Verde Spluga – Systematic Global Equity

AMC on OpenMetrics-JIMAG Global Equity Regions Stability Index

Zurich, September 2020

“Globalization can be a great opportunity.”

Emmanuel Macron

(C) Jacot Investment Management AG, Zurich (2020) 2

Disclaimer

3(C) Jacot Investment Management AG, Zurich (2020)

This material has been prepared by Jacot Investment Management AG (“JIM AG”). This document, and the information contained herein, is intended solely for the intended recipients and may not be disclosed or distributed without JIM AG’s express priorwritten consent. JIM AG is being coached and supervised by an independent board of directors, the Swiss Association of Asset Managers (VSV) and an independent audit firm.

The data included herein has been produced by the authors on a best effort basis and is being made available to you for illustrative purposes.

Information and statements presented in this material have been obtained or derived from sources considered by JIM AG to be reliable, but JIM AG makes no representation as to their accuracy or completeness.

This document is not, and should not be construed as, an offer, or solicitation of an offer, to buy or sell any securities or other financial instruments. Such offer may only be made at the time a qualified offeree receives a disclosure document, offering memorandum or other related subscription materials.

This material is made available exclusively to and/or directed exclusively at persons who are considered professional or institutional investors. The investments and investment services to which this document relates are only available to the persons referred to above and other persons should not act or rely on it.

JACOT INVESTMENT MANAGEMENT AG SPECIFICALLY DISCLAIMS ALL LIABILITY FOR ANY DIRECT, INDIRECT, CONSEQUENTIAL OR OTHER LOSSES OR DAMAGES INCLUDING LOSS OF PROFITS INCURRED BY YOU OR ANY THIRD PARTY THAT MAY ARISE FROM ANY RELIANCE ON THIS DOCUMENT OR FOR THE RELIABILITY, ACCURACY, COMPLETENESS OR TIMELINESS THEREOF.

OPENMETRICS – OUR STRATEGIC PARTNER

• Since 2016 Jacot Investment Management AG (JIM AG) and OpenMetrics Solutions LLC (www.openmetrics.ch) are working in a close cooperation.

• OpenMetrics is an ETH Zurich Spin-Off with the focus on advanced investment & portfolio analytics and supports JIM AG with applied investment technology.

• JIM AG and OpenMetrics jointly design and monitor investment solutions with the focus on optimal risk adjusted returns and maximum capital protection across all major asset classes.

JIM AG clients benefit from the know-how of an experienced asset management firm in combination with access to the latest quantitative technologies from academia.

http://www.openmetrics.ch/

Introduction

• Investments in equity markets can be a daunting exercise, when investors must live through a market crisis, observe larger drawdowns consuming their wealth and forced to wait until markets recover.

We propose an alternative approach:

• A globally diversified equity portfolio combined with innovative risk management technology. Thus, delivering attractive returns in combination with reduced risks and high liquidity.

• Investors can buy/sell certificates daily through their preferred broker/bank.

• Due to its built-in “Crash Protection” the Systematic Global Equity Index AMC can be used as standalone investment in global equity without having to care about additional risk management measures.

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Strategy Description

Strategy Cornerstones

• Dynamic allocation between equity and cash based on OpenMetrics® risk management technology

– Risk controlled equity portfolio based on the 6 MSCI ACWI index regions

– Equity allocation is dynamically adjusted between 0% - 100%

– Unused cash is kept in money market products in order to avoid negative interest rates

• Instruments

– Low cost ETFs with high liquidity

– AMC currency is USD

• Process

– Monthly rebalancing in order to keep low transaction costs

– Daily monitoring

7(C) Jacot Investment Management AG, Zurich (2020)

Global Equity Exposure – 6 MSCI Regions

• Achieving global equity exposure by including the 6 MSCI regions with a dynamic weighting/bandwidth.

• In contrast to the MSCI ACWI Index, weights for countries are fully flexible.

• This approach provides a chance to explore higher revenue potential.

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MSCI ACWIRegional Level (Dynamic Bandwidth)

Risky Universe – Stability Signals

• The stability matrix is based upon the 6 geographical regions of the MSCI ACWI.

• The stability signals are used in the full range between 0 – 1.

• The color scheme is designed for an intuitive visualization.

For more information on the concept pls. see: https://www.openmetrics.ch/post/safety-on-board-how-to-protect-equity-portfolios-with-risk-signals-based-on-bcp-models

9(C) Jacot Investment Management AG, Zurich (2020)

https://www.openmetrics.ch/post/safety-on-board-how-to-protect-equity-portfolios-with-risk-signals-based-on-bcp-models

Performance & Risk Analysis

Gross Simulation Results – Verde Spluga (USD) Index Level

11(C) Jacot Investment Management AG, Zurich (2020)

Track Record – Verde Spluga (USD)

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Investment Context

AMC – Organizational Structure/ Investment Process

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JACOTOpenMetrics

OpenMetrics delivers monthly report to LIXX, which includes:

• Current portfolio weights/exposure

• Simulation results for monitoring the AMC

LIXX sends monthly rebalancing instructions to LEONTEQ trading desk.

• Permanent NAV calculation by LEONTEQ

• Investors can buy/sell the AMC via their preferred broker/bank daily

• Assets are kept at custodian banks

LIXX

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Optional Protection against Issuer Risk

• Based on the Triparty Collateral Management (TCM) service of the Swiss Exchange, SIX Securities Services it is possible to incorporate a protection against the issuer from Leonteq.

• Especially, for custom mandates > 5m, this offer provides additional protection for a fee of approx. 0.4% p.a.

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AMC on OpenMetrics-JIMAG Global Equity Regions Stability Index

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Target Audience Professional Investors

Currency USD

Distribution Accumulating

Management Fee + Operating Costs = TER 1.0% + 0.5% = 1.5% p.a.

Entry/Exit Charge 0%

Index SponsorThe Index Sponsor is supervised by the VSV - Verband Schweizerischer Vermögensverwalter

Jacot Investment Management AGDufourstrasse 47, 8008 Zürich.

Index Calculation Agent LIXX GmbH

AMC Issuer LEONTEQ Securities AG

Marketing Authorization Private Placement, Professional Investors Only

Liquidity Daily

ISIN CH0499660303 (SIX), CH0511106350 (XETRA)

Rebalancing Monthly

(Optional) Issuer Risk Protection by SIX + 0.4% p.a.

Dufourstrasse 47CH-8008 Zürich

T +41 43 443 00 50www.jimag.ch

Member of the Swiss Association of Asset Managers SAAM

THANK YOU FOR ENTRUSTING OUR SERVICES

17(C) Jacot Investment Management AG, Zurich (2020)