PanAgora Diversified Arbitrage UCITS Fund

Transcription

1 The Directors of DMS UCITS Platform ICAV (the ICAV ) whose names appear in the Directory section of the Prospectus accept responsibility for the information contained in this Supplement. To the best of the knowledge and belief of the Directors (who have taken all reasonable care to ensure that such is the case) the information contained in this Supplement and the Prospectus is in accordance with the facts and does not omit any material information likely to affect the import of such information. PanAgora Diversified Arbitrage UCITS Fund (A sub-fund of DMS UCITS Platform ICAV, an Irish collective asset-management vehicle constituted as an umbrella fund with segregated liability between sub-funds with registration number C and authorised by the Central Bank of Ireland pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended)) SUPPLEMENT NO. 6 INVESTMENT MANAGER PANAGORA ASSET MANAGEMENT, INC. DATED 1 MAY 2018 This Supplement forms part of, and should be read in the context of and together with, the Prospectus dated 31 March 2017, as may be amended from time to time, (the Prospectus ) in relation to the ICAV and contains information relating to the PanAgora Diversified Arbitrage UCITS Fund, which is a sub-fund of the ICAV. The Fund s principal economic exposure will be effected through financial derivative instruments. The Fund may invest substantially in cash deposits and/or cash equivalents. The attention of investors is drawn to the difference between the nature of a deposit and the nature of an investment in the Fund because the principal invested in the Fund is capable of fluctuation as the Net Asset Value of the Fund fluctuates. An investment in the Fund should not constitute a substantial proportion of an investment portfolio and may not be appropriate for all investors. Investors should be aware of the risks of the Fund including those described in the Risk Considerations section of the Prospectus and this Supplement

2 TABLE OF CONTENTS Definitions...3 The Fund...3 Investment Manager...4 Investment Objective and Policies...4 Risk Considerations Investor Profile Dividend Policy Fees and Expenses Subscription and Redemption of Shares

3 DEFINITIONS Any words or terms not defined in this Supplement have the same meaning given to them in the Prospectus. The Fund has been established pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended) ( UCITS Regulations ) and this Supplement will be construed accordingly and will comply with the applicable Central Bank guidance. Base Currency means EUR; Business Day means: (i) (ii) a day on which banks in Dublin and London are open for business; and such other day or days as may be determined from time to time by the Directors; Dealing Day, being the day upon which redemptions and subscriptions occur, means (i) (ii) each Business Day; and / or any other day which the Directors have determined, subject to advance notice to all Shareholders in the Fund and provided there is at least one Dealing Day per fortnight; Fund means the PanAgora Diversified Arbitrage UCITS Fund; Redemption Cut-Off Time means 4:00 p.m. (Irish time) on the Business Day immediately preceding the relevant Dealing Day or such point as the Directors may determine in exceptional circumstances; Subscription Cut-Off Time means 4:00 p.m. (Irish time) on the Business Day immediately preceding the relevant Dealing Day or such point as the Directors may determine in exceptional circumstances; Valuation Day means each Dealing Day, unless otherwise determined by the Directors; and Valuation Point means close of business on the New York Stock Exchange on each Valuation Day or such other time as the Directors may determine in respect of the Fund from time to time and notify to Shareholders. THE FUND The Fund is a sub-fund of DMS UCITS Platform ICAV, an Irish collective asset-management vehicle constituted as an umbrella fund with segregated liability between sub-funds with registration number C The Fund offers one Class, as set out below. The ICAV may also create additional Classes in the future with prior notification to, and clearance in advance by, the Central Bank. Share Class Description Class Currency Minimum Initial Subscription Minimum Additional Subscription Minimum Holding F (EUR) EUR EUR 3,000,000 EUR 100,000 EUR 100,000 Hedged No The Directors may, in their absolute discretion, waive the Minimum Initial Subscription, Minimum Additional Subscription and Minimum Holding for each Class of Shares. The Base Currency of the Fund is euro

