Nowadays, investors are highly concerned about the costs of active investment structures if these do not add significant value to their portfolio. This leads to significant inflows to ETFs, which cover a broad range of indices, asset classes and investment styles providing high liquidity at comparably lower costs. Especially for passive investment styles, there is almost no incentive to keep mutual funds in the portfolio if equity index tracker ETFs provide higher net performance with comparable risks. However, the main problem is that on one side equity index ETFs typically often outperform many active equity funds but cannot protect against drawdowns during market crises. In this paper we show that advanced overlay technologies can preserve significant index performance and protect against large drawdowns as well…so…the best of both worlds…

1. Managed ETFs
Efficient investment products meet advanced risk management…
Zurich, September 2019

2. Disclaimer
This document is copyrighted, and its content may not be reproduced without the permission of the authors.
This material has been prepared solely for informational purposes only and it is not intended to be and should
not be considered as an offer, or a solicitation of an offer, or an invitation or a personal recommendation to buy
or sell any stocks and bonds, or any other fund, security, or financial instrument, or to participate in any
investment strategy, directly or indirectly. It is intended for use in research only by those recipients to whom it
was made available by the authors of the document.
All information for an investment strategy prior to its launch date is back-tested, based on the methodology that
was in effect on the launch date. Back-tested performance, which is hypothetical and not actual performance, is
subject to inherent limitations because it reflects application of a methodology and selection of constituents in
hindsight. No theoretical approach can take into account all of the factors in the markets in general and the
impact of decisions that might have been made during the actual operation of an investment strategy. Actual
returns may differ from, and be lower than, back-tested returns.
© OpenMetrics Solutions LLC, Zurich (2019) 2

3. “The best of both worlds…”
3
Voltaire's novella Candide (1759)

4. AGENDA
• Introduction
• Dynamic Overlay Samples
• About OpenMetrics
4

5. Introduction
• Nowadays, investors are highly concerned about the costs of active investment structures if these do not add
significant value to their portfolio. This leads to significant inflows to ETFs, which cover a broad range of indices,
asset classes and investment styles providing high liquidity at comparably lower costs.
• Especially for passive investment styles, there is almost no incentive to keep mutual funds in the portfolio if
equity index tracker ETFs provide higher net performance with comparable risks.
• However, the main problem is that on one side equity index ETFs typically often outperform many active equity
funds but cannot protect against drawdowns during market crises.
• In this paper we show that advanced overlay technologies can preserve significant index performance and
protect against large drawdowns as well…so…the best of both worlds…
© OpenMetrics Solutions LLC, Zurich (2019) 5

6. OpenMetrics Services
• OpenMetrics develops custom investment solutions based on dynamically managed ETFs for a wide
range of asset classes. Thus showing the significant potential when combining efficient investment
products with advanced mathematics.
© OpenMetrics Solutions LLC, Zurich (2019) 6
Cost Efficiency
• Especially for professional investors
index exposure via ETFs combined with
a protective overlay is very attractive
from a cost/benefit perspective.
• Due to the fully systematic approaches,
the operating costs for these overlays
are very low.
Flexibility
• Based on the specific requirements of
the customer, the overlay strategies can
be adapted to different target
instruments and portfolios.
Permanent Monitoring
• Every overlay implementation is
monitored along the operating process
in order to early detect deviations
between targets and real performance.

