GEO Global Equity Optimizer 8 Excess Return Index
GEO Global Equity Optimizer 8 Excess Return IndexIndex InformationIndex OverviewBloomberg TickerIndex SponsorGEONAVI8Navian Capital Research LLCIndex CalculatorSolactive AGIndex Base DateMar 31, 2005Index Live DateFeb 17, 2016The GEO Global Equity Optimizer 8 Excess Return Index (the “Index”)is a rules-based, algorithmic index that seeks to provide dynamicexposure to global equities based on trending markets. Each month,the Index employs a price momentum strategy and selects up to fiveequity ETFs for Index allocation. Key features of the Index are asfollows:Global ApproachGlobal investment strategy with regional access spanning theUnited States, Europe, Asia Pacific, and Other Emerging MarketsEquity FocusedEquity focused exposure to up to five equity ETFs from a universeof 15 equity ETFs; the Index only provides exposure to a short termUS Treasury ETF if there are fewer than five positive performingequity ETFsDynamic AllocationDynamic momentum strategy that aims to dynamically allocateinto the best performing index constituents based on recentperformance trendsVolatility TargetedThe Index aims to manage risk and reduce the potential for largeIndex declines by incorporating a daily volatility target of 8%Index Methodology1.INDEX UNIVERSEEach month, the Index selects a hypothetical investment portfolio (the “Selected Portfolio”) from a universeof 15 equity ETFs and one short term US Treasury ETF.2.INDEX CONSTITUENTSThe Index selects up to five equity ETFs with the strongest three month historical performance (includingreinvested dividends) to constitute the Index. Only positive performing equity ETFs will be chosen. If lessthan five are chosen, the short term US Treasury ETF will be added to the Selected Portfolio.3.PORTFOLIO WEIGHTINGPercentage weights of each of the selected constituents within the Selected Portfolio are based on theinverse of their volatility. Higher volatility constituents are assigned a lower weighting and lower volatilityconstituents are assigned a higher weighting.4.EXCESS RETURNPERFORMANCE5.VOLATILITY TARGETINGA daily volatility target mechanism aims to maintain an index volatility of 8% by adjusting exposure to theexcess return performance of the Selected Portfolio as often as daily. The exposure of the Index to theSelected Portfolio may range from 0% to 200%.6.INDEX FEEThe performance of the Index will include an index fee of 0.75% per annum.The Index is an excess return index and reflects the weighted performance of selected constituents inexcess of 1-month USD LIBOR.GEO Global Equity Optimizer 8 Excess Return Index1INDEX FACTSHEET
ConstituentsThe GEO Global Equity Optimizer Index selects exposure from the following 15 equity ETFs spanning theUnited States, Europe, Asia Pacific and Other Emerging Market Equities and one short term US TreasuryETF.RegionUnited StatesEuropeAsia PacificOther Emerging MarketsTreasuryCountryETFTickerUSSPDR S&P 500 ETFSPYUSiShares Russell 2000 ETFIWMUSSPDR S&P Midcap 400 ETFMDYUSVanguard REIT ETFVNQGermanyiShares MCSI Germany ETFEWGUKiShares MSCI United Kingdom ETFEWUSpainiShares MSCI Spain Capped ETFEWPJapaniShares MSCI Japan ETFEWJHong KongiShares MSCI Hong Kong ETFEWHIndiaiShares MSCI India ETFINDAChinaiShares China Large-Cap ETFFXISouth KoreaiShares MSCI South Korea Capped ETFEWYTaiwaniShares MSCI Taiwan ETFEWTBraziliShares MSCI Brazil Capped ETFEWZMexicoiShares MSCI Mexico Capped ETFEWWUSiShares 1-3 Year Treasury Bond ETFSHYGEO Global Equity Optimizer 8 Excess Return Index2INDEX FACTSHEET
Index Performance250200150100500MSCI World Index Excess Return¹Index StatisticsIndex StatisticsMSCI World IndexExcess Return¹1 Year-3.25%-3.33%3 Year (Annualized)2.55%4.59%5 Year (Annualized)2.52%3.55%6.29%2.18%8.82%20.02%Time Period10 Year (Annualized)10 Year Annualized Volatility10 Year Sharpe Ratio320.710.11Source: Bloomberg, Solactive, Navian Capital, as of December 31, 2015.¹Excess Return of MSCI World Index (MXWD) calculated by subtracting from daily published performance of total returns for respective indices thedaily rate of 1 month US LIBOR in effect for each respective day. Indices were rebased to 100 on March 31, 2005.²Volatility is calculated by annualizing the standard deviation of the daily return for the period presented, assuming 252 business days in a given year.