4 INVESTMENT MANAGER The Manager has appointed PanAgora Asset Management, Inc. (the Investment Manager ) as investment manager pursuant to the investment management agreement between the ICAV, the Manager and the Investment Manager dated 21 December 2017, as may be amended from time to time (the Investment Management Agreement ). The Investment Manager will be responsible for the provision of discretionary investment management services in respect of the Fund. The Investment Manager, having its principal office at 470 Atlantic Avenue, Boston, MA 02210, USA, is an incorporated company organized under the laws of the State of Delaware, U.S.A. The Investment Manager is registered as an investment adviser with the U.S. Securities and Exchange Commission under the U.S. Investment Advisers Act of 1940, as amended. The Investment Manager has been established for the purposes of providing investment management services to collective investment schemes and other institutional and high net worth clients. Pursuant to the Investment Management Agreement the Investment Manager will not be liable to the Manager, the ICAV or otherwise for any actions, proceedings, claims, demands, losses, liabilities, damages, costs or expenses (including legal and professional fees and expenses) arising therefrom ( Claims ) suffered in connection with the performance or non-performance of the Investment Manager s duties under the Investment Management Agreement or otherwise in connection with the subject matter of the Investment Management Agreement or any matter or thing done or omitted to be done by the Investment Manager in pursuance thereof other than by reason of any Claims arising from the fraud, negligence, recklessness, bad faith or wilful default (as determined by the final order of a court of competent jurisdiction) in the performance or non-performance by the Investment Manager of its obligations or duties under the Investment Management Agreement. The Investment Manager will not be liable in any event for any indirect or consequential damages (including without limitation, loss of profits or loss of goodwill) suffered by the Manager, the ICAV or any Shareholder. The Investment Management Agreement provides that the ICAV will indemnify and keep indemnified and hold harmless the Investment Manager out of the assets of the Fund from and against any and all Claims which may be made or brought against or directly or indirectly suffered or incurred by the Investment Manager in the performance or non-performance of its obligations or duties under the Investment Management Agreement or otherwise in connection with the subject matter of the Investment Management Agreement (excluding tax on the overall income or profits of the Investment Manager) save to the extent that such Claims are attributable to the fraud, negligence, recklessness, bad faith or wilful default in the performance or non-performance by the Investment Manager of its obligations or of its duties under the Investment Management Agreement (as determined by the final order of a court of competent jurisdiction). The Investment Management Agreement may be terminated by any party giving 90 days written notice to the other parties or at any time by written notice if at any time all the Shares are repurchased. The Investment Management Agreement may also be terminated if any party shall go into liquidation, or be unable to pay its debts as they fall due, or if a receiver is appointed over any of their assets, or if they are insolvent, or if some event having an equivalent effect occurs. In that event, there can be no assurance that the ICAV will be able to retain a replacement investment manager or, if a replacement investment manager is appointed by the ICAV, that it will be able to implement the Fund s investment program successfully. The Investment Management Agreement may also be terminated if any party shall commit any material breach of its obligations and fails to remedy such breach within 30 days of receipt of notice requiring it so to do. INVESTMENT OBJECTIVE AND POLICIES The investment objective of the Fund is to provide an absolute return (i.e. positive total return in diverse market environments over time). The Fund will seek to achieve its investment objective by utilizing a diversified set of arbitrage substrategies detailed below. These sub-strategies are expected to generate profit under different market

5 conditions and over different time horizons. The combination of these strategies should result in more stable returns over time than any individual strategy alone. The Fund will seek to achieve its objective primarily by gaining exposure through derivative instruments (as detailed below) to equities and equity related securities (principally common stocks, American depositary receipts, real estate investment trusts (REITs), rights, preference shares and warrants) of issuers listed or traded on Recognised Markets globally. The Fund may also gain exposure to currencies through derivative instruments for speculative/investment purposes, for hedging and for efficient portfolio management purposes as disclosed below. The Fund will not have a specific geographic, industry or sectoral focus. The Fund may invest a portion of its Net Asset Value in emerging markets and such investment may exceed 20% of the Net Asset Value of the Fund. The Fund may have exposure to companies of any market capitalisation. No more than 10% of the Net Asset Value of the Fund will be invested in unlisted securities. Exposure to equity and equity related securities is generally expected to be obtained indirectly by taking long and short derivative positions (such derivatives being listed or traded on one or more Recognised Markets or over-the counter), primarily equity total return swaps, as further described hereunder and under Use of Derivatives. An equity total return swap is an agreement between two parties whereby one party makes payments to the other based on an agreed rate, while the other party makes payments to the first party based on the return of underlying equity assets. Equity total return swaps will be entered into in respect of the equity and equity related securities referred to above. The Fund will utilise such swaps to take long positions and/or synthetic short positions in accordance with the Diversified Arbitrage Strategy set out below. The Investment Manager intends to obtain exposure to collective investment schemes, as set out below, through derivatives. The Sub-Fund may have exposure of up to 10% of its Net Asset Value to units of closed-ended funds where such units can be classified as transferable securities and are consistent with the investment objective of the Fund. The Fund may be exposed to regulated openended UCITS and eligible alternative investment funds (including exchange traded funds ( ETFs ) which are consistent with the investment objective of the Fund (the Underlying Funds ) through the use of derivatives as referenced. The Fund may be fully exposed to such Underlying Funds. Such Underlying Funds will not charge annual management fees in excess of 3% of the Underlying Funds respective net asset values. The Fund may have exposure through derivatives of up to 20% of its Net Asset Value to any one Underlying Fund and up to 30% of its Net Asset Value in aggregate to eligible alternative investment funds. The Underlying Funds will be domiciled in any Member State of the EU, a Member State of the EEA, the United States, Jersey, Guernsey or the Isle of Man and will provide exposure to equity and equity related securities. The Fund may also determine to obtain exposure to equity and equity related securities directly where the Investment Manager deems it appropriate and in the best interests of the Fund (such as, for example, where direct investment in equity and equity related securities is more cost effective or where there are no derivative instruments available to provide exposure to such securities). In addition to its investment in derivative instruments, the Fund may maintain such amount of its assets not invested in such derivatives in cash and cash equivalents (such as high quality fixed term deposits, fixed and floating rate money market instruments, commercial paper, debentures, asset backed commercial paper, government and corporate bonds of issuers globally (although such issuers will generally be U.S. issuers or issuers from European developed markets) of any credit quality, duration or maturity (however, no more than 30% of the Net Asset Value of the Fund will be invested in sub-investment grade bonds as rated by Moody s Investor Services or Standards & Poor s or any other recognised rating agency) and money market or short term bond funds which are UCITS or UCITS eligible funds (subject to the limits on investment in collective investment schemes outlined above). These investments serve as collateral for the derivative positions the Fund takes and also may earn income for the Fund and in selecting such investments, the Investment Manager will choose

