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Systematica Investments

PRI reporting framework 2019

Asset class implementation gateway indicators [OO 10 - 12] Peering questions [OO LE 01 - HF 01]

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]

Direct - Hedge Funds

Policy [HF 01 - 02] Governance [HF 03 - 05] Investment process [HF 06 - 11] Monitoring and reporting [HF 12 - 15]

Confidence building measures

Confidence building measures [CM1 01 - 07]

Export Public Responses

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Basic information

OO 01. Signatory category and services

01.1. Select the services and funds you offer

Select the services and funds you offer	% of asset under management (AUM) in ranges
Fund management	0% <10% 10-50% >50%
Fund of funds, manager of managers, sub-advised products	0% <10% 10-50% >50%
Other	0% <10% 10-50% >50%
Total 100%

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

Hedge funds

Fund of hedge funds

01.2. 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 113 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 $7.6bn, AuM as at the end of December 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).

113 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.

31/12/2018

04.2. Indicate your total AUM at the end of your reporting year.

Include the AUM of subsidiaries, but exclude advisory/execution only assets, and exclude the assets of your PRI signatory subsidiaries that you have chosen not to report on in OO 03.2

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

Not applicable as we are in the fund-raising process

04.4. Indicate the total assets at the end of your reporting year subject to an execution and/or advisory approach.

Not applicable as we do not have any assets under execution and/or advisory approach

04.5. Additional information. [Optional]

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

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
Fund of hedge funds	0 0	0 0
Forestry	0 0	0 0
Farmland	0 0	0 0
Inclusive finance	0 0	0 0
Cash	0 0	0 0
Money market instruments	0 0	0 0
Other (1), specify	0 0	0 0
Other (2), specify	0 0	0 0

06.2. Publish asset class mix as per attached image [Optional].

06.3. Indicate whether your organisation has any off-balance sheet assets [Optional].

Yes

06.5. Indicate whether your organisation uses fiduciary managers.

Yes, we use a fiduciary manager and our response to OO 5.1 is reflective of their management of our assets.

No, we do not use fiduciary managers.

06.6. Provide contextual information on your AUM asset class split. [Optional]

OO 07. Fixed income AUM breakdown (Not Applicable)

OO 08. Segregated mandates or pooled funds (Not Applicable)

OO 09. Breakdown of AUM by market

09.1. Indicate the breakdown of your organisation’s AUM by market.

90 Developed Markets

10 Emerging Markets

0 Frontier Markets

0 Other Markets

Total 100% 100%

09.2. Additional information. [Optional]

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