Guideline relating to Ivy Deep Learning Strategy Index USD

Transcription

1 Guideline relating to Ivy Deep Learning Strategy Index USD Version 1.0 dated April 20, 2018 ISIN DE000A2L0DA3 1

2 Definitions Allocation Period Business Day Decision-Making-Bodies Index Index-linked Product Index Calculation Agent Index Component Index Replication Agent Index Sponsor Index Value Index Valuation Date Official Valuation Net Asset Value Reference Account Total Return Index Universe of Index Daily Trading days according to Düsseldorf Stock Exchange Index Sponsor, Index Calculation Agent Ivy Deep Learning Strategy Index USD Any investment product based upon the Index Chartered Investment Germany GmbH A certain financial instrument selected from the Universe of Index Components, becoming a Constituent of the Index Investivity S.A., Avenue de la Praille 50, 1227 Carouge, Switzerland Investivity S.A., Avenue de la Praille 50, 1227 Carouge, Switzerland Valuation of the Index at each Business Day Date at which the Index is valued The Net Asset Value of an Index Component per close of business of the previous trading day of such Index Component in EUR. Price published for the end of day valuation by the broker where the Reference Account is kept, Interactive Brokers LLC. Hereby the cut off times and price sources according to Annex 1 are used. In cases where the broker of the Reference Account needs to make adjustments to such times or price sources, those shall be binding for assessing the Net Asset Value. Account U at Interactive Brokers LLC. where the Index is replicated Index calculated on the basis of reinvested dividend payments All major asset classes via exchange listed Index Futures & Options and ETF s. 2

3 Important Information The general principles of the Ivy Deep Learning Strategy Index USD (the Index ) as of April 2018 are set out below. It should be noted that the general principles of the Index may be updated or amended from time to time. In managing the Index, the Index Sponsor will, employ the methodology described herein and its application of such methodology shall be conclusive and binding. No assurance can be given that fiscal, market, regulatory, juridical, financial or other circumstances will not arise that would, in the view of the Index Sponsor, necessitate or make desirable a modification of or change to such methodology and the Index Sponsor shall be entitled to make any such modification or change any of the provisions of the Index as set out in the general rules of the Index as it deems fit. The Index Sponsor may also make modifications to the terms of the Index in any manner that it may deem necessary or desirable, including (but not limited to) to correct any manifest or proven error to cure, correct or supplement any ambiguity or defective provision contained in this description of the Index. Any such modification or change will take effect accordingly and will be deemed to update these general rules of the Index from its effective date. This document is communicated by the Index Sponsor. All information provided herein is for information purposes only and no warranty is made as to its fitness for purpose, satisfactory quality or otherwise. Every effort has been made to ensure that all information given is accurate, but no responsibility or liability (including in negligence) can be accepted by the Index Sponsor for errors or omissions or for any losses arising from the use of this information. The information presented herein has been prepared on the basis of the publicly available information, internally developed data or other third party sources believed to be reliable. All opinions and views constitute judgments as of the date of the writing and are subject to change at any time without notice. This document is not an invitation to make an investment in a product based upon the Index (the Index-linked Product ) nor does the information, recommendations or opinions expressed herein constitute an offer for sale of an Index-linked Product. 3

4 Contents Introduction 1 Index Specifications 1.1 Name and ISIN 1.2 Initial Value 1.3 Distribution 1.4 Prices and Calculation Frequency 1.5 Weighting 1.6 Decision-making Bodies 1.7 Publication 1.8 Historical Data 1.9 Licensing 2 Composition of the Index 2.1 Index Construction 2.2 Index Components 2.3 Allocation 2.4 Changes to Index Components 3 Calculation of the Index 3.1 Index Formula 3.2 Accuracy 3.3 Adjustments 4 Appendix 4.1 Contact Data 4.2 Calculation of the Index Change in Calculation Method This document contains the underlying principles and regulations regarding the structure and the operations of the Ivy Deep Learning Strategy USD Index. The Index is the sole property of Investivity S.A.. Chartered Investment Germany GmbH as the Index Calculation Agent strives to the best of its ability to ensure the correctness of the calculation. There is no obligation for Chartered Investment Germany GmbH irrespective of possible obligations to issuers to advise third parties, including investors and/or financial intermediaries, of any errors in the Index. The calculation and publication of the Index by Investivity S.A. or Chartered Investment Germany GmbH is no recommendation for capital investment and does not contain any assurance or opinion regarding a possible investment in a financial instrument based on this Index. Introduction 4

