EVOLUTION MULTI-STRATEGY FUTURES PROGRAM
“It’s not the strongest of species that thrives, nor the most intelligent. It is the one that is most adaptable to change.”
Emerging CTA
(12-36 months)
MANDATE HIGHLIGHTS
Program Access:
Available through Managed Account or the ReSolve Evolution Fund.
Program Objective:
To generate consistent capital appreciation by employing a diversified ensemble of systematic alpha strategies at a lever of risk similar to long-term global equities (~20% annualized volatility).
Investment Universe:
Primarily Futures Contracts
Style:
100% Systematic.
Strategy Description
Markets are marginally inefficient in many small ways that can be profitably hunted, validated, and exploited through novel quantitative methods. These inefficiencies primarily arise from investors expressing non-wealth maximizing investment preferences; regulatory constraints and frictions; agency effects; institutional rigidity; commercial hedging; and the inertia of traditional investment heuristics.
The Evolution Program takes the other side of these wealth compromising trades by deploying a diversified ensemble of long/short systematic strategies derived from advanced statistical methods and machine learning tools.
Monthly Performance Returns 1
1 The period highlighted in red is considered to be an incubation period for the program where strategies were rolled out one at a time. By December 1st ,2018 is the period where ReSolve had deployed enough Alpha Groups to consider the program fully deployed.
2 Estimated Returns.
|
Time Period
|
Return |
|
Incubation Period |
October 19, 2017 – November 30, 2018 |
|
Robust Program Inception |
December 01, 2018 |
|
Asset Under Program |
$78 M |
|
Standard Deviation |
21.01% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. Returns are calculated from the gross returns of the ReSolve Evolution Fund Cayman SPC net of 2% management fee and 20% incentive fee as well as all trading and administrative expenses assuming an investor began investing on October 19, 2017.
Timeline of Strategy Deployments
Source: ReSolve Asset Management. For illustrative purposes only
The Alpha Factory Process
Alpha is sourced from publications across a variety of unconventional disciplines; trader intuition; economic hypotheses; and data driven discovery. Prospective edges endure a rigorous validation gauntlet where only the most persistently robust models are included for further development. Alpha sources are subjected to a proprietary boosting process designed to stabilize and amplify their signal-to-noise ratio. The product is a meta-ensemble of boosted alpha sources that evolves over time as new edges are added and weaker edges are trimmed.
RESOLVE’S ALPHA FACTORY
For Illustrative Purposes Only
THE EVOLUTION ALPHA STACK
Starting From First Principles
One of the foundational principles of academic finance is the concept that aggregating many lowly correlated sources of returns can lead to better investor outcomes. In other words, the more strategies one can identify that exhibit positive expected returns, and the lower the crosscorrelations amongst those strategies, the higher the expected portfolio return should be for the same level of risk.
Building A Robust Alpha Group
The Evolution Program initiates the process described above first within each Alpha Group by identifying and implementing hundreds, if not thousands, of similarly themed strategy iterations that are not perfectly correlated with one another.
Building A Robust Alpha Stack
This concept is taken one degree higher at the Alpha Stack level by identifying and piecing together those Alpha Groups which exhibit near zero expected correlations to one another, as illustrated in the graphic to the right.
Our goal is to continue to push the boundaries of the risk/reward trade-off through the relentless application of the ReSolve Alpha Factory to find new Alpha Groups, strengthen existing ones and improve the outcomes for our investors.
Source: ReSolve Asset Management. Data from CSI data. Simulated Performance for illustrative purposes only not based on an actual portfolios that ReSolve manages. Past results are not indicative of future results. It is expected that the simulated performance will periodically change as a function of both refinements to our simulation methodology and the underlying market data. Please review the disclosures at the end for more information. The Pearson Correlation represents the relationship between two variables that are measured on the same interval or ratio scale. Numerically, the Pearson correlation coefficient is ranges from -1 to +1. A value of +1 is the result of a perfect positive relationship between two or more variables. Conversely, a value of -1 represents a perfect negative relationship. For diversification purposes, the lower the correlation the better.
