EQIPX — Equinox IPM Systematic Macro Fund

EQIPX Fund Overview

EQIPX — Equinox IPM Systematic Macro Fund is a US mutual fund managed by Equinox Funds Trust, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US mutual fund
• Manager: Equinox Funds Trust
• Category: Money Market
• Assets under management: $168.49M
• Ticker: EQIPX
• SEC CIK: 0001498272
• SEC series ID: S000050003
• Share class ID: C000157904

EQIPX Investment Objective and Strategy

Equinox IPM Systematic Macro Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Equinox Funds Trust.

Investment objective

The Equinox IPM Systematic Macro Fund (the Fund) seeks to achieve long-term capital appreciation.

Principal investment strategy

Please refer to the section entitled Key Terms below for additional information on highlighted terms. The Fund pursues its investment objective by making a combination of investments (i) directly in an actively managed fixed-income portfolio comprised of cash, cash equivalents, securities issued by the U.S. government and money market funds, and (ii) directly, or indirectly through its wholly-owned subsidiary, in a diversified portfolio of futures contracts and futures-related instruments such as forwards and swaps in broadly diversified global (i.e. U.S. and non-U.S.) markets across three major asset classes: currencies, fixed income and stock indices. The Subsidiarys investment in futures contracts and futures-related instruments is directed by IPM Informed Portfolio Management AB ( IPM ) in accordance with its IPM Program .

The Subsidiary is formed as a limited liability company under the laws of the State of Delaware. The Fund or its Subsidiary may also invest in derivative instruments such as swap agreements that provide exposure to the IPM Program. The Adviser intends to target a reduced level of volatility for the Fund relative to the IPM Program. The Adviser will adjust the Funds exposure to the IPM Program by managing its investment in the Subsidiary and through certain derivative instruments at a level designed to provide the Fund with investment exposure to the IPM Program that is approximately 2/3 of the level of risk of the IPM Program, unless otherwise mutually agreed to in writing by the parties. The IPM Program takes a systematic, global macro approach to investment. Systematic trading strategies such as the IPM Program generally employ computer-driven, mathematical models to identify when to buy or sell an instrument according to rules determined before a trade is made, generally, with little or no human intervention once a mathematical formula has been entered.

The IPM Program seeks to utilize models of short-term and long-term factors that affect investment returns. The models are based on market fundamentals. These quantitative models attempt to rank the relative attractiveness of global financial instruments in currency (developed as well as emerging markets), equity, and fixed-income markets. The outputs from the models are used to establish trading positions (long or short) in these markets, using primarily futures contracts and futures-related instruments. IPMs investment process is guided by the work of its research team, which regularly reviews and develops trading systems and financial models using a wide array of analytical techniques. The IPM Program seeks to invest in a diversified portfolio of futures contracts and futures-related instruments that combines a large number of uncorrelated investment ideas derived from four broad fundamental themes: value, risk premia, macroeconomic, and market dynamic.

Consequently, the overall returns offered by the IPM Program are not expected to correlate to the returns of other asset classes including but not limited to equity securities, fixed-income securities, commodities and real estate. Value themes seek to identify and take positions on the basis of discrepancies identified between prevailing market prices of assets and their long-term intrinsic values. An assets intrinsic value refers to the perception of the assets true value based upon fundamental analysis of basic, underlying factors that will affect the supply and demand of the asset. Risk premia themes seek to exploit the time-varying nature of investment opportunities and returns that may be attributable at least in part to the preferences and actions of market participants, i.e. the relative attractiveness of taking a long position in risky assets such as stocks and bonds over different time horizons.

Macroeconomic themes seek to identify shifts in global economic activity and to establish positions that may profit from expected market responses and adjustments. Macroeconomic analysis generally analyzes economic, political or financial trends to seek returns from investments across a particular, or a number of, geographic regions. Market dynamic themes recognize that each market has its own set of specific characteristics (such as investment flows, interest rate volatility, and other attributes) that may offer trading opportunities. Derivative Instruments: As a principal investment strategy, the Fund or the Subsidiary will either (i) invest in a di- versified portfolio of futures contracts and futures-related instruments such as forwards and swaps to gain exposure to a wide variety of global markets for currencies, interest rates and stock market indices and to hedge price risk, (ii) enter into swap agreements that provide exposure to the IPM Program, or (iii) invest in some combination of (i) and (ii).

