Systematic Investment Strategies

Ascent Systematic Advisors LLC

May 31, 2021
U.S. Stocks Tactical Trend Strategy (Long Only)

www.AscentSystematic.com
This communication is not to be directly or indirectly interpreted as a solicitation of investment advisory services. The information provided herein is not directed at any investor or category of
investors and is provided solely as general information about our products and services and to otherwise provide general investment education. No information contained herein should be
regarded as a suggestion to engage in or refrain from any investment-related course of action. Investment advisory services are offered through Ascent Systematic Advisors LLC registered
investment adviser offering advisory services in the State of New York and other jurisdictions where registered or exempted.
Ascent Tactical Trend Strategy

What is the Strategy?

What Long only stock picking strategy designed to identify positive

idiosyncratic trends

How Using a proprietary trend following process for single stocks

Why Because stock trends are a permanent feature of the stock market
that are present in almost any kind of market environment

2
Ascent Tactical Trend Strategy

Executive Summary

We designed a proprietary systematic process that

Systematic identifies idiosyncratic trends. It removes behavioral biases
Process and exploits a unique market anomaly

Protection in Strategy programmed to allocate to cash when

Down Markets unfavorable market conditions are present

Research shows that strategies like ours are negatively

Diversification for
correlated to value-oriented portfolios. A combination of
Value Portfolios both approaches creates superior portfolios

3
Ascent Tactical Trend Strategy

Portfolio Manager Biography

Formerly at Graham Capital, JPMorgan, Goldman Sachs

Wharton MBA with Honors, MS in Economics and Applied

Mathematics from Ecole Polytechnique (France)

Linkedin

Marcos Bueno is the Founder and CIO of Ascent Systematic Advisors LLC. Previously he was CIO at Argon Capital Management, a multi-
asset multi-strategy startup fund that he later converted to a Family Office deploying capital using Systematic Equity strategies and
Discretionary Global Macro strategies.

Before that, Mr. Bueno was a Partner and Senior Portfolio Manager at the London office of Graham Capital, a leading trend-following
systematic and global macro hedge fund, where he managed a portfolio close to $1bn in size.

Prior to Graham, Mr. Bueno was a Portfolio Manager at JPMorgan’s proprietary trading desk, where he joined from the Fundamental
Investment Group at UBS. He also worked at Goldman Sachs in the Multi-asset derivatives structuring and in the Power & Gas M&A
teams. He began his career at Oliver Wyman.

Mr. Bueno obtained an MBA with Honors from The Wharton School, where he was an Areces Scholar. He holds an MS in Economics and
Applied Mathematics from Ecole Polytechnique in France, doing research at MIT in the process. He also holds a BS and MS in Industrial
Engineering from UPM in Spain.

He is a Board Member at Math-M-Addicts, a non-profit organization that helps talented and underprivileged children achieve their full
potential in math, and a former national level competitive Track & Field athlete.

4
Ascent Tactical Trend Strategy

Investment Process
Our process aims to capture the long positive tail of returns using a proprietary trend
following methodology specifically adapted to stocks, while mitigating negative tail risks

Systematic Stock Systematic Risk Dynamic Market

Picking Management Exposure

Quantitative and systematic
process to select stocks that
benefit from strong
idiosyncratic trends.
Idiosyncratic trends tend to be
more resilient than market-
driven trends.
Portfolio construction and risk
management follow a set of
systematic rules.
They include limits on
concentration, liquidity,
drawdown and market risk.
Capital deployed only when
strong uptrends are present.
During periods of down
markets, we focus on capital
preservation by increasing the
allocation to Cash.

5
Ascent Tactical Trend Strategy

Economic Intuition
Changes in technology and preferences, and capital cycles - among other factors -
create winners (I.e. idiosyncratic trends) in almost any type of market environment

Examples of factors that create trends

Demographic Capital Technology Change in New

changes cycles evolution preferences entrepreneurs

Existence of
Stock Trends

6
Ascent Tactical Trend Strategy

Unique, Exploitable Market Anomaly

Trend following is a unique methodology in that, over time, it produces excess returns
without excessive downside risks, as opposed to most other investment processes

Sharpe vs Skew of Investment Strategies

Short
Trend SPX Vol

Unique
Following Risk
Premia

methodology.
Sharpe Ratio

1
Short
FX Carry VIX
Historically High
Credit
Sharpe Ratio and HF Index
S&P500
Positive Skew
0

0 -2 -4
Negative Skew (i.e. Downside Tail Risk)
Source: Adapted from Figure 7, “Risk Premia: Asymmetric Tail Risks and Excess Returns” (Link to paper)

7
Ascent Tactical Trend Strategy

Diversifying Strategy for Value Oriented Portfolios

Our strategy is a potentially diversifying addition to Value-oriented portfolios since
Trend Following has historically been negatively correlated with Value

US Stocks: Excess Return vs Sharpe (1972 -2011)

1.00

50/50 Portfolio offers

superior performance

A 50/50 combination
(ie higher Sharpe Ratio)
0.75

of Trend Following
Sharpe Ratio
with Value in a 0.50

portfolio has Trend Oriented

Portfolio
historically shown
0.25
superior performance Value Oriented
Portfolio

0.00
0 2 4 6 8 10
Excess Return over T-Bills (%)

Source: Adapted from Figure 7, “Risk Premia: Asymmetric Tail Risks and Excess Returns” (Link to paper)

8
Ascent Tactical Trend Strategy

Strategy Behavior
The Strategy has been designed to target outperformance under a wide variety of market
conditions.

