Transparent Value
Factsheet Transparent Value Blended Index Introduction The Transparent Value Blended Index (“Index”) aims to dynamically allocate weights between the Price Return version of the Transparent Value Large-Cap Defensive Index (Stock) and the S&P 2-Year U.S. Treasury Note Futures Total Return Index (Bond) based on historical volatility of the Stock index to control for target volatility. The Index is part of the Transparent Value Indexes —a family of quantitative strategy indexes offered by Transparent Value using rules-based, published analytics supplied by Transparent Value LLC® (Transparent Value). Components of the Transparent Value Indexes are selected based on their RBP® probabilities. RBP®, which stands for Required Business Performance®, is calculated by taking a reverse discounted cash flow approach to determine the future business performance required by a company to support its current stock price. RBP® probabilities measure the likelihood that a company can deliver the required business performance identified by applying the methodology over specified time periods.
Performance Statistics
Transparent Value Blended Index
Annualized Cumulative Return Return
Standard Deviation
Sharpe Ratio
6.43% 175.15%
5.44%
0.86
3.07%
Sortino Ratio
Excess Return
Tracking Information Error Ratio
-8.53%
2.09
2.34%
12.14%
S&P 500 / S&P 2-Year U.S. Treasury Note 3.06% Futures Total Return Index 50/50 Blend
63.26%
7.31%
0.18
4.98% -27.08%
0.62
-1.02%
7.93%
S&P 500 Index
91.61%
15.16%
0.15
10.65% -50.95%
0.38
0.00%
0.00%
4.08%
Comparison Period: December 31, 1999 to March 31, 2016*
1
Downside Maximum Deviation Drawdown
Up Capture
Down Capture
Alpha
0.19
40.32%
24.78%
5.25%
0.24
0.68
48.21%
-0.13
45.83%
50.82%
0.81%
0.48
0.99
40.00%
0.00 100.00% 100.00%
0.00%
1.00
1.00 100.00%
Beta Correlation
Batting Average
Factsheet Transparent Value Blended Index Performance Statistics Long-Term Performance Statistics
Short-Term Performance Statistics
( Annualized ) 1-Month
3-Month
6-Month
1-Year
YTD
3-Year
5-Year
7-Year
10-Year
Avail. Hist. (12/31/99)
Transparent Value Blended Index
2.22%
1.09%
1.38%
-1.25%
1.09%
2.62%
4.29%
6.17%
5.09%
6.43%
S&P 500 / S&P 2-Year U.S. Treasury Note Futures Total Return Index 50/50 Blend
3.33%
0.82%
3.86%
0.37%
0.82%
5.18%
5.10%
7.82%
3.96%
3.06%
S&P 500 Index
6.78%
1.35%
8.49%
1.78%
1.35%
11.82%
11.58%
16.97%
7.01%
4.08%
Comparison Period Ending: March 31, 2016*
Calendar Year Return
2015
2013
2012
2011
2010
-1.73%
1.26% 14.01%
7.98%
1.91%
8.90%
S&P 500 / S&P 2-Year U.S. Treasury Note Futures Total Return Index 50/50 Blend
0.15%
5.98% 14.13%
6.76%
1.01%
7.90% 12.67% -17.94%
S&P 500 Index
1.38% 13.69% 32.39% 16.00%
Transparent Value Blended Index
2014
Comparison Period: December 31, 1999 to March 31, 2016*
2
2009
2008
8.17% -4.52%
2.11% 15.06% 26.46% -37.00%
2007
2006
2003
2002
8.36% 10.70%
8.73% 12.01% 16.43%
0.95%
5.43%
2.54%
8.71%
5.49% 15.79%
2005
2004
5.19% 14.04% -8.56%
2001
2000
-0.07% 12.96% -2.70%
-0.94%
4.91% 10.88% 28.68% -22.10% -11.89%
-9.10%
Factsheet Transparent Value Blended Index Cumulative Performance
Risk/Return
300
8.0%
6.0%
Annualized Return
Performance($)
200
100
2.0%
0.0% 1.0%
TV Blended Index [275.15]
S&P 500/S&P 2-Year 50/50 Blend [163.26]
6/15
12/15
6/14
12/14
6/13
12/13
6/12
12/12
6/11
12/11
6/10
12/10
6/09
12/09
6/08
12/08
6/07
12/07
6/06
12/06
6/05
12/05
6/04
12/04
6/03
12/03
6/02
12/02
6/01
12/01
6/00
12/00
12/99
0
Symbols
6.0%
11.0%
16.0%
Annualized Risk
S&P 500 Index [191.61]
TV Blended Index
Comparison Period: December 31, 1999 to March 31, 2016*
S&P 500/S&P 2-Year 50/50 Blend
S&P 500 Index
Comparison Period: December 31, 1999 to March 31, 2016*
Quick Facts Transparent Value Blended Index
USD
3
4.0%
Component Number
NA
Weighting
Determined by Index Construction
Suggested Symbol
DRLBLEND
Calculation Frequency
Summary Only
Bloomberg
DRLBLEND
Review Frequency
Daily
Reuters
.DRBLEND
Base Value
1000 as of December 31, 1999
First Value Date
Available Daily back to December 31, 1999
Initial Publication Date
March 20, 2013 - Represents date of live calculated Index Performance
Factsheet Transparent Value Blended Index Disclaimers Initial Publication Date*
Information with respect to each index may be found at the respective URLs listed below
Transparent Value Blended Index
March 20, 2013
http://www.tvblendedindex.com
S&P 500 / S&P 2-Year U.S. Treasury Note Futures Total Return Index 50/50 Blend**
NA
-
S&P 500 Index
1957
http://www.spindices.com/indices/equity/sp-500
**S&P 500 / S&P 2-Year U.S. Treasury Note Futures Total Return Index 50/50 Blend is monthly equally weighted blend of S&P 500 Price Return Index and S&P 2-Year U.S. Treasury Note Futures Total Return Index.