5 This document is to be used as a guideline with regard to the composition, calculation and management of the Index. Any changes made to the guideline are initiated by the Decision-Making Bodies specified in section 1.6. The Index is the sole property of Investivity S.A.. The Index is calculated by Chartered Investment Germany GmbH. The Index is designed as an investable Index and therefore adjusted for performance deviations while replicating the Index. 1 Index Specifications The objective of the Index is to replicate the risk and return characteristics of a quantitative and systematic portfolio strategy. Ivy Deep Learning strategy invests across all major asset classes (equities, bonds, commodities, real estate) through futures and ETFs. It is calibrated to target a long term annual return of 12%, with a volatility of about 10-12%. Market convictions are crafted by proprietary artificial intelligence, and plugged into an allocation and risk management framework that continuously monitors volatility and drawdown levels. The emphasis is on controlling higher-order risks, especially skewness, that many hedge funds unfortunately overlook. This makes the Ivy strategy a perfect vehicle for long-term investments. The result is a very robust, globally diversified portfolio, uncorrelated with major indices and traditional equity-bond allocations. This strategy applies automated programs based on artificial intelligence. The portfolio is rebalanced periodically. Strategic and tactical allocations are fueled by exclusive, proprietary deep-learning algorithms. As part of the index there will be also a Cash Account. Any excess cash-positions will be allocated to highly liquid fixed income instruments. The reference currency of the Index is USD. The Index is a Total Return Index. The algorithm generates orders in a systematic way, which are thencontinuously monitored by the team of Investivity. 1.1 Name and ISIN The Index is distributed under ISIN DE000A2L0DA Initial Value The Index will be calculated every Business Day starting on May the 21 st The index was valued at 1, as on May the 21 st Distribution The Index Value is published by Chartered Investment Germany under a subpage of as of each Index Valuation Date, no later than three business days following the respective Index Valuation Date. 5

6 1.4 Prices and Calculation Frequency The Index is calculated at around 10:00h German time based on the Official Valuation of the respective Index Components. The Index is calculated once every Business Day. In the event that data cannot be received from the broker of the Reference Account or where there are problems regarding the price marketing of Chartered Investment Germany GmbH the Index will not be published. 1.5 Weighting The Index Components are weighted as a fraction of the overall Index Value. The weighting methodology may be amended by the Decision-Making Bodies if required due to legal framework. 1.6 Decision-making Bodies The Index Sponsor appoints the Index Calculation Agent. Adjustments to the Index Value are determined by the Index Calculation Agent at its sole discretion. 1.7 Publication All specifications and information relevant for calculating the index will be made available on the web page and sub-pages. 1.8 Historical data Historical data will be maintained from the launch of the Index on May the 21 st Licensing Licences to use the Index as the underlying value for derivative instruments are issued to stock exchanges, banks, financial services providers and investment houses by Investivity S.A. 2 Composition of the Index 2.1 Index Construction The Index Sponsor is responsible for maintaining and evolving the rules for the construction of the Index and ensures that a consistent approach is applied when (i) selecting the Index Components and (ii) in determining the allocation into an Index Component. Index Components are selected from the Universe of Index Component through certain selection criteria. 6

7 Following the selection of the Index Components, the Index Sponsor applies a proprietary allocation model, subject to compliance with pre-defined composition restrictions to determine the allocation to the Index Components they represent. However, there is no assurance that this allocation will achieve the Index Objective. The allocation model benefits from continuing research and development of the Index Sponsor. As such, the Index Sponsor may refine and deploy new allocation models where appropriate. After its initial composition, the Index Management Agent will review the composition of the Index on an ongoing basis. Index Components may be added to the Index if they have satisfied the Index qualification criteria or may be removed for failing to continue to satisfy such criteria. However, at no time shall a decision by the Index Sponsor to add or remove a component of the Index be taken as a buy or sell recommendation for that component. The allocation model is run on a daily basis. 2.2 Index Components The Universe of Index Components within the Index encompasses global exchange listed Futures & Options, Bonds, Equities and ETF s. Out of the full Universe of Index Components individual financial instruments can only be drawn as an Index Component for inclusion in the Index if they meet certain selection criteria to determine whether a financial instrument is eligible as Index Component. These selection criteria are reviewed by the Index Sponsor to check if the financial instrument possesses all the necessary attributes to be included in the index: Priced intra-day by an independent third party Sufficiently liquid with acceptable trading volume and acceptable market value Acceptable level of risk The subsequent allocation process will only consider such Index Components. 2.3 Allocation The Index Sponsor employs a proprietary quantitative rule based algorithm in order to determine the allocations to the Index Components and the sectors such Index Components represents or offers exposure to. Allocation Philosophy The Ivy Deep Learning Index is based on the observation that financial markets experience in a broad sense different macro regimes over time. In each regime the optimal exposure to each asset class differs. Similarly and within each asset class it is possible to define in a more granular way optimal exposures to specific markets. The Ivy Deep Learning index is designed to provide a flexible allocation framework able to adapt and react over time to the changes in financial markets and the macro environment. Allocation Model A broad universe of markets is targeted, with limited overlap, and covering four different asset classes. 7

