LEVENDI THORNBRIDGE DEFINED RETURN FUND A Blueprint for Returns - - PowerPoint PPT Presentation

A Blueprint for Returns

LEVENDI THORNBRIDGE DEFINED RETURN FUND

NOT FOR DISTRIBUTION TO RETAIL INVESTORS.

DIS ISCLAIMER

The contents of this document are communicated by, and the property of, Levendi Investment Management Limited (LIML). LIML is an appointed representative of Thornbridge Investment Management LLP, which is authorised and regulated by the Financial Conduct Authority (“FCA”). The information and opinions contained in this document are subject to updating and verification and may be subject to amendment. No representation, warranty, or undertaking, express or limited, is given as to the accuracy

• r completeness of the information or opinions contained in this document by Levendi Investment Management

Ltd or its directors. No liability is accepted by such persons for the accuracy or completeness of any information or

• pinions. As such, no reliance may be placed for any purpose on the information and opinions contained in this

document. The information contained in this document is strictly confidential. The value of investments and any income generated may go down as well as up and is not guaranteed. Past performance is not necessarily a guide to future performance. SOURCE DATA: all data is sourced from Bloomberg

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

LEVENDI-IM

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

LEVENDI IN INVESTMENT T MANAGEMENT

▪ Specialist investment manager based in London ▪ $1bn in AUA ▪ Flagship UCITS V fund established on January 31st 2018 with £80.1m in AUM (as of 15th July 2019) ▪ Levendi Team

▪ 2 Trading and Risk Management ▪ 1 Research ▪ 6 Distribution

▪ Expertise

▪ Structured products ▪ Pricing, and risk management ▪ Investment solutions

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

OUR PEOPLE

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

FRANK COPPLESTONE, MANAGING PARTNER

Frank has 25 years experience in structured products and derivatives, having started his career at Credit Suisse Financial

• Products. He spent a decade working as an equity-derivatives trader at Bankers Trust and Commerzbank before moving to

Deutsche Bank to build and manage the Quantitative Products Engineering businesses. In 2008 he joined Morgan Stanley to run Financial Engineering in EMEA and Americas and later became Global Head of the Retail Structured Products platform at Morgan Stanley. Prior to launching Levendi Investment Management, Frank was the Global Head of Equities (Structured Products) at Jefferies. Frank holds a Doctorate from Oxford University.

DAVID STUFF, MANAGING PARTNER

David has been involved in equity derivatives, equity structuring and the structured product market for over 25 years. Before launching Levendi Investment Management David worked at J.P. Morgan, Barclays and RBS. David has worked with and for retail product providers, discretionary managers and institutional investors.

ART NOBLE, RESEARCH AND ANALYSIS

Art is responsible for the product analysis. Art started to develop the model that the Fund uses to evaluate risk and return immediately after the March 2012 paper from the FCA. Prior to working on this Art was developing statistical arbitrage strategies and portfolio optimisation tools at Noble and Co. At J.P. Morgan Art was responsible for marketing derivative products and had a particular focus on hedge fund derivative solutions and asset and liability modelling. He was also responsible for building pricing models, risk management tools and value-at-risk techniques that became RiskMetrics.

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THE FUND

• UCITS V fund
• Established 31st Jan 2018
• GBP
• Sub-fund of Davy Skyline / Northern Trust
• Daily Traded
• Retail
• Accumulation and Distribution share

classes

INVESTMENT OBJECTIVES

• LIBOR +6% return target in the medium

term

• Defensive equity exposure
• Positive returns that do not rely on rising

markets or falling yields

• Minimise chance and scale of risk
• 5% to 7% volatility

LEVENDI TH THORNBRIDGE DEFINED RE RETU TURN FU FUND

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

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WHAT DOES THE FUND HOLD

Defensive equity linked defined return investments linked to main equity markets Capital growth only, payoff accrues over time Significant capital protection Gilt backed and notes Risk management to control volatility and reduce losses

INVESTMENT OPPORTUNITY

Equity linked defined return investments are used to implement a long dated / low strike covered put strategy to earn the Equity Insurance Premium Multiple studies demonstrate the attractive risk/return profile of covered puts Long dated / low strike puts capture the normal term structure and skew.

