Frame Futures Fund

Frame Funds uses multiple proprietary trading strategies. These strategies may include qualitative, systematic, and quantitative processes. They utilise price data and market inefficiencies with the aim of identifying short, and long-term price trends across equities, fixed income, currency, volatility, and commodity instruments. These strategies take both long and short positions across all asset classes, but at any one time the Fund may emphasize one or two of these asset classes. A ‘long’ position will benefit from an increase in the price of the underlying Instrument, while a ‘short’ position will benefit from a decrease in the price of the underlying Instrument.

Frame Funds makes no guarantees that the strategies it employs on behalf of the Fund will remain as above. Components of the above strategies may be discontinued or adjusted depending on the market situation at the time. The research team of Frame Funds is constantly working to improve the current strategies to improve the performance and performance profile of the Fund.

Frame Funds will not implement new strategies for the Fund unless they have been rigorously tested.

The risk management processes of Frame Funds have evolved consistently since the firm was founded, and
Frame Funds expects the development of these risk management processes to continue. Frame Funds deploys a quantitative approach to risk management. On a daily basis, the internal risk team monitors a number of metrics to assess matters such as margin to equity utilisation, forecasted and historical volatility, portfolio limits, value at risk, and drawdowns. The internal risk team will then pass this information on to the investment management team who will then adjust key risk inputs within the quantitative and qualitative models.

Frame Funds targets a certain level of risk for each strategy that it operates. If the Fund’s performance is poor over a given period, its NAV will drop. All else equal, this drop in NAV will cause Frame Funds to lower the Fund’s economic exposures to maintain the same level of risk. If realised market volatility increases, the strategies that Frame Funds implement will adjust based on the new (elevated) levels of risk. In addition to the above, Frame Funds reserves the right to override its investment process for risk control purposes and will judgmentally take down risk simply as a function of its belief that volatility going forward will substantially exceed that forecasted. This is difficult to quantify as it is situationally driven. It is rare, and only exists as an additional control in our daily management of the Fund’s portfolio.

Ongoing Review
Frame Funds focuses energy and resources into the development and maintenance of the current trading strategies, to ensure that the present strategies are relevant and effective in the prevailing market conditions. The current or existing strategies of Frame Funds are constantly adjusted and replaced when necessary if there is a slump in performance. The purpose of this is to ensure that the Fund is evolving as the markets evolve.