Swan Defined Risk Strategy
For Professional Use Only
Swan DRS Capture Ratio
The Key to the DRS Success: Annual Upside vs. Annual Downside Capture
20%
Positive return over the S&P 500
negative years of 2000, 2001,
2002, 2008
15%
10%
10.22%
Return
5%
16.18%
0%
4.41%
-5%
-20.82%
-10%
-15%
-20%
Upside Capture is 63.16%
of the S&P returns
-25%
Swan DRS
S&P 500
For Professional Use Only
Source: Swan Global Investments; the S&P 500 Index is an unmanaged index, and cannot be invested into directly. Past performance is no guarantee of
future results.
* Geometric average upside and downside market capture ratios calculated on an annual basis net of fees from July, 1997 through December 31, 2014
2
Swan’s Investment Process
Swan’s investment process adheres to its core beliefs.
1
Establish
Equities
2
Create Hedge
Seek to Generate
Income
3
 Nine S&P 500 Sector
ETFs
 Buy puts on the S&P
500 Index
 Seek to sell shorterterm options
 Equally weighted
 At – or near-the-money
 Invested at all times
 Long-term – generally
one to two years,
initially
 Market-neutral
trading strategies
4
Monitor
& Adjust
 Daily monitoring
 Rebalancing as required
 Re-hedge annually
The Process is
Transparent
For Professional Use Only
Disclosure: See ending disclosures about options and equity hedging
Disciplined
Repeatable
3
Swan DRS Targeted versus Actual
Returns by Year
Targeted/Expected Return vs. Actual Return
For Professional Use Only
Source: Swan Global Investments and Morningstar; the S&P 500 Index is an unmanaged index, and cannot be invested into directly.
Past performance is no guarantee of future results. DRS returns are from the Select Composite, net of all fees.
4
A Proven Long-Term Track Record
Swan Defined Risk Strategy Select Net-of-Fees
Growth of $100,000 July 1, 1997 to June 30, 2015
$500k
$465,813
$450k
$400k
Swan DRS
S&P 500
Russell Balanced
$350k
$323,967
$300k
$267,195
$250k
$200k
$150k
$100k
$50k
$k
7/97 1/98 7/98 1/99 7/99 1/00 7/00 1/01 7/01 1/02 7/02 1/03 7/03 1/04 7/04 1/05 7/05 1/06 7/06 1/07 7/07 1/08 7/08 1/09 7/09 1/10 7/10 1/11 7/11 1/12 7/12 1/13 7/13 1/14 7/14 1/15
Net Annualized Performance (June 30, 2015)
Swan DRS
S&P 500
Russell Balanced
YTD (not annualized)
0.19%
1.23%
1.49%
3 Year
7.84%
17.31%
8.31%
5 Year
7.15%
17.34%
8.41%
10 Year
8.09%
7.89%
5.17%
Inception (7/97)
8.91%
6.76%
5.59%
For Professional Use Only
Source: Swan Global Investments and Morningstar; the S&P 500 Index is an unmanaged index, and cannot be invested into directly.
Past performance is no guarantee of future results. DRS results are from the Select Composite, net of fees.
5
Consistency Throughout Market Cycles
Rolling 1-Year
Rolling 3-Year
Swan DRS Select Net
60%
S&P 500
Swan DRS Select Net
30%
S&P 500
25%
40%
20%
15%
20%
10%
0%
5%
0%
-20%
-5%
-10%
-40%
-15%
Rolling 5-Year
06/14
06/13
06/12
06/11
06/10
06/09
06/08
06/07
Rolling 10-Year
Swan DRS Select Net
25%
06/06
06/05
06/04
06/03
06/02
06/01
06/00
06/14
06/13
06/12
06/11
06/10
06/09
06/08
06/07
06/06
06/05
06/04
06/03
06/02
06/01
06/00
06/99
-20%
06/98
-60%
S&P 500
Swan DRS Select Net
12%
S&P 500
10%
20%
8%
15%
6%
10%
4%
5%
2%
0%
0%
-2%
-5%
-4%
06/14
06/13
06/12
06/11
06/10
06/09
06/08
06/07
06/14
06/13
06/12
06/11
06/10
06/09
06/08
06/07
06/06
06/05
06/04
06/03
-6%
06/02
-10%
For Professional Use Only
Source: Swan Global Investments and Morningstar; the S&P 500 Index is an unmanaged index, and cannot be invested into directly.
Past performance is no guarantee of future results. DRS results are from the Select Composite, net of all fees, as of 6/30/2015.