7. DYNAMIC
OVERLAY
SAMPLES
• MSCI World
• Swiss Performance Index
• Equity Index Portfolio
• Bond Index Portfolio
7

8. Simulation Results
• All simulation results have been generated based on the OpenMetrics framework and avoid the typical
pitfalls when performing back-tests. The results are based on many years of practical experience in
applying the underlying mathematical models to investable products.
• All returns are gross returns, as implementation and operating costs depend on AuM, selected
instruments and investment vehicle. From our experience, these costs are typically in the range of 0.5-
2.0%.
All simulation results are intended to demonstrate the application of published mathematical risk
management models and do not represent any type of investment advice. Please read the disclaimer at
the beginning of the presentation!
© OpenMetrics Solutions LLC, Zurich (2019) - CONFIDENTIAL 8

9. © OpenMetrics Solutions LLC, Zurich (2019) - CONFIDENTIAL 9
Simulation Results for
MSCIAC World Index
Regions
Dynamic Hedge
(green line)
StrategicWeights:
as benchmark
Other Restrictions
none
Risk-Averseness
market exposure between
0% and 100%
Hedging-Method
money market
Frequency
weekly

10. © OpenMetrics Solutions LLC, Zurich (2019) - CONFIDENTIAL 10
Simulation Results for
Swiss Performance
Index
Sectors
Dynamic Hedge
(green line)
StrategicWeights:
equally weighted
Other Restrictions
none
Risk-Averseness
market exposure between
0% and 100%
Hedging-Method
zero cash
Frequency
weekly

11. © OpenMetrics Solutions LLC, Zurich (2019) - CONFIDENTIAL 11
Simulation Results for
Bond Index Portfolio
Dynamic Hedge
(green line)
StrategicWeights:
equally weighted
Other Restrictions
none
Risk-Averseness
market exposure between
0% and 100%
Hedging-Method
money market
Frequency
weekly

12. © OpenMetrics Solutions LLC, Zurich (2019) - CONFIDENTIAL 12
Simulation Results of
GSCICommodity
Index
Sectors
Dynamic Hedge
(green line)
StrategicWeights:
equally weighted
Other Restrictions
none
Risk-Averseness
market exposure between
0% and 100%
Hedging-Method
money market
Frequency
weekly

13. Conclusion
• In contrast to simplistic approaches (e.g. passive hedge) the dynamic exposure management provides
higher returns and better risk protection with comparable operational costs.
• In terms of expectation management, we must stress the fact that active management is not necessarily
about trying to generate higher returns than the benchmark, as in order to achieve an outperformance
the investment manager typically must assume higher risks.
• Instead, active management from a risk-controlled perspective has the objective to reduce volatility,
minimize losses and capture as much upside as possible during positive trends. Given the stochastic
nature of financial markets, this comes at the expense of generating lower returns than the benchmark –
except a market crisis occurs.
© OpenMetrics Solutions LLC, Zurich (2019) - CONFIDENTIAL 13

14. ABOUT
OpenMetrics
• ETH Spin-Off
• Proven Technology & Business Experience
• Large Repository of Tested Algorithms
• Open Source
14

15. Who We Are
15© OpenMetrics Solutions LLC, Zurich (2019)
ETH Spin-Off
Academic Bridge
Solution Provider
1
2
3
• Founded in 2016 and building upon more than a decade of academic research at
ETH Zurich and affiliated universities
• Engaged in ongoing transfer of academic research into commercially viable
products and services
• Providing financial markets professionals access to the most advanced statistical
methods and financial engineering solutions

16. Investment & Portfolio Analytics
What we Do
© OpenMetrics Solutions LLC, Zurich (2019) 16
Custom Analyses
Individual assessments, due-diligence of
investments & model validation
Overlay Management
Signals for tactical asset allocation, risk
management in combination with a rich
set of quantitative analytics
Investment Products
Tailor made investment & portfolio
solutions
Analytics Workbench
Interactive assessment of investments via
SaaS
Portfolio Manager Workbench
Strategic & tactical asset allocation via SaaS
Strategy Indices
Design and implementation of active index
strategies
I - Assessment II - Design III - Management

