Levendi Thornbridge Defined Return Fund

Levendi Thornbridge Defined Return Fund

The Levendi Thornbridge Defined Return Fund has been developed for investors looking to achieve steady returns with less volatility than that of the global stock markets.

The Levendi Thornbridge Defined Return Fund is an actively managed portfolio of structured investments developed by Levendi Investment Management. The Fund is UCITS compliant and aims to generate positive returns of 6% + Libor 1 under most market conditions in the medium term, with less volatility than major global equity markets. Levendi Investment Management (Levendi) is an investment advisory firm that advises on the use of structured investments and derivatives, particularly when incorporated into funds and portfolios. Based in the UK, with more than 600M of assets under advice 2, we offer a combination of structured product expertise, quantitative assessment of risk and return and independent asset and portfolio valuations. This combination allows our advisory team to develop products and advise funds on how to maximise the chances of a positive return, whilst controlling the risks associated with structured investments. The investment process combines a top-down consensus-based macro estimate of the returns of major capital markets with a robust quantitative pricing framework which facilitates the ability to develop and value individual products. 1 GBP 3M Libor 2 As of November 2017 Architects of Value The Levendi team have over 100 years combined experience in structured investments and equity derivatives at major investment banks. Analysis The Levendi Investment Management team have been at the forefront of the pricing and analysis of structured investments for many years. We have developed proprietary processes to quantify and evaluate the risks and returns that products may offer. Pricing We calculate the fair value of each of the investments in the Fund using proprietary pricing tools that are equivalent to those used by issuers. Levendi seeks to optimise the terms for new investments and identify attractive opportunities in the secondary market. Risk Management Investing in structured investments exposes the Fund to a variety of risks. By having a thorough understanding of such risks, Levendi Investment Management can advise on how such exposures can be managed and controlled. Structuring One of the main benefits of using structured investments is that it allows a fund to engineer and optimise its products. Levendi Investment Management has the expertise and experience to create new investments which we believe will offer enhanced prospects of a positive return whilst seeking to keep risk controlled. 3

Investment Strategy The Levendi Thornbridge Defined Return Fund holds a diversified portfolio of structured investments. The performance of most of the structured investments is linked to the performance of the UK and other major equity market indices. The Fund may also invest in structured investments that offer exposure to different asset classes, investment themes, strategies, geographies and markets. Some of the investments held by the Fund are in the form of Structured Notes. These are senior unsecured debt instruments, issued by leading global investment banks. As part of the risk-management overlay mechanism, the Fund may use derivatives for efficient portfolio management and hedging purposes. For a summary of the risks of investing in the Fund please refer to the Risks section in this brochure. A full detailed description of the risks is available in the fund prospectus. Product Selection and Portfolio Construction The process for product selection, portfolio construction and management uses a combination of top down estimates of how capital markets may perform in the future and a bottom up analysis of the risk and return of each product. The product selection process starts with a top-down estimate of the risk and returns for each market. Levendi aims to capture a broad consensus framework so that our estimates will be in-line with other leading institutional investors. For each market, Levendi estimates the total return, volatility and implied correlation relevant to the investments in the Fund. Levendi uses estimates of the risk and return of major capital markets in our proprietary models. By using estimates of capital markets risk and returns, we estimate the risks and returns of each product considered for the portfolio. Levendi uses the results of this analysis to compare products and to benchmark each investment to the risk and return profiles of conventional portfolios consisting of a mix of equities and bonds. We create a short list of optimised products that offers an attractive mix of risk and return and which adhere with our investment objectives. Having identified the preferred products, the final stage of the process is to deliver the optimal mix of such products as a portfolio. The Fund aims to maximise the chance of achieving the target return and minimise the chance and scale of potential losses. The portfolio optimisation process takes into account the requirements to ensure that the Fund has appropriate diversification across issuers, product types, assets and markets. Top down estimates of capital market returns Bottom up analysis of the risk and return of each product INVESTMENT MANAGEMENT PROCESS Portfolio optimisation process aims to maximise the chance of achieving the target returns and minimise drawdown 4