Important Disclosures : *Each of the above-listed Indexes was first published as of the applicable initial publication date set forth in the table above. To the extent this document includes information for the index for the period prior to its initial publication date, such information is back-tested (i.e., calculations of how the index might have performed during that time period if the index had existed). And the comparisons, assertions and conclusions regarding the performance of the index during such time period are based on back-testing. Back-tested information is purely hypothetical and is provided in this document solely for informational purposes. Back-tested performance does not represent actual performance, and should not be interpreted as an indication of actual performance. Past performance is not indicative of future results. For additional resources, please visit the Analytics & Research section of the rpbinstitute.com Indexes website: www.rbpinstitute.com Transparent Value Blended Index (the “Index”) is the property of Transparent Value, which has contracted with S&P Dow Jones Indices LLC or its affiliate (“S&PDJI”) to maintain and calculate the Index. S&P 500 Index and S&P 2-Year U.S. Treasury Note Futures Total Return Index are the property of S&P and/or their third party licensors and has been licensed by S&PDJI for use by Transparent Value in connection with the Index. S&PDJI shall have no liability for any errors or omissions in calculating the Index. Source: Transparent Value, LLC. Information as of March 31, 2016
Contact Us Transparent Value, LLC 330 Madison Avenue, 10th Floor, New York, NY 10017 © 2016 Transparent Value, LLC. All rights reserved. No part of this document may be circulated, quoted or reproduced for distribution without prior written approval from Transparent Value, LLC.
4
Phone: 1-888-727-6885 Website: www.transparentvalue.com ID16064
Performance Statistics
Transparent Value Blended Index
Annualized Cumulative Return Return
Standard Deviation
Sharpe Ratio
6.43% 175.15%
5.44%
0.86
3.07%
Sortino Ratio
Excess Return
Tracking Information Error Ratio
-8.53%
2.09
2.34%
12.14%
S&P 500 / S&P 2-Year U.S. Treasury Note 3.06% Futures Total Return Index 50/50 Blend
63.26%
7.31%
0.18
4.98% -27.08%
0.62
-1.02%
7.93%
S&P 500 Index
91.61%
15.16%
0.15
10.65% -50.95%
0.38
0.00%
0.00%
4.08%
Comparison Period: December 31, 1999 to March 31, 2016*
1
Downside Maximum Deviation Drawdown
Up Capture
Down Capture
Alpha
0.19
40.32%
24.78%
5.25%
0.24
0.68
48.21%
-0.13
45.83%
50.82%
0.81%
0.48
0.99
40.00%
0.00 100.00% 100.00%
0.00%
1.00
1.00 100.00%
Beta Correlation
Batting Average
Factsheet Transparent Value Blended Index Performance Statistics Long-Term Performance Statistics
Short-Term Performance Statistics
( Annualized ) 1-Month
3-Month
6-Month
1-Year
YTD
3-Year
5-Year
7-Year
10-Year
Avail. Hist. (12/31/99)
Transparent Value Blended Index
2.22%
1.09%
1.38%
-1.25%
1.09%
2.62%
4.29%
6.17%
5.09%
6.43%
S&P 500 / S&P 2-Year U.S. Treasury Note Futures Total Return Index 50/50 Blend
3.33%
0.82%
3.86%
0.37%
0.82%
5.18%
5.10%
7.82%
3.96%
3.06%
S&P 500 Index
6.78%
1.35%
8.49%
1.78%
1.35%
11.82%
11.58%
16.97%
7.01%
4.08%
Comparison Period Ending: March 31, 2016*
Calendar Year Return
2015
2013
2012
2011
2010
-1.73%
1.26% 14.01%
7.98%
1.91%
8.90%
S&P 500 / S&P 2-Year U.S. Treasury Note Futures Total Return Index 50/50 Blend
0.15%
5.98% 14.13%
6.76%
1.01%
7.90% 12.67% -17.94%
S&P 500 Index
1.38% 13.69% 32.39% 16.00%
Transparent Value Blended Index
2014
Comparison Period: December 31, 1999 to March 31, 2016*
2
2009
2008
8.17% -4.52%
2.11% 15.06% 26.46% -37.00%
2007
2006
2003
2002
8.36% 10.70%
8.73% 12.01% 16.43%
0.95%
5.43%
2.54%
8.71%
