Guide to Backtesting Deposit Plans November 2018

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1 15th Europe Structured Products & Derivatives Awards 218 Best Distributor, UK & Ireland For financial adviser use only. Not to be used with retail clients. Structured Products Guide to Backtesting Deposit Plans November 218 SRP AWARDS Investec

2 Backtesting Backtesting can be a useful tool for advisers in order to evaluate the performance of a structured product in various market scenarios. Backtesting should be used as one of a suite of tools when choosing a suitable product for a client. The information provided in this factsheet is intended to demonstrate how our Structured Products would have performed historically, had they been available for investment. Particular emphasis has been placed on the scenarios in which clients would have either lost capital or received no return on their investment. In order to simulate past performance, our Structured Products have been tested as if they had started on every trading day between the start date of the underlying index (or latest starting date if there are multiple indices) and the final test date for each Plan., backtesting a 6 year Plan linked to the FTSE 1 constitutes 7,288 individual tests. It is important to bear in mind that the information contained within this factsheet is in no way an indication of future returns. This factsheet is an analysis of the following Deposit Plans: Income FTSE 1 Income Deposit Plan Monthly FTSE 1 Income Deposit Plan Annual Defensive FTSE 1 3 Year Defensive Deposit Plan FTSE 1 6 Year Defensive Deposit Plan FTSE 1 Defensive Kick-Out Deposit Plan Growth FTSE 1 Kick-Out Deposit Plan FTSE 1 3 Year Deposit Plan FTSE 1 6 Year Deposit Plan Additional support tools For more information on our Plans, please visit our website: or call us on

3 DEPOSIT PLANS INCOME FTSE 1 Income Deposit Plan Monthly This product has a term of 6 years and pays monthly income payments if the FTSE 1 is higher than 75% of its starting level on each monthly anniversary. If the FTSE 1 is equal to or below 75% of its starting level on each monthly anniversary, no income payment will be made. an income payment, or a return of capital with no additional return. Positive return % Return of capital only % Since our backtesting has indicated that investment in the FTSE 1 Income Deposit Plan Monthly would have resulted in no instances of capital loss or in the past, we have only included a graph on this page to indicate the Final Test. However, please bear in mind that past performance is not a guide to future performance Final Test for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. First test start date: 3 January Final test start date: 31 October 212 3

4 DEPOSIT PLANS INCOME FTSE 1 Income Deposit Plan Annual This product has a term of 6 years and pays annual income payments if the FTSE 1 is higher than 75% of its starting level on each annual anniversary date. If the FTSE 1 is equal to or below 75% of its starting level on each annual anniversary date, no income payment will be made. an income payment, or return of capital with no additional return. Positive return % Return of capital only % Since our backtesting has indicated that investment in the FTSE 1 Income Deposit Plan Annual would have resulted in no instances of capital loss or in the past, we have only included a graph on this page to indicate the Final Test. However, please bear in mind that past performance is not a guide to future performance Final Test for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. First test start date: 3 January Final test start date: 31 October 212 4

5 DEPOSIT PLANS DEFENSIVE FTSE 1 3 Year Defensive Deposit Plan This product has a term of 3 years. At maturity, if the FTSE 1 Index is greater than 9% of its starting level, this product pays a fixed return. If the FTSE 1 is equal to or below 9% of its starting level, this product returns capital with no additional return. a positive return, or a return of capital with no additional return. Positive return % Return of capital only % Total number of tests 847 The chart below shows the start date of any instances where investment in the FTSE 1 3 Year Defensive Deposit Plan would have only resulted in a return of capital, with no additional return: Sep 1987 Oct instances of Jul Dec instances of Oct 25 Dec instances of Feb 213 May instances of Final Test for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. First test start date: 3 January Final test start date: 2 November 215 5

6 DEPOSIT PLANS DEFENSIVE FTSE 1 6 Year Defensive Deposit Plan This product has a term of 6 years. At maturity, if the FTSE 1 Index is greater than 75% of its starting level, this product pays a fixed return. If the FTSE 1 is equal to or below 75% of its starting level, this product returns capital with no additional return. a positive return, or a return of capital with no additional return. Positive return % Return of capital only 57.78% The chart below shows the start date of any instances where investment in the FTSE 1 6 Year Defensive Deposit Plan would have only resulted in a return of capital, with no additional return: Mar May instances of Final Test for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. First test start date: 3 January Final test start date: 31 October 212 6

