Equinox Systematica Macro Fund

Transcription

1 SEPTEMBER 2015 PROFILE Equinox Systematica Macro Fund CLASS I: EBCIX WIDE-RANGING RETURN SOURCES Systematically trades across major global asset classes RESEARCH EXCELLENCE Research driven by collaborative and iterative development process EXPERIENCED, SYSTEMATIC PROCESS Core macro trading approach enhanced with innovative strategies seeking to exploit specific market opportunities

2 MEET OUR Portfolio Management Team BUILDING BETTER ALTERNATIVES At Equinox Funds, we are pioneers in developing investor-friendly alternatives, such as the first multi-advisor managed futures mutual fund. We started with managed futures because we believe they are the single most powerful diversifier for a portfolio of stocks and bonds. But we ve also moved into other alternative assets like hedged equities, which can potentially help reduce risk and enhance the returns of an overall portfolio over time. With a deep research culture, our mission is to bring the potential benefits of alternatives to institutions and individuals by offering diverse investment strategies that can help meet the unique goals of each investor. Equinox Funds draws upon talented individuals with decades of collective experience. The Equinox Funds team is among the most experienced in the alternatives industry, including members who have been involved in alternative investments and managed futures for over 20 years. Meet members of our portfolio management team: Ajay Dravid, PhD Chief Investment Officer, Equinox Institutional Asset Management, LP Managing Director of Portfolio Strategy, Equinox Fund Management, LLC Rufus Rankin, DBA Director of Research, Equinox Institutional Asset Management, LP Director of Portfolio Management, Equinox Fund Management, LLC For a full list of the Equinox Funds Leadership Team, please visit Equinox Funds is founded 2012 Equinox Funds introduces the Equinox Alternative Strategy Platform, a platform of single alternative strategy mutual funds Inception of Equinox Systematica Macro Fund, a mutual fund investment that accesses a program employing systematic core macro trading signals across global asset classes On 11/13/2015 the Equinox BlueCrest Systematic Macro Fund was renamed the Equinox Systematica Macro Fund.

3 Equinox Systematica Macro Fund Ticker Class I: EBCIX Inception date June 18, 2014 Minimum investment Class I: $25,000 Gross/Net expense ratio * Class I: 1.09%/0.79% Equinox Funds sales team For more information on the Equinox Systematica Macro Fund, please contact your Investment Professional or visit equinoxfunds.com. On 11/13/2015 the Equinox BlueCrest Systematic Macro Fund was renamed the Equinox Systematica Macro Fund. *The Fund's investment advisor has contractually agreed to reduce its compensation and/or reimburse expenses for the Fund, to the extent necessary to ensure that the Fund's total operating expenses, excluding taxes, any class-specific fees and expenses, interest, extraordinary items. "Acquired Fund Fees and Expenses" (as defined in the Prospectus or Summary Prospectus) and brokerage commissions, do not exceed 0.79% (on an annual basis of the Fund's total average daily net assets). The Advisor has contractually agreed to reduce its fees and/or reimburse expenses of the Fund until at least 7/29/2016. This agreement may be terminated only by the Fund's Board of Trustees on 60 days written notice to the Advisor. Please review the Fund's Prospectus or Summary Prospectus for more detail on the expense waiver. A full description of Gross Net Expense Ratios can be found on page three. Definitions of Terms and Indices can be found on the next page. Alternative investments may not be suitable for all investors. There is no guarantee the Fund will meet its intended objective. The Equinox Systematica Macro Fund is a mutual fund investment that accesses a program employing systematic core macro trading signals across global asset classes, enhanced with innovative strategies that seek to exploit specific market and sector opportunities. Offered through Equinox Funds, the Equinox Systematica Macro Fund provides access to Systematica Investments, which launched in January 2015 after a decade of experience within BlueCrest Capital Management. Founded by Leda Braga, Systematica Investments focuses on the rigorous application of science and technology within the investment process. Systematica Investments manages approximately $8.5b (as of 9/30/2015) across a number of futures and equity based strategies. Reasons to Invest WIDE-RANGING RETURN SOURCES The Fund seeks to offer diversification benefits through wide-ranging return sources: Strategy trades more than 150 markets across a number of key asset classes around the globe, including commodities, currencies, fixed income and equity indices Seeks to provide returns that have relatively low correlations with traditional asset classes RESEARCH EXCELLENCE The pursuit of excellence permeates Systematica's activities; rigorous review by peers throughout the research and development cycle Seeks to avoid intervening with the model; interaction with the model is via the research process Strategy currently utilizes Systematica's world-class proprietary trading platform All aspects of the investment process and platform are subject to continuous research and improvement ENHANCED, SYSTEMATIC PROCESS Core macro trading approach enhanced with innovative strategies seeking to exploit specific market opportunities

