EFTA01157277.pdf

cTORUS Systematic Global Opportunity Fund (+(3) + ,(+a) Presentation for. DRAFT fl ISSIBIEthalilli February 2015 1. EFTA01157277 Agenda . ATORUS • Investment Process Overview 3 • Signal Generation 4 • Investment Point of View 5 • Systematic Risk Framework 6 • Operational Risk Management 8 • Liquidity & Investment Universe 9 • Representative Trade Example 10 • Return Profile 11 • Comparative Returns 14 • Fund Terms & Service Providers 15 • Offering & Objectives 16 • Management Team 17 • Organizational Hierarchy 19 • Atorus History 20 • Contact Information 21 A torus is a surface of revolution generated by revolving a circle in three-dimensional space about an axis coplanar with the circle 2 EFTA01157278 Investment Process Overview . ATORUS Edge: Combining predictive price and realized volatility models to capture scalable alpha across global markets VolaliMy Based Portfolio ProitriatarY Raeaiancing Monitoring and 4 SytilOmMit Praciotivo Mod.' Global Pontoon Tarpoung RIO Gennentiog Comtism Construction raltn gnntrint EinY'Snn Signals Portfolio Orriega, Variance The Atoms Approach generates upsdallela with dowricale aloha Broad global investment universe to profit wherever and whenever opportunities arise Portfolio is dynamically rebalanced with respect to changes in realized volatility Targeted Sharpe ratio >1.25. Sorbno ratio >2.7 imenrrela•es1 to broader eguity,'credit markets and hedge kind strategies with a similar underlying opportunity set Defined and extensive portfolio risk management protocols and best-in-class operational risk management 3 EFTA01157279 Signal Generation ATORUS Combining proprietary price and realized volatility models to generate positive return expectancy across high and low volatility environments Is recent price trajectory in opposition to our realized volatility? current bias? Is the price trajectory relative to Trade signal realized volatility statistically significant? Highly differentiated average trade duration (>100 days) 4 EFTA01157280 Investment Point of View (IATORUS Generating upside beta in periods of economic growth with downside alpha in periods of economic contraction in comparison to relative beta Atoms oO cr co — Ego m 3 0 0 CD 8 Comparative 0 0 Strategies C3 Global Markets Downside alpha drrven by proprietary signals without the negative carry costs associated with the purchase of downside protection 5 EFTA01157281  it Systematic Risk Framework ATORUS Designed to provide return consistency and mitigate downside variance in both high and low realized volatility environments Positions are sized relative to their current realized volatLity. • • • Higher volatility yielding asset have lower notional exposures Realized volatility recalculated daily and positions are resized dependent upon threshold changes to target consistent portfolio variance Max notional exposures defined systematically by asset class • At defined NAV drawdown thresholds overall portfolio risk is systematically reduced Daily monitoring of realized volatility within a quantitatNe nsk framework reduces portfoto vo'aulity 6 EFTA01157282 Systematic Risk Framework (continued) ATORUS Multiple market risk monitoring tools are continuously Implemented • Orders subject to detailed automated review and human Order confirmation before submission Management • Automatic monitoring of active orders for execution efficiency • In house trade reconciliation and shadow record keepiig Position Level for oontrols aganst administrator! prime broker errors Risk Review • Automated posibon by position risk management ncluding potential