7 DEPOSIT PLANS DEFENSIVE FTSE 1 Defensive Kick-Out Deposit Plan This product has a maximum term of 6 years, with the potential for maturity after years 3-6 with a positive return if the FTSE 1 Index is greater than a Kick-Out level that reduces each year. The Kick-Out level is a percentage of the starting level of the FTSE 1: 1% in Year 3, 95% in Year 4, 9% in Year 5 and 85% in Year 6. This product does not put capital at risk. The table below shows the number of occasions on which this product would have matured at each potential maturity date. Where the product would have reached final maturity, the table shows how many times an investor would have experienced a positive return or a return of capital with no additional return. Early Maturity in Year % Early Maturity in Year % Early Maturity in Year % Final Maturity positive return % Final Maturity % The chart below shows the start date of any instances where investment in the FTSE 1 Defensive Kick-Out Deposit Plan would have only resulted in a return of capital with no additional return: Mar Jan 324 instances of Final Test for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. First test start date: 3 January Final test start date: 31 October 212 7

8 DEPOSIT PLANS GROWTH FTSE 1 Kick-Out Deposit Plan This product has a maximum term of 6 years, with the potential for maturity after years 3-6 if the FTSE 1 Index is greater than its starting level. This product does not put capital at risk. The table below shows the number of occasions on which this product would have matured at each potential maturity date. Where the product would have reached final maturity, the table shows how many times an investor would have experienced a positive return or a return of capital with no additional return. Early Maturity in Year % Early Maturity in Year % Early Maturity in Year % Final Maturity positive return % Final Maturity % The chart below shows the start date of any instances where investment in the FTSE 1 Kick-Out Deposit Plan would have only resulted in a return of capital with no additional return: Mar Feb instances of Mar 26 Dec instances of Final Test for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. First test start date: 3 January Final test start date: 31 October 212 8

9 DEPOSIT PLANS GROWTH FTSE 1 3 Year Deposit Plan This product has a term of 3 years. At maturity, if the FTSE 1 is greater than its starting level, this product pays a fixed return. If the FTSE 1 is equal to or below its starting level, this product returns capital with no additional return. a positive return, or a return of capital with no additional return. Final Maturity positive return % Final Maturity % Total number of tests 847 The chart below shows the start date of any instances where investment in the FTSE 1 3 Year Deposit Plan would have only resulted in a return of capital, with no additional return: May 1987 Sep instances of Mar May 22 1,27 instances of Sep 25 Sep instances of Jan 213 Mar instances of Final Test for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. First test start date: 3 January Final test start date: 2 November 215 9

10 DEPOSIT PLANS GROWTH FTSE 1 6 Year Deposit Plan This product has a term of 6 years. At maturity, if the FTSE 1 is greater than its starting level, this product pays a fixed return. If the FTSE 1 is equal to or below its starting level, this product returns capital with no additional return. a positive return, or a return of capital with no additional return. Final Maturity positive return % Final Maturity % The chart below shows the start date of any instances where investment in the FTSE 1 6 Year Deposit Plan would have only resulted in a return of capital, with no additional return: Sep Mar instances of Aug 25 Dec instances of Final Test for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. First test start date: 3 January Final test start date: 31 October 212 1

11 Structured Products For more information, please visit For help call Follow us Investec Structured Products The Plans referred to herein are not sponsored, endorsed, or promoted by the index providers, and the index providers bear no liability with respect to any such Plans or any index on which such Plans are based. The prospectus and relevant Plan brochure contains a more detailed description of the limited relationship the index providers have with the license and any related products. Investec Structured Products is a trading name of Investec Bank plc. Investec Bank plc (Reg. no ) is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority and a member of the London Stock Exchange. Registered at 3 Gresham Street, London EC2V 7QP /TAL1118