IN INVESTM TMENT T STR TRATEGY

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

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LONG TE TERM RM RE RETU TURNS FR FROM TH THE STR TRATE TEGY

2000 4000 6000 8000 10000 12000 Dec 90 Dec 92 Dec 94 Dec 96 Dec 98 Dec 00 Dec 02 Dec 04 Dec 06 Dec 08 Dec 10 Dec 12 Dec 14 Dec 16 Dec 18

Risk Management Overlay

Proxy Strategy FTSE 100 Total Return Levendi futures position (rhs)

Proxy strategy uses CBOE PUT and IPR Autocall Index to replicate returns Risk management process used to keep volatility below 10% Proxy strategy shows that structured products offer equity returns with lower volatility

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

Lower drawdown

TH THE EQUITY TY IN INSURANCE PRE REMIUM

▪ The fund invests in a long dated, low strike covered put strategy

▪ Equity Linked Defined Return Investments offer an enhanced return ▪ The payoff and capital value of each investment is subject to the performance of underlying markets ▪ Investors are selling covered puts and so underwriting equity market risk

▪ The “price” of equity put options exceeds the “value” ▪ The fund earns the Equity Insurance Premium through selling covered puts ▪ The Equity Insurance Premium is a persistent source of returns based on three factors

▪ Behavioral Factors; investors loss aversion means that they are prepared to pay to avoid losses ▪ Structural Factors; regulations limit the risks that banks, insurance companies and pension schemes can take, so they are required to insure against losses ▪ Economic Factors; greater reliance on personal savings increases the demand for equity protection

▪ Multiple studies confirm the attractive returns from underwriting equity market risk.

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

THE “PRICE” AND “VALUE” OF PUT OPTIONS

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

5 10 15 20 25 30 S&P 500 FTSE 100 Eurostoxx 50 E NIKKEI 225 Value Price

• The chart shows the market price and value of 6-year at the

money put options

• Price is the risk neutral price calculated using market

parameters

• Value is calculated by adjusting the strike by the difference

between the risk-neutral forward and the “forecast” value

• Forecast value is the consensus estimate of total returns

less implied dividends

• For more information; https://www.levendi-im.com/wp-

content/uploads/2018/03/Are-Puts-the-Wrong-Price.pdf

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THE ACADEMIC EVIDENCE FOR COVERED PUTS

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

http://www.cboe.com/framed/pdfframed?content=/micro/buywrite/put-

• leg.pdf&section=SEC_OPTIONS_PRODUCTS&title=An%20Analysis%20of%20Index%20Option%20Writing%20with%20Monthly%20and%20Wee

kly%20Rollover

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RE REALISED FU FUND PERFORMANCE

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

Source; Levendi, Bloomberg

Jan Feb March April May June July Aug Sept Oct Nov Dec Total 2018 0.54% 0.34% 2.32% (0.07%) (0.44%) 0.77% (0.47%) 0.95% (0.86%) (0.02%) (2.96%) 0.11% 2019 4.15% 0.55% 1.21% 0.41% (0.78%) 1.47% 7.15%

Last 12m 2019 Since inception

Return 5.40% 7.15% 8.00% Volatility 5.30% 4.90% 5.10% Sharpe 0.86 3.08 0.98 Max Drawdown 3.80% 1.00% 3.80% Correlation to FTSE TR 87.62% 86.50% 84.10%

0.94 0.96 0.98 1.00 1.02 1.04 1.06 1.08 01/2018 02/2018 03/2018 04/2018 05/2018 06/2018 07/2018 08/2018 09/2018 10/2018 11/2018 12/2018 01/2019 02/2019 03/2019 04/2019 05/2019

Performance Month

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CAPITAL PRE RESERVATION; DE DEFENSIVE BY DE DESIGN

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority. Source; Levendi, Bloomberg

