RQSI GAA SYSTEMATIC GLOBAL MACRO FUND February 2018
Important Information & Disclosures 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 1
RQSI Firm Overview 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 Products RQSI Global Asset Allocation ( GAA ) Systematic Global Macro Fund RQSI Small Cap Hedged Equity Fund AUM* $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) * As of 1/31/18 2
Systematic Trading & Investing Across Multiple Markets RQSI History of Systematic Strategy Development 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) Technical Futures Models 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) Quantitative Equity Models 1996-2007 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) Primary RQSI Current Focus Fundamental Equity Factor & Econometric Models 2003-2009 Developed by our research team. GAA 2008 Created initial GAA approach. 2012 Introduced current GAA trading approach. Small Cap 2015 Launched Small Cap Mutual Fund 3
Fund Approach Why RQSI GAA Systematic Global Macro? 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 Dynamics We understand how markets interrelate and how to leverage market anomalies. 2. Broad Based Risk Allocation Our 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 Management Our proprietary execution platform analyzes market liquidity and trading volumes and was built by the same team that operated a top-decile statistical arbitrage strategy. Goal The Fund seeks to provide attractive risk-adjusted returns with little or no correlation to traditional asset classes. 4
Strategy Differentiation What makes the RQSI GAA Systematic Global Macro Program different? Benefits of GAA Approach 1. Designed to aim for equity like returns with limited equity downside. 2. More likely to perform in multiple market environments. 3. Broad asset exposure both long and short. 4. Designed to potentially benefit from a sustained down equity cycle. How is this done? 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. Highly diversified use of trading approaches across different trading anomalies and timeframes resulting in very dynamic portfolio exposures Trading universe of 30+ global futures across different asset classes, geographies, sectors and duration (i.e., limits exposure to single instrument risk) 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. 5
GAA Systematic Global Macro : A Quantamental Approach Economic Theory Statistical Methods Core Opportunity Market Knowledge 6
GAA Systematic Global Macro Framework 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 Econometric Relative Value Technical Global Equities Global Fixed Income Currencies 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 Diversification does not ensure a profit or guarantee against a loss. 7
RQSI Research Process Overview Research Team Member Research Team Investment Committee Operational Committee CIO STAGE 1: IDEA AND METHOD STAGE 2: BUILD RESEARCH MODEL STAGE 3: BUILD PRODUCTION MODEL STAGE 4: MODEL ENTRY STAGE 5: MONITORING Define Project Decide Project Scope Selection of Methods and Parameters Analysis using insample data Assess results and decide on potential Academic Advisor involvement Build Research Model using insample 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 8
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 9
Fund Investment Options & Fees 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 10
Contact Details Office: 1515 Ormsby Station Court Louisville, KY 40223 Telephone: 502-315-1733 Contact: Email: Website: Jeff Gregory Chief Operating Officer jgregory@rqsi.com www.rqsi.com 11
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. 12