Expected Outperformance / Underperformance over a Market Cycle

Outperformance Outperformance Outperformance

Exposure to strong Overweight cash + long Exposure to strong
uptrends Top Turn stocks that benefit in the uptrends
new regime

Bottom
Equal Perform as Underperformance until Underperformance until
trends weaken positions stop out uptrends are re-established

Illustrative, and stylized. There is no guarantee that the strategy will perform as expected.

9
Ascent Tactical Trend Strategy

Performance Track Record

Monthly Performance from Inception (%)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD ITD

2019 - - - - -0.77 10.23 5.24 -2.76 -4.53 2.21 8.22 9.13 28.99 28.99

2020 -2.32 -1.55 -6.60 0.65 5.07 2.49 7.38 6.85 -4.05 -2.19 14.16 8.40 29.74 67.36

2021 2.38 6.16 -2.57 3.81 1.20 - - - - - - - 11.25 86.21

Cumulative Performance Since Inception (May 13, 2019 = 100)

200

180

160

140

120

100

80
May-19 Aug-19 Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21

Ascent Systematic Tactical Trend SPDR S&P 500 ETF

DISCLAIMER: Results presented here are gross performance results and, due to the customized nature of Separately Managed Accounts, may differ from actual results
obtained by accounts managed by Ascent. Past performance is not indicative of future results and current performance may be lower or higher than the data quoted.

10
Ascent Tactical Trend Strategy

Performance Statistics and Portfolio Guidelines

Performance Statistics Portfolio Guidelines

From Inception

Annualized Return 35.50% Number of Holdings 5 to 30 names

Correlation to Benchmark1 0.46 Position Concentration Top 10 positions ~ 50%

Daily Sharpe Ratio 1.43 Position Sizing Maximum 8% of gross

Daily Sortino Ratio 1.9 Holding Period Typically 90 days

Monthly Upside Capture 106 Geography United States

Monthly Downside Capture 57 Sector Exposure No preference

Closed Trades Winning Ratio 55% Market Capitalization Average ~ $48bn

Closed Trades Profit/Loss Ratio 1.81

OpenTrades Winning Ratio 74%

OpenTrades Profit/Loss Ratio 3.19

As of May 31, 2021. Inception Date: May 13, 2019

1 Benchmark: SPDR S&P 500 ETF Trust (Ticker: SPY)

11
Ascent Tactical Trend Strategy

Get In Touch
We welcome conversations with investors, advisors and allocators

Contact Information Company Information

Main Office
Founded 2019
535 Fifth Avenue, Floor 4
New York NY, NY 10019
United States Offering active strategies to profit from
Mission
+1.917.826.2703 market inefficiencies

Contact@AscentSystematic.com
Systematic stock picking to create a
Strategy
portfolio of stocks in idiosyncratic trends
Website
www.AscentSystematic.com
Formerly at Graham Capital, JPMorgan,
Team
UBS, Goldman Sachs
More Information
Fact Sheet May 2021
Access Separately Managed Accounts
Monthly Update May 2021
Monthly Update April 2021
Monthly Update March 2021

12
Ascent Tactical Trend Strategy

Disclaimer
Investment advisory services are offered through Ascent Systematic Advisors LLC (“Ascent”), a registered investment adviser offering
advisory services in the State of New York and other jurisdictions where registered or exempted. Main Office: 535 Fifth Avenue, 4th
Floor, New York, NY 10017. Tel: +1.917.826.2703

Due to the customized nature of Separately Managed Accounts, the results presented here are hypothetical and may differ from
actual results obtained by accounts managed by Ascent. Past performance is not indicative of future results and current performance
may be lower or higher than the data quoted. The currency used to express performance is USD. Returns are presented gross of
management and other fees and include the reinvestment of all income.

The information provided herein is not directed at any investor or category of investors and is provided solely as general information
about our products and services and to otherwise provide general investment education. No information contained herein should be
regarded as a suggestion to engage in or refrain from any investment-related course of action.

The views expressed are the views of Marcos Bueno and Ascent through the period ending May 2021, and are subject to change at
any time based on market and other conditions. References to specific securities and issuers are for illustrative purposes only and
are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities.

13