Commerzbank AG (IQArts

Master Trust - Prop)

Fund Investment Objectives

IQARTS MASTER TRUST is a quantitative trading system, developed by a trading team within Commerzbank Corporates & Markets. The team operates as a segregated unit from the trading operations while capitalizing on the bank's infrastructure and risk management oversight, within a bank regulated environment. It brings together specialists in trading, quantitative trading, operational research and trading technology. Together they have built the algorithmic systems at the heart of iQArts. The iQArts approach takes advantage of statistical information and robust optimisation concepts to interpret trading patterns and identifying trending assets. The iQArts global flagship strategy offers the potential to achieve capital appreciation irrespective of market direction in the medium term. By taking long and short positions across a portfolio of global equity, bond and commodity derivatives, the iQArts strategy attempts to capture return potential in a way that's systematic and robust. The strategy determines which positions to take using the iQArts quantitative alogorithmic trading system and invests in liquid exchange listed derivatives. The tading system looks at short-term trading signals and longer-term trends assets within the iQArts investible universe, including daily price movements, distribution of returns and current price direction. By analysing these signals, for each asset class, iQArts tries to opine as to how probable is that: 1) A sustained directional trend is going to continue; 2) A new counter-directional trend is about to commence; and/or 3) An asset price will mean revert as momentum corrects. Based on these signals a long, short or a less aggressive position is entered into: an optimised allocation process determines weights for each instrument chosen out of the investable universe. Core to its operation, the iQArts strategy looks to manage risk at each stage of the investment process with a philosophy that sacrifices returns in favour of controlling risk: Exposure is determined based on the total risk of the portfolio, the risk of each asset and of the opportunity cost of not following a signal.