CORPORATE SOCIAL RESPONSIBILITY

Pursuant to the Article L533-22-1 of the French Monetary and Financial Code, Metori Capital Management (Metori) has an obligation to disclose its general approach regarding the integration of Environmental, Social and Governance (ESG) Criteria in its investment policy.


1. ABOUT METORI:
Metori is a pure-play systematic and quantitative asset manager. We combine ideas from academic research with empirical data analysis in order to implement strategies which have sound statistical and economical foundations. Our belief is that this scientific approach allows to uncover market complexities in order to generate performance for our clients.

Metori Capital Management was founded in 2016 by a group of seasoned professionals from Lyxor Asset Management (Société Générale Group). The company brings together a team of experts in capital markets, portfolio management and IT infrastructure.


2. CORPORATE SOCIAL RESPONSIBILITY:
The question of responsible investment was raised early in the foundation of Metori Capital Management. Acting in a socially responsible and ethical manner has been made one of Metori’s core values since the launch of the company. We are strong supporters of responsible capitalism and believe that we can have an impact both through how we act as a firm and through the investments we make for our clients. This section documents our efforts on both of these fronts.

While responsible investment cannot be reduced to a unique consensual definition, we believe its primary objectives are to:

– Invest with a certain philosophy and in keeping with certain values
– Invest while considering the risks and opportunities identified in the non-financial analysis of issuers
– Invest to make a positive impact on social, environmental and governance issues
– Support the development of sustainable financial markets and the long-term market stability as a whole

How these objectives can be met varies significantly depending on the investment style and the products traded. Existing ESG frameworks largely focus on traditional assets (equities, credit, infrastructure, private equity…). Some best practices have emerged and been largely adopted by traditional players (e.g. ESG screening, exclusions, active ownership…). On the contrary, integration of ESG factors in futures investing has only recently emerged and is still being largely debated.


3. CORPORATE ENGAGEMENTS:

The following internal guiding principles have been established to support our commitment to conduct business in a socially responsible and ethical manner:

1. Metori will be transparent with respect to its progress on ESG research and implementation solutions

2. Metori will incorporate ESG issues into investment analysis and decision-making processes to the extent it is possible and in line with our fiduciary obligations

3. Metori will perform a continuous watch on ESG best practices and embrace research and education on the topic

4. Metori will support and promote responsible investment within the investment industry (clients, peers, industry forums …)
5. Metori will ensure it allocates sufficient time and resources to meet the above objectives and to aid our clients in their understanding of ESG-based investing

Metori Capital Management became a signatory to the UNPRI in 2018. The UNPRI initiative is an international network of over 1,750 signatories, from more than 50 countries, representing $70 trillion in assets under management as of August 2017. UNPRI signatories work together to implement six core principles of responsible investment. For more information, please visit: https://www.unpri.org/.

In line with regulatory requirements and Metori’s internal code of conduct, we have implemented strict internal procedures on how to conduct our business in terms of equal treatment of investors, alignment of interests or handling conflicts.

Finally, Metori is mindful of its environmental impact in every possible way, ranging from travel policies to the choice of providers and business partners.


4. RESPONSIBLE INVESTMENT POLICY:
Metori’s investment approach is data driven, model-based and systematic. We analyse large amounts of data on a daily basis to identify the direction in which market forces drive asset prices and measure underlying uncertainties. The investment program seeks to achieve capital appreciation over the medium to long term by implementing a trend-following strategy across multiple asset classes. We typically try to capture 6-month trends, horizon where noise starts to disappear, and prices to evolve in line with fundamentals.

Our investment universe is exclusively composed of futures on stock indices (no single-stock futures), interest rates, currencies and commodities traded on the largest regulated global futures exchange markets. It does not comprise any single stocks nor corporate bonds. A traditional ESG investment approach based on screening, exclusions lists or active ownership (voting rights) is therefore not relevant.

The use of derivatives is a sensitive issue as it raises the question of the tangible impact on the economy. Different views exist amongst investment managers and clients. Some players argue that ESG criteria cannot be applied to derivatives, others integrate some criteria in the choice of underlying assets.

