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The returns below are based on hypothetical back-tested performance. Hypothetical back-tested performance is no guarantee of future performance and actual results will vary. For more detailed information please see the “Risk Factors” section below.

A – Overview; Hypothetical Backtesting Methodology

The Save® Global Multi-Strategy portfolio is a rules-based investment strategy that represents the hypothetical returns from exposures across global asset classes determined based on a combination of signals driven by analysis of common recurring narratives present in global financial news.

The launch date of the Index is November 18, 2022 and closing levels for the Index are disseminated on Bloomberg Page SAVENAR1.

The strategy employed by the Index is based on the belief that humans, and thus investors, respond to patterns and stories, often organized as narratives. Those narratives may be about individual assets and issuers, economies, markets, countries, interest rates, central banks or investors and allocators themselves. To calculate the signals underlying the Index, quantitative techniques are employed to determine the prevailing narrative states (carried out by a third-party data provider in a systematic manner), and subsequently to determine the preferred asset allocation.

Each day, the third-party data provider analyzes large quantities of natural language data, from which key themes in the financial news media are identified. This analysis considers both the current themes and how they have changed over time. Allocations to the 24 ETF components are then determined based on which asset classes or sectors are expected to perform better or worse given the prevailing environment. For example:

• A preference for certain ‘equity value’ sectors may be determined when central bank policy is deemed to shift in a tightening direction.
• Within equities, one country may be considered more attractive when there is an emerging ‘cheap’ narrative associated with equities from that country.
• Government bonds may be deemed unattractive due to certain inflation-related language.

The calculation of these signals is carried out systematically by the Index according to a predefined set of rules.

It is important to note that this process is not intended to and should be considered distinct from processes which seek to measure sentiment; it assesses the state and change of financial and macro-economic news, including stories being told about issuers, economies, markets, countries, interest rates, central banks or investors and allocators (such as asset managers) themselves in order to identify possible relationships between those stories and forward-looking asset returns.

The key elements of the methodology are as follows: The Index is calculated and rebalanced on each Index Business Day (scheduled trading days for NYSE).

First, utilizing an investment universe of 24 ETFs, the Index will group the ETFs into 6 sub-strategies: 4 beta sub-strategies (equity, commodity, fixed income, currency), and 2 relative value sub-strategies (i.e. long-short; US equity sectors and commodity). The 4 beta sub-strategies are designed to take a long, flat or short exposure to a given market, while the 2 relative value sub-strategies express a relative preference across assets by taking a long position in the preferred assets and establishing a short position in the less favored assets.

Second, narrative-based signals are calculated and used by the Index to construct the 6 individual sub-strategies; sets of binary signals are observed each day, where each signal relates to an individual component or a group of components within the same asset class.

Third, an optimization is then carried out by the Index to allocate weights to the sub-strategies according to their relative preferences. The optimization considers volatilities and correlations in order to determine the weight allocation for each sub-strategy such that its contribution to the overall portfolio risk matches the intended risk budgets.

Fourth, the sub-strategies are then decomposed to their respective ETF components, such that the final index portfolio of 24 ETFs is then constructed by assigning weights to individual ETFs, where constraints are applied to the weight sizes and their changes (i.e., rebalancing) based on liquidity.

Finally, the volatility control mechanism also acts on a daily basis, where the Index considers the new weight allocations and adjusts its overall weight in such a way to target a consistent realized volatility of 2.5%.

The rules allow for negative exposure to some, but not all, of the 24 components; in other words, the Index will establish short positions in certain situations.

Regarding the use of shorting within the Index:

Overall the index has a long or flat exposure to the equity market (with the size of the exposure determined systematically), with the addition of two relative value sub-strategies (i.e. long-short - US equity sectors and commodity), and varying exposure to the other asset classes (commodity, fixed income, currency) with the ability to establish short exposure to these asset classes when the narrative signals indicate a