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Quantitative Credit Strategy

Separately Managed Accounts (SMA) : Managed Account

Target Return : ~25% p.a (net of all fees & expenses), in any 5-year period

(Strategy does not use leverage)

Separately Managed Account - I

(A) Performance* (%)

(B) Sharpe Ratio :  1.4

(D) Positive Months :  71%

(C) Sortino Ratio :  2.3

Date of inception : 19th April, 2022

Separately Managed Account - II

(A) Performance* (%)

(B) Sharpe Ratio :  0.5

(D) Positive Months :  50%

(C) Sortino Ratio :  0.8

Date of inception : 14th October, 2022

Separately Managed Account - III

(B) Sharpe Ratio :  

(D) Positive Months :  

(C) Sortino Ratio :  

Date of inception : 9th January, 2023

(A) Performance* (%)

(B) Sharpe Ratio :  -1.4

(D) Positive Months :  40%

(C) Sortino Ratio :  -2.0

Date of inception : 9th January, 2023

Separately Managed Account - IV

(A) Performance* (%)

(B) Sharpe Ratio :  -1.6

(C) Sortino Ratio :  -2.2

(D) Positive Months :  40%

Date of inception : 19th January, 2023

Separately Managed Account - V

(A) Performance* (%)

(B) Sharpe Ratio :  -0.8

(C) Sortino Ratio :  -1.0

(D) Positive Months :  67%

Date of inception : 10th March, 2023

*Performance is "Gross returns", before fees (TWRR) for all, except SMA - V (which is net of fees)

*US Agg (LBUSTRUU Index) :The Bloomberg U.S. Aggregate Bond Index is an unmanaged, market-value weighted index comprised of taxable U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate, asset-backed, and mortgage-backed securities between one and 10 years

*BBB Index (LCB1TRUU) : Baa rated fixed-rate taxable corporate bonds issued by US & non-US issuers

*HY Index (LF98TRUU) : High yield fixed-rate corporate bonds in US markets

This strategy is offered in collaboration with fintech firm BANACH TECHNOLOGIES

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