GEO Global Equity Optimizer 8 Excess Return Index
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1 Index Information Bloomberg Ticker GEONAVI8 Index Sponsor Navian Capital Research LLC Index Calculator Solactive AG Index Base Date Mar 31, 2005 Index Live Date Feb 17, 2016 Index Overview The (the Index ) is a rules-based, algorithmic index that seeks to provide dynamic exposure to global equities based on trending markets. Each month, the Index employs a price momentum strategy and selects up to five equity ETFs for Index allocation. Key features of the Index are as follows: Global Approach Global investment strategy with regional access spanning the United States, Europe, Asia Pacific, and Other Emerging Markets Equity Focused Equity focused exposure to up to five equity ETFs from a universe of 15 equity ETFs; the Index only provides exposure to a short term US Treasury ETF if there are fewer than five positive performing equity ETFs Dynamic Allocation Dynamic momentum strategy that aims to dynamically allocate into the best performing index constituents based on recent performance trends Volatility Targeted The Index aims to manage risk and reduce the potential for large Index declines by incorporating a daily volatility target of 8% Index Methodology 1. INDEX UNIVERSE Each month, the Index selects a hypothetical investment portfolio (the Selected Portfolio ) from a universe of 15 equity ETFs and one short term US Treasury ETF. 2. INDEX CONSTITUENTS The Index selects up to five equity ETFs with the strongest three month historical performance (including reinvested dividends) to constitute the Index. Only positive performing equity ETFs will be chosen. If less than five are chosen, the short term US Treasury ETF will be added to the Selected Portfolio. 3. PORTFOLIO WEIGHTING Percentage weights of each of the selected constituents within the Selected Portfolio are based on the inverse of their volatility. Higher volatility constituents are assigned a lower weighting and lower volatility constituents are assigned a higher weighting. 4. EXCESS RETURN PERFORMANCE The Index is an excess return index and reflects the weighted performance of selected constituents in excess of 1-month USD LIBOR. 5. VOLATILITY TARGETING A daily volatility target mechanism aims to maintain an index volatility of 8% by adjusting exposure to the excess return performance of the Selected Portfolio as often as daily. The exposure of the Index to the Selected Portfolio may range from 0% to 200%. 6. INDEX FEE The performance of the Index will include an index fee of 0.75% per annum. 1
2 Constituents The GEO Global Equity Optimizer Index selects exposure from the following 15 equity ETFs spanning the United States, Europe, Asia Pacific and Other Emerging Market Equities and one short term US Treasury ETF. Region Country ETF Ticker US SPDR S&P 500 ETF SPY United States US ishares Russell 2000 ETF IWM US SPDR S&P Midcap 400 ETF MDY US Vanguard REIT ETF VNQ Germany ishares MCSI Germany ETF EWG Europe UK ishares MSCI United Kingdom ETF EWU Spain ishares MSCI Spain Capped ETF EWP Japan ishares MSCI Japan ETF EWJ Hong Kong ishares MSCI Hong Kong ETF EWH Asia Pacific India ishares MSCI India ETF INDA China ishares China Large-Cap ETF FXI South Korea ishares MSCI South Korea Capped ETF EWY Taiwan ishares MSCI Taiwan ETF EWT Other Emerging Markets Brazil ishares MSCI Brazil Capped ETF EWZ Mexico ishares MSCI Mexico Capped ETF EWW Treasury US ishares 1-3 Year Treasury Bond ETF SHY 2
3 Index Performance MSCI World Index Excess Return¹ Index Statistics Time Period Source: Bloomberg, Solactive, Navian Capital, as of December 31, Index Statistics MSCI World Index Excess Return¹ 1 Year -3.25% -3.33% 3 Year (Annualized) 2.55% 4.59% 5 Year (Annualized) 2.52% 3.55% 10 Year (Annualized) 6.29% 2.18% 10 Year Annualized Volatility % 20.02% 10 Year Sharpe Ratio ¹Excess Return of MSCI World Index (MXWD) calculated by subtracting from daily published performance of total returns for respective indices the daily rate of 1 month US LIBOR in effect for each respective day. Indices were rebased to 100 on March 31, ²Volatility is calculated by annualizing the standard deviation of the daily return for the period presented, assuming 252 business days in a given year. ³Sharpe Ratio as presented as a measure of Annualized Return divided by Volatility as described above. Index performance prior to February 17, 2016 is hypothetical. Performance prior to this date in no way reflects or is indicative of future performance. No assertion is being made that past hypothetical performance has any bearing on actual performance and, in many cases, market conditions in existence during back-tested time periods can differ materially from those experienced in future periods. Excess return performance from other indices during this time period are presented for visual purposes only and no claim is being made as to the relevance of these indices or the benefit of comparing hypothetical performance of the Index to these indices. It should be noted that performance is being presented on the excess return of these indices and that the calculations used have not been verified by a third party. Further, conclusions about the comparative performance of the Index should be independently analyzed against investment options available to you, fully realizing that hypothetical back-tested data can differ significantly from actual performance. 3
4 Index Weighting Information 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Source: Bloomberg, Solactive, Navian Capital. United States Europe Asia Other Emerging Treasury The graph above shows the hypothetical, back-tested, percentage weights of each region (as specified in the Constituents section) in the Selected Portfolio for the above mentioned time period. The graph does not show the hypothetical weights of the Constituents as there may be multiple Constituents for each of the various regions. Further, no consideration is given to the daily exposure of the Selected Portfolio which would potentially alter the actual percentage weights of each region, ranging from 0% to 200% exposure. Due to the time periods selected, all data presented is hypothetical and investors should be aware that actual allocations may vary significantly from the above illustration. 4