17. Solid Foundation
With more than 13 years of academic research at ETH Zurich, a large set of leading-edge open source
packages for finance and countless number of involved industry experts, OpenMetrics Solutions relies
upon a rich set of experience, advanced algorithms and robust implemented methodologies.
2005
First publication of
“fPortfolio” by ETH
Econophysics group.
A comprehensive
open source package
for portfolio
optimization with R
2007
ETH/Rmetrics Association
founded by
Prof. Dr. Diethelm Würtz
First Rmetrics
Whitepaper
2009
2011
First ETH paper on
stability analysis of
financial markets based
on BCP
BCP for DNA analysis
(H.Xing, W. Liao, Y. Mo & M. Q. Zang)
2012
2014
ETH paper on BCP based
exposure management
for financial markets
Founding of OpenMetrics
Solutions and recognition as
ETH Spin-Off
Oct
2016
Jan
2018
Production ready quant
libraries for financial
markets
© OpenMetrics Solutions LLC, Zurich (2019) 17

18. Latest ETH Zurich Research - Full Transparency
OpenMetrics technology is based on latest research developed
throughout almost a decade at ETH Zurich.
All presented models and applications are based on this
research and thus fully transparent to the users.
See latest publication:
T. Setz, STABLE PORTFOLIO DESIGN USING BAYESIAN CHANGE POINT MODELS AND
GEOMETRIC SHAPE FACTORS, Dissertation ETH Zurich No.: 24754, (2018).
https://doi.org/10.3929/ethz-b-000244960
© OpenMetrics Solutions LLC, Zurich (2019) 18

19. Management Team
Felix Fernandez holds a diploma in Electronics & Information Technology from the University of Applied Sciences in
Frankfurt with a specialization in software simulation environments. He has a long track-record in the exchange industry
with Deutsche Börse AG and joined the Rmetrics Association Zurich as a research fellow in April 2016. In this role he was
engaged in the transfer of academic research results into real-world applications within the financial industry. Since
November 2016 Felix is CEO of OpenMetrics Solutions and responsible for developing the business and implementing a
product framework, which creates sustainable value for our clients.
Tobias Setz holds a master degree in Computational Science and Engineering (with a major specialization in theoretical
physics and a minor specialization in financial engineering) and a doctoral degree in Physics from the Swiss Federal
Institute of Technology in Zurich. He wrote his thesis at the Institute for Theoretical Physics within the Econophysics
Group. He is (co)author of several articles and books and maintainer of the Rmetrics software libraries since 2011. Since
November 2016 Tobias is the main architect of the OpenMetrics Solutions technology framework and engaged in
implementing state-of-the-art solutions for our clients.
© OpenMetrics Solutions LLC, Zurich (2019) 19
Felix Fernandez,
CEO
Dr. Tobias Setz,
CTO

20. Client & Partner Base
© OpenMetrics Solutions LLC, Zurich (2019) 20
• Other references available on request

21. Publications
© OpenMetrics Solutions LLC, Zurich (2019) 21
“Drawdown-Killer”
Press article from the
Institutional Money
Magazine about
OpenMetrics Solutions
Risk Management
Technology
“Safety on Board”
How to Protect Equity
Portfolios with Risk
Signals Based on Bayesian
Change Point Models
Article in cooperation
with STOXX Ltd
“A Mathematical
Approach to Risk
Hedging That Works”
Article in STOXX Pulse
Online
“Digital Eye”
Article in Private Banking
Magazin about the
application of image
recognition technology
for portfolio optimization
“Bayessche
Stabilitätsanalyse”
Article in Private Banking
Magazin about Bayesian
stability analysis
…more under: https://www.openmetrics.ch/blog

22. Contact
OpenMetrics Solutions LLC
Dufoursstrasse 47
CH-8008 Zurich
+41 44 552 4909
contact@openmetrics.ch
www.openmetrics.ch
OpenMetrics Solutions LLC is an approved ETH Zurich Spin-off
OpenMetrics© is a registered trademark at IPI (Swiss Federal Institute of Intellectual Property), Berne
© OpenMetrics Solutions LLC, Zurich (2019) 22
swiss made software is the nationally and
internationally recognized symbol for
Swiss quality in software development.