4 Breakdown of the Enhanced, Systematic Process CORE STRATEGIES Short-term trend strategies Long-term trend or beta plus strategies Seek to benefit from buying markets that are rising and selling markets that are falling in a set of discrete time frames ranging between a few business days and two months. Seek to trade longer term trends, taking into account market risk (beta). Positions are rebalanced daily seeking to control risk. Enhanced carry strategies Aim to benefit from the solidity of carry signals, diversifying across all sectors and mitigating their drawdown properties with refined dynamic risk control. ENHANCERS EQUITY enhancer strategies CURRENCY enhancer strategies YIELD CURVE strategies Trade equity indices, but derive signals from single name equities, including non-price and other proprietary data. Rely on interest rate data to derive signals for foreign exchange markets. Seek to capitalize on the persistence of behavior patterns across certain maturities of various yield curves. DEFINITIONS OF TERMS AND INDICES Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. A beta of 1 indicates that the security s price will move with the market. A beta of less than 1 means that the security will be less volatile than the market. A beta of greater than 1 indicates that the security s price will be more volatile than the market. For example, if a stock s beta is 1.2, its theoretically 20% more volatile than the market. A Drawdown is the peak-to-trough decline during a specific record period of an investment, fund or commodity. A drawdown is usually quoted as the percentage between the peak and the trough. Foreign Exchange Markets is an exchange of one currency for another, or the conversion of one currency into another currency, in many cases, based on the speculation that the value of one currency will increase relative to another or vice versa. Futures Contract is a standardized contract between two parties to buy or sell a specified asset of standardized quantity and quality for a price agreed upon today (the futures price or strike price) with delivery and payment occurring at a specified date, the delivery date. Global Macro/Global Trading is a strategy that trades equity, bond, currency and commodity markets based generally on global macroeconomic developments. A Systematic Trading Strategy (also known as Quantitative) employs computer-driven, mathematical models to identify when to buy or sell an instrument according to rules determined before a trade is made, generally with little or no human intervention once a mathematical formula has been entered. A Traditional Carry Method is a strategy in which a investor sells a certain currency with a relatively low interest rate and uses the funds to purchase a different currency yielding a higher interest rate. A Yield Curve is a line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates. The most frequently reported yield curve compares the three-month, two-year, five-year and 30-year US Treasury debt. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THERE IS RISK OF LOSS. YOU CAN LOSE MONEY IN A MANAGED FUTURES PROGRAM.

5 Fund Performance (%) As of 9/30/2015 QTR YTD 1 YEAR Annualized Total Returns 3 YEARS 5 YEARS Class I N/A N/A 5.32 SINCE INCEPTION 1 Trading Style Systematic Global Macro Commodity trading Short-term pattern recognition Short-term multi-strategy 1 The inception date for EBCIX is 6/18/2014. The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that investor s shares, when redeemed, may be worth more or less than their original cost. The Fund s investment advisor, Equinox Institutional Asset Management, LP, has contractually agreed to reduce its fees and/or absorb expenses of the Fund, at least until 7/29/2016 for Class I shares to ensure that the net annual fund operating expenses will not exceed 0.79% of the Fund s average daily net assests, subject to possible recoupment from the Fund in future years. Please review the fund s prospectus for more information regarding the fund s fees and expenses. For performance information current to the most recent month-end, please call toll-free , or visit equinoxfunds.com. There is no assurance that the Fund s investment in a derivative instrument or trading company with leveraged exposure to certain investments and markets will enable the Fund to achieve its investment objective. A fund s performance, especially for very short periods of time, should not be the sole factor in making your investment decisions. The Gross/Net expense ratio for the Fund is as follows: Class I: 1.09%/0.79%. The Gross Net Expense Ratio for the Equinox Systematica Macro Fund does not include costs associated with any over the-counter derivatives utilized by the Fund. As of March 31, 2015, the aggregate weighted average management fees and weighted average incentive/performance fees were approximately 1.00% or notional exposure and up to 20% of trading profits, respectively. The Fund was indirectly subject to estimated derivative counterparty fees of up to 0.60%. For more information, please see Annual Fund Operating Expenses included in the Fund s prospectus. "The Most Powerful Woman in Hedge Funds" Leda Braga Chief Executive Officer, Systematica Investments -CNBC.com, 2015 A 2015 article on CNBC.com described, Leda Braga, CEO of Systematica Investments, as the Most Powerful Woman in Hedge Funds. Ms. Braga, who manages more than $8.2b in the Systematica strategy, is the head commodity trading advisor behind the Equinox Systematica Macro Fund. UPDATE CNBC.com published a follow-up to the original article, noting Leda's "redhot start at the helm of her own firm (Systematica Investments)." In the article CNBC.com reiterates the claim that "(Braga)... manages about $8.2 billion, easily making her the most powerful female hedge fund manager in the world..." Source: CNBC.com, 2015 Spread/ Relative value trading Other AS OF 9/30/2015 Discretionary A look into various TRADING STYLES Contrarian/ Trend-Plus Trendfollowing Trend-Following A strategy that seeks to profit from buying when models indicate that prices are trending up, and selling when prices are indicated to be trending down. Pure trendfollowing models focus almost exclusively on current price relative to historical prices. Trading is mainly reactive: no effort is made to specifically forecast future prices or trends. Pattern-Based Trading This strategy analyzes variables and attributes in addition to prices in an effort to identify the establishment of market trends. It can also incorporate some degree of prediction. Contrarian Trading Also referred to as counter-trend trading, this strategy attempts to identify when a current trading trend will reverse, and seeks to profit from such reversals. Mean reversion trading models are an example of this style. Spread or Relative Value Trading Spread or relative value trading seeks to profit from relative price changes rather than directional trends, by combining long and short positions in the same market or in related markets. Discretionary Trading Contrary to most systematic trading strategies, discretionary trading strategies perform fundamental analysis of factors (macroeconomic, weather-related, supply vs. demand, etc.) that affect prices, and seek to forecast price movements based on these factors.

