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

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

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LEVENDI THORNBRIDGE DEFINED RETURN FUND A Blueprint for Returns FOR PROFESSIONAL INVESTORS AND ADVISERS ONLY. NOT FOR DISTRIBUTION TO RETAIL INVESTORS. DIS ISCLAIMER The contents of this document are communicated by, and the property of,

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SLIDE 1

A Blueprint for Returns

LEVENDI THORNBRIDGE DEFINED RETURN FUND

FOR PROFESSIONAL INVESTORS AND ADVISERS ONLY. NOT FOR DISTRIBUTION TO RETAIL INVESTORS.

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SLIDE 2

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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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 3

LEVENDI-IM

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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 4

TH THE FU FUND

  • LIBOR PLUS 6% RETURN

STEADY RETURN

  • POSITIVE RETURNS THAT DON’T RELY ON RISING MARKETS OR FALLING

YIELDS

MOST MARKET CONDITIONS

  • MINIMISE THE CHANCE AND SCALE OF DRAWDOWNS

LESS RISK

  • TARGET 5% TO 7% VOLATILITY

DEFENSIVE /CAUTIOUS

  • 10% VOLATILITY CEILING

RISK MANAGEMENT

  • SOME EQUITY MARKET EXPOSURE

EXPOSURE

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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 5

DAVID STUFF, MANAGING PARTNER

Marketing and distribution

ART NOBLE, RESEARCH AND ANALYSIS

Quantitative research and analysis

FRANK COPPLESTONE, MANAGING PARTNER

Day to day management of the fund, pricing, trading, risk management

OUR FIR FIRM AND OUR PEOPLE

An investment advisory firm that advises on the use of structured investments and derivatives. Based in the UK, with more than £800M of assets under advice, we offer a combination of investment expertise, quantitative assessment of risk and return and independent asset and portfolio valuations. LIML’s investment management team have extensive experience in Defined Return Investments:

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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 6

ARCHITECTS OF F VALUE

Real world analysis of risk and return Expected return What are the risks? Accurate valuations Performance attribution Risk management Sensitivities Day to day investment process Portfolio optimisation Risk management overlay Product design Market exposure ANALYSIS PRICING STRUCTURING MANAGEMENT

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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 7

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RE REALISED FU FUND PERFORMANCE

PROFESSIONAL INVESTORS ONLY. 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 82% 84% 86% 88% 90% 92% 94% 96% 98% 100% 102% 104% 106% 108%

Return Month

Levendi Thornbridge UK Total Return Europe Total Return

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SLIDE 8

COMPARISON WITH ITH OTH THER BENCHMARK ASSETS

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PROFESSIONAL INVESTORS ONLY. 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 88% 90% 92% 94% 96% 98% 100% 102% 104% 106% 108%

Return Month

Levendi Thornbridge Vanguard Life 40% Equity CBOE Put Index Peer Group Average EX Levendi

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SLIDE 9
  • Levendi Fund aims to offer a degree of

protection when markets fall.

  • Fund has offered significant downside

protection through both large market corrections since launch

  • Defensive return when markets fall is a result
  • f
  • Choice of underlying market
  • Choice of very defensive investments
  • Risk management overlay

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DO DOWNSIDE PROTECTION

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

  • 14%
  • 12%
  • 10%
  • 8%
  • 6%
  • 4%
  • 2%

0% May 22 - June 25 August 9 - September 7 October 1 - December 24

Max Drawdown Date

Levendi Thornbridge UK Total Return Europe Total Return

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SLIDE 10

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RIS RISK RA RATING SCALE

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

IMPORTANT NOTE; The Fund has not been risk rated by either Dynamic Planner or Defaqto. The nature of the fund means that neither risk rating agency can provide a risk rating. The analysis above is based on publicly available information about the volatility ranges that each firm uses to rate funds. However, we do not know how either firm calculates the volatility of a fund.

Fund volatility is calculated using process defined by regulators for the KIID and KID. This volatility can be used to illustrate the fund risk ranking using the Dynamic Planner and Defaqto risk scales.

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SLIDE 11

TARGET MARKET

  • Lower risk investors
  • Looking for steady returns under a wide

range of market conditions

  • Want to minimise chance and scale of losses
  • Prepared to accept some risk to capital
  • Prepared to accept some volatility of returns
  • Medium to long term investment horizon

PORTFOLIO ALLOCATION

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

Defensive Equity

  • Target LIBOR +6% returns

Absolute Return

  • 5% to 7% normal volatility
  • 10% volatility ceiling

Target Volatility

  • High annual returns / low duration
  • Replace default risk with risk of a protracted large fall in

equity indices Bond Substitute

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TARGET MARKET / / PORTFOLIO ALL LLOCATION

PROFESSIONAL INVESTORS ONLY. 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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SLIDE 12