8 Quantitative models are used to determine which market exposures are worthwhile taking at any one time and in which proportion. Those models have been designed to combine efficiently the know-how and expertise of the team members with proprietary deep learning algorithms aimed at long term investing. Resulting exposures to a given market change over time and may be long or short. The portfolio combining those exposures is diversified, adaptive and purposefully not benchmarked to any particular single market. Index Component Allocation The allocation of the index is calculated by the index sponsor using a long-term optimisation process that maximises the expected level of return for the given level of risk targeted by the index. In order to calculate allocations, data are used and assessed which include, but are not limited to, the following type of data: Market risk measures such as volatility, estimated using robust statistical techniques. Market access costs such as slippage, commissions, brokerage fees. Market liquidity: Allocations are limited to exchange traded instruments. Exchange traded instruments which have inconsistent levels of liquidity may be precluded from the index. The allocation model derives the allocations to each index component based on price activity, liquidity, applicable technical data inputs, risk, volatility, market correlations, market access costs and other relevant factors. Composition Restrictions To ensure that the index is sufficiently diversified, it is composed in a way that the allocation to all Index Components representing a single component is allocated by a risk based approach. The number of Index Components within the index may vary over time. Compliance with the selection criteria of the Index Components is reviewed by the Index Sponsor daily based upon the latest available data. Changes arising from the daily review will be implemented as quickly as practically possible. 2.4 Changes to Index Components An Index Component may be removed from the index if it is in breach of any of the Index selection criteria or generally ceases to qualify for inclusion in the Index. Index Components can also be removed from the Index in order to ensure that, at all times, the Index continues to meet its Index objective or composition restrictions. Once the allocation of removed Index components is determined, the respective allocation of some or all of the remaining Index components may be adjusted accordingly. If an Index component is removed from the Index a replacement Index Component may become eligible for inclusion and may be added to the Index. However, it is not necessary for an existing Index Component to be removed in order for a newly eligible Index Component to be added. An Index Component may be added to the Index if it qualifies for inclusion in the Index. Index Components can be added to the Index in order to ensure that, at all times, the Index continues to meet its Index objective and composition restrictions. Once the allocation of newly added Index components is determined, the respective allocation of some or all of the Index Components existing prior to the additions may be adjusted accordingly. 8

9 3 Calculation of the Index 3.1 Index Formula Effective as of each Business Day at 10:00 (each such an Index Valuation Date ), the Index Calculation Agent calculates the Index s official closing value. This calculation is based on the Official Valuation of the Index Components. The first Index Valuation date is May the 21 st The Index Calculation Agent will use the following formula to calculate the Index Value: Index t ( W xp ) A F ti ti ti t t Whereas: Index t W ti P ti A t F t i is the Index at time t. is the number of units / weightings of an Index Component in the Index at time t. is the Official Valuation of each Index Component at time t > 0. is the Adjustment Factor, which is determined at the reasonable discretion of the Index Calculation Agent at the time t with reference to adjustments during the lifetime of the Index which may become necessary due to Adjustments described in 3.3 is the amount of the accrued index fees until t that include fixed fees of up to 1,5% per annum and performance fees of 10% per annum (subject to a high watermark since Index inception date with monthly observation) x t 1 as determined by the Index Sponsor and published accordingly. is representing an individual Index Component. The Index Calculation Agent may for the sake of accuracy and efficiency rely for the calculation of the Index Value on account statements delivered to him from the broker running the Reference Account. 3.2 Accuracy The value of the Index will be rounded to two decimal places. 3.3 Adjustments Adjustments will be made for any fees, expenses, losses, interest, gains or taxes, which are observed by the Index Calculation Agent on the Reference Account. Adjustments will be made for any unsettled commitments for investment or de-investments into the Reference Account and may therefore lead to short-term variations in the investment-level. Further, the Index will be adjusted for Dividends received from an Index Component by allocating such dividends into a cash and reinvesting in the following Allocation Period as well as for other adjustments of an Index Component such as Share Splits. 9

10 Other Changes If necessary, the Index Calculation Agent may at its reasonable discretion amend these Index Rules in order to ensure achievement of the objective of the Index as defined in Section 1 of these Guidelines or to address any errors, omission or ambiguities. Such amendments may include changes to the eligibility requirements or the rules with respect to the composition, calculation and weighting of the Index. 10

11 4 Appendix 4.1 Contact Data Information regarding the Ivy Deep Learning USD Index Investivity S.A. Avenue de la Praille Carouge Switzerland Calculation of the Index Change in Calculation Method The application by the Index Calculation Agent of the method described in this document is final and binding. The Index Calculation Agent shall apply the method described above for the composition and calculation of the index. However it cannot be excluded that the market environment, supervisory, legal, financial or tax reasons may require changes to be made to this method. The Index Sponsor may also make changes to the terms and conditions of the Index and the method applied to calculate the Index, which he deems to be necessary and desirable in order to prevent obvious or demonstrable error or to remedy, correct or supplement incorrect terms and conditions. Neither the Index Sponsor nor the Index Calculation Agent are obliged to provide information on any such modifications or changes. Despite the modifications and changes the Index Calculation Agent will take the appropriate steps to ensure a calculation method is applied that is consistent with the method described above. 11

12 Appendix 1 Cut-Off Times and Price Sources used by the Broker of the Reference Account 12