6 EQUINOX SYSTEMATICA MACRO FUND A WORD ABOUT RISK Mutual funds involve risk including possible loss of principal. There is no assurance that the Fund will achieve its investment objective. Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. Many of the derivative contracts entered into by the Fund, the Subsidiary or a trading company will be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part of the financial condition of the counterparty. Credit risk refers to the possibility that the issuer of the security will not be able to make principal and interest payments when due. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other political developments in the US or abroad. Derivative instruments come in many varieties and have a wide range of potential risks and rewards, and may include futures contracts, options on futures contracts, options, swaps, and forward currency exchange contracts. Derivatives typically have economic leverage inherent in their terms. The use of leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund s portfolio securities or other investments. Furthermore, derivative instruments and futures contracts are highly volatile and are subject to occasional rapid and substantial fluctuations. Investments in foreign securities could subject the Fund to greater risks including currency fluctuation, economic conditions, and different governmental and accounting standards. In addition to the risks generally associated with investing in securities of foreign companies, countries with emerging markets also may have relatively unstable governments, social and legal systems that do not protect shareholders, economies based on only a few industries, and securities markets that trade a small number of issues. In general, the price of a fixed income security falls when interest rates rise. Non-diversification is a risk, as the Funds are more vulnerable to events affecting a single issuer. Over-the-counter transactions are subject to little, if any, regulation and may be subject to the risk of counterparty default. Higher portfolio turnover may result in the fund paying higher levels of transaction costs and generating greater tax liabilities for shareholders. As a principal investment strategy, the Fund or the Subsidiary will either (i) invest in one or more trading companies that use a variety of derivative instruments including swap agreements, exchange-traded futures and option contracts and forward contracts to gain exposure to a wide variety of global markets for currencies, interest rates, stock market indices, energy resources, metals and agricultural products and to hedge price risk; (ii) enter into swap agreements that provide exposure to the Systematica Program; or (iii) invest in some combination of (i) and (ii). In general, a derivative contract typically involves leverage, i.e.; it provides exposure to potential gain or loss from a change in the level of the market price of a security, currency or commodity (or a basket or index) in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract. The Systematica Program may take a long or short position in such market. The Fund or its Subsidiary may also invest in a variety of derivative instruments. To the extent the Fund employs derivatives to gain exposure to the Systematica Program, it is anticipated that the Fund will utilize a total return swap (a Swap ), a type of derivative instrument designed to replicate the aggregate returns of the Systematica Program. Any Swap will be based on a notional amount agreed upon by the Advisor and a counterparty. The Advisor will retain the ability to adjust the notional exposure of the Swap at its discretion. Generally, the fees and expenses of a Swap are based on the notional value of the Swap. The value of the Swap typically includes a deduction for fees of the counterparty as well as management, performance and other fees and costs payable to Systematica. Because the Swap is designed to replicate the returns of the Systematica Program after allowing for the factors set out above, the performance of the Fund will primarily depend on the ability of the Systematica Program to generate returns in excess of the costs of the relevant Swap(s). Prospective investors should note that Systematica Investments is not a sponsor or promoter of the Fund, the Subsidiary or any trading company. Systematica Investments is not responsible for the formation or the operation of, and does not act as an advisor to, the Fund or the Subsidiary and does not make recommendations or representations with respect to the Fund or the Subsidiary. Other than reviewing the description of the Systematica Program, Systematica Investments has not had any involvement in the preparation of this document and is not responsible or liable for the contents hereof. Prospective investors will not be investing their funds with Systematica Investments, will not have voting rights or a direct interest in any Systematica fund, and will have no standing or recourse against Systematica Investments with respect to the Fund, its operations or performance. In addition, while the Fund and the Subsidiary may gain exposure to the Systematica Program through one or more trading companies that employ the Systematica Program and/or derivative instruments such as swap agreements that provide exposure to the Systematica Program, neither the Fund nor the Subsidiary will have a direct interest in any Systematica fund. Investors should carefully consider the investment objectives, risk, changes, and expenses of the Fund. This and other important information about the Fund are contained in the respective Prospectus or Summary Prospectus, which can be obtained by calling The Prospectus or Summary Prospectus should be read carefully before investing. The Fund is distributed by Northern Lights Distributors, LLC, Member FINRA/SIPC. Equinox Institutional Asset Management, LP, Equinox Group Distributors, LLC and Systematica Investments LP are not affiliated with Northern Lights Distributors, LLC. Securities offered through Equinox Group Distributors, LLC, Member FINRA. 47 Hulfish Street, Suite 510 Princeton, NJ T equinoxfunds.com 5730-NLD-11/24/2015 ASP-BO