In general, a derivative contract typically involves leverage, i.e., it provides exposure to potential gain or loss from a change in the market price of a security, the value of a currency or the level of a financial rate, bench- mark or index in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract. To the extent the Fund employs derivatives to gain exposure to the IPM Program, it is anticipated that the Fund will utilize a total return swap (a Swap), a type of derivative instrument designed to replicate the aggregate returns of the IPM Program. Any Swap will be based on a notional amount agreed upon by the Adviser and a counterparty. The Adviser will retain the ability to adjust the notional exposure of the swap at its discretion.

Cash and Fixed-Income Securities: The Fund will also invest in cash, cash equivalents or securities issued by the U.S. government for liquidity purposes, and to serve as margin or collateral for the derivatives positions of the Fund or the Subsidiary to the extent necessary. The Fund may also invest, to the ex- tent permitted by the Investment Company Act of 1940, as amended (1940 Act), and rules under it, in money market funds. The Funds return will be derived principally from changes in the value of securities held in the Funds portfolio (including its investment in the Subsidiary), and the Funds assets will consist principally of securities. The Adviser may engage in frequent buying and selling of portfolio holdings to achieve the Funds investment objective. The Fund may invest up to 25% of its total assets in the Subsidiary.

Generally, the Subsidiary will primarily invest directly or indirectly in futures contracts and futures-related instruments, but it may also invest in U.S. government securities, money market funds, and/or other investments intended to serve as margin or collateral for the Subsidiarys futures positions. To the extent they are applicable to the investment activities of the Subsidiary, the Subsidiary will be subject to the same investment restrictions and limitations, and follow the same compliance policies and procedures, as the Fund. Unlike the Fund, the Subsidiary will not seek to qualify as a regulated investment company (RIC) under Sub-chapter M of the Internal Revenue Code of 1986, as amended (the Code). The Fund is the sole member of the Subsidiary and does not expect interests in Subsidiary to be offered or sold to other investors.

Because the Fund may invest a substantial portion of its assets in the Subsidiary, which may hold some of the investments described in this Prospectus, the Fund may be considered to be investing indirectly in some of those investments through its Subsidiary. For that reason, references to the Fund may also include the Subsidiary.

EQIPX Costs and Fees

EQIPX costs about $189 per $10,000 invested per year in fund expenses.

• Net expense ratio: 1.89%
• Gross expense ratio: 2.09%
• Portfolio turnover: 54%
• Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)

EQIPX Cashflows

Over the 12 months to 2019-12, Equinox IPM Systematic Macro Fund had net inflows of $200.39M, from monthly SEC N-PORT filings.

EQIPX Debt Constituents

No individual debt constituents are reported in Equinox IPM Systematic Macro Fund's latest SEC N-PORT filing.

EQIPX Prospectus and SEC Filings

Official Equinox IPM Systematic Macro Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-11-07
• Prospectus (485BPOS) — filed 2017-11-06
• Prospectus supplement (497) — filed 2018-11-15
• Portfolio holdings (N-PORT) — filed 2020-02-27
• Portfolio holdings (N-PORT) — filed 2019-11-22
• Annual census (N-CEN) — filed 2020-03-25
• Annual census (N-CEN) — filed 2019-09-10
• Annual census, amended (N-CEN/A) — filed 2018-09-13

Related Funds

Other Money Market funds tracked on ABC INVEST:

• Emerald Growth Fund (HSPCX)
• Barings Active Short Duration Bond Fund (BXDIX)
• IVA Worldwide Fund (IVWAX)
• Stadion Tactical Growth Fund (ETFDX)
• BBH Partner Fund - Select Short Term Assets (BBSTX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.