5 Associated Risks Key risks associated with the Index are presented below. These risks are not exhaustive and investors should refer to the relevant offering documents for further details. The Index is a trend-following index and may perform poorly if past trends do not predict future performance. The Index employs a trend-following methodology. However, there can be no assurance that past trends will predict future performance. If past performance does not predict future performance, the Index may underperform alternative strategies; by allocating exposure to equity constituents after they have experienced significant appreciation over the prior three months, the Index may allocate exposure to equity constituents when they are expensive. The excess return deduction and index fee will adversely affect Index performance. The Index provides exposure to the Selected Portfolio on an excess return basis. This means that a rate equal to 1-month USD LIBOR will be deducted from the performance of the Selected Portfolio in calculating the performance of the Index. In addition, an index fee of 0.75% per annum is deducted in calculating the Index. The excess return deduction and the index fee will place a drag on the performance of the Index. The Index may perform poorly in temporary market crashes. A temporary market crash is an event in which the volatility of the Selected Portfolio spikes suddenly and the Selected Portfolio declines sharply in value over a short period of time. The decline may be short-lived and the Selected Portfolio may soon recover its losses. In this circumstance, although the value of the Selected Portfolio after the recovery may return to its value before the crash, the level of the Index may not fully recover its losses. Because of the time lag in the Index s volatility-targeting feature, the Index may not meaningfully reduce its exposure to the Selected Portfolio until the crash has already occurred. By the time the reduced exposure does take effect, the recovery may have already begun. The Index is a new index and may be riskier than one with an established history of performance. The Index was launched on February 17, Because the Index has limited performance history, an investment linked to the Index may involve greater risk than an investment linked to one or more indices with an established record of performance. A longer history of actual performance may have provided more reliable information on which to assess the validity of the Index methodology. A significant portion of the Index may be hypothetically uninvested, which may dampen returns. When the Index has less than 100% exposure to the Selected Portfolio, the difference will be hypothetically uninvested. No interest or other return will accrue on this uninvested portion. Moreover, because the index fee will be deducted from the full Index, including the uninvested portion, this uninvested portion will experience a steady decline at a rate equal to the index fee. The Index s weighting methodology may be inconsistent with the trend-following selection methodology and may reduce performance. The Index will weight constituents in the Selected Portfolio based inversely on their volatilities over the prior three months. As a result, it is possible that the Index will underweight highly performing constituents and overweight lesser performing constituents. If constituents with higher risk also have higher rewards, the Index may achieve lower returns by giving greater weight to less volatile constituents than it would if it instead weighted the constituents equally or in proportion to historical returns. 5
6 Associated Risks The Index may not be diversified. The Index will be composed of no more than five constituents at any given time. All of those constituents may be concentrated in one or a small number of geographic regions or market types. For example, all of the selected constituents may track emerging market stock indices, in which case the Index will be subject to risks affecting emerging markets on a concentrated basis. The Index may also be allocated solely to the US Treasury ETF at any time, in which case the Index will be subject to risks affecting US Treasuries on a concentrated basis. The volatility-targeting feature is likely to cause the Index to significantly underperform the Selected Portfolio in rising equity markets. The performance of the Index will be based on the excess return performance of the Selected Portfolio, but only to the extent the Index has exposure to the Selected Portfolio. The Index will have less than 100% exposure to the Selected Portfolio at any time when the realized volatility of the Selected Portfolio over a look-back period of 21 index business days was greater than the Index s volatility target of 8%. Based on historical data, the volatility of a portfolio of equity constituents is likely to be significantly greater than the volatility target of 8%. As a result, at any time when the Selected Portfolio is composed solely of equity constituents, the Index is likely to have significantly less than 100% exposure to the excess return performance of the Selected Portfolio. This limited exposure means that the Index is likely to underperform the Selected Portfolio in rising equity markets. The excess return deduction and index fee will exacerbate this underperformance. The Index may fail to maintain its volatility target. The Index seeks to maintain a volatility target of 8% based on the realized volatility of the Selected Portfolio over a look-back period of 21 index business days. Because this mechanism is backward-looking, the Index may fail to maintain its volatility target if the volatility of the Selected Portfolio suddenly increases. There are risks associated with a dynamic strategy. The Index employs a dynamic strategy, whereby the Index constituents may change each month. However, there is no assurance that this dynamic strategy will outperform a static strategy; the Index constituents are fixed, and the Index may in fact underperform such a strategy. The Index primarily seeks to track equity constituents and may not be ideal for those seeking a cross-asset class exposure. The Index does not include broad exposure to commodities, fixed income, or alternative assets. Accordingly, the Index is not a broadly diversified investment strategy. The Index may involve more risk and may in fact underperform other strategies with cross-asset class exposure. The Index is a hypothetical calculation and does not represent an investment in actual assets. The Index is merely a mathematical calculation of the performance of a hypothetical investment methodology. The Index Sponsor does not hold any actual assets for the benefit of any investor in any financial instrument linked to the Index. This Index Factsheet is only a summary of certain information about the Index. It is not intended to be used as the sole basis for an investment decision in any financial instrument linked to the Index. Before investing in any financial instrument linked to the Index, you should carefully review the disclosure materials, including risk disclosures provided to you in connection with that investment. 6
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