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.”

MANDATE HIGHLIGHTS

Program Access:
Available through Managed Account or the ReSolve Evolution Fund for Canadian accredited investors only
Program Objective:
To generate consistent capital appreciation by employing a diversified ensemble of systematic alpha strategies.
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 *

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. These returns are calculated from gross returns of the ReSolve Evolution Fund (Canada) net of 1% management fee and 10% incentive fee as well as all trading and administrative expenses assuming an investor began investing on December 1, 2018.

* Returns highlighted in the table above relate to performance from when ReSolve considers the Evolution Program’s Alpha Families to have been fully deployed and is congruent with the date when access to the fund was officially made available to outside investors. However, prior to full strategy implementation, foreign exchange hedging and operational processes were set in place, and the fund was seeded with proprietary money on October 1st, 2018. For this reason the returns for October and November of 2018 of -9.53% and -2.70% respectively are considered by ReSolve to be outlier months for the Evolution Program and hence were excluded from the table above.

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 cross-correlations 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

Expected Correlation to S&P/TSX 60

Very Low Long Term Correlation

Minimum Investment

$10,000 CAD

Redemptions / Liquidity

Monthly

Subscriptions

Monthly

Portfolio Manager

ReSolve Asset Management Inc.

Administrator

Apex Fund Services (Canada) Ltd.

Legal

Fasken Martineau DuMoulin LLP

Auditors

KPMG

Open Classes and Fee Schedule

FundSERV Code

Type

Management Fee

Performance Fee

Hard Lockup

Early Redemption Charge

ACN EXFP
(Series XF)

Founders’ Class

0.95%

10%

None

None

ACN EXAP
(Series XA)

Founders’ Trailer Class

1.95%

10%

None

None

ACN EXZP
(Series XZ)

Founders’ Class

0%

20%

None

None

Class I
$5 Million Min

Institutional Class

Negotiable

Negotiable

None

None

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.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

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 rades 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 document 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.

This document 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.