RESOLVE ADAPTIVE ASSET ALLOCATION GROWTH

“It’s not the strongest of species that thrives, nor the most intelligent. It is the one that is most adaptable to change.”

MANDATE HIGHLIGHTS

Investment Vehicle: Separately Managed Account
Custodian: Interactive Brokers
Eligibility: All Registered & Non-Registered Accounts
Liquidity: Daily
Style: Global Tactical Asset Allocation 

Inception Date: May 2012
Volatility Mandate: 
10% Target Volatility
Currency: 
CAD
Leverage: Up to 2:1
Currency Hedge: Dynamic CAD/US
Investment Type: Long Only

HOW THIS STRATEGY APPLIES

ReSolve AAA methodology is applied to deliver returns in Canadian dollars. US dollar exposure is actively managed through a dynamic currency hedge. The performance below is comprised of all portfolios that are members of a ReSolve Canadian dollar performance composite that follows the ReSolve Adaptive Asset Allocation and that has expected volatility of annual returns in the range of 8% to 12%. Prior to September 1, 2015 this composite did not apply any leverage.

Hills and valleys instead of mountains and canyons. Investors trade off one, three or even five years of underperformance when compared to the Global Market Portfolio benchmark for the opportunity to earn persistent gains, even during major bear markets.

Calendar Performance

This is composite performance. Please refer to “Performance Disclosure” at the bottom of this page.

AVERAGE ANNUAL RETURNS

RETURN RISK METRICS

MEASURESSTRATEGYBENCHMARK¹
STANDARD DEVIATION9.32%6.75%
SHARPE RATIO0.691.23
MAXIMUM DRAWDOWN-17.48%-8.57%

This is composite performance. Please refer to “Performance Disclosure” at the bottom of this page.

Month-End Holdings and Risk Statistics

MONTH-END ASSET ALLOCATION

ESTIMATED MONTH-END RISK CONTRIBUTION

This is composite performance. Please refer to “Risk Contribution Disclosure” at the bottom of this page.

ASSET ALLOCATION CHANGES THROUGH TIME

About ReSolve Asset Management

ReSolve Asset Management provides global investment methodologies ranging from truly passive to cutting edge tactical. We are a systematic investment firm that depends on in-depth, academically backed and empirically proven practices to portfolio construction. Our solutions are based on evidence not theory.

General Disclaimer
ReSolve Asset Management Inc. (“ReSolve”). is registered as an investment fund manager in Ontario and Newfoundland and Labrador, and as a portfolio manager and exempt market dealer in Ontario, Alberta, British Columbia and Newfoundland and Labrador. In the U.S. ReSolve is registered with the United States Securities and Exchange Commission as a Non-Resident Investment Adviser.

1 Benchmark Disclaimer
The Benchmark approximates the returns to a Global Balanced Portfolio in Canadian dollars. It consists of the following investable universe of low-cost Exchange Traded Funds: 60% Vanguard Total World Stock Market, 20% Core US Aggregate Bond Index, 20% SPDR Barclays International Treasury Bond. Currency risk is hedged so that the benchmark maintains a constant 50% exposure to the U.S. dollar.

2 Performance Disclaimer
Past performance is not indicative of future results. The ReSolve Adaptive Asset Allocation: Growth (CAD) Composite is comprised of all portfolios that are members of a ReSolve Canadian dollar performance composite that follows the ReSolve Adaptive Asset Allocation methodology and that has expected volatility of annual returns in the range of 8% to 12%. Performance results are net of a 0.95% management fee from inception to February 1 2018, and net of a 1.45% management fee from February 1 2018 onward. ReSolve considers portfolios with an investment objective of “Growth” to have an expected volatility tolerance in this range. Portfolios included in this composite may use leverage of up to 200% of the portfolio to scale exposure to risk assets up and down in order to match a portfolio’s expected volatility to the target volatility of its associated strategy. Since September 30, 2015 leverage used has ranged between 0% and 99% of the value of the underlying portfolios, with an average of 33%. Prior to September 30, 2015 no leverage was used by any accounts in the composite. Portfolios included in this composite may also: use leverage to manage a dynamic currency hedge between the Canadian and the US dollar by selling or buying the US dollar while simultaneously buying or selling the Canadian dollar; additionally manage US dollar exposure through the use of hedged and unhedged ETFs; and may use exchange-traded options to hedge exposure to specific asset classes. Leverage may magnify losses as well as gains to the extent that leverage is employed. This composite was created September 1, 2015. Composite returns are presented in Canadian dollars.

Performance Disclosures
Past performance is not indicative of future performance. The performance data above represents the performance composite of the referenced mandate managed by ReSolve Asset Management Inc. Indicated returns of one year or more are annualized. Actual performance for individual client accounts may vary from the rate of return quoted within the documents depending on the timing of the initial investment and subsequent additions and/or withdrawals.

Risk Contribution Disclosure
Portfolio Risk Contribution is computed as the standard deviation of daily return observations. Individual asset risk is computed as the weighted marginal portfolio risk. Asset covariance is estimated using daily returns over the previous 50-days.