SOLACTIVE TOROSO INDEX COMPONENTS CONSTRUCTION ASSUMPTIONS & INDEX TICKERS Dec-74
Jan-76
Jun-76
Dec-86
Aug-88
S&P 500 Price plus Estimated Dividends and Expense of 2% per anum
Equity Component
Cash Equivalent Component
Mar-93
S&P 500 Total Retun Index plus Expense of 7bps
Commodity Component
Bonds Component
Oct-91
Dec-98
May-01
VTSMX tracks MSCI Broad US Market Index
Jul-02
Sep-03
BarCap Aggregate Index plus Expense of 22bp
GLD Tracks Gold Bullion
Index Name
VBMFX (Vanguard Mutual Fund) tracks BarCap Aggregate Bond
2 Year US Treasury Daily Yield
1 Year US Treasury Daily
VFISX (Vanguard Short Term Treasury Mutual Fund)
Jun-12
VTI tracks MSCI Broad US Market Index
Gold Spot plus Expense of 40bps
10 Year US Treasury Daily Yield
Nov-04
Barclays U.S. 1-3 Year Treasury Bond Index plus Expense of 15bps
AGG tracks BarCap Aggregate Bond
SHY tracks Barclays U.S. 1-3 Year Treasury Bond Index
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
TREC
SLA7TR
DE000SLA7TR2
USD
.TREC
TREC Index
TDEF
SLA7TS
DE000SLA7TS0
USD
.TDEF
TDEF Index
Solactive Toroso Target Recession Index
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.