for news and event risk assuring balance and diversity to prevent outsized single event exposure risk • Portfolio is stressed to be liquid within one day with minimal to no market impact Risk Committee Software tools and alerts to allow human review of risks Oversight Independent Y party parametric VAR model run daily Risk committee established to provide oversight at assigned thresholds (e.g. -2% one day drop, single position > 10% of NAV. exposure to a single nation > 25%) 7 EFTA01157283  I. Operational Risk Management RU S Operational risks are monitored, identified and remedied on a real-time continual basis • COS rates of bi-ateral creel oaunterpanies monitored daily Identify and • Estimated 75% of trades are exchange cleared Analyze • Multiple Prime Broker relationships for redundancy and informational security • Transactions reconciled internally and with Prime Brokers on a daily basis Implement Techniques Investor funds held in custodial account that is separate from portfolio margin accounts at the Prime Broker • Internal accounting system maintains independent. real-time PnL and expenses that can be verified against the kind administrator on an ongoing and end of month basis Monitor Results • Portfolio manager signs off on portfolio risk metrics and trade reconciliation each day Take out chart, screen short of article, 8 EFTA01157284  Liquidity & Investment Universe . ATORUS moo poem Volatility Risk Based Asset Allocation manna PROTECTION. • Portfolio of highly liquid global assets: (i) it.cxot isiGH G20 Equity Index Futures. (ii) G20 Rates. a (iii) Commodities. (iv) GB Credit Indices. and (v) GB Listed Equities Directional risk on individual positions independent of any cross-asset correlations. based solely upon signal output generated from price 8 mated volatility models • No shorting of credit or rate products, based on Atronis proprietary research of the inherent asymmetry in upside vs. downside USURPS...7% volatility driven by the seniority of these instruments in the sovereign capital structure EU URPS,, LS% COMMOOrItS. ISMINIPOS f.0% MAREE71.1.400, Majority of positions account for less than RIDURE.C. 7% 1% of total veume traded per day Volatility based risk allocation, not benchmark weighted, with low portfolio turnover 9 EFTA01157285 Representative Trade Example (sATORUS Accurate trade signals capture a large portion of the available return with low turnover (10 total changes in direction; Long-to-Short & Short-to- Long) 2.500 CO 2.000t0 1500 00 103000 50000 ui I ICO 0 — SPX1ren tOnl —103-0w. 400-3.11 0-elo Ippon". 0301 103 4/41 / 4/44 12/ 1 44/4 11 /" /tit Trie infrequency of tne change ,n trade signals sows for scale and only a de minimis amount of return is driven from Initial entry and exit Urning 10 EFTA01157286 Return Profile . ATORUS Atorus 12% Annualized Downside Volatility - Historical 20 Year Simulated Net Returns ell at 9s 40 War 15111 • 1.1% 05% 4.91 154% 143% 200 2053 59% 4.3% 11% al% 395% 200 1012 53% 17% 42% =S 1511 11.6% /9% 42% 4.3% WM 2011 1510 11% 4.0% 122% al% 1291 2010 2001 42% 42% MM 10% 15214 2039 2009 Aft 19% 113% 194% 4P9/1 2036 2007 69% *2% 245% 1.7% 404/1 2007 1106 fa .7.4% SA% 103% 141% 1006 2005 42% 4.1% 141% 7.3% 19.1% 2006 1104 114% SS% 274% MO% 2001 2003 121% 40% 145% 242% %I% 3%. MP 191 14.1% 214% 46% 25.9% 2002 2001 19/1 447% 293% 4441% Li% 2001 MO 41% 411% 2.9% 11.5% 41% 1999 411% ILI% .4.1% %MI 13A% 1919 1.91% 144% 1.1% SS% 49% MI% 1910 1997 • 52% 19.4% 01% 42% 11% 1997 19% 42% 4.2% 15% 15.1% 233% 19% 1955 14.816 1.3.04 44% 9.9% fa% 1995 Generalirg upside Leta 2C..)5) 11' tn coLynside apha (2002. 