Fund aims to minimise chance and scale of losses

• Limit exposure to main liquid equity

markets

• Value approach to market selection
• Predominantly Gilt backed

investments

• Longer term investments
• Progressive risk
• Risk management overlay
• Market is represented by an equally weighted

basket of FTSE 100 and EuroStoxx 50 Total Return Indices

80% 85% 90% 95% 100% Jan 18 Mar 18 May 18 Jul 18 Sep 18 Nov 18 Jan 19 Mar 19

DRAWDOWN FROM MAX NAV

Drawdown Levendi Fund Drawdown Market

• High correlation to equities in the short term
• Low exposure to equity markets

Mixed Assets 20% - 60% shares

• Positive returns if equity markets are lower
• Target LIBOR +6% returns
• Transparent strategy

Absolute Return / Liquid alternatives

• High annual returns
• Low duration
• Low default risk

Bond Substitute

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PORTFOLIO APPLICATION

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

LEVENDI VS TH THRE REE LARGEST T IA IA MIXE IXED IN INVESTM TMENT T 20-60% SHARES FU FUNDS

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

LEVENDI VS TH THRE REE LARGEST T IA IA FL FLEXIBLE IN INVESTMENT T FU FUNDS

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

LEVENDI VS TH THRE REE LARGEST T IA IA TARGETED ABSOLUTE RE RETU TURN FU FUNDS

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

LEVENDI VS TH THRE REE LARGEST T IA IA STE TERLING STR TRATEGIC BOND FU FUNDS

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

850 900 950 1000 1050 1100

Jan 18 Feb 18 Mar 18 Apr 18 May 18 Jun 18 Jul 18 Aug 18 Sep 18 Oct 18 Nov 18 Dec 18 Jan 19 Feb 19 Mar 19 Apr 19

LEVENDI VS. UK AUTOCALL INDEX

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RE REPLACEMENT FOR STRUCTURED PRODUCTS

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

• Better performance / less risk
• Daily liquidity
• Lower fees and charges
• Reduced issuer exposure
• Reduce time and effort identifying the best product
• Reduced advice risk / PI costs and outside FCA

10%/25% exposure guidance

• Available on all wraps
• Eligible for ISA, Pension and Offshore Bonds
• Can be used in advised and managed portfolios
• Consistent returns across all investors
• Gains subject to capital gains tax
• Immediate investment, no need to wait for the end
• f the offer period.

Source; Levendi, Bloomberg

LIQ IQUIDITY

▪ Liquidity benefits

▪ Issuer provides daily two-way pricing ▪ Issuer can create and redeem assets as required ▪ No need to find a 3rd party buyer

▪ Redemption process;

▪ Levendi calculates fair value based on current asset prices ▪ Agree dealing price based on fair value – no premium / discount ▪ Issuer buys back investment - unwinds hedging positions – and dematerialises position ▪ Settlement within three days

▪ Mitigating risk

▪ Counterparty due-diligence and on-going monitoring ▪ Keep position size small ▪ Independent pricing of each investment ▪ Daily price reconciliation of the price with each issuer

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

108.7

90 92 94 96 98 100 102 104 106 108 110

Mar 18 Apr 18 May 18 Jun 18 Jul 18 Aug 18 Sep 18 Oct 18 Nov 18 Dec 18 Jan 19 Feb 19 Mar 19 Apr 19

Price Early Maturity Value

EXAMPLE 1; Early maturity

• Investment offers a payoff of 8.7% for each year up

to maturity date if FTSE and Eurostoxx are above the initial index level.

• Daily price reflects current market conditions
• Condition for early maturity at 24th April 2019 were

satisfied

• Investment price prior to this date reflected the

probability of early maturity

• Investment Matures early, maturity value 108.7%

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DAILY PRI RICING: UNDERLYING FU FUND IN INVESTMENT - EXA XAMPLE 1

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority. Source; Levendi, Bloomberg

109.67 116.7

85 90 95 100 105 110 115 120

Feb 18 Mar 18 Apr 18 May 18 Jun 18 Jul 18 Aug 18 Sep 18 Oct 18 Nov 18 Dec 18 Jan 19 Feb 19 Mar 19 Apr 19 May 19

Price Early Maturity Value

EXAMPLE 2; No early maturity

• Investment offers a payoff of 8.34% for each year up

to maturity date if FTSE and Eurostoxx are above the initial index level.