6 those which it believes will be most acceptable to counterparties as collateral, taking into account any haircut which may be applied by such counterparty. The Fund intends to use a long/short equity strategy and will generally seek to be equity market neutral maintaining a relatively equal equity market exposure on the long and synthetic short side such that the exposure to the overall equity market is reduced (the Diversified Arbitrage Strategy ). This strategy is comprised of three sub-strategies as detailed below which are designed to generate attractive, absolute returns by identifying and exploiting multiple inefficiencies that exist in equity markets (these inefficiencies, as outlined below, can be long-term, intermediate and short-term and are generally based on the inability of many investors to identify and evaluate market or stock specific events or information with sufficient breadth or speed, resulting in mispricing by market participants. For example, such inefficiencies can include securities being overpriced or underpriced due to the inability of a number of investors to analyse correctly a results announcement or a market or company specific event or to understand fully how an event will impact on a particular stock or the correlations which can exist between different issuers). Investment opportunities exist in different segments of the market, at different times, and for different reasons before they ultimately expire. By using a diversified set of sub-strategies (as detailed below) that have low correlation to one another, the Fund seeks to profit from a larger set of opportunities. In addition, since certain of these sub-strategies are designed to generate profit under different market conditions and over different time horizons, their combination is expected to result in more stable returns over time than any individual sub-strategy alone. The Diversified Arbitrage Strategy consists of a suite of sub-strategies. These sub-strategies are managed within three separate portfolios (or categories of investment) designed to capitalize on long-term, intermediate-term, and short-term inefficiencies. The ability to invest across sub-strategies that encompass multiple investment time horizons expands available opportunities while providing additional diversification to the Fund because the sub-strategies generally have low correlation with one another. In addition, the investment process allocates capital to the various sub-strategies based upon the attractiveness of the available opportunities to seek to increase the potential for higher returns. The Fund s allocation to the different sub-strategies set out below is naturally dynamic, since the opportunity for the sub-strategies are time-varying, and the Fund may invest significantly more capital in any one sub-strategy from time to time depending on the Investment Manager s analysis of opportunities within each sub-strategy. It is generally expected that the majority of the Fund will be invested in the Long Term Arbitrage Strategy, with the remainder of the Fund being invested in the remaining two sub-strategies. The Investment Manager expects that at all times, the Fund will be invested across all three sub-strategies. Details of the portfolios into which the Fund is divided, together with the sub-strategy relevant to each portfolio are set out below: 1. Long Term Arbitrage Strategy (9-12 month investment horizon): Investments in this portfolio will have an investment horizon of between 9 and 12 months. The Investment Manager intends to take long positions in companies with strong long-term prospects, while simultaneously taking synthetic short positions in companies with weak long-term prospects. The Investment Manager s proprietary data (which is comprised of combining data (such as financial reports, industry reports, regulatory filings) from sources such as financial data vendors, regulatory agencies and company releases) is then processed by the Investment Manager to generate data on which investment decisions are based)) is used to identify companies that have a leading position in their industry, sustainable competitive advantages, strong brand strength and other strong fundamental qualities. This data is collected by the Investment Manager and utilized to rank all companies within the investable universe on a daily basis. The Investment Manager believes that this process may lead to superior returns if the data enables the Investment Manager to conduct deeper analyses of wider sets of companies than other fundamental or quantitative managers conduct. 2. Intermediate Term Arbitrage Strategy (3-9 month investment horizon):