2008) 11 EFTA01157287 Return Profile (continued) . ATORUS Fluctuating sources driving yearly NAV contribution, validating robustness of alpha capture oha oppolLnity set inc/eases cispersion and lc, he's irlra-pertfol o ccrrela:icn 12 EFTA01157288  0 Return Profile (continued) ATORUS Positive returns with low downside volatility scale with time 50 O44.641/ Poses. istsurs navy 044 Poet Wins se nth" 9000% 044 Cakr44Monte tesose Patton 044 CattrOtratenesestrpete fee" 1500% W oe Int Iru 444not Pouter Mean / 11,100>P4.4 NryplAwItItUni 045 01 4 1000% • 64 Oitn/X0..10,NAMnttl" Pewm 5054 W 14 gay ruiInt nue,Ms Rw nnutn 0004 essay ths Ire eneusunew Mourn O4 4 OW44 ror Quern 44...4 400% afrq Caen:144r Mali) 544 •1000% %of Postbve ot Pontivea el Posture %or Pouthe %of Po -Anse (Meador Rolling 90. °tends, %of Poutsre Calendar Days Months Period Quarters RAN Year Years 5494% 41.11% I 46.41% 51.90% 09-91% 9000% S.sstemauc nss metnccology drives me au:oconela:icn of returns 13 EFTA01157289  Comparative Returns ATORUS Uncorrelated outperformance with lower downside variance /An I Conc4MO0 Pmmtupea Rai* MA9. NM, NNW Or•edexa Monthly Pesn.e V4agry 6440Me110 Cwrnionn• fetal on P.4k Rohm,. to Koury Y.4ey Pea zw4.11•0•Me Pr MM. R4sump3 Wm/IV MAY 4413. 34fIn0 R.00", $tivms 04. SOIOSANNIN-MJNII 40.54. 220 SUM 21 Wan NII. Dnewhdric 134166) 2 RIM 01 woo COOS Fun, CAM 9 USD 410921 0 4154 41 10 01 69 7 1 Cg4N.K40-14,001.3101 3 .207 00 131 Air I Btenbs &More StrOle9Y 1141040 0 42 0 74 7551 I I 31 BrOmalt0IFWAt$4, rum i 61 441 49 21d M24 3. 2 100F Clen11.7131461 I 41 202 RA .4 45 11.30 4.4:41,1Infx S 411 1 052 7294 1. C9140021, 4MINIs 4 .19 22= 241 N24 515.1550. ebbs,N5,41 • S 494 IN NS 2- Cr104)141114140 4,r. I• 26 20 252 696 3 1,65I 5•511X0 2 6 31 200 N. 2 3 BetryllreKtrefli 9. 44 0 12. na I 51.1, OSC15510X I 4..^ as as 110? aw.rnemt0 altege/00)•4419 Mon so . 15th..rano liyilMac ONO 0. 4.201‘,4444,4M0 WIN mo Bdn,4 .atollsmeta,.In /mesa lt d relraak.,.. etb ma * ts.• -Os...n rum lieu. OW nr Ms 4J4. (*wars sera Cron.. Inn.Fauna 4) keg u44,/,sulk. nor. Consistent outperformarce over a 20 year penol 14 14 EFTA01157290  * Fund Terms & Service Providers ATORUS Fund Terms Proposed Service Providers Launch Date May 1. 2015 Legal Counsel Morgan. Lewis & Mn. Individual Investment S2 MM Bockius LLP Mn. Institutional Investment S10 MM Management Fee 2.0% Administrator Maples Fund services (pending) Performance Fee 20.0% quarterly High Water Mark Yes Eligible Investors Qualified Purchasers Auditor KPMG (pending) Contributions Monthly Lock-Up 6-month soft. 5% Prime Broker(s) Morgan Stanley! penalty Nomura (pending) Redemptions Monthly. following rubel 6-month period with 60- Banking Services State Street (pending) day notice Transparency • Monthly performance estimate on the third business day of each month • NAV available on the 1cr busness day of each month & monthly capital account statements • Annual audited financial results • Portfo6o Managers available to discuss performance. portfolio. and policies A robust support network of operational expertse and service providers supplies opnstant and redundant operational security 15 EFTA01157291  Offerings & Objectives ATORUS Offerings Objectives • Robust and scalabe quantitative process with first-in- Target Return 2X Annualized Downside class systems and talent Volatility Optimal exposure to global risk markets in penods of Target Annualized Bespoke (10.35%) economic expansion and contraction Volatility • Bespoke targeted volatility that allows investors to Target Initial 550O MM create a portfolio to suit thew needs Capitalization • Uncomelated to other equity. fixed income. and global allocation strategies Superior & Sustainable. 