Reasonableness”
Add model to production platform for testing
Investment Committee & CIO:Determine final allocation for new model and changes to remaining models if applicable
Operational Committee: Add model to live production trading
Run model live at 100% of target allocation
Ongoing Daily Monitoring System
Investment Committee: Ongoing model review
Investment Committee:Model review triggered if limits breached
GROUP APPROVAL GROUP APPROVAL
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Not to be distributed outside RQSI without prior consent
Portfolio Construction
Risk management is considered at every stage of the portfolio construction process
Trading models that have very different inputs can have very similar dependencies and return profiles.
- Overlapping/extreme exposures at the individual instrument or asset class level
- Coincidental market and portfolio drawdowns- Environmental dependencies
We utilize our proprietary “UP” platform and trading experience to subject new (and existing) models to an analysis of underlying drivers of potential return and shared dependencies
We then identify possible alignment risks within factors, asset class or timeframe and attempt to balance allocations across these dimensions.We then develop the portfolio considering- Instrument Position Levels- Asset & Portfolio Risk Caps that are active in
periods of large asset specific exposures (equities, fixed income, currencies) and in periods of high overall portfolio volatility
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Not to be distributed outside RQSI without prior consent
Fund Investment Options & Fees
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Share Class Institutional Shares Retail Shares
Ticker symbol RQSGX RQSRX
Management Fee 1.90% 1.90%
Incentive Fee 0.00% 0.00%
Estimated Operating Expenses 0.53% 0.53%
Shareholder Services & 12b-1 Fees 0.00% 0.35%
Gross Expense Ratio 2.43% 2.78%
Net Expense Ratio Cap (excl. shareholder services & related fees)**
2.50% 2.85%
Minimum Initial Investment $100,000 $10,000
Minimum Follow-on Investment $10,000 $5,000
** Net Expense Ratio Cap is contractual and effective through February 28, 2019
Not to be distributed outside RQSI without prior consent
Contact Details
Office: 1515 Ormsby Station CourtLouisville, KY 40223
Telephone: 502-315-1733
Contact: Jeff GregoryChief Operating Officer
Email: [email protected]
Website: www.rqsi.com
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Not to be distributed outside RQSI without prior consent
Important Information & Disclosures
The RQSI GAA Systematic Global Macro Fund is distributed by SEI Investments Distribution Co. (1 Freedom Valley Drive, Oaks, PA 19456), which is not affiliated with Ramsey Quantitative Systems, Inc. or any of its affiliates.
Investing involves risk, including possible loss of principal. The fund invests in derivatives. The primary risk of derivative instruments is that changes in the market value of securities held by the fund and of the derivative instruments relating to those securities may not be proportionate. Derivatives are also subject to illiquidity and counterparty risk. Investing in foreign companies poses additional risks since political and economic events unique to a country or region will affect those markets and their issuers. There is no guarantee the fund will achieve its stated objective. The fund is non-diversified.
To determine if this Fund is an appropriate investment for you, carefully consider the Fund’s investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Fund’s prospectus and a complete set of offering materials from RQSI, which may be obtained by calling 1-844-445-RQSI (7774). Read the prospectus carefully before investing or sending any funds.
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