7 Investments in this portfolio will have an investment horizon of between 3 and 9 months. The Investment Manager will utilise several pair trading strategies, including, but not limited to, merger (risk) arbitrage and share class arbitrage. In merger arbitrage, the Investment Manager buys shares of a target company while simultaneously synthetically shorting shares of an acquiring company (using equity swaps, equity put and call options and equity futures) to seek to capture a spread between the price at which the target company trades after a transaction is announced, and the price at which the acquiring company has announced it will pay for the target company upon the closing of the transaction. In this instance, the Investment Manager could purchase a put option pursuant to which it will have the right, but not the obligation, to sell a specific number of shares at an agreed upon strike price, where it believes that the security is likely to decrease in price and write a call option granting the buyer the right to purchase the same shares or shares of a different issuer at the strike price if the market price moves above that, such call option will generate a premium for the Fund which is used to reduce the cost of the put option. The Investment Manager will identify the relevant companies by analysing mergers taking place in the market and the share prices of the companies involved in order to determine those mergers where it believes that pricing inefficiencies exist. In share class arbitrage, the Investment Manager buys shares in one share class while simultaneously synthetically shorting shares in another share class of a company with multiple publicly traded share classes to capture differences in the prices of the two classes. For example, preferred shares in a particular company may trade at a premium or at a discount relative to ordinary shares. 3. Short Term Arbitrage Strategy (up to 3 month investment horizon): Investments in this portfolio will have an investment horizon of up to 3 months. The Investment Manager seeks to identify specific events in equity markets that are associated with significant stock movements around the event and seeks to take advantage of these movements by buying or synthetically shorting the company s equity. The types of events include liquidity events, in which a large set of shareholders must buy or sell a company, and news events, such as earnings calls, bankruptcies or spin-offs. It is the Investment Manager s philosophy that stock prices are largely driven by the fundamental strengths or weaknesses of an underlying company s business and that certain fundamentally based measures (such as profitability measures (e.g. return on equity, profit margins) as well as valuation related metrics (e.g. price to book ratio (a ratio used to compare a company's current market price to its book value), price to earnings ratio (a ratio used to compare a company s current share price to its per-share earnings) are indicative of a company s likely success or failure. The Investment Manager believes investment opportunities exist because many investors lack the ability to identify and evaluate these measures with sufficient breadth and speed. As a result, the prospects of a company s likely success or failure are often mispriced by market participants. The Investment Manager believes the best way to capitalize on investment opportunities that result when the prospects for a company s success or failure are mispriced is to deploy an approach that combines in-depth fundamental insights (based on the data and research referred to above) with robust quantitative techniques (such as statistical and econometric proprietary algorithms (such algorithims use, in addition to equity price and volume data, data sets such as corporate, industry, market and index event calendars, cross market information and various market participant trading patterns to detect market inefficiencies)) which are used to process such data and research and measure the scale of the mispricing. There can be no assurance that the Fund s investments will be successful or that the investment objectives of the Fund will be achieved. Investors should carefully assess the risks associated with an investment in the Fund. See Risks Considerations in the Prospectus and below. The Fund may hold long or short positions in respect of each asset category set out above (equities and equity related securities, currencies and collective investment schemes). The Fund s long positions and synthetic short positions (taken through derivatives) in respect of the Fund as whole and each of these asset categories may vary over time and are not expected to exceed 325% of its Net Asset Value in respect of long positions and 325% of Net Asset Value in respect of short positions (in respect of the Fund as a whole and in respect of any particular asset class)

8 The Fund may actively engage in currency transactions including but not limited to entering into forward and spot foreign currency exchange contracts or currency futures contracts on a speculative basis (i.e. without any link to currency exposures within the Fund) where the Investment Manager, based on its research, believes that the value of a currency is likely to appreciate relative to another and/or to modify exposure to currencies. The research will include analysis of economic cycles, including assessments of economic variables such as GDP growth and consumer spending as well as individual country analysis, including assessments of current account deficits, trade deficits and government policy. The Fund may enter into currency trading positions through the use of forward foreign exchange contracts, seeking to benefit from changes in the relative value of currencies. The Fund may utilise this strategy with respect to currencies of both developed and emerging markets. Use of Derivatives The Fund may use the following derivative instruments: equity total return swaps, currency swaps, put and call options, futures, forward foreign exchange contracts and warrants. The type of instruments and a description of the purpose for which they may be used is set out below. The Fund may use such derivative instruments to take synthetic short positions. The Fund may invest up to 10% of its net assets in warrants. The Fund intends to invest primarily through equity total return swaps. An equity total return swaps is an agreement between two parties whereby one party makes payments to the other based on an agreed rate, while the other party makes payments to the first party based on the return of underlying equity assets. A currency swap is a foreign exchange agreement between two parties to exchange notional and interest payments (fixed or floating) in one currency for notional and interest payments (fixed or floating) in another currency. An option is a contract sold by one party to another which offers the buyer the right, but not the obligation, to buy (in the case of a call option) or sell (in the case of a put option) an asset at a pre-agreed price either during a certain period of time or on a specific date. Transactions in futures involve the obligation to make, or to take, delivery of the underlying asset of the contract at a future date, or in some cases to settle the position with cash. A forward contract is an agreement between two parties to buy or sell an asset (which can be of any kind) at a pre-agreed future point in time. Warrants are similar to call options but are issued by the company which issued the underlying securities which are the subject of the option. Any derivative not included in the risk management process will not be utilised until such time as a revised submission has been provided to the Central Bank. Equity total return swaps will be entered into in respect of the equity and equity related securities referred to above. Put and call options and futures may be entered into in respect of all of the asset classes referred to above in the investment policy. Each of the above derivative instruments will be utilised for investment purposes to provide long or synthetic short exposure to the relevant underlyings, Such derivative instruments may also be utilised for hedging and efficient portfolio management purposes (as disclosed below). Currency swaps and forward foreign exchange contracts will be entered into for hedging purposes and also in order to provide an additional return for the Fund. The counterparties to swap transactions will be institutions with legal personality, typically located in OECD jurisdictions, subject to prudential supervision and belonging to categories approved by the Central Bank and will not have discretion over the assets of the Fund. No minimum credit rating will be applied in respect of such counterparties, however, counterparties will be subject to a credit assessment process and ongoing monitoring in this regard. The use of derivative instruments for the purposes outlined above will expose the Fund to the risks disclosed under the section of the Prospectus entitled Risk Considerations. The Investment Manager may also hedge some of the risks of the asset classes in which the Fund is invested which it believes do not offer an adequate risk return profile, as described further under Efficient Portfolio Management below. Efficient Portfolio Management