• Daily price reflects current market conditions
• Condition for early maturity at 15th March 2019

were just missed

• Investment price prior to this date reflected the

probability of early maturity

• Product now offers 116.7% on 20th March 2020
• Price has continued to rise.

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DAILY PRI RICING: UNDERLYING FU FUND IN INVESTMENT - EXA XAMPLE 2

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority. Source; Levendi, Bloomberg

THE INVESTMENT STRATEGY

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

WHAT T DOES TH THE FU FUND HOLD?

MARKET EXPOSURE ISSUER EXPOSURE PRODUCT EXPOSURE

UK Equity European Equity Defensive Autocall Cash

A+ A A- BBB+ Gilts

▪ All investments are bespoke ▪ Major equity market exposure only ▪ Value approach to market selection ▪ Deep, liquid derivative markets ▪ Gilt backed investments reduce issuer exposure ▪ Notes where there is attractive implied issuer funding ▪ Maximum 10% exposure to any investment grade issuer ▪ Simple defensive Autocalls ▪ Longer term ▪ Liquid, intraday pricing

The graphs below show current levels and updated at the release of each monthly factsheet.

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

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EXA XAMPLE PRODUCT

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

UNDERLYING Worst of FTSE 100 and Eurostoxx 50 Index Value approach to selection of underlying markets MAXIMUM TERM 8 years Additional term gives investors more chances PRODUCT SHAPE Autocall. Best shape for lower risk investors AUTOCALL LEVELS Years 1 to 7; 100% Year 8; 60% Low final trigger maximises chance of a positive return PAYOFF 8% each year if both underlying assets are above the Autocall Levels Return target in excess of fund return target CAPITAL If the product has not matured early and neither indices is less than 50% of the initial Index level, then 100% capital is repaid plus the defined payoff. If the maturity value of the worst performing asset is below 50%, the maturity value will be reduced by 4x the fall below 50% Progressive risk minimises chance and scale

• f losses

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EXA XAMPLE PRODUCT

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

100 100 100 100 100 100 100 60 108 116 124 132 140 148 156 164 50 20 40 60 80 100 120 140 160 180 Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 AUTOCALL LEVELS / PAYOFF Autocall Levels Payoff Capital

From year 1 to year 7 the Trigger Level is 100% of the initial level of the Underlying Indices In year 8 the final Trigger Level is 60% of the initial level of the Underlying Indices 8% each year if both underlying assets are at

• r above the Trigger Levels plus initial capital

If the product has not matured early and neither indices is less than 50% of the initial Index level, then 100% capital is repaid plus the defined payoff. If the maturity value of the worst index is below 50%, the maturity value will be reduced by 4 times the fall below 50%; the Capital Threshold Level

20 40 60 80 100 120 140 160 180 10 20 30 40 50 60 70 80 90 100 110

Payoff of Product at maturity (%) Final Level of Worst Performing Index (% of Initial Level) 7/11/2019

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PROGRESSIVE RIS RISK AT MATURITY VS TRA RADITIONAL APPROACHES

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

FINAL VALUE AT MATURITY (%) Final Index Level (%) Levendi Fund Autocall Traditional Autocalls (%) 90 164 164 80 164 164 70 164 164 60 164 164 50 100 100 49 96 49 48 92 48 45 80 45 40 60 40 35 40 35 30 20 30 25 25

Traditional autcalls have a large discontinuity if the Capital at Risk Barrier is breached at maturity. In the example here, if the index closes below the Barrier level, initial capital will be reduced at a rate of 1% for every 1% the closing level of the index is BELOW ITS INITIAL START LEVEL. The Levendi progressive risk at maturity offers a smooth erosion of capital in the event that an index closes below the Capital Threshold Level. The table and chart below compares the Levendi approach to final capital redemption to traditional autocalls.

