QuantMetrics Capital

Management (QM MS Fund)

Fund Investment Objectives

The QM Multi Strategy Fund has exposure to the 2 managed futures strategies offered by Quantmetrics; QM Premier: a market neutral strategy that seeks to identify and capture short term liquidity imbalances in pairs of equity index futures. The strategy employs a number of market neutral trading systems with time horizons ranging from 20 minutes to 1 day, with a target volatility of 8%. QM Directional: a directional strategy that aims to generate returns through its predictive (anticipating flow) and reactive (liquidity provision) investment strategies, with time horizons ranging from 5 minutes to 5 days. The strategy is unhedged but we believe it benefits from cross market diversification, targeting a volatility of 7.5%. QM Premier and QM Directional together create a target volatility of 10% for the QM Multi Strategy Fund.