Multi-asset innovation

Backtested and historical performance

Range:

Performance

Cumulative

Return (p.a.)

5.00%

Volatility

5.38%

Return/Volatility

0.93

Drawdown

-12.94%

Sortino Ratio

1.21

Calmar Ratio

0.39

Range: 06 Feb 2001  –

02 Dec 2022

Backtested and historical allocations

Range:

Backtested and historical monthly performance

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

2001

-0.29%

-1.08%

-0.37%

0.67%

-2.13%

0.22%

-0.51%

-4.14%

0.63%

-0.46%

0.42%

-6.91%

2002

-0.26%

0.48%

0.06%

0.48%

0.54%

-0.35%

0.15%

1.90%

1.15%

0.23%

-0.04%

2.85%

7.40%

2003

3.16%

1.54%

-2.46%

0.62%

3.86%

-0.66%

-1.06%

1.87%

0.67%

4.13%

0.10%

2.58%

15.08%

2004

1.88%

2.54%

0.19%

-1.22%

0.59%

-0.06%

0.47%

1.56%

1.52%

0.24%

-0.05%

-0.54%

7.31%

2005

0.20%

5.35%

1.88%

-0.67%

1.05%

1.58%

0.55%

1.25%

-0.14%

-1.15%

0.96%

3.45%

15.07%

2006

2.86%

-1.57%

0.85%

3.66%

0.06%

0.33%

0.84%

-0.34%

-0.80%

1.60%

1.77%

-1.49%

7.90%

2007

-1.26%

1.74%

0.14%

1.82%

1.18%

-1.00%

-1.58%

1.05%

1.19%

2.72%

1.10%

0.92%

8.19%

2008

1.85%

3.02%

-0.03%

-1.13%

1.03%

1.72%

-2.12%

-0.46%

-2.42%

-3.21%

3.88%

1.98%

3.89%

2009

-1.78%

-1.41%

2.21%

-0.33%

0.51%

0.40%

1.67%

1.11%

0.81%

1.40%

2.33%

-1.53%

5.40%

2010

-0.98%

1.07%

0.68%

1.81%

-0.94%

1.11%

2.61%

0.75%

3.65%

2.44%

-0.30%

-0.16%

12.26%

2011

1.94%

1.67%

-1.37%

2.13%

-1.41%

-0.94%

3.24%

0.28%

-3.08%

0.73%

0.28%

0.72%

4.08%

2012

2.06%

2.02%

0.60%

0.30%

-0.79%

1.22%

1.66%

0.32%

1.72%

-0.94%

0.14%

-0.37%

8.17%

2013

2.39%

0.17%

1.56%

0.68%

-2.35%

-0.84%

0.43%

-2.26%

1.27%

1.72%

0.38%

0.31%

3.38%

2014

-1.43%

1.63%

1.08%

0.45%

1.26%

1.65%

-3.01%

1.12%

-3.28%

0.65%

0.91%

-2.10%

-1.25%

2015

0.27%

0.64%

-0.66%

-0.69%

0.34%

-0.36%

-0.07%

-3.79%

0.50%

1.06%

-2.11%

-0.63%

-5.47%

2016

0.01%

0.76%

2.14%

0.68%

0.51%

-0.25%

-0.02%

-1.36%

-0.55%

-0.98%

0.61%

0.40%

1.93%

2017

1.27%

1.25%

-1.41%

1.59%

0.53%

0.17%

1.43%

-0.43%

0.52%

3.49%

3.40%

0.23%

12.60%

2018

2.61%

-2.94%

-1.69%

0.40%

1.25%

-2.04%

-0.59%

0.81%

0.18%

-2.31%

0.42%

-1.88%

-5.78%

2019

1.25%

2.28%

1.60%

1.17%

-1.76%

2.35%

0.21%

-0.47%

-0.16%

-0.34%

0.69%

1.25%

8.28%

2020

-0.46%

1.35%

0.00%

-2.05%

1.43%

0.04%

2.47%

2.61%

-1.19%

-2.45%

2.49%

1.80%

6.03%

2021

0.67%

2.19%

0.00%

2.66%

1.41%

0.48%

1.59%

-0.32%

-0.82%

1.73%

-1.46%

1.05%

9.48%

2022

-0.83%

-0.00%

1.26%

0.42%

0.03%

-2.47%

0.09%

-2.19%

-2.33%

0.66%

1.53%

0.10%

-3.76%

06 Feb 2001 – 31 October 2022

Selected risk considerations