Fund Facts
|
Jurisdiction |
Canadian Offering Memorandum Fund |
|
Expected Volatility |
High |
|
EExpected Correlation to S&P/TSX 60 |
Very Low Long Term Correlation |
|
Minimum Investment |
$1,000,000 |
|
Redemptions / Liquidity |
Monthly |
|
Subscriptions |
Monthly |
|
Portfolio Manager |
Emerging Asset management Ltd. |
|
Sub-Advisor |
ReSolve Asset Management Inc. |
|
Administrator |
Apex Fund Services (Canada) Ltd. |
|
Legal |
Morgan, Lewis & Bockius LLP |
|
Auditors |
Offshore Feeder: Deloitte Cayman |
Managed Account
|
Minimum Subscription |
$10,000,000 |
|
Liquidity |
Daily |
Open Classes and Fee Schedule
|
Open Classes |
Management Fee |
Performance Fee |
Hard Lockup |
Early Redemption Charge |
|
Class B |
2% |
20% |
None |
None |
|
Class D |
0% |
30% |
None |
None |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Confidential and proprietary information. The contents hereof may not be reproduced or disseminated without the express written permission of ReSolve Asset Management Inc. (“ReSolve”). ReSolve is registered as an Investment Fund Manager in Ontario, Quebec and Newfoundland and Labrador, and as a Portfolio Manager and Exempt Market Dealer in Ontario, Alberta, British Columbia and Newfoundland and Labrador. ReSolve is also registered as a Commodity Trading Manager in Ontario and Derivatives Portfolio Manager in Quebec. Additionally, ReSolve is a non-resident Registered Investment Adviser with the SEC. ReSolve is also registered with the Commodity Futures Trading Commission as a Commodity Trading Advisor and a Commodity Pool Operator. This registration is administered through the National Futures Association (“NFA”). Certain of ReSolve’s employees are registered with the NFA as Principals and/or Associated Persons of ReSolve if necessary or appropriate to perform their responsibilities.
ReSolve has claimed an exemption under CFTC Rule 4.7 which exempts ReSolve from certain part 4 requirements with respect to offerings to qualified eligible persons in the U.S.
General information regarding hypothetical performance and simulated results. Past results are not necessarily indicative of future results. It is expected that the simulated performance will periodically change as a function of both refinements to our simulation methodology and the underlying market data. These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account or fund will or is likely to achieve profits or losses similar to those being shown. The results do not include other costs of managing a portfolio (such as custodial fees, legal, auditing, administrative or other professional fees). The information in this presentation has not been reviewed or audited by an independent accountant or other independent testing firm. More detailed information regarding the manner in which the charts were calculated is available on request. Any actual fund or account that ReSolve manages will invest in different economic conditions, during periods with different volatility and in different securities than those incorporated in the hypothetical performance charts shown. There is no representation that any fund or account will perform as the hypothetical or other performance charts indicate.
This information is intended exclusively for accredited investors (as defined in National Instrument 45-106 – Prospectus Exemptions) and is being delivered to prospective investors on a confidential basis so that they may consider an investment in the ReSolve Evolution Fund. This document does not purport to be exhaustive or to contain all the information that a prospective investor may desire in investigating any investment opportunity. These materials are for preliminary discussion only and may not be relied upon for making any investment decision. Rather, prospective investors should review the Offering Memorandum (OM) and rely on their own independent investigation of the fund. In the event that any of the terms of this presentation are inconsistent with or contrary to fund’s OM, the OM and account opening documents shall prevail. Any fund units will be issued under exemptions from the prospectus requirements of applicable securities laws and will be subject to certain resale restrictions. Neither the Securities and Exchange Commission nor the National Futures Association or any other securities regulatory authority of any jurisdiction has passed upon the accuracy or adequacy of this presentation, and any representation to the contrary is unlawful.
The content in this webpage shall not constitute any offer or solicitation of an offer to make an investment in the ReSolve Evolution Fund or any of the funds or separately managed accounts ReSolve manages. There are certain risks associated with an investment in The ReSolve Evolution Fund. Prior to making an investment decision in respect of that fund, you should read the fund’s Offering Memorandum, including the “Risk Factors” section contained therein.
Relationship Disclosure Information
To review ReSolve’s Relationship Disclosure document, please click here: Relationship Disclosure.