9 Subject to the requirements of the Central Bank UCITS Regulations, the Fund may utilise techniques and instruments, such as futures, options and forward currency contracts, for efficient portfolio management in order to reduce risk and/or costs, to generate additional income for the Fund and/or to protect against exchanges risks, subject to the conditions and within the limits laid down by the Central Bank. Financial derivative instruments used for efficient portfolio management may be used by the Fund for hedging purposes. Hedging is a technique used to seek to minimise an exposure created from an underlying position by counteracting such exposure by means of acquiring an offsetting position. The positions taken for hedging purposes will not be allowed to exceed materially the value of the assets that they seek to offset. Additional detail on these techniques and instruments is given in Appendix C to the Prospectus. The Manager shall ensure that any revenues from efficient portfolio management techniques not received directly by the Fund, net of direct and indirect operational costs and fees (which do not include hidden revenue), will be returned to the Fund. Investment Restrictions Please refer to the investment restrictions in Appendix D to the Prospectus for information with regard to investment restrictions of the Fund. Exposure to securities financing transactions The Fund currently does not intend to engage in repurchase agreements, reverse repurchase agreements or securities lending. The Fund s exposure to total return swaps is as set out below (as a percentage of Net Asset Value): Instrument Expected Maximum Total Return Swaps 500% 650% Borrowing The Fund will be subject to the borrowing restrictions pursuant to the UCITS Regulations, as set out in the Borrowing Policy section of the Prospectus. Leverage The Fund will be leveraged through the use of derivatives. The global exposure from using derivatives is measured daily using a sophisticated statistical methodology called value at risk, or VaR as it is commonly referred to. The VaR approach measures the maximum potential loss at a given confidence level (probability) over a specific time period under normal market conditions. In accordance with the requirements of the Central Bank, the absolute VaR of the Fund on any day may not exceed 4.47% of the Net Asset Value of the Fund using a confidence interval of 99%, a one-day holding period and an effective observation period of at least one (1) year (250 business days), unless a shorter observation period is justified by a significant increase in price volatility (for instance extreme market conditions). Since the holding period is different from the default holding period of 20 days, the standard limit of 20% applied to the 99% confidence 20-day VaR limit is rescaled in line with the principles laid down by the Central Bank. The Fund s expected gross leverage calculated using the sum of the notional exposure of its derivatives positions is expected to be between 200% and 650% of the Net Asset Value of the Fund. The Fund is expected to be at the higher end of this range where it engages in an increase use of derivative instruments due to increased opportunities being available in the market in respect of the strategies outlined above