Investment Exposure Most of the investments held by the Fund have principal exposure to the performance of UK, European and American leading equity market indices. To provide a degree of diversification, and subject to UCITS guidelines, the Fund may hold investments where the performance is linked to other broad-based equity indices, non-equity asset classes and investment strategies. On a day-to-day basis, in normal market conditions, the performance of the Fund should generally be correlated with the changes in global equity markets. However, given the defensive nature of the investments, the value of the Fund is expected to increase even when global equity markets are range-bound. Additionally, and by design, the Fund may offer a degree of capital protection in bearish markets. MARKET TYPICAL EXPOSURE LIKELY MAX ECONOMIC EXPOSURE UK EQUITIES 50% 90% EUROPEAN EQUITIES 30% 60% US EQUITIES 10% 60% JAPANESE EQUITIES 5% 40% OTHER DEVELOPED MARKET EQUITIES 5% 30% EMERGING MARKET EQUITIES 0% 20% COMMODITIES 0% 20% RATES 0% 10% FUNDS AND STRATEGIES 0% 10% 5

Manage Market Exposure Protect Against Market Corrections Reduce Default Risk RISK MANAGEMENT Preserve Gains Take Advantage of Investment Opportunities Liquidity The Fund offers daily liquidity and so investors can buy and sell shares in the Fund on any business day. The Fund holds investments that can typically be bought and sold at fair prices in normal market conditions. One of the advantages of the structured investments selected for the Fund, is that the issuers, being banks with a minimum credit rating of BBB+, will provide liquidity to the Fund under normal market conditions. In the unlikely event that an Issuer is unwilling to provide a fair price, the risk management overlay mechanism may be used to reduce risk and protect the value of the Fund until the issuer pricings revert to fair value. Issuers The Fund aims to purchase investment products from a wide range of investment grade banks and will not have more than 10% of the Fund value exposed to any one issuer. The Fund can hold investments where the risk of default by an issuer is mitigated through protective collateral arrangements. The Fund may invest in listed and unlisted structured investments and over the counter (OTC) instruments. As part of the risk management process, Levendi closely monitors the credit ratings of all the issuers of investment products that the Fund purchases. We also examine additional indicators of the issuers financial strength, including the cost of insuring against an issuer default, and the performance of the issuers share price. If the risk of an issuer defaulting increases notably, the Fund may seek to reduce and/or eliminate such risk. Risk Management During periods of elevated volatility and market uncertainty, the Fund may utilise a risk management overlay mechanism, which acts to reduce exposures and market risk and to protect returns, reduce costs and preserve performance. In stressed market conditions it may become challenging to achieve attractive pricings in which to buy and sell products for the Fund. If such conditions prevail and pricings are not favourable, the Fund is able to use derivatives to reduce market exposure and seek to mitigate the risk of an issuer defaulting. The Fund may use the risk management overlay to help preserve gains that the Fund has achieved, and to reduce exposures to markets if it is anticipated that there may be a fall in the level of markets. From time to time, it may be more efficient to capture investment opportunities using the risk management overlay framework. The Fund can act upon such opportunities in a timely and efficient manner. 6