20+ years. Bonin° of >2 net of fees T (FP) ± 1 (+a) 16 EFTA01157292 Management Team . ATORUS Diverse backgrounds and experience combined with complementary skill sets is the foundation for creating and growing Atorus into a global, leadership-driven asset management business Michael J. Fowler Cnol Investment Center. Portroirp Jrnhua E. Levy - Chiel Exe0Ane 046Cer (QuenItaPee Manager D'odng. posfron revel analysis ouancreav sysSems development xplemenlea00. WO °moons) swims deverosnmer. and ass mon.norrvV) ?ached. Career hati been loaned On underelardn9'he Delve henDa:rad on terser* eirrOiely Ord syrolemede 0!90005 01complex finance, systems and markets. In Dieting loccmpbx docent. In addition DNB ND as 2007 Michael wee 0 CO-F0,444” and Senor POrtrete Waft( and Cirector wei Michael Fowler el Red Doe Tradhg. Manager et Red Dot Trading. PLC. where n COOperden Joshua. since 2002. has been iregrumental in droning and wax Joerma. he was reepOnSitde 104 the dig today IMCID2 supparbng To growth d Round Nil Capra. a Europpan 01e WOW 'OKAY COM lilted-Emily 000k. Pro to the, he investment / asset management congener wen more rhea SOB was the Died*, d SWciwed Pro/eels S rename al The USLI in Iransacecas comdcted. Joshua was also To Director Geneva Group in New Yolk where he wee Repeineble ter d Priv.Y.o Invesimerts at klUUS Asset Manager-roe. CITY4Opro2Tnantral dirrclureti 10 Mel* benk-regoletOry responsble tar Iwo operabanal restructunng and management CapDI rater eduliOn8 give) Bead a risk remeightinge. et pordolo company's. Previously lOalU3 worked X Nvarca Itched deo Darted en ['Meer Ord ACQueition nnallOng5 Marsal Europe *here ho boned on athisng distressed Primarily 41 the inhartruclure. re &de and enelgY intonatunal compance and Tea MM rostrudunngs In 1990. inextres, ircludir9 it* soveilon 011.0NJOn City Airpou ho Jounced Croat:re Mons Iracinabor.S. a consumer prods by varcus Eurogoan born. He began ho Imancmi career estnhteon and rnarkdng Irm in Easton Europe. which he at me ago of lJ x a rummer tee the Amoncan Stock sold lea NYSE DIX company n 2001. Recognized as a Exchange and at To age 0110 was heed by the bodge global oppralsons and turnaroc.nd expert. he holds an MBA turr3 MI4GCactial as an gouty yid °zany banvaInt. rpm Us MIT Stan Shod or Management and a BA from sato'. lAchael a as avid ursa rrxathanor who runs 50 venaerta Uriveleily. JOSI108 isan he rocker peal, whO he.8 and I00 mle• races. payed to teensin tre USA. Adam, and Denver 17 EFTA01157293 Management Team (continued) ATORUS Carey al felt- Cher $Paragni (on meee9ement. Michael Zateeskl - Chat ask Office. nontab Manager Mwsior agenons ~Moo conanrona9 (nady); nar managomon0 Carey Mott began his investment career as allay trader en mourn*: over 20 years ol mar:nonce trading the U.S me mASOAO SCES market in 1994. In 1997 he began his equity ard lnancd futures ~cols. Over tie pasta Energy nadir)g career wan Enron Capra, 8 Trace as a years. Michaal hasdew/4dd and meltand quantnaino member el the Texas naval gas trading desk, Ho mentor modelsto eitHst him in generating positiveoutsized returns. to Amencan Etennc Ponce in Can% 20)i Telewing the Wheel he* tredveed °Wive 'Sine in low and hiqh ~HO acquisitional Houton Porelro now Enron. aprons ea Markel,. IhlteighOUt toa career. dancostreling spade and subsequently drooled Ve' estern Unroll downside alpha. Owing the linenrati crisis 012008-2009. Stases natural gar. radrd oporalens. Schowing *Era Mchoel 9erdroted etArlanliel doenive re orm narking deoson to can den:Inbred trading In tlp lal d 2002. 