Buckingham Global Capital : Nanhua Buckingham Multi-Strategy Fund

Summary

The Multi-Strategy Fund employs multiple quantitative-driven methodologies such as options volatility arbitrage, and macro big data trend- following on the E-mini S&P 500 futures and options, with a hedge overlay utilizing long VIX futures. The Portfolio Managers balance the weights of each strategy based on the current market environment or evolving market conditions to achieve optimal performance. They may utilize any strategy that they deem fit for the current market environment. The Fund seeks to achieve positive annualized returns of greater than 15% with a volatility objective under 10%.

Investment Strategy

MTE (METIS Tactical Program) - 100% systematic, macro big data e-mini S&P 500 futures long/short strategy that employs five main sub-models utilizing 40+ macro, technical and fundamental data points to make trading decisions. WEP (Weekly E-mini Program) - Options volatility arbitrage that performs best in intermediate volatility and in up-trending markets. 100% systematic risk management, risk mitigation and exit strategy. ASP (All Season Program) - Options volatility arbitrage program that performs best in intermediate to high volatility and in choppy, downward or bearish markets. 100% systematic risk management, risk mitigation and exit strategy.

Risk Management

100% Systematic Risk Management: For 50% of the strategy employing an options volatility strategy, there are GTC sell stop orders applied on or around all short strikes of all ratio spreads. If the stops are triggered, the program goes delta neutral and exits the market from all options volatility/volatility arbitrage trades. The program can also employ a long-only VIX hedge overlay that is triggered by proprietary volatility and trend models. The Metis Tactical component, which accounts for approximately 50% of the Fund composition, uses five sub models that are equally voting to determine position in the market on a daily basis. The model has the ability to cut exposure by 50% or exit the market and go to cash.