Final Trigger Level – 60% Levendi Capital Threshold Level – 50%, from which capital is eroded And 50% Capital at Risk Barrier used by traditional Autocall/Kickout products

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PROGRESSIVE RIS RISK BEFORE AND AT MATURITY

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

0% 20% 40% 60% 80% 100% 120% 0% 20% 40% 60% 80% 100%

Maturity Value Final Index Level

Barrier Progressive

Progressive risk maturity value is better than Barrier Risk if final index level is greater than 33% of the initial level Prior to maturity, progressive risk has less downside exposure Significant falls in the levels of most equity market indices are very rare Value at maturity

EVENT HISTORIC OCCURANCE STRESS TEST PROBABILITY ANNUALISED RETURN YEAR 1; 100% 64% 50% 8.0% YEAR 2; 100% 8% 15% 7.7% YEAR 3; 100% 3% 8% 7.4% YEAR 4; 100% 6% 5% 7.2% YEAR 5; 100% 2% 3% 7% YEAR 6; 100% 2% 3% 6.8% YEAR 7; 100% 1% 2% 6.6% YEAR 8; 60% 11% 9% 6.4% MATURITY AT 100% 1% 3% 0.0% CAPITAL LOSS; 50% 2% 2% Hist: -1.6% Stress: -6.5% RETURN HISTORIC STRESS TEST BEST RETURN 8% 8% CHANCE OF GAIN 97% 95% CONDITIONAL GAIN 7.6% 7.5% AVERAGE RETURN 6.9% 5.9% EXPECTED TERM 2.5y 2.9y

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PRODUCT T ANALYSIS

RISKS HISTORIC STRESS TEST VOLATILITY OF RETURNS 2.5% 6.9% CHANCE OF LOSS 2% 2% CONDITIONAL LOSS

• 1.6%
• 6.5%

AVERAGE WORST 5% LOSSES +1%

• 28%

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

BENEFITS OF F PRODUCT DESIGN

▪ Major equity market exposure

▪ Liquidity ▪ Multiple Providers

▪ 50% capital protection

▪ Reduces the chance of loss

▪ Low final trigger

▪ Increases chance of a positive return

▪ Progressive Risk

▪ Reduces mark to market volatility ▪ Reduced downside exposure ▪ Reduces scale of losses

▪ Additional term

▪ More opportunities for products to meet conditions for positive return ▪ Reduced chance of loss

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

PORTFOLIO MET ETRICS

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

0% 5% 10% 15% 20% 25%

EXPOSURE

FTSE EUROSTOXX

• 60%
• 50%
• 40%
• 30%
• 20%
• 10%

0% Positive Return Capital Loss

DOWNSIDE PROTECTION

Minimum Average Maximum

BEST RETURN

8.5%

CHANCE OF POSITIVE RETURN

93.5%

AVERAGE RETURN WHEN THERE IS A GAIN

6.7% PER ANNUM

CHANCE OF LOSS

6.4%

AVERAGE RETURN WHEN THERE IS A LOSS

• 5.8% PER ANNUM

VOLATILITY

5.4%

AVERAGE CHANCE OF MATURITY AT LESS THAN 100%

4.8%

STRESS TEST RESULTS

Source; Levendi, Bloomberg

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BARRIER VERSUS HIS ISTORIC IN INDEX LE LEVELS

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

Indices have been rebased so that last value is 100% A 50% fall from current levels would mean that both FTSE and Eurostoxx would fall below the lows of the Dot-Com crash and the Global Financial Crisis

20% 40% 60% 80% 100% 120% 140% 160% 180% Index Level Year

UKX (Rebased to Current Level) SX5E (Rebased to Current Level) S&P500 Rebased to current Level Capital Barrier

Financial Crisis Dot Com Crash

50%

Source; Levendi, Bloomberg

PORTFOLIO AND RISK MANAGEMENT

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

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OBJECTIVES

Keep volatility below 10% Maintain appropriate exposure Lock-in gains Minimise turnover and costs