10 RISK CONSIDERATIONS There can be no assurance that the Fund s investments will be successful or that the investment objectives of the Fund will be achieved. Investors should be aware of the risks of the Fund including those described in the Risk Considerations section of the Prospectus. An investment in the Fund is suitable only for persons who are in a position to take such risks. The Fund may not achieve its goal, and it is not intended to be a complete investment program. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. General Investment Risks The value of the securities in which the Fund invests (whether directly or indirectly through derivatives) may fall or fail to rise over extended periods of time for a variety of reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default or expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These and other factors may lead to increased volatility and reduced liquidity in the Fund s portfolio holdings. These risks are generally greater for small and midsize companies. Fixed Income Securities The fixed income securities in which the Fund invests (whether directly or indirectly through derivatives) are subject to interest rate risk, which means the value of those investments is likely to fall if interest rates rise. The Fund s investments in fixed income securities also are subject to credit risk, which is the risk that the issuer of the fixed income security may default on payment of interest or principal. Interest rate risk is generally greater for the Fund s investments in longer-term fixed income securities. Total Return Swaps The Fund s investments in total return swap contracts and other derivatives are subject to losses caused by unanticipated market movements, and there may be imperfect correlation between price movements of a derivative and price movements of the security or other asset for which the derivative is intended as a substitute. Derivatives Derivatives may be difficult to value and may increase the Fund s transaction costs. Derivatives also involve the risk of the potential inability to terminate or sell derivatives positions. Derivatives can significantly increase the Fund s exposure to credit and counterparty risks. Derivatives, particularly over-the-counter instruments, involve the risk of the potential failure of the other party to the instrument to meet its obligations. Derivatives are subject to the risk that the Fund may be delayed or prevented from recovering margin or other amounts deposited with a clearinghouse, futures commission merchant or other counterparty. If the Fund has insufficient cash, it may have to sell its investments to meet daily variation margin requirements at a time when it may be disadvantageous to do so. Leverage Risk The Fund s use of derivatives also increases its risks by increasing investment exposure (which may be considered leverage). Leveraging may cause the Fund s performance to be more volatile, may expose the Fund to losses in excess of the amounts invested, and may require the Fund to liquidate portfolio securities when it may not be advantageous to do so, to satisfy its obligations or to meet segregation requirements. Position Risk The Fund s use of short derivatives positions may have the effect of economic leverage, which magnifies investment exposure, and may result in losses if the underlying assets appreciate in value

11 Currency Risks The value of international investments traded in foreign currencies may be adversely impacted by fluctuations in exchange rates. International investments, particularly investments in emerging markets, may carry risks associated with potentially less stable economies or governments (such as the risk of seizure by a foreign government, the imposition of currency or other restrictions, or high levels of inflation or deflation), and may be or become illiquid. Frequent Trading Risk The Fund expects to engage in frequent trading. Funds with high turnover may be more likely to realize capital gains that must be distributed to shareholders as taxable ordinary income. High turnover may also cause the Fund to pay more brokerage commissions and to incur other transaction costs (including imputed transaction costs), which may detract from performance. Model and Data Risk Given the nature of the Fund s investments and strategies, the Investment Manager relies heavily on its proprietary models and on data supplied by third parties (such as financial data vendors, regulatory agencies and company releases). The Investment Manager uses models and data to, among other things, construct sets of transactions and investments, provide risk management insights and assist in hedging the Fund s investments. The Investment Manager regularly enhances and updates its models to reflect its developing research, fundamental analysis and access to new data. If the quantitative models or data used in managing the fund prove to be incorrect or incomplete, investment decisions made in reliance on the models or data may not produce the desired results and may cause the Fund to underperform other funds with a similar investment goal, and the fund may realise losses. For example, the Investment Manager may in reliance on faulty models or data to buy certain investments at prices that are too high, sell certain investments at prices that are too low or miss favorable investment opportunities altogether. Any hedging based on faulty models and data may prove to be unsuccessful. In addition, models may incorrectly forecast future behavior, leading to potential losses on a cash flow and/or mark-to-market basis. Use of these models in unforeseen or certain low-probability scenarios (often involving a market disruption of some kind) also may result in losses for the Fund. All models require data. Some of the models that the Investment Manager may use are typically constructed based on historical data, and the success of these models is dependent largely on the accuracy and reliability of the supplied historical data. If incorrect data is entered into a model, the resulting output will be incorrect. As a result, any investment decisions made in reliance on the incorrect output from a model may not produce the desired results and the fund may realise losses. Even when data is correctly inputted into a model, the resulting information may differ, sometimes substantially, from other available data. For example, model prices that are provided by a model will often differ substantially from market prices, particularly for instruments that are complex in nature, such as derivatives. INVESTOR PROFILE The ICAV has been established for the purpose of investing in transferable securities in accordance with the UCITS Regulations. The typical investors of the Fund are expected to be institutional investors, such as pension plans, insurance companies, fund of funds and family offices which are prepared to accept the risks associated with an investment of this type. DIVIDEND POLICY The Fund is an accumulating Fund and, therefore, it is not currently intended to distribute dividends to the Shareholders. The income and earnings and gains of each Class in the Fund will be accumulated and reinvested on behalf of Shareholders