³Sharpe Ratio as presented as a measure of Annualized Return divided by Volatility as described above.Index performance prior to February 17, 2016 is hypothetical. Performance prior to this date in no way reflects or is indicative of future performance.No assertion is being made that past hypothetical performance has any bearing on actual performance and, in many cases, market conditions inexistence during back-tested time periods can differ materially from those experienced in future periods. Excess return performance from otherindices during this time period are presented for visual purposes only and no claim is being made as to the relevance of these indices or the benefitof comparing hypothetical performance of the Index to these indices. It should be noted that performance is being presented on the excess returnof these indices and that the calculations used have not been verified by a third party. Further, conclusions about the comparative performance ofthe Index should be independently analyzed against investment options available to you, fully realizing that hypothetical back-tested data can differsignificantly from actual performance.GEO Global Equity Optimizer 8 Excess Return Index3INDEX FACTSHEET
Index Weighting Information100%90%80%70%60%50%40%30%20%10%0%United StatesEuropeAsiaOther EmergingTreasurySource: Bloomberg, Solactive, Navian Capital.The graph above shows the hypothetical, back-tested, percentage weights of each region (as specified in the “Constituents” section) in the SelectedPortfolio for the above mentioned time period. The graph does not show the hypothetical weights of the Constituents as there may be multipleConstituents for each of the various regions. Further, no consideration is given to the daily exposure of the Selected Portfolio which would potentiallyalter the actual percentage weights of each region, ranging from 0% to 200% exposure. Due to the time periods selected, all data presented ishypothetical and investors should be aware that actual allocations may vary significantly from the above illustration.GEO Global Equity Optimizer 8 Excess Return Index4INDEX FACTSHEET
Associated RisksKey risks associated with the Index are presented below. These risks are not exhaustive and investors should refer to the relevant offering documents for further details.The Index is a trend-following index and mayperform poorly if past trends do not predict futureperformance.The Index employs a trend-following methodology.However, there can be no assurance that pasttrends will predict future performance. If pastperformance does not predict future performance,the Index may underperform alternative strategies;by allocating exposure to equity constituents afterthey have experienced significant appreciationover the prior three months, the Index mayallocate exposure to equity constituents whenthey are expensive.The excess return deduction and index fee willadversely affect Index performance.The Index provides exposure to the SelectedPortfolio on an “excess return” basis. This meansthat a rate equal to 1-month USD LIBOR will bededucted from the performance of the SelectedPortfolio in calculating the performance of theIndex. In addition, an index fee of 0.75% perannum is deducted in calculating the Index. Theexcess return deduction and the index fee willplace a drag on the performance of the Index.The Index may perform poorly in temporary marketcrashes.A temporary market crash is an event in which thevolatility of the Selected Portfolio spikes suddenlyand the Selected Portfolio declines sharply invalue over a short period of time. The declinemay be short-lived and the Selected Portfolio maysoon recover its losses. In this circumstance,although the value of the Selected Portfolio afterthe recovery may return to its value before thecrash, the level of the Index may not fully recoverits losses. Because of the time lag in the Index’svolatility-targeting feature, the Index may notmeaningfully reduce its exposure to the SelectedPortfolio until the crash has already occurred. Bythe time the reduced exposure does take effect,the recovery may have already begun.The Index is a new index and may be riskier thanone with an established history of performance.The Index was launched on February 17, 2016.Because the Index has limited performancehistory, an investment linked to the Index mayinvolve greater risk than an investment linked toone or more indices with an established recordof performance. A longer history of actualperformance may have provided more reliableinformation on which to assess the validity of theIndex methodology.A significant portion of the Index may be hypothetically uninvested, which may dampen returns.When the Index has less than 100% exposureto the Selected Portfolio, the difference will behypothetically uninvested. No interest or otherreturn will accrue on this uninvested portion.Moreover, because the index fee will be deductedfrom the full