EVOLUTION MULTI-STRATEGY FUTURES PROGRAM
|Strategy||Systematic Futures Multi-Strategy Global|
|Program Assets||$46 Million CAD¹|
|Fund Assets||$20.2 Milion CAD|
Generate high risk-adjusted returns by deploying and executing an ensemble of systematic sub-strategies across liquid futures contracts.
The Osprey Program can go long/short a wide array of global futures contracts, using a proprietary machine learning process engineered by ReSolve to identify thousands of combinations of profitable trading signals. The strategy generation process selects features with return profiles consistent with the strategy’s objective and discards those that do not meet the desired criteria. Each candidate sub-strategy is run through a rigorous battery of filters and validation steps to ensure that only the most robust strategies are selected, after accounting for possible overfitting, trading friction and costs. This process is repeated on a continuous basis.
The maximum fund assets under management will reflect management’s ability to capitalize on potential profits only available in capacity constrained markets and higher frequency trading strategies.
Monthly Performance Returns2
|Annual Standard Deviation||9.49%|
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING COMMODITY INTERESTS IS SUBSTANTIAL. These materials shall not constitute any offer or solicitation of an offer to make an investment in any of the funds or separately managed accounts ReSolve manages.
Top 5 Short Positions (Risk Weighted) 4
Top 5 Markets (Performance)
Bottom 5 Markets (Performance)
1 Program assets include all monies invested in the ReSolve Osprey Program.
2 The returns calculated refer to the F Class fund series and are net of 1% management fee and 20% incentive fee as well as all trading and administrative expenses assuming an investor began investing in ReSolve Osprey Fund on July 1, 2020.
3 Risk contributions are calculated by multiplying the percentage weights in each market by the daily standard deviation of respective markets over the past 20 days, and standardizing the results so that the absolute value sums to 1.
4 Top long and short risk weighted positions are as of month end.
|Class F||ACN DFP|
|Class A||ACN DAP|
|Performance Fee||20% above perpetual highwatermark|
|Redemption/Subscription Notice||5 Days|
|Fund Portfolio Manager||ReSolve Asset Management Inc.|
|Fund Sub-Advisor||ReSolve Asset Management SECZ (Cayman)|
|Fund Administrator||Apex Fund Services (Canada) Ltd.|
|Legal||Fasken Martineau DuMoulin LLP|
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 Registered Investment Adviser with the SEC. ReSolve is also registered with the Commodity Futures Trading Commission as a Commodity Trading Advisor. 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.
ReSolve Asset Management SEZC (Cayman) (“ReSolve Global”). ReSolve Global is 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”). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority. ReSolve Global is a sub-advisor to the strategy. ReSolve Global 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
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 Osprey 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 the 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 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 presentation does not constitute an offer to sell or a solicitation of interest to purchase any securities or investment advisory services in any jurisdiction in which such offer or solicitation is not authorized.