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Systematica Investments

PRI reporting framework 2020

You are in Strategy and Governance » Investment policy

Investment policy

SG 01. RI policy and coverage

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

01.1. Indicate if you have an investment policy that covers your responsible investment approach.

01.2. Indicate the components/types and coverage of your policy.

Select all that apply

Policy components/types

Coverage by AUM

01.3. Indicate if the investment policy covers any of the following

01.4. Describe your organisation’s investment principles and overall investment strategy, interpretation of fiduciary (or equivalent) duties,and how they consider ESG factors and real economy impact.

Systematica recognises that a sustainable and responsible investment strategy is key for long-term value creation for all stakeholders. Accordingly, Systematica is committed to incorporating Environmental, Social and Governance (“ESG”) considerations into its investment decision-making processes. As a scientific and data-driven group, Systematica is committed to exploring the best methodologies and practices for doing so with respect to its various strategies. Within Systematica, investment ideas are typically developed by Systematica’s research team. When developing an investment idea, Systematica’s research team is required to take into account sustainability considerations. Whether or not such considerations will become part of the idea being developed depends on their relevance.


01.5. Provide a brief description of the key elements, any variations or exceptions to your investment policy that covers your responsible investment approach. [Optional]

The Research team primarily uses a two-step statistical methodology to evaluate the efficacy of new strategies and models. The first step aims to identify certain patterns or effects in the market and seeks to determine whether they are persistent and statistically significant. The second step is designed to robustly back-test trading strategies over a long period of time, typically ten to twenty years.

In order to test the strategies, the researchers will look for stability, robustness and statistical significance of the predictive power. Analysing data and testing strategies faces many challenges as often the signals are not very strong and a core part of the team’s work is refining the techniques used to effectively assess whether the signal truly has predictive power. The research will consider in-sample and out-of-sample performance with the goal of testing the signal on data that has not been used in its creation. There may be instances where a signal does not have the same efficacy out-of-sample, despite the in-sample results having shown strong performance and a high Sharpe ratio.

The efficacy of these strategies is assessed in terms of its contributions to the characteristics of the portfolio and its performance. Particular attention is given to the risk adjusted returns of the strategy, its draw-down characteristics, the costs of implementation of the trades and their market impact.

Beyond risk and returns considerations, when applicable and in the scope of responsible investments, sustainability of the portfolio holdings can be assessed via characteristics such as ethical, environmental, social or governance related metrics. As an example, all funds include our exclusion list specifically restricting the investment in issuers involved in cluster munitions. Other funds include a wider exclusion list. Additionally, there is a commitment to implement enhanced internal measures to consider additional environmental (e.g. emissions and water consumption), social responsibility (e.g. diversity at the workplace, employee benefits) and corporate governance (e.g. independent directors & internal committees) items, to name some, in the investment decision process.

All else being equal, more sustainable holdings should be preferred, and, when the fund mandate specifies it, sustainability can be traded against a small loss in expected risk-adjusted returns.

01.6. Additional information [Optional].


SG 01 CC. Climate risk (Private)

SG 02. Publicly available RI policy or guidance documents


02.1. Indicate which of your investment policy documents (if any) are publicly available. Provide a URL and an attachment of the document.

02.2. Indicate if any of your investment policy components are publicly available. Provide URL and an attachment of the document.

02.3. Additional information [Optional].

SG 03. Conflicts of interest

03.1. Indicate if your organisation has a policy on managing potential conflicts of interest in the investment process.

03.2. Describe your policy on managing potential conflicts of interest in the investment process.

Systematica, in line with the applicable regulatory requirements, has taken, and will take in the course of its activities, all reasonable steps to identify conflicts of interest between:
i) Systematica (including its principles, employees or any person directly or indirectly linked to them by control), and a client of Systematica; or
ii) one client of Systematica and another client
that arise or may arise in the course of Systematica providing any services to its clients deemed as regulated activities. Systematica’s clients include both fund clients and certain managed account clients.

The type of conflicts covered by the policy relate to a relevant person which: 

- is likely to make a financial gain at the expense of the client;

- has a different interest in the outcome of a service/transaction provided to the client;

- has a financial or other incentive to favour the interest of another client(s) over the interests of the client;

- carries on the same business as the client; or

- receives from a person other than the client an inducement in relation to a service provided to the client.

The policy ensures segragation of functions, lists a set of disclosure rules (and conflict register).

03.3. Additional information. [Optional]

SG 04. Identifying incidents occurring within portfolios

04.1. Indicate if your organisation has a process for identifying and managing incidents that occur within investee entities.

04.2. Describe your process on managing incidents

Systematica has a Breaches, Errors & Exceptions Policy in place which is applicable to all incidents, including ESG. Typically, the employee(s) discovering the incident report to Compliance as soon as possible. Compliance then coordinates with all relevant employees/heads of department for resolution. Once resolved, a post-mortem review takes place (e.g. on proposed control enhancements, required internal/external communications). The Operational Committee performs the final review on the classification of the incident, reimbursements, potential external communications and whether or not the incident is escalated to the Executive Committee (i.e. depending on the materiality of the event).