How Might The Fund Perform Levendi Investment Management aims to preserve and grow the Fund s capital by advising on the selection of underlying investments where we have a high degree of statistical confidence in the performance of investments. The Fund aims to offer a positive return even in the absence of growth in the underlying markets. The investment strategy means that the Fund s performance does not rely upon positive returns from equity markets to deliver a positive return for investors. The table below illustrates the returns that the Fund aims to deliver in certain scenarios, and compares this with the return from funds that have a more conventional equity market exposure. UNDERLYING TARGET FUND COMMENTARY MARKET CONDITIONS RETURN EQUITY MARKETS RISE (SUBSTANTIALLY) 6% + Libor 1 When markets rise substantially the Fund aims to deliver the target return. The returns from the Fund are likely to be less than the returns from funds that have a more bullish equity market strategy. EQUITY MARKETS RISE (MODESTLY) 6% + Libor 1 Under mildly positive market conditions the Fund aims to deliver the target return. The target is similar to the returns of funds with bullish equity market exposures. EQUITY MARKETS REMAIN STABLE 6% + Libor 1 If the level of equity markets remains relatively unchanged over a period of time, the Fund aims to deliver the target return. The returns from the Fund are likely to be higher than the returns from funds that have a bullish equity exposure. EQUITY MARKETS FALL (MODESTLY) EQUITY MARKETS FALL (SUBSTANTIALLY) 1 GBP 3M Libor Positive Negative The returns from the Fund aim to be positive even if equity markets fall modestly over the medium term. The Fund returns may be less than the target returns, but aim to be higher than the return from funds that have a bullish equity strategy. The risk management overlay aims to offer a degree of protection if there is a substantial and protracted fall in the level of equity markets. However, under such stressed conditions the value of the fund is likely to fall, and is likely to result in losses to capital invested. There is a degree of correlation between the performance of equity markets and the performance of the Fund. On a day to day basis, on average, the value of the Fund will move up and down with changes in the underlying equity markets. However, the volatility of the Fund will be controlled and is targeted to be less than the volatility of equity markets. It is important to note that although the Fund offers a degree of protection if markets fall, the Fund does not offer a capital guarantee or principal protection mechanism. 7

Risk/Return Profile The Fund aims to offer an enhanced risk/return profile compared to that of a conventional portfolio invested in a combination of equities and government bonds. When we refer to risk, we are referring to the volatility of returns of the Fund portfolio. Levendi uses a method to calculate volatility based on the chance and scale of losses that an optimised portfolio may experience. Levendi uses this methodology to calculate volatility as it represents what many investors consider as investment risk. The chart below compares the target risk/return of the Fund with the risk/returns from benchmark assets. For illustrative purposes only 9% 8% 7% LEVENDI THORNBRIDGE DEFINED RETURN FUND The risk/return profile for each benchmark asset has been calculated by Levendi using our standardised stress testing process. The results of the stress tests are not forecasts or predictions of future performances and should only be used to compare the risk/return profiles of selected products. Expected Return 6% 5% 4% 3% 2% 100% BONDS 80% BONDS / 20% EQUITIES 60% BONDS / 40% EQUITIES 40% BONDS / 60% EQUITIES 20% BONDS / 80% EQUITIES 100% EQUITIES ASSET VOLATILITY EXPECTED RETURN 100% BONDS* 0.3% 2.6% 80% BONDS / 20% EQUITIES 3.9% 3.4% 60% BONDS / 40% EQUITIES 7.5% 4.2% 40% BONDS / 60% EQUITIES 11.0% 5.1% 20% BONDS / 80% EQUITIES 14.6% 5.9% 1% 100% EQUITIES 18.2% 6.7% 0% 0% 5% 10% 15% 20% Volatility Source: Levendi Investment Management LEVENDI THORNBRIDGE DEFINED RETURN FUND 9.0% 7.0% * Bonds refers to the overnight interest rate for unsecured transactions in the sterling denominated market 8

Investor Profile The Levendi Thornbridge Defined Return Fund is available to retail and institutional investors. The decision to invest and the choice of share class should be determined by, but not limited to, attitude to risk, investment horizon, income and/or capital growth requirements within the context of an overall portfolio investment. The Fund has been designed to be held as part of a portfolio and can form part of a managed portfolio service or discretionary portfolio management service. An investor must be willing to accept risk to the capital invested. The Fund should be considered a medium to long term investment. If there is any doubt as to the suitability and appropriateness of investing in the Fund, you should seek independent financial advice prior to making any decision to invest. Suitability The Fund may be a suitable investment if you agree with the following statements: The accumulation share class may be suitable if you are looking for capital growth in preference to income. The distribution share class may be suitable if you are looking for quarterly dividends to provide a regular income. The Fund may be suitable if you are seeking an investment that may have less volatility and drawdown risk than funds invested solely in equity markets. You understand that your capital is at risk and you are comfortable with the risk that you may lose some or all your capital. You are prepared to invest for the medium term. You do not require capital protection or a minimum return. You understand that to a certain extent, on a day to day basis, the returns of the Fund will be correlated to the performance of the stock market. You understand that the potential return on your investment may be limited and that you may receive less than you would have received had you invested directly in the underlying equity markets. You understand that a large and protracted fall in equity markets may have a substantial negative impact on the value of your investment. This Fund may not be suitable if: You are unsure about the strategy of the Fund and the potential risks. You cannot afford, or are uncomfortable, to have your capital at risk. You are unable to commit to investing capital for the medium to long term. You do not want your returns dependent on stock market performance. 10

