Fund Description

The fund seeks to achieve its objective through a quantitative trading strategy designed to capture persistent up or down price trends across global financial markets and commodities. It uses a composite of financial and commodity derivatives and may also hold direct investments such as fixed income instruments, taking long, short, or no positions based on proprietary quantitative models, with discretion over final allocations and implementation. Under normal circumstances it invests in derivatives linked to rates, currencies, mortgages, credit, commodities, equities, and volatility, and may invest in mortgage-related and other asset-backed securities, using futures, options and swaps, including on a speculative basis. The fund's investments in derivative instruments will generally be backed by a short to intermediate duration portfolio that may consist of cash equivalent securities and fixed income instruments. Commodity exposure may be gained via swaps, futures, up to 25% in a Cayman subsidiary, and physical commodities; it may also invest in commodity index-linked notes, high yield securities, seek foreign currency exposure and emerging markets exposure without limitation, use purchase and sale contracts, and engage in short sales.