In order to support the development of sustainable financial markets and to best adapt ESG inclusion to our investment style, Metori’s view is that our investments should at a minimum have no material impact on market prices:

1. We choose to trade on markets and instruments which provide the largest liquidity. Practically speaking, we impose hard liquidity limits on all futures from our investment universe. We have hard limits on the below two metrics which are monitored at instrument level on a daily basis:

– Ratio between positions held and the open interest
– Ratio between positions held and the average traded daily volume

2. Execution is largely performed through algorithms provided by our brokers. These algorithms leverage a variety of data such as liquidity or traded volume, thus helping us to avoid affecting market prices with our trades.

It is also worth mentioning that we strictly abide by limits imposed by regulators such as the U.S. Commodity Futures Trading Commission (“CFTC”) to prevent excessive speculation and sudden fluctuations or unwarranted changes in prices.

Other options have been and are still being considered. One example is the inclusion of some newly launched ESG futures in our universe. At this stage, the liquidity observed on these instruments has not been deemed sufficient to meet our fiduciary responsibility. The evolution of these instruments is being closely monitored.

Our responsible investment policy is reviewed on an ad-hoc basis (e.g. new product launch) and at least annually by Metori’s Executive Committee to ensure we meet the highest industry standards. Raising the general awareness on ESG investing and shaping the future of ESG investing are two goals that hold us dear.

Principal Adverse Impacts (PAI):

Metori does not currently consider the Principal Adverse Impacts of its investment process on “sustainability factors” as defined in SFDR. The Epsilon Program is an alpha-seeking, long and short strategy, which invests in future contracts across multiple regions and asset classes. Sustainability factors are listed as environmental, social, and employee matters, as well as matters relating to human rights, anti-corruption, and anti-bribery. Metori considers none of the instruments within our multi-asset investment universe have any Principal Adverse Impacts (PAI) on such factors. 

 Metori publishes an Article 29 report updated every year. The latest report is available through the following link: https://climate-transparency-hub.ademe.fr/dossier/metori-capital-management-dossier-reporting-29-lec-2022/

2023 © Metori Capital Management.
All rights reserved.

METORI CHINA TREND OPPORTUNITIES INDEX

Index objective

The objective of the Metori China Trend Opportunity Index is to achieve absolute returns over 3 to 5 years with little to no correlation to traditional investments. The program trades over 30 futures markets in China, long or short, by implementing systematic trend-following strategies based on mid to long-term quantitative signals. Such signals aim at identifying entry and exit points for each market, in order to capture trends both on the upside (long positions) and on the downside (short positions).

Documents

Performance & allocation report
Benchmark statement
Compliance statement
History of Amendments
The Metori China Trend Opportunities Index (“the index”) is the property of Metori Capital Management. The Index Methodology is not intended to be, or construed as, an offer or a solicitation by the Benchmark Administrator to sell, buy or invest in any financial instrument or investment product, or to provide any kind of advice or service. The Index seeks to replicate the performance of a hypothetical portfolio of Index Components. However, the Index does not actually invest in, hold or short the corresponding instruments. An investor in any product linked to, or benchmarked on, the performance of the Index will have no rights whatsoever to any Index Component or any other instruments underlying the Index. The Index is a statistical measure providing a representation of the value of a hypothetical portfolio, and shall not be construed or interpreted as constituting a fund, pool or any other investment vehicle. Any investor, trader, asset manager or service provider making any use whatsoever of the Index, including (without limitation) managing or investing in any product linked to the performance of the Index, using the Index as a benchmark or providing services making references to the Index (each an “Index User”, collectively the “Index Users”), does it under its own responsibility and at its own risk. Prior to making any use of the Index, Index Users should seek independent financial, tax, accounting and legal advice. It is each Index User’s responsibility to ascertain that it is authorised to enter into any transaction or provide any service making references to the Index. Neither Metori nor any of its directors, officers or employees, will be liable or responsible for any loss or damage resulting, directly or indirectly, from using the Index in any way. The performance of the Index over any time-period is not guaranteed to be positive. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RETURNS. The strategy underlying the Index allocation model bears a certain number of risks, including (but not limited to): poor performance, risk of losses, volatility, leverage and value-at-risk, market risks. The Index aims to capture the trends of a selection of futures contracts. The Index may perform well in periods when futures prices are steadily trending up or down. On the opposite, the Index is expected to perform poorly, or even significantly decline, in periods when futures prices do not move in a consistent manner or experience trend reversals. Moreover, the Index performance is expected to be negatively affected in periods of correlated markets. The Index embeds a significant leverage effect through its hypothetical exposure to derivative instruments. Leverage creates special risks and may significantly increase the risk of losses.