6
Drawdown July 1997-June 2015
Drawdown
July 1997 - June 2015
0%
-10%
-20%
Swan Defined Risk Strategy (net)
60% S&P 500/40% Barclays Agg
HFRI Fund W eighted Composite Index
S&P 500
-30%
-40%
-50%
Jun 1997
Dec 1999
Dec 2001
Dec 2003
Dec 2005
Dec 2007
Dec 2009
Dec 2011
Jun 2015
Source: Zephyr
7
Disclosure Information
Swan Global Investments, LLC. is a SEC registered Investment Advisor that specializes in managing money using the proprietary
Defined Risk Strategy (DRS). Please note that registration of the Advisor does not imply a certain level of skill or training. Further
information may be obtained by contacting the company directly at 970-382-8901 or www.swanglobalinvestments.com. Swan Global
Investments, LLC, Swan Global Management, LLC, and Swan Capital Management, LLC are affiliated entities. Sources: Swan Global
Investments, Zephyr StyleADVISOR, and Morningstar; all information is provided “as is” without warranty of any kind. Swan assumes
no responsibility for typographical errors, inaccuracies or other errors which may occur.
This presentation is for information purposes only and does not constitute any investment advice or tax advice. DRS performance
results are presented in U.S. dollars and are net-of-actual-fees and trading expenses and reflect the reinvestment of dividends and
capital gains. Actual fees may vary based on, among other factors, account size and custodial relationship. No current or prospective
client should assume future performance of any specific investment strategy will be profitable or equal to past performance levels. All
investment strategies have the potential for profit or loss. Changes in investment strategies, contributions or withdrawals may cause
the performance results of a client’s investment portfolio to differ materially from the reported composite performance. Different
types of investments involve varying degrees of risk and there can be no assurance that any specific investment will either be suitable
or profitable for a client’s investment portfolio. Historical performance results for market indices and/or categories generally do not
reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee, the incurrence of
which would have the effect of decreasing historical performance results. Economic factors, market conditions, and investment
strategies will affect the performance of any portfolio and there are no assurances that it will match or outperform any particular
benchmark.
The benchmarks used for the DRS Select Composite are the S&P 500 Index, which consists of approximately 500 large cap stocks, and
the Russell Balanced (RBLEX), which targets 54% equity, 32% fixed income, and 14% to alternative underlying funds. The S&P 500
Index is often used as a proxy for the overall U.S. equity market. Indexes and other benchmarks used herein are generally unmanaged
and have no fees or expenses. An investment cannot be made directly in an index or some of these benchmarks. Swan’s investments
may consist of securities which vary significantly from those in the benchmark indexes listed above and performance calculation
methods may not be entirely comparable. Accordingly, comparing results shown to those of such indexes and benchmarks may be of
limited use.
Disclosure Information
Swan claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in
compliance with GIPS. Swan’s compliance with GIPS has been independently verified for the periods July 1, 1997 through December
31, 2013. The Spaulding Group conducted Swan’s verification. A copy of the verification report is available upon request. To receive
copies of the report, please call (970) 382-8901 or email [email protected]. Verification assesses whether (1)
the firm has complied with all the composite construction requirements of GIPS on a firm-wide basis, and (2) the firm’s policies and
procedures are designed to calculate and present performance in compliance with GIPS. Verification does not ensure the accuracy of
any specific composite presentation.
The charts and graphs contained herein should not serve as the sole determining factor for making investment decisions. To the
extent that you have any questions regarding the applicability of any specific issue presented or discussed, you are encouraged to
consult with Swan Global Investments. All information, including that used to compile charts, is obtained from sources believed to be
reliable, but Swan Global Investments does not guarantee its reliability. The Put Hedge examples presented may not be indicative of
all Put Hedge's engaged by Swan. It is a hypothetical example, not shown for purposes of highlighting specific successful strategies,
but rather as a general indicator of Swan’s general experience and strategic outlook. The example does not represent an actual trade
or investment. There is no guarantee that such hypothetical investments would have been, or will be, profitable for, or executed by,
Swan.
Swan uses options in the DRS strategy. Options carry additional risks and are not suitable for all clients. Clients must read and
understand the current options risk disclosure documents prior to entering into any options or other derivatives transactions. Prior to
implementing a call writing program or any of the strategies described herein, a client should further discuss this investment process
with other financial, legal and/or tax advisors. The options risk disclosure document is located at:
http://optionsclearing.com/about/publications/character-risks.jsp 002-SGI-071315