PERFORMANCE RE RELATIVE TO SECTORS

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PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised and regulated by the Financial Conduct Authority. Source; performance for 1 year to 8th May 2019, www.trustnet.com

  • 4.00%
  • 3.00%
  • 2.00%
  • 1.00%

0.00% 1.00% 2.00% 3.00% 4.00% IA Europe Excluding UK IA Targeted Absolute Return IA UK All Companies IA Mixed Investment 20-60% Shares IA Flexible Investment IA Sterling Corporate Bonds Levendi Thornbridge

Return

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SLIDE 13

THE ASSETS

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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 14

UNDERLYING Worst of FTSE 100 and Eurostoxx 50 Index TERM 8 years PRODUCT SHAPE

  • Autocall. The product may mature

early at each anniversary AUTOCALL LEVELS Years 1 to 7; 100% Year 8; 60% PAYOFF 8% each year if both underlying assets are above the Autocall Levels 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%

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

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EXA XAMPLE PRODUCT

PROFESSIONAL INVESTORS ONLY. 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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SLIDE 15

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PROGRESSIVE RIS RISK AT MATURITY

PROFESSIONAL INVESTORS ONLY. 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% 140% 160%

  • 100%
  • 50%

0% 50% 100% 150% 200% Maturity Value Percentage Change in Index Level Barrier Shape Levendi Shape Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8

Distribution of rolling 8 year returns of FTSE 100 price Falls of more than 50% over 8-years+ are very rare

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SLIDE 16

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PROGRESSIVE RIS RISK BEFORE AND AT MATURITY

PROFESSIONAL INVESTORS ONLY. 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 Progressive risk has less downside exposure prior to maturity

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SLIDE 17

EVENT HISTORIC OCCURANCE STRESS TEST PROBABILITY ANNUALISED RETURN AUTOCALL YEAR 1 64% 50% 8.0% AUTOCALL YEAR 2 8% 15% 7.7% AUTOCALL YEAR 3 3% 8% 7.4% AUTOCALL YEAR 4 6% 5% 7.2% AUTOCALL YEAR 5 2% 3% 7% AUTOCALL YEAR 6 2% 3% 6.8% AUTOCALL YEAR 7 1% 2% 6.6% AUTOCALL YEAR 8 11% 9% 6.4% MATURITY AT 100% 1% 3% 0.0% CAPITAL LOSS 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%

PROFESSIONAL INVESTORS ONLY. 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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SLIDE 18

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DO DOWNSIDE ESTIMATION – IN INVESTOR VIE IEW VS RI RISK NEUTRAL VIE IEW

PROFESSIONAL INVESTORS ONLY. 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% 140% 160% 180% 200% 1 2 3 4 5 6 7 8 9 10

Index level as % of current index level Years

5% 10% 25% Mean 75% 0% 20% 40% 60% 80% 100% 120% 140% 160% 180% 200% 1 2 3 4 5 6 7 8 9 10

Index level as % of current index level Years

INVESTOR RISK NEUTRAL

  • Forecast value increases by

2% per annum

  • Range calculated using 14%

Volatility

  • Forward value decreases by

2.5% growth per annum

  • 14% Volatility

Investor Forecast values are calculated based on 6% total return assumptions less 4% dividends Risk Neutral Forward Values are calculated based on 1.5% risk free less 4% dividends The value of the put can be approximated by the value of the distribution below the strike level.

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SLIDE 19

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AUTOCALL DATES

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

Observation dates are spread through the year, minimising the exposure to the level of the underlying markets at any

  • ne date.

Final index levels are set to be the same as listed options and futures to minimise basis risk when hedging exposure to markets and volatility

2 4 6 8 10 12 14

NOTIONAL EXPOSURE BY MONTH GBP MILLIONS

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SLIDE 20

PORTFOLIO AND RISK MANAGEMENT

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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 21

WHAT T DOES TH THE FU FUND HOLD?

MARKET EXPOSURE ISSUER EXPOSURE PRODUCT EXPOSURE

UK Equity European Equity US Equity Other Autocall Defensive Autocall Participation Synthetic Zero Cash

A+ A A- BBB+ Gilts

▪ All investments are bespoke ▪ Major equity market exposure only ▪ Value approach to market selection ▪ Deep, liquid derivative markets ▪ 100% Investment grade ▪ Swaps reduce issuer exposure ▪ Notes where there is attractive implied issuer funding ▪ Maximum 10% exposure to any issuer ▪ Simple defensive Autocalls ▪ Longer term ▪ Liquid, intraday pricing

The graphs below show typical and current levels. Inner rings are typical and outer rings are updated at the release of each monthly factsheet.

