CYRIL SYSTEMATIC

Information note about the Cyril Systematic Fund: we are informing you of two changes that occurred on September 29, 2020 on the Cyril Systematic Fund:

The closing date of the Fund's financial year has been changed from March 31 to December 31 (the 2020 financial year will therefore be shortened from 03/31/2020 to 12/31/2020) and,
The calculation date for the performance fees has been changed from September 30 to December 31 (the calculation period for 2020 will therefore be extended from 09/30/2019 to 12/31/2020).

The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures markets. Risk is equalised across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyses risk factors such as rising correlations, reversal risk and sideway risk at the portfolio level. The average holding period of the Fund is approximately three weeks. The Fund provides for daily liquidity.

The recommended investment period is a minimum of 3 years. This Fund may not suit investors planning to withdraw their contribution within that period.

Fund performance as of 26 Jan 2021 :

Net asset value	Daily return	Monthly return	YTD
30 458.04 EUR	0.14%	-2.30%	-2.30%

Summary:

Update : 30/11/2020
Perf. since inception (03/07/2000):+264.28%
Annualised Return:+6.51%
Maximum Monthly Drawdown:-20.75%
Best Monthly Performance:+16.24%
Worst Monthly Performance:-9.69%

Historical data:

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2000							-4.39%	1.13%	-3.31%	-2.82%	4.43%	11.93%	6.19%
2001	2.75%	-0.15%	6.25%	-3.03%	2.28%	-2.63%	-2.77%	4.01%	2.08%	4.63%	-4.03%	-0.42%	8.67%
2002	-2.04%	-8.94%	5.90%	-1.76%	-1.74%	11.77%	4.10%	-0.40%	3.58%	-6.03%	-1.72%	9.10%	10.31%
2003	3.01%	2.72%	-4.52%	-5.12%	9.63%	-1.94%	5.11%	-2.67%	8.29%	2.45%	-6.88%	4.29%	13.58%
2004	2.12%	6.42%	0.80%	2.50%	1.44%	-5.89%	2.26%	2.10%	-3.56%	0.43%	3.89%	-2.84%	9.41%
2005	-9.69%	6.93%	-4.85%	-1.42%	2.91%	3.13%	-0.77%	5.98%	-1.16%	1.99%	5.46%	0.13%	7.63%
2006	5.28%	-3.33%	-1.49%	16.24%	1.62%	-8.02%	-2.60%	0.66%	0.42%	-0.26%	1.75%	-5.44%	2.91%
2007	0.92%	-2.14%	-1.15%	0.49%	-2.45%	5.24%	0.66%	-0.23%	7.01%	2.47%	4.02%	0.53%	15.97%
2008	4.79%	6.95%	0.55%	-0.07%	2.62%	-1.05%	-4.11%	6.71%	-0.04%	6.48%	1.10%	1.66%	27.99%
2009	-1.09%	-0.24%	-4.96%	-4.87%	6.93%	-0.59%	0.56%	-0.13%	0.65%	-3.40%	3.63%	-3.48%	-7.38%
2010	-2.21%	-0.80%	0.45%	-0.57%	0.98%	1.16%	-1.33%	5.13%	0.96%	2.37%	-3.99%	5.25%	7.22%
2011	-3.00%	1.18%	-3.96%	2.66%	-4.23%	-2.89%	4.81%	2.88%	2.67%	-7.54%	-1.85%	0.36%	-9.27%
2012	-0.76%	1.37%	-3.35%	0.80%	4.90%	-5.49%	6.54%	-1.47%	-2.97%	-5.05%	-0.51%	1.55%	-5.04%
2013	-0.82%	-0.88%	1.12%	4.47%	-1.84%	-3.13%	-2.90%	-2.28%	-1.16%	2.05%	4.44%	1.33%	0.03%
2014	-3.14%	4.37%	-3.52%	-0.93%	3.05%	2.88%	-0.14%	6.17%	3.48%	0.98%	8.40%	2.42%	26.00%
2015	6.16%	1.52%	-0.17%	-3.19%	0.12%	-7.02%	-1.33%	-1.59%	2.08%	-5.05%	1.52%	-3.67%	-10.77%
2016	11.23%	5.51%	-3.68%	-0.38%	-3.29%	8.03%	1.74%	-3.71%	-5.29%	-4.73%	5.98%	3.90%	14.51%
2017	-3.11%	6.54%	-0.80%	2.92%	3.05%	-0.69%	3.74%	0.28%	-1.40%	4.34%	0.87%	0.59%	17.11%
2018	8.56%	-5.01%	-4.61%	-2.78%	-0.85%	-1.47%	-0.03%	3.77%	-2.39%	2.06%	-4.79%	0.42%	-7.69%
2019	-3.29%	-2.88%	6.71%	0.58%	8.72%	1.07%	5.09%	2.47%	-0.44%	-2.69%	0.83%	-0.96%	15.42%
2020	2.91%	2.42%	3.51%	0.74%	-1.69%	-0.17%	4.03%	-0.99%	-5.90%	-2.98%	-4.08%	4.69%	1.85%