5.49% 15.79%
2005
2004
5.19% 14.04% -8.56%
2001
2000
-0.07% 12.96% -2.70%
-0.94%
4.91% 10.88% 28.68% -22.10% -11.89%
-9.10%
Factsheet Transparent Value Blended Index Cumulative Performance
Risk/Return
300
8.0%
6.0%
Annualized Return
Performance($)
200
100
2.0%
0.0% 1.0%
TV Blended Index [275.15]
S&P 500/S&P 2-Year 50/50 Blend [163.26]
6/15
12/15
6/14
12/14
6/13
12/13
6/12
12/12
6/11
12/11
6/10
12/10
6/09
12/09
6/08
12/08
6/07
12/07
6/06
12/06
6/05
12/05
6/04
12/04
6/03
12/03
6/02
12/02
6/01
12/01
6/00
12/00
12/99
0
Symbols
6.0%
11.0%
16.0%
Annualized Risk
S&P 500 Index [191.61]
TV Blended Index
Comparison Period: December 31, 1999 to March 31, 2016*
S&P 500/S&P 2-Year 50/50 Blend
S&P 500 Index
Comparison Period: December 31, 1999 to March 31, 2016*
Quick Facts Transparent Value Blended Index
USD
3
4.0%
Component Number
NA
Weighting
Determined by Index Construction
Suggested Symbol
DRLBLEND
Calculation Frequency
Summary Only
Bloomberg
DRLBLEND
Review Frequency
Daily
Reuters
.DRBLEND
Base Value
1000 as of December 31, 1999
First Value Date
Available Daily back to December 31, 1999
Initial Publication Date
March 20, 2013 - Represents date of live calculated Index Performance
Factsheet Transparent Value Blended Index Disclaimers Initial Publication Date*
Information with respect to each index may be found at the respective URLs listed below
Transparent Value Blended Index
March 20, 2013
http://www.tvblendedindex.com
S&P 500 / S&P 2-Year U.S. Treasury Note Futures Total Return Index 50/50 Blend**
NA
-
S&P 500 Index
1957
http://www.spindices.com/indices/equity/sp-500
**S&P 500 / S&P 2-Year U.S. Treasury Note Futures Total Return Index 50/50 Blend is monthly equally weighted blend of S&P 500 Price Return Index and S&P 2-Year U.S. Treasury Note Futures Total Return Index.
Important Disclosures : *Each of the above-listed Indexes was first published as of the applicable initial publication date set forth in the table above. To the extent this document includes information for the index for the period prior to its initial publication date, such information is back-tested (i.e., calculations of how the index might have performed during that time period if the index had existed). And the comparisons, assertions and conclusions regarding the performance of the index during such time period are based on back-testing. Back-tested information is purely hypothetical and is provided in this document solely for informational purposes. Back-tested performance does not represent actual performance, and should not be interpreted as an indication of actual performance. Past performance is not indicative of future results. For additional resources, please visit the Analytics & Research section of the rpbinstitute.com Indexes website: www.rbpinstitute.com Transparent Value Blended Index (the “Index”) is the property of Transparent Value, which has contracted with S&P Dow Jones Indices LLC or its affiliate (“S&PDJI”) to maintain and calculate the Index. S&P 500 Index and S&P 2-Year U.S. Treasury Note Futures Total Return Index are the property of S&P and/or their third party licensors and has been licensed by S&PDJI for use by Transparent Value in connection with the Index. S&PDJI shall have no liability for any errors or omissions in calculating the Index. Source: Transparent Value, LLC. Information as of March 31, 2016
Contact Us Transparent Value, LLC 330 Madison Avenue, 10th Floor, New York, NY 10017 © 2016 Transparent Value, LLC. All rights reserved. No part of this document may be circulated, quoted or reproduced for distribution without prior written approval from Transparent Value, LLC.
4
Phone: 1-888-727-6885 Website: www.transparentvalue.com ID16064