The Fund The Fund is UCITS compliant and is available as a direct investment and as part of any of the following; Pensions, including SSAS, Self-Invested Personal Pension (SIPP), Individual Savings Account (ISA) and Offshore Life Bond. The Fund is available through most investment platforms and is available to individual investors, trusts, charities, companies, pension schemes and other funds. There are two share classes available to retail investors and one institutional share class. The Accumulation Share Class aims to meet the needs of investors looking for steady capital growth. The Accumulation Share Class does not pay any dividends or periodic distributions. The Distribution Share Class offers an annualised payment of 5% paid as dividends. The Distribution Share Class aims to meet the needs of those investors who wish to generate regular payments. Dividends payments may be made from invested capital. The Fund has been designed to be held as part of a portfolio and can form part of a managed portfolio service or discretionary portfolio management service. How to invest To invest in units of the Fund, please contact the Davy TA Queries Team on +353 (0) 1 434 5124 or email davy_ta_queries@ntrs.com Fees and charges SHARE CLASS INITIAL CHARGE AMC OTHER CHARGES MINIMUM INVESTMENT RETAIL ACCUMULATION 0% 0.75% 0.16% GBP 1,000 RETAIL DISTRIBUTION 0% 0.75% 0.16% GBP 1,000 INSTITUTIONAL ACCUMULATION 0% 0.60% 0.16% GBP 5,000,000* * Minimum Investment amount may be waivered upon application. 11

