Pacific Life Fund Advisors LLC : Pacific Multi Strategy Return Fund - Series A

Summary

Pacific Multi-Strategy Return Fund L.P. (the "Fund") is a diversified, multi-strategy fund that uses proprietary statistical models to design and implement a trading strategy.

Investment Strategy

The Fund is diversified by design through exposure to momentum, mean reversion, volatility and relative value models. The models look at diverse metrics across technical signals and holding patterns. The Fund's trading approach is based on quantitative analysis of price behavior in a large variety of markets. The underlying trading strategies have no directional bias. The Fund invests primarily in liquid futures and selectively options on futures markets in equity indices, rates, commodities and FX. The Fund's strategy is systematically implemented with limited discretion. The portfolio targets a low correlation with stock, bond and commodity markets.

Risk Management

The Fund is designed to maximize risk-adjusted returns over market cycles with a low correlation to global equity markets. The current target downside volatility measure is 6% per annum. Additionally, we limit the maximum margin equity ratio for net long exposure to equity indices at 7.5% and the maximum margin equity ratio for net short exposure to equity indices at 2.5% of the Fund's notional at all times.