12 If the Directors propose to change the dividend policy and declare a dividend at any time in the future, full details of the revised dividend policy (including details of method of payment of such dividends) will be disclosed in an updated Supplement and will be notified to Shareholders in advance. FEES AND EXPENSES Investors should refer to the Fees and Expenses section of the Prospectus for details of certain fees and expenses payable in respect of the ICAV and the Fund. The following additional fees and expenses apply in respect of the Fund. Investment Management Fee The Investment Manager will receive an investment management fee (the "Investment Management Fee") in respect of the Class as set out in the table below (which is the maximum Investment Management Fee payable) for management services to the Fund. The Investment Management Fee is accrued daily and paid monthly, in arrears. F (EUR) Share Class Description Investment Management Fee per annum 0.55% of NAV For the purposes of calculating the Investment Management Fee for any Valuation Day, the Net Asset Value of the Fund attributable to a Class is determined by or under the direction of the Directors, based on the Fund's Net Asset Value as of the close of the prior Valuation Day adjusted to reflect any applicable redemptions and subscriptions. Notwithstanding the sections headed Management Fee and Other Expenses below, the Investment Manager has agreed to waive the necessary portion of its fee and/or reimburse Fund expenses in order to limit the Capped Expenses (as defined below) payable in respect of the Class F (EUR) Shares to 0.55% of the Net Asset Value of the Fund attributable to the Class F (EUR) Shares (the Expense Cap ). For the purposes of the Expense Cap, Capped Expenses means only the following expenses as attributable to the Class F (EUR) Shares: (i) the Investment Management Fee (not including the Performance Fee); (ii) the Management Fee; (iii) ordinary legal expenses; (iv) the establishment expenses of the Fund; (v) marketing, promotional and distribution expenses; (vi) paying agent fees; (vii) the costs and expenses of obtaining and / or maintaining bank services (excluding transaction costs); (viii) sub-custodial fees (asset based fees and minimums only and not including transaction fees); (ix) reasonable vouched out of pocket expenses incurred by the Manager, the Investment Manager, the Administrator, the Depositary and any subcustodians; (x) the fees of regulatory authorities in any jurisdiction; and (xi) Irish tax reporting fees. All other expenses incurred in respect of the Class F (EUR) Shares will not be subject to the Expense Cap. The Expense Cap may be raised, lowered or eliminated at the discretion of the Investment Manager on ten Business Days notice to Shareholders. The Investment Manager may also receive a performance fee (the Performance Fee ) calculated as described below. The Performance Fee in respect of each Share will be calculated in respect of each calendar year ending on the final calendar day of each such year (each such 12 month period being a "Calculation Period"). However, the first Calculation Period will be the period commencing on the Business Day immediately following the close of the Initial Offer Period (with each Share valued at the Initial Offer Price) and ending on 31 December The Performance Fee shall be deemed to accrue as at each Valuation Point. The Investment Manager will be entitled to receive a Performance Fee from the Fund in respect of the Class F (EUR) Shares calculated on a Share-by-Share basis so that each Share is charged a Performance Fee which equates precisely with that Share s performance. This method of calculation ensures that (i) any Performance Fee paid to the Investment Manager is charged only to those Shares which have appreciated in value, (ii) all holders of Shares of the same Class have the same amount of

13 capital per Share at risk in the Fund, and (iii) all Shares of the same Class have the same Net Asset Value per Share. The calculation of the Performance Fee will be verified by the Depositary. For each Calculation Period, the Performance Fee in respect of each Share will be equal to 10 per cent of the appreciation in the Net Asset Value per Share of the Class F (EUR) Shares above the Peak Net Asset Value per Share (as defined below). Save as set out below under Adjustments, no Performance Fee will be payable until the Net Asset per Share exceeds the Peak Net Asset Value per Share. The Performance Fee in respect of each Calculation Period will be calculated by reference to the Net Asset Value before deduction for any accrued Performance Fee. The Performance Fee will normally be payable to the Investment Manager in arrears within 14 Business Days of the end of each Calculation Period. However, in the case of Shares redeemed during a Calculation Period, the Performance Fee will be calculated as though the date of redemption were the end of a Calculation Period and an amount equal to any accrued Performance Fee in respect of those Shares will be payable within 14 Business Days after the date of redemption. In the event of a partial redemption, Shares will be treated as redeemed on a first in, first out ( fifo ) basis for the purpose of calculating the Performance Fee. If the Investment Management Agreement is terminated before 31 December in any year the Performance Fee in respect of the then current Calculation Period will be calculated and paid as though the date of termination were the end of the relevant Calculation Period. Adjustments If an investor subscribes for Shares at a time when the Net Asset Value per Share of the relevant Class is other than the Peak Net Asset Value per Share of that Class, certain adjustments will be made to reduce inequities that could otherwise result to the investor or to the Investment Manager. The Peak Net Asset Value per Share of a Class (the Peak Net Asset Value per Share ) is the greater of (i) the initial offer price of the relevant Class; and/or (ii) the Net Asset Value per Share of the relevant Class in effect immediately after the end of the previous Calculation Period in respect of which a Performance Fee (other than a Performance Fee Redemption (as defined below)) was charged. (a) (b) If Shares are subscribed for at a time when the Net Asset Value per Share is less than the Peak Net Asset Value per Share of the relevant Class, the investor will be required to pay a Performance Fee with respect to any subsequent appreciation in the value of those Shares. With respect to any appreciation in the value of those Shares from the Net Asset Value per Share at the date of subscription up to the Peak Net Asset Value per Share, the Performance Fee will be charged at the end of each Calculation Period by redeeming at par value (which will be retained by the Fund) such number of the investor s Shares of the relevant Class as have an aggregate Net Asset Value (after accrual for any Performance Fee) equal to 10 per cent of any such appreciation for the Class F (EUR) Shares (a Performance Fee Redemption ). An amount equal to the aggregate Net Asset Value of the Shares so redeemed will be paid to the Manager as a Performance Fee. The Fund will not be required to pay to the investor the redemption proceeds of the relevant Shares, having the aggregate par value thereof. Performance Fee Redemptions are employed to ensure that the Fund maintains a uniform Net Asset Value per Share of each Class. As regards the investor s remaining Shares of the relevant Class, any appreciation in the Net Asset Value per Share of those Shares above the Peak Net Asset Value per Share of that Class will be charged a Performance Fee in the normal manner described above. In the event that an investor redeems his or her Shares during a Calculation Period and an adjustment is required to such Shares, such adjustment will be deducted from the redemption proceeds and shall be paid to the Investment Manager. If Shares are subscribed for at a time when the Net Asset Value per Share is greater than the Peak Net Asset Value per Share of the relevant Class, the investor will be required to pay an amount in excess of the then current Net Asset Value per Share of that Class equal to 10 per cent for the Class F (EUR) Shares of the difference between the then current Net Asset Value