2008 as one d the beet 01 he career pier 0) »Ong Carat tamed Crain' Investoren' Group in 2002 as may burn indedenderdy endes en exempt OEP valet lauSliced enpige 'acing oporden. CareyletCitadel lo Elyse Perim). Michael wee e Principel with Cornerstone oui found Alpha Energy Partners in 2001. and lainharl Sea see/( Growl. vial me km irate puretteeed My IrWitesicle Energy ISIBAUMI as Chef invosMront Office Icahn.. in 2001. Oaring his Innate et COMer11000. Melbal in 2007. Carey Ha Matege adviser bore AIMS/end vemantradengy one dine premier Seden in the firm Prior tO g0t and continual10$~ es Q0 la Whileedt. Energy Corm:ninon. he wee 91.3 ore el the toe »dere et Atirnentum Carey is an avid OrAdOoramen. end mac potter and Senines from 1998 - 1998. MiChael attended the Unhandy snanOdieder. He lgurd$ *BS taw tie Uriveisily ol Tenn et Texas at Austin. nyeng in Economics Mead is an and 75 DellaS and an MBA in Finance from ha University ol tonne player. gol1o7 and %bon Croarn Significant team experience managing institutional and pnvate investment capital across multiple market environments and disciplines 18 EFTA01157294 Organizational Hierarchy ▪ A•TO RUS Combined trading and operational experience in excess of 100 years Risk Committee Trading - CEO (1) CIO (1) Operations - Chief Risk Chief COO / CFO Officer (I) Strategist(I) (1) Capital Raising! Computer Investor Seientictil/ Relations(1) Clearly defined roles and processes ensuring team continu ly 19 EFTA01157295 Atorus History . ATORUS • 2006 — Michael Fowler and Joshua Levy were introduced to co_ Aerate on a leveraged buyout of a major US Oil and Gas company • 2C06 - Research and development of the Atorus methodology begins • 2008 - Red Dot Trading. LLC is incorporated and later becomes a Registered Investment Advisor In New York and the principals begin successfully trading utilizing their research • 2011 - Red Dot Trading. LLC was purchased by Eastbridge who utilized the Atorus methodology as a part of a trading strategy for US listed financial secunbes for a large European commercial bank with Credit Suisse as the prime broker 2012 - Atorus registers as a Registered Investment Advisor in the State of Massachusetts • 2013 - The founders leave to finalize research and development on the portfolio construction methodology given a global mandate • 2014 - klichael Zatorski & Carey Metz joins as partners. Total Partners capital contnbutons exceed SZ0MM. Over seven years of quantitative systems development 20 EFTA01157296 Contact Information . ATORUS For further information: Michael Fowler, Chief Investment Officer, Atoms 314 Galena Street rd Floor Aspen, CO 81611 USA 21 EFTA01157297 .ATORUS 22 EFTA01157298  Appendix — Drawdown Correlation Matrix . ATORUS Uncorrelated drawdowns from peak monthly NAV with significan ly higher cumulative total returns . ....... . . I,. - ,— --- 0... M1... . .... , .... ,;...= 6_ . ... , ... .. . . . ....... • • ,... . ........... . . . . _ I 1N..... _ tv„....‘ ,... --ti l" I . lac . , .........ax• . „. . r s.... '''' ....a ...ye c....... ....a... . > Annualized Resums < Downside Volatility Correlaticr zit 23 EFTA01157299 Appendix — Top/Bottom NAV Contribution . ATORUS Top avg. 20 positions contribute demonstrably more than bottom avg. 20 positions with minimal variance . AmtNAV C but on al POU1.3111 -4.q NAV Combuibro al AVM 10 P0,00,4 'fly lineuloled shays, — 4 k. Sys:ematc risk me:hcc,atogy allows for controlled downside variance. white maximizing upside returns 24 EFTA01157300