Prior to July 2011, the performance presented here is the performance of the FCIMT Cyril Systematic Fund adjusted to reflect the current risk structure and fee structure of 2% management fee and 20% performance fee. For the period after July 2011, the above table reflects actual performance including the applicable fee structure. The management fee was reduced from 2% to 1.5% in January 2018. Past performance is not necessarily indicative of future results.

Performances:

Sources: John Locke Investments, Société Générale, MSCI Barra.
Past performance is not necessarily indicative of future results.

Interview with François Bonnin (CEO and founder of JLI)

François discusses the specifics of our Cyril Systematic Fund with Sam Dale (HFM) after receiving the award for the Best Managed Futures (CTA) over the past five years at the HFM European Performance Awards 2020.

Awards 2020

Awards 2019

This fund was ranked based on the data in BarclayHedge's Managed Futures Database

Awards 2018

Fund information

ISIN code: FR0000976342
Share class currency: EUR
Format: UCITS IV
Valorization: Daily
Depositary and custodian: CACEIS
Auditor: Deloitte & Associés
Reference indicator: EONIA capitalised
Min. Investment: 500KEUR
Management fee: 1.5%
Incentive fee: 20% (High Water Mark)
Recommended investment period: 3years
Overall Risk Rating: 5

Documents

Fund performance as of 26 Jan 2021 :

Net asset value	Daily return	Monthly return	YTD
983.49 EUR	0.13%	-2.36%	-2.36%

Historical data:

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2016						5.11%	1.70%	-3.79%	-5.01%	-5.81%	6.29%	4.86%	5.15%
2017	-3.90%	8.21%	-1.03%	3.63%	3.20%	-1.03%	3.67%	0.18%	-1.48%	4.25%	0.72%	0.50%	17.63%
2018	8.42%	-5.11%	-4.68%	-2.65%	-0.81%	-1.54%	-0.10%	3.28%	-2.13%	1.87%	-4.74%	0.34%	-8.33%
2019	-3.36%	-2.95%	6.64%	0.50%	8.28%	1.01%	5.02%	2.41%	-0.50%	-2.77%	0.76%	-1.03%	14.08%
2020	2.66%	2.21%	3.59%	0.68%	-1.75%	-0.26%	3.96%	-1.05%	-6.80%	-3.05%	-4.16%	4.69%	0.02%

Share Class P was launched on 13th July 2012 and closed on 10th January 2014. It was reactivated on 6th June 2016. Past performance is not necessarily indicative of future results.

Referencing:

Fund performance as of 26 Jan 2021 :

Net asset value	Daily return	Monthly return	YTD
35 641.33 USD	0.14%	-2.19%	-2.19%

Historical data:

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2019	0.92%	-2.53%	5.94%	0.64%	8.06%	1.42%	6.66%	-0.03%	-1.24%	-2.01%	0.62%	-1.21%	17.90%
2020	1.51%	1.32%	5.03%	0.82%	-1.70%	-0.10%	4.11%	-0.91%	-5.74%	-2.36%	-2.24%	3.80%	3.03%

Share Class C was launched on 25th January 2019. Past performance is not necessarily indicative of future results.