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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 22
  • Fund is exposed to four main risks
  • These risks can compound on each other
  • Falling markets
  • Volatility tends to increase as markets fall
  • Fund exposure increases as markets fall
  • Credit spreads widen as markets fall
  • Risk management strategy is designed to

mitigate the effect of these risks

  • Reduce market exposure when the product of

market volatility and exposure means that fund volatility is too high

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RIS RISKS TO FU FUND VALUE

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

Falling Markets

Increasing Volatility Increasing exposure

Exposure to markets will increase when markets fall Volatility tends to increase when markets fall

Controlled volatility Reduced drawdown

RISK MANAGEMENT OVERLAY Risk management overlay helps to protect the fund against increased volatility and high exposure in falling markets

RISK

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SLIDE 23

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RIS RISK MANAGEMENT OVERLAY CAPS FU FUND VOLATILITY

PROFESSIONAL INVESTORS ONLY. 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% 25% 7.50%

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

Market Volatility Core Exposure Risk Management Net Exposure

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

Market Volatility Fund Exposure Risk Management Overlay Exposure Fund Volatility

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SLIDE 24

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BARRIER VERSUS HIS ISTORIC IN INDEX LE LEVELS

PROFESSIONAL INVESTORS ONLY. 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

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SLIDE 25

LONG TE TERM RM ESTIM TIMATION OF F STR TRATEGY RE RETU TURNS

▪ Risk profile of Fund remains suitable for target market ▪ Process reduces and stabilises Fund volatility ▪ Reduced drawdown in significant and protected market correction ▪ Reduced turnover in underlying investments ▪ Fund can retain 100% exposure to defined return investments at all times ▪ Capture attractive product terms during periods of elevated volatility without increasing market risk

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

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 Market level Year

FTSE Total Return Blended Put Write Index plus Risk Management Overlay

▪ Performance of fund and risk management overlay has been simulated from 1990 ▪ Core asset class return estimated using a proxy index based off CBOE PUT index and Levendi FTSE Autocall index ▪ Risk management overlay is systematic based on 10% volatility target and 20d realised volatility

OVERLAY CONTROLS RISK / DRAWDOWN

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SLIDE 26

TECHNICAL INFORMATION

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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 27

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UK IF IFA PLA LATFORMS

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

Brewin HSBC Life Charles Stanley

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SLIDE 28
  • Notes are issued as senior unsubordinated debt
  • The Fund has counterparty exposure if the issuer

defaults, but earns additional returns

  • Terms of the note describe the returns that the
  • wner will receive.
  • Notes can be listed
  • Streaming price on most price vendors (Bloomberg,

Reuters etc)

  • Can be bought and sold at any time
  • Additional notes created by “tapping” the original

issue as required

  • Issuer is the only market maker
  • When notes bought back, the issuer nets off the

note against the hedges they have and de- materialise the note. There is no need to find another buyer.

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NOTES

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

FUND ISSUER

The Fund buys the notes and pays the issuer cash The Fund receives the note.

NOTE INVESTMENT

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SLIDE 29
  • Swaps are derivative contracts with

Investment Banks

  • The Fund uses swaps to significantly

reduce counterparty exposure

  • Swaps are marked to market every day
  • Swap positions can be easily increased
  • r decreased at any time
  • Any exposure is collateralised

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SWAPS

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

PERFORMANCE SWAP; The Fund pays GBP LIBOR and receives the product returns ASSET SWAP; The Fund pays the returns from the Index Linked Gilts and receives LIBOR

Market

Collateral

Levendi Defined Return Fund

Bank Y Bank X

Collateral The Fund uses assets raised to buy Index Linked Gilts Libor plus Libor plus Gilt return Investment return

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SLIDE 30

SHARE CLASSES

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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 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

PROFESSIONAL INVESTORS ONLY. 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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SLIDE 31
  • 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 11 Q 22 Q 33 Q 44 Q 55 Q 66 Q 77 Q 88 Q 99 Q 110

Quarterly Income Units left / Portfolio Value

Income Units left Portfolio Value

  • Decumulation shares can be used as part of a

drawdown portfolio

  • 5% redemption of remaining units means that

units will never be depleted

  • If realised return is more than 5% then

income will increase and remaining portfolio value will rise over time

  • Use in ISA, Pension, Offshore Bond and

General Investment Account

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DR DRAWDOWN

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

LONG TERM SIMULATION

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SLIDE 32

TE TERM RMS

INVESTMENT ADVISER LEVENDI INVESTMENT MANAGEMENT LIMITED INVESTMENT MANAGER THORNBRIDGE INVESTMENT MANAGEMENT LLP INITIAL CHARGE NONE AMC/ TER / OCF B CLASS: 0.60% / 0.76%, A CLASS: 0.75% / 0.91% SHARE CLASSES B CLASS: INSTITUTIONAL ACCUM, A 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 ALL 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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PROFESSIONAL INVESTORS ONLY. 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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SLIDE 33

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