Buckingham Global Advisors, LLC : Metis Tactical ES (MTE)

Summary

Metis Tactical ES (“MTE”) - A futures trend following 100% systematic program trading Emini S&P 500 futures only. It's based on a Big Data Driven quant model with 5 sub-models and 40+ data factors. MTE does not trade options and has ultra - low margin to equity ratio (5%) , the trading started in June 2017 but a parallel ETF (SPY) trading has two years of tracking record.

Investment Strategy

Model Structure Metis is comprised of five individual sub models. The power of five sub models collectively is greater than each individually. Each sub model uses a collection of equally weighted variables that collectively ‘vote’ to determine a given sub model's output of long, neutral, or short. The five sub-model outputs are then aggregated, with equal weighting, to determine the Metis models’ overall position (long, neutral or short) in the S&P 500 index. The interplay of the five distinctly different models gives Metis a variable sensitivity to market conditions: Metis tends to be more sensitive to market changes at or near major inflection points and less sensitive during the middle of a sustained market move. In summary, Metis is a 100% mechanical system that offers some of the attractive characteristics of a discretionary macro trader. GOALS *Provide an attractive alternative to traditional long equity and hedge fund strategies *Completely systematic approach which varies exposure to S&P 500 index (other indices are possible) *Exposures are a direct function of changes in macroeconomic, fundamental and technical variables *Emphasis on capturing downside market performance *Emulate a successful discretionary trader *Utilize a variety of macroeconomic, fundamental and technical variables *Avoid any possibility of ‘curve fitting’ or over specification during model development Maximize robustness *Be profitable in both rising and falling market environments while maintaining a high Sharpe Ratio Strive to provide double-digit returns *Recognize the asymmetry between rising and falling market environments Moderate rate of turnover (80 times per year)

Risk Management

The model provides a comprehensive data-driven view of the market. Risk management is built in the five separate submodels, which contain 40+ data components. -Trend: When market deteriorates, the indicator turns neutral or negative -Fed: Tightening fiscal policy and low liquidity could cause the Fed signal to turn neutral or negative -Macro: Higher inflation or overheated economy could turn it to neutral or negative -Turbulence: Market turmoil could turn its signal to neutral or negative -Sentiments: Over-optimism could turn its signal to neutral or negative A risk management/money management overlay is used during losing months to stem losses which involves reducing position sizing by 50%.