LEVENDI THORNBRIDGE DEFINED RETURN FUND A Blueprint for Returns NOT FOR DISTRIBUTION TO RETAIL INVESTORS.
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 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. SOURCE DATA: all data is sourced from Bloomberg Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7/11/2019 2 and regulated by the Financial Conduct Authority.
LEVENDI-IM Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7/11/2019 3 and regulated by the Financial Conduct Authority.
LEVENDI IN INVESTMENT T MANAGEMENT ▪ Specialist investment manager based in London ▪ $1bn in AUA ▪ Flagship UCITS V fund established on January 31 st 2018 with £80.1m in AUM (as of 15 th July 2019) ▪ Levendi Team ▪ 2 Trading and Risk Management ▪ 1 Research ▪ 6 Distribution ▪ Expertise ▪ Structured products ▪ Pricing, and risk management ▪ Investment solutions Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7/11/2019 4 and regulated by the Financial Conduct Authority.
OUR PEOPLE FRANK COPPLESTONE, MANAGING PARTNER Frank has 25 years experience in structured products and derivatives, having started his career at Credit Suisse Financial Products. He spent a decade working as an equity-derivatives trader at Bankers Trust and Commerzbank before moving to Deutsche Bank to build and manage the Quantitative Products Engineering businesses. In 2008 he joined Morgan Stanley to run Financial Engineering in EMEA and Americas and later became Global Head of the Retail Structured Products platform at Morgan Stanley. Prior to launching Levendi Investment Management, Frank was the Global Head of Equities (Structured Products) at Jefferies. Frank holds a Doctorate from Oxford University. DAVID STUFF, MANAGING PARTNER David has been involved in equity derivatives, equity structuring and the structured product market for over 25 years. Before launching Levendi Investment Management David worked at J.P. Morgan, Barclays and RBS. David has worked with and for retail product providers, discretionary managers and institutional investors. ART NOBLE, RESEARCH AND ANALYSIS Art is responsible for the product analysis. Art started to develop the model that the Fund uses to evaluate risk and return immediately after the March 2012 paper from the FCA. Prior to working on this Art was developing statistical arbitrage strategies and portfolio optimisation tools at Noble and Co. At J.P. Morgan Art was responsible for marketing derivative products and had a particular focus on hedge fund derivative solutions and asset and liability modelling. He was also responsible for building pricing models, risk management tools and value-at-risk techniques that became RiskMetrics. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7/11/2019 5 and regulated by the Financial Conduct Authority.
LEVENDI TH THORNBRIDGE DEFINED RE RETU TURN FU FUND INVESTMENT THE FUND OBJECTIVES • UCITS V fund • LIBOR +6% return target in the medium term • Established 31st Jan 2018 • Defensive equity exposure • GBP • Positive returns that do not rely on rising • Sub-fund of Davy Skyline / Northern Trust markets or falling yields • Daily Traded • Minimise chance and scale of risk • Retail • 5% to 7% volatility • Accumulation and Distribution share classes 7/11/2019 Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 6 and regulated by the Financial Conduct Authority.
INVESTM IN TMENT T STR TRATEGY WHAT DOES THE FUND HOLD INVESTMENT OPPORTUNITY Defensive equity linked defined return investments Equity linked defined return investments are used to linked to main equity markets implement a long dated / low strike covered put strategy to earn the Equity Insurance Premium Capital growth only, payoff accrues over time Multiple studies demonstrate the attractive Significant capital protection risk/return profile of covered puts Gilt backed and notes Long dated / low strike puts capture the normal term Risk management to control volatility and reduce structure and skew. losses 7/11/2019 Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7 and regulated by the Financial Conduct Authority.
LONG TE TERM RM RE RETU TURNS FR FROM TH THE STR TRATE TEGY 12000 Proxy strategy shows that structured Proxy strategy uses CBOE PUT and IPR 10000 products offer equity returns with Autocall Index to replicate returns Risk Management Overlay lower volatility Risk management process used to keep 8000 volatility below 10% 6000 4000 2000 Lower drawdown 0 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 Dec 18 Proxy Strategy FTSE 100 Total Return Levendi futures position (rhs) Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7/11/2019 8 and regulated by the Financial Conduct Authority.
TH THE EQUITY TY IN INSURANCE PRE REMIUM ▪ The fund invests in a long dated, low strike covered put strategy ▪ Equity Linked Defined Return Investments offer an enhanced return ▪ The payoff and capital value of each investment is subject to the performance of underlying markets ▪ Investors are selling covered puts and so underwriting equity market risk ▪ The “price” of equity put options exceeds the “value” ▪ The fund earns the Equity Insurance Premium through selling covered puts ▪ The Equity Insurance Premium is a persistent source of returns based on three factors ▪ Behavioral Factors; investors loss aversion means that they are prepared to pay to avoid losses ▪ Structural Factors; regulations limit the risks that banks, insurance companies and pension schemes can take, so they are required to insure against losses ▪ Economic Factors; greater reliance on personal savings increases the demand for equity protection ▪ Multiple studies confirm the attractive returns from underwriting equity market risk. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7/11/2019 9 and regulated by the Financial Conduct Authority.
THE “PRICE” AND “VALUE” OF PUT OPTIONS • The chart shows the market price and value of 6-year at the NIKKEI 225 money put options • Price is the risk neutral price calculated using market parameters Eurostoxx 50 E • Value is calculated by adjusting the strike by the difference between the risk- neutral forward and the “forecast” value FTSE 100 • Forecast value is the consensus estimate of total returns less implied dividends S&P 500 • For more information; https://www.levendi-im.com/wp- content/uploads/2018/03/Are-Puts-the-Wrong-Price.pdf 0 5 10 15 20 25 30 Value Price Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7/11/2019 10 and regulated by the Financial Conduct Authority.
THE ACADEMIC EVIDENCE FOR COVERED PUTS http://www.cboe.com/framed/pdfframed?content=/micro/buywrite/put- oleg.pdf§ion=SEC_OPTIONS_PRODUCTS&title=An%20Analysis%20of%20Index%20Option%20Writing%20with%20Monthly%20and%20Wee kly%20Rollover Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 7/11/2019 11 and regulated by the Financial Conduct Authority.
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