Important Risk Factors This brochure should be read in conjunction with the Prospectus and the Key Investor Information Document (KIID), which is available from your Levendi Investment Management consultant. An investment in the Fund carries with it certain investment considerations and risk factors described in detail in the prospectus and KIID. These risks include risks of loss of capital, market risk, exit risks, risks relating to collateral arrangements, liquidity risk and particular risks relating to structured products. This is intended to be a brief summary and does not provide a comprehensive explanation of the risk factors applicable to the Fund. Investors must carefully read and understand the prospectus and KIID, including the complete description of the risk factors therein, prior to making an investment decision. The content of this brochure, which is for information purposes only, has been prepared by Levendi Investment Management Limited; whilst Levendi Investment Management Limited takes responsibility for the content, this should not be relied upon as being forecasts, research or investment advice. It does not constitute an offer, or solicitation of an offer, to sell or buy any securities or an endorsement with respect to any investment vehicle. All types of investment carry a degree of risk and it is important that you understand and are comfortable with the level of risk to which your capital could be exposed. We would recommend that you consult with a financial adviser if you are unsure in any way. There is the potential for loss of your original investment. The Levendi Thornbridge Defined Return Fund aims to offer a positive return under most market conditions with less volatility than equity markets and a with a degree of protection. However, if there was a significant fall in the level of equity markets over a protracted period, the value of the Fund would be severely affected. The investment manager will aim to protect the value of the Fund in this situation, but there is no guarantee that they will succeed. Moreover, the action that the manager takes to protect the Fund may prevent the Fund from benefiting if the performance of equity markets recover. Inflation may erode the value of returns from your investment. There is no guarantee that the investment objective of the Fund will be achieved. Past performance is not a guide to future returns. There are no guarantees as to how a type of asset, sector or region will perform in the future. The price of shares and any income from them can go down as well as up. The levels of taxation and of relief from taxation will depend on your individual circumstances. There may be a variation in the performance between funds with similar objectives due to the different assets selected. The Fund may invest directly into, or be exposed to via its investments, to a variety of assets, sectors or regions, all of which carry specific risks which could impact returns. The main risks are summarised in this document, with further detail available in the Fund s prospectus. Counterparty: Some investments are reliant on a specific entity, usually a large bank, to honor its repayment obligations; failure to do so will impact returns. Credit: If the actual or perceived credit quality of the issuer of a structured investment or other security held within the Fund deteriorates, this will impact the value of securities held by the Fund that are issued by that issuer. Currency: Most of the investments in the Fund will have no currency exposure. Where investments are denominated in currencies other than sterling, changes in exchange rates may cause their value to rise or fall. Derivatives: This is a financial contract whose value is related to the value of an underlying asset or index, often used with the aim to manage risk or enhance returns, and whilst their use is not necessarily expected to increase risk within a fund, they could expose the Fund to higher levels of volatility from time to time. Equities: As an asset class, equities can experience higher levels of fluctuation than bonds or money market securities. If the level of equity markets were to fall significantly over a protracted period, the value of the Fund will be adversely affected. Futures/forward contracts: Typically used for portfolio management purposes to help mitigate equity market / interest / inflation risks, but could also expose the Fund to volatile returns from time to time. Interest rate: The value of securities held by the Fund are affected by trends in interest rates. If interest rates go up, the capital value of these securities may fall, and vice versa. Legal/tax: Changes in legal/tax regulations or the application of them may affect the value of the Fund. Liquidity: During difficult market conditions, some securities or larger holdings may become more difficult to sell quickly at a desired price. Operational: Occasionally processes fail. This is more likely to happen with more complex products or investments in overseas markets, such as equity emerging market countries, which may not have the same level of safekeeping, infrastructure or controls as more developed markets. Structured investments: These are investments which are usually linked to the performance of one or more underlying instruments or assets such as equity market prices, interest rates, proprietary indices, currencies and commodities and other financial instruments that may introduce significant risk that might affect returns. 12

Summary The Levendi Thornbridge Defined Return Fund Targets a return of 6% + Libor 1 under most market conditions. Aims to achieve the target return in most market conditions, except when markets are exceptionally volatile and when there is a large and protracted fall in the level of equity markets. Utilises a dynamic overlay strategy to maximise chances of achieving the target return and to minimise the chance and scale of potential losses. Targets a Fund volatility notably less than leading broad-based equity markets. Provides diversification across product issuers and global equity markets. 1 GBP 3M Libor Third Party Services Administrator, Registrar and Transfer Agent: Northern Trust International Fund Administration Services (Ireland) Limited Registered Office: George s Court 54-62 Townsend Street Dublin 2, Ireland Depositary: Northern Trust Fiduciary Services (Ireland) Limited Registered Office: George s Court 54-62 Townsend Street Dublin 2, Ireland Custodian: Northern Trust Fiduciary Services (Ireland) Limited Registered Office: George s Court 54-62 Townsend Street Dublin 2, Ireland Investment Adviser: Levendi Investment Management Limited Cunard House 15 Regent Street, St James s London, SW1Y 4LR Investment Manager: Thornbridge Investment Management LLP 1 Fore Street, London, EC2Y 9DY Registered Office of the ICAV: Davy House 49 Dawson Street, Dublin 2, Ireland Independent Auditors: Deloitte Chartered Accountants and Statutory Audit Firm, Deloitte House, Earlsfort Terrace, Dublin 2, Ireland Further Information To find out more about Levendi Investment Management or our products, please contact us: LEVENDI INVESTMENT MANAGEMENT 5th Floor Cunard House, 15 Regent Street St James s, London SW1Y 4LR T: 0203 150 2842 E: info@levendi-im.com www.levendi-im.com 14

Important Notice The contents of this document are communicated by, and the property of, Levendi Investment Management Ltd. Levendi Investment Management Ltd 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 or 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 opinions. 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.

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