IMC Asset Management

(Quantitative Indicator Fund)

Fund Investment Objectives

IMC QUANTITATIVE INDICATOR FUND (QIF) is a systematic global macro program that models economic relationships between the markets and investors in the four major asset classes. This economic approach is focused on behavioral biases and temporary price pressures that are persistent in the markets and observable across many decades, and is in stark contrast to the statistical approach taken by most systematic funds. QIF is comprised of five individual models, one for each of the major asset classes, and a fifth, multi-asset class, model. Each of these five independent models trades a different and distinct investment theme and employs the best aspects of behavioral finance, sentiment and high-frequency trading, and traditional trend-following (and counter-trend) methodologies. This results in five relatively uncorrelated models underlying the fund. Each model is then comprised of a number of Leading and Trend Indicators, specific to that asset class and investment theme. Leading Indicators are meant to capture inattention to subtle changes in economic conditions that lead to eventual moves in asset prices, while Trend Indicators identify opportunities resulting from under- or over-reaction to news-worthy events. The fund is fully systematic, trades only futures, and targets 10-15% net returns on average with a targeted annualized volatility of 10%. Average holding periods vary by model and indicator and range from one day to a few months. There are a number of systematic risk and drawdown controls in place to protect from excessive correlations or loss, and the fund is, by construction, uncorrelated to the global equity and bond markets.