Amagi

Fund Investment Objectives

Amagi is a Dollar market-neutral, US Equity, non-discretionary strategy. The portfolios created by the system are: 1. Dollar-market neutral; 2. Chosen from a universe of approximately 1,800, highly liquid, U.S. common stocks trading on the NYSE/AMEX/NADAQ exchanges. All equities in this universe have market capitalization greater than $100 million and daily dollar volume traded greater than $3 million. 3. Widely diversified: the typical portfolio holds at least 200 positions with individual positions sizes capped at 0.30% of portfolio size and 20% of average daily dollar trading volume. Sector, size and industry-group net exposures are capped at 2%. 4. The turnover time is 3-5 weeks. 5. Capacity is conservatively $1 billion long/short. The system is comprised of a regression model that is split roughly 60%/40% between: 1) purely technical variables, and 2) fundamental variables paired with technical "triggers" that bring these variables into play when the market is either rewarding or penalizing the associated fundamental attributes. The approach is automated and trading is non-discretionary-ALL trading decisions are based on the results of a long-term, on-going, theory driven, and highly systematic research effort. The approach is broadly diversified over more than 400 predictive indicators. The system cannot be classified as purely trend-following (momentum) or purely mean reversion; it contains elements of both strategies. The simplest characterization is that the system has excelled at identifying patterns of behavior that have occurred historically and that extensive research indicates will occur again in the future.