14 per Share of that Class (before accrual for the Performance Fee) and the Peak Net Asset Value per Share of that Class (an Equalisation Credit ). At the date of subscription the Equalisation Credit will equal the Performance Fee per Share accrued with respect to the other Shares of the same Class in the Fund (the Maximum Equalisation Credit ). The Equalisation Credit is payable to account for the fact that the Net Asset Value per Share of that Class has been reduced to reflect an accrued Performance Fee to be borne by existing Shareholders of the same Class and serves as a credit against Performance Fees that might otherwise be payable by the Fund but that should not, in equity, be charged against the Shareholder making the subscription because, as to such Shares, no favourable performance has yet occurred. The Equalisation Credit ensures that all holders of Shares of the same Class have the same amount of capital at risk per Share. The additional amount invested as the Equalisation Credit will be at risk in the Fund and will therefore appreciate or depreciate based on the performance of the relevant Class subsequent to the issue of the relevant Shares but will never exceed the Maximum Equalisation Credit. In the event of a decline as at any Valuation Point in the Net Asset Value per Share of that Class, the Equalisation Credit will also be reduced by an amount equal to 10 per cent for the Class F (EUR) Shares of the difference between the Net Asset Value per Share of the relevant Class (before accrual for the Performance Fee) at the date of issue and as at that Valuation Point. Any subsequent appreciation in the Net Asset Value per Share of the relevant Class will result in the recapture of any reduction in the Equalisation Credit but only to the extent of the previously reduced Equalisation Credit up to the Maximum Equalisation Credit. At the end of each Calculation Period, if the Net Asset Value per Share of the relevant Class (before accrual for the Performance Fee) exceeds the prior Peak Net Asset Value per Share of that Class, that portion of the Equalisation Credit equal to 10 per cent for the Class F (EUR) Shares of the excess, multiplied by the number of Shares of that Class subscribed for by the Shareholder, will be applied to subscribe for additional Shares of that Class for the Shareholder. Additional Shares of the relevant Class will continue to be so subscribed for at the end of each Calculation Period until the Equalisation Credit, as it may have appreciated or depreciated in the Fund after the original subscription for that Class of Shares was made, has been fully applied. If the Shareholder redeems its Shares of the relevant Class before the Equalisation Credit (as adjusted for depreciation and appreciation as described above) has been fully applied, the Shareholder will receive additional redemption proceeds equal to the Equalisation Credit then remaining multiplied by a fraction, the numerator of which is the number of Shares of that Class being redeemed and the denominator of which is the number of Shares of that Class held by the Shareholder immediately prior to the redemption in respect of which an Equalisation Credit was paid on subscription. The Performance Fee is based on net realised and net unrealised gains and losses as at the end of each Calculation Period and as a result, incentive fees may be paid on unrealised gains which may subsequently never be realised. In addition, the Fund may issue Shares of a separate Class that may calculate the Investment Management fee differently or charge a lower Investment Management fee. Management Fee In respect of its provision of management services to the Fund, the Manager will receive a management fee (the Management Fee ) on a sliding scale at a maximum rate of 0.30% of the Net Asset Value of the Fund. This is subject to an annual minimum fee of 175,000 for the first year after the launch of the Fund and an annual minimum fee of 200,000 thereafter. The Management Fee will accrue at each Valuation Point and is paid quarterly in arrears together with reasonable vouched out of pocket expenses incurred by the Manager in the performance of its duties. As disclosed in the Prospectus, the Manager is responsible for paying the fees and expenses of the Directors, Administrator, Depositary and the Auditors (for the annual audit only). Other Expenses