http://www.torosoinv.com/strategies - The Solactive Toroso Indices represent hypothetical back-tested performance returns, do not represent the performance of actual client accounts, and were created by
retroactively applying models based on various assumptions, designed with the benefit of hindsight, in order to demonstrate the potential benefit.
Solactive Toroso Index Components Construction Assumptions & Index Tickers
1. SOLACTIVE TOROSO INDEX COMPONENTS
CONSTRUCTION ASSUMPTIONS & INDEX TICKERS
10 Year US
Treasury
Daily Yield
BarCap Aggregate
Index plus Expense
of 22bp
VBMFX (Vanguard Mutual Fund) tracks BarCap Aggregate Bond
S&P 500 Price plus
Estimated Dividends and
Expense of 2% per anum
S&P 500 Total Retun
Index plus Expense
of 7bps
Equity
Component
Commodity
Component
Bonds
Component
Cash Equivalent
Component
Oct-91 Jun-12Dec-74 Jan-76 Jun-76 Dec-86 Aug-88 Dec-98 May-01 Jul-02 Sep-03 Nov-04
1 Year US Treasury
Daily
2 Year US Treasury
Daily Yield
VFISX (Vanguard
Short Term Treasury
Mutual Fund)
Barclays U.S.
1-3 Year Treasury
Bond Index plus
Expense of 15bps
SHY tracks Barclays U.S. 1-3 Year
Treasury Bond Index
VTSMX tracks
MSCI Broad
US Market Index
VTI tracks MSCI Broad US Market Index
AGG tracks BarCap
Aggregate Bond
Gold Spot plus Expense of 40bps
GLD Tracks
Gold Bullion
Mar-93
The Solactive Toroso Indices represent hypothetical back-tested performance returns, do not represent the performance of actual client accounts, and were created by
retroactively applying models based on various assumptions, designed with the benefit of hindsight, in order to demonstrate the potential benefit (i.e., generating
investment returns with lower portfolio volatility) that could be obtained by allocating investments across four distinct asset classes (i.e., U.S. equities, bonds,
commodities, and cash), as opposed to investing exclusively in one asset class. While each index is similar in concept to an investment strategy offered by Toroso
Investments, LLC (“Toroso”), there are frequently material differences between hypothetical back-tested performance returns, which have many inherent limitations, and
the returns of actual client accounts managed under a corresponding investment strategy. Therefore, it should not be assumed that an actual client account would
achieve the same profits and/or losses or have the same investment experiences as depicted by the Solactive Toroso Indices. It is not possible to invest directly into an
index. Toroso was founded in 2012 and consequently did not provide any advisory services for almost the entire coverage period of the Solactive Toroso Indices. All
investing involves risk, including the possible loss of all principal. The information presented should not be construed as investment advice and should not be relied
upon solely as the basis for evaluating Toroso’s investment strategies or advisory services. The investment strategies presented may not be suitable for everyone.
Index Name Symbol WKN ISIN Currency REUTERS RIC Bloomberg Ticker
Solactive Toroso Target Neutral Index TNUE SLA7TN DE000SLA7TN1 USD .TNUE TNUE Index
Solactive Toroso Target Prosperity Index TPRO SLA7TP DE000SLA7TP6 USD .TPRO TPRO Index
TINF SLA7TQ DE000SLA7TQ4 USD .TINF TINF Index
Solactive Toroso Target Recession Index TREC SLA7TR DE000SLA7TR2 USD .TREC TREC Index
TDEF SLA7TS DE000SLA7TS0 USD .TDEF TDEF Index