Index, including the uninvestedportion, this uninvested portion will experience asteady decline at a rate equal to the index fee.The Index’s weighting methodology may beinconsistent with the trend-following selectionmethodology and may reduce performance.The Index will weight constituents in the SelectedPortfolio based inversely on their volatilities overthe prior three months. As a result, it is possiblethat the Index will underweight highly performingconstituents and overweight lesser performingconstituents. If constituents with higher risk alsohave higher rewards, the Index may achieve lowerreturns by giving greater weight to less volatileconstituents than it would if it instead weighted theconstituents equally or in proportion to historicalreturns.GEO Global Equity Optimizer 8 Excess Return Index5INDEX FACTSHEET
Associated RisksThe Index may not be diversified.The Index will be composed of no more thanfive constituents at any given time. All of thoseconstituents may be concentrated in one or a smallnumber of geographic regions or market types. Forexample, all of the selected constituents may trackemerging market stock indices, in which case theIndex will be subject to risks affecting emergingmarkets on a concentrated basis. The Index mayalso be allocated solely to the US Treasury ETF atany time, in which case the Index will be subjectto risks affecting US Treasuries on a concentratedbasis.The volatility-targeting feature is likely to cause theIndex to significantly underperform the SelectedPortfolio in rising equity markets.The performance of the Index will be based onthe excess return performance of the SelectedPortfolio, but only to the extent the Index hasexposure to the Selected Portfolio. The Index willhave less than 100% exposure to the SelectedPortfolio at any time when the realized volatility ofthe Selected Portfolio over a look-back period of 21index business days was greater than the Index’svolatility target of 8%. Based on historical data, thevolatility of a portfolio of equity constituents is likelyto be significantly greater than the volatility targetof 8%. As a result, at any time when the SelectedPortfolio is composed solely of equity constituents,the Index is likely to have significantly less than100% exposure to the excess return performanceof the Selected Portfolio. This limited exposuremeans that the Index is likely to underperformthe Selected Portfolio in rising equity markets.The excess return deduction and index fee willexacerbate this underperformance.The Index may fail to maintain its volatility target.The Index seeks to maintain a volatility targetof 8% based on the realized volatility of theSelected Portfolio over a look-back period of 21index business days. Because this mechanism isbackward-looking, the Index may fail to maintainits volatility target if the volatility of the SelectedPortfolio suddenly increases.There are risks associated with a dynamic strategy.The Index employs a dynamic strategy, wherebythe Index constituents may change each month.However, there is no assurance that this dynamicstrategy will outperform a static strategy; the Indexconstituents are fixed, and the Index may in factunderperform such a strategy.The Index primarily seeks to track equityconstituents and may not be ideal for thoseseeking a cross-asset class exposure.The Index does not include broad exposure tocommodities, fixed income, or alternative assets.Accordingly, the Index is not a broadly diversifiedinvestment strategy. The Index may involve morerisk and may in fact underperform other strategieswith cross-asset class exposure.The Index is a hypothetical calculation and doesnot represent an investment in actual assets.The Index is merely a mathematical calculationof the performance of a hypothetical investmentmethodology. The Index Sponsor does not holdany actual assets for the benefit of any investor inany financial instrument linked to the Index.This Index Factsheet is only a summary of certain information about the Index. It is not intended to beused as the sole basis for an investment decision in any financial instrument linked to the Index. Beforeinvesting in any financial instrument linked to the Index, you should carefully review the disclosurematerials, including risk disclosures provided to you in connection with that investment.GEO Global Equity Optimizer 8 Excess Return Index6INDEX FACTSHEET
GEO Global Equity Optimizer 8 Excess Return Index INDEX FACTSHEET The GEO Global Equity Optimizer 8 Excess Return Index (the “Index”) is a rules-based, algorithmic index that seeks to provide dynamic exposure
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