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Systematica Investments

PRI reporting framework 2018

Asset class implementation gateway indicators [OO 10 - 12]

Investment policy [SG 01 - 04] Objectives and strategies [SG 05 - 06] Governance and human resources [SG 07 - 08] Promoting responsible investment [SG 09 - 11] Outsourcing to fiduciary managers and investment consultants [SG 12] ESG issues in asset allocation [SG 13 - 15] Asset class implementation not reported in other modules [SG 16 - 17] Innovation [SG 18]

Assurance

Assurance [CM1 01.1 - 01.7]

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Basic information

OO 01. Signatory category and services

01.1. Select the services and funds you offer

Fund management

% of assets under management (AUM) in ranges

<10%

10-50%

>50%

Fund of funds, manager of managers, sub-advised products

Other, specify

Further options for investment managers (may be selected in addition to the above)

Execution and advisory services

Hedge funds

Fund of hedge funds

01.2. Please describe your hedge fund strategy and classification [OPTIONAL]

Options presented for hedge funds:

Equity Hedge Drop down options:

Event Driven Drop down options:

Macro Drop down options:

Relative Value Drop down options:

01.3. Additional information. [Optional]

Systematica was founded by Leda Braga on 1 January 2015 as a spin-off from a division of BlueCrest Capital Management Limited. It employs 108 people and has offices in 5 locations: Geneva, London, New York, Singapore and Jersey. Systematica is an innovative technology-driven firm focused on a quantitative and systematic approach to investing. The investment philosophy is based upon a disciplined research process, technological innovation and operational excellence. Systematica manages $8.8bn, AuM as of 1st February 2018, for a diverse investor base across the globe, on the following hedge fund programmes:

Systematica BlueMatrix– an equity market neutral programme targeting pure alpha and trading liquid, single-name stocks.

Systematic Trend Following Programme - a trend-follower enhanced by diversifying strategies that trades mostly futures at higher speed for defensiveness.

Alternative Markets Trend Following Programme – a trend-follower that trades difficult-to-access markets (e.g. OTC, EM, Credit Indices etc.).

Alternative Risk Premia Programme – a systematic trading programme providing high quality implementation of well documented alternative risk premia strategies across global markets. Strategies covered are diversified implementations of Value, Momentum, Carry, and Defensive investment themes across asset classes.

Systematic Macro Relative Value Programme – a macro relative value strategy taking a more refined approach to macro trading, where macro themes are exploited largely through relative value and trading mostly OTC markets.

Multi-Strategy Programme – a diversified systematic multi-strategy product that allocates to each of Systematica’s alpha strategies (systematic equity market neutral, systematic trend following, alternative markets and systematic macro relative value programmes).

Systematica also offers bespoke solutions through managed accounts, funds of one, sub funds and/or sub-series of either a Cayman or Delaware umbrella fund or limited partnership respectively, which invest in tailored mixes of the Systematica strategies listed above.

OO 02. Headquarters and operational countries

02.1. Select the location of your organisation’s headquarters.

Jersey

02.2. Indicate the number of countries in which you have offices (including your headquarters).

2-5

6-10

>10

02.3. Indicate the approximate number of staff in your organisation in full-time equivalents (FTE).

108 FTE

02.4. Additional information. [Optional]

OO 03. Subsidiaries that are separate PRI signatories

03.1. Indicate whether you have subsidiaries within your organisation that are also PRI signatories in their own right.

Yes

03.3. Additional information. [Optional]

OO 04. Reporting year and AUM

04.1. Indicate the year end date for your reporting year.

31/12/2017

04.2. Indicate your total AUM at the end of your reporting year, Exclude subsidiaries you have chosen not to report on and any advisory/execution only assets.

Total AUM
Total AUM	trillions	billions	millions	thousands	hundreds
Currency
Assets in USD
Assets in USD	trillions	billions	millions	thousands	hundreds

04.5. Additional information. [Optional]

OO 06. How would you like to disclose your asset class mix

New selection options have been added to this indicator. Please review your prefilled responses carefully.

06.1. Select how you would like to disclose your asset class mix.

as percentage breakdown

as broad ranges

	Internally managed (%)	Externally managed (%)
Listed equity	0 0	0 0
Fixed income	0 0	0 0
Private equity	0 0	0 0
Property	0 0	0 0
Infrastructure	0 0	0 0
Commodities	0 0	0 0
Hedge funds	>50% 100	0 0
Forestry	0 0	0 0
Farmland	0 0	0 0
Inclusive finance	0 0	0 0
Cash	0 0	0 0
Other (1), specify	0 0	0 0
Other (2), specify	0 0	0 0