SOURCES OF RISK

Fall in equity markets Interest rates increase Increased Volatility Default risk

PROCESS

Cap volatility Use futures to maintain appropriate market exposure

RIS RISK MANAGEMENT

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

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RIS RISK MANAGEMENT OVERLAY CAPS FU FUND VOLATILITY

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

Fund volatility can be approximated as Market Volatility x Exposure In normal market conditions exposure is expected to be between 4% and 6% When markets fall, volatility tends to increase and exposure will rise so the volatility of the fund will rise to be too high

30% 50% 30% 6.00%

The risk management overlay reduces market exposure and so caps the volatility of the fund

Market Volatility Core Exposure Risk Management Net Exposure

Market Volatility Fund Exposure Risk Management Overlay Exposure Fund Volatility

30% 50% 0% 15.0% 15% 35% 0% 5.25%

TECHNICAL INFORMATION

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

SHARE CLASSES

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I RETAIL INCOME

• 5% income each year which can be paid from capital
• Quarterly payment of 1.25% of the value of the Fund
• Available to Retail investors

APPLICATIONS

• Retirement Income
• Alternative to equity income funds
• Alternative to corporate bond funds
• Alternative to income generating structured products
• Trusts and charities that require regular income

I INSTITUTIONAL & RETAIL ACCUMULATION

• All returns in the Fund are capital growth
• Fund does not pay any distributions/dividends
• Share class available for Institutional & Retail investors

APPLICATIONS

• Lump sum or regular savings
• Alternative to balanced / mixed asset funds
• Alternative to target / absolute return funds
• Alternative to direct holding of structured products

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

• 500

1,000 1,500 2,000 2,500 3,000 3,500 4,000

• 20,000

40,000 60,000 80,000 100,000 120,000 140,000 160,000 180,000 Q 0 Q 4 Q 8 Q 12 Q 16 Q 20 Q 24 Q 28 Q 32 Q 36 Q 40 Q 44 Q 48 Q 52 Q 56 Q 60 Q 64 Q 68 Q 72 Q 76 Q 80 Q 84 Q 88 Q 92 Q 96 Q 100 Q 104 Q 108 Q 112 Q 116 Q 120

Quarterly Income Units left / Portfolio Value

Income Units left Portfolio Value

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DR DRAWDOWN

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

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OFFSHORE PLA LATFORMS

Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

• Old Mutual International
• Friends Provident International
• Canada Life
• Capital International

TE TERM RMS

INVESTMENT ADVISER LEVENDI INVESTMENT MANAGEMENT LIMITED INVESTMENT MANAGER THORNBRIDGE INVESTMENT MANAGEMENT LLP INITIAL CHARGE RETAIL: 1%, INSTITUTIONAL: NONE AMC/ TER / OCF I CLASS INSTITUTIONAL: 1% / 1.16%, I CLASS RETAIL: 1.50% / 1.66% SHARE CLASSES I CLASS: INSTITUTIONAL ACCUM, I CLASS: RETAIL ACCUM & DISTRIB DEALING/DEALING FEES DAILY / NONE LIQUIDITY DAILY STRUCTURE UCITS V REGULATION CENTRAL BANK OF IRELAND FUND PLATFORM DAVY SKYLINE UMBRELLA FUND ICAV AVAILABLE VIA ISA? YES AVAILABLE VIA SIPP? YES PLATFORM AVAILABILITY THE FUND IS AVAILABLE THROUGH MAIN INVESTMENT PLATFORMS AVAILABLE VIA OFFSHORE BOND YES REGISTRAR & TRANSFER AGENT NORTHERN TRUST INTERNATIONAL FUND ADMINISTRATOR CUSTODIAN NORTHERN TRUST FIDUCIARY SERVICES (IRELAND) LIMITED AUDITOR DELOITTE CHARTERED ACCOUNTANTS

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.

CONTACT

For further information about Levendi Investment Management Limited or the Levendi Defined Return Fund, please contact us: Levendi Investment Management Limited Cunard House 15 Regent Street St James London SW1Y 4LR T: 0203 150 2847 E: info@levendi-im.com W: www.levendi-im.com

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Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority.