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Quantmetrics is a London based investment manager set up in 2003 by James Fowler and Dr. Mushtaq Shah. The investment strategy looks to predict investors' behaviour and flows on liquid equity index and government bond futures world-wide.

The overall thesis is that many investors in financial futures have to operate under certain constraints and so their trades can be anticipated in certain circumstances when these constraints kick in. Circumstances where the behaviour of investors may be predicted are 1) recurring events or features impacting the mechanisms of financial futures such as government bond auctions, futures expiries and roll-overs, cash market open and closing times, the seasonality/time of the month etc. or 2) large price moves leading market participants to behave in a certain way. The Quantmetrics Multi Strategy UCITS implements about 60 investment models that aim at anticipating and exploiting the behavior of investors around such events.

The strategy comes with an excellent 9 year track record and it has proven itself in many different market environment over these years. The strategy is an excellent diversifier in any portfolio. We believe it is a new and unique strategy in the UCITS space:

Strategy Highlights:

- Strategy: "behaviourial quant", quant strategies looking to anticipate investors' behaviour and flows on financial futures.
- Implementation only through futures on equity indices, bonds and a bit of FX.
- Liquid, short-term trades ranging from intra-day to 2 days holding.
- Manager: Quantmetrics Capital Management LLP, London.
- Current Firm AuM of $380m.
- 9 year strategy track record with ca. 14.75% average annual returns, 9.4% annualised volatility, 11% maximum cumulative drawdown and only one negative calendar year.
- 16.8% net return in 2014.
- Portfolio benefits: strategy has historically shown negative correlation to S&P in falling/stressed markets and positive correlation in rising equity markets.
- Has no trend-following models and is uncorrelated with CTAs.

UCITS Highlights:

- UCITS launched on 4th May on Alpha UCITS Platform.
- Strategy implemented pari passu in UCITS and offshore fund.
- Daily NAV and dealing.
- Early bird share class on offer for first $100m at 0.75% + 20%. Normal institutional share class thereafter at 1.50%+20%.
- Operational costs capped at 0.25% p.a. maximum.
- Current AuM of about $40m as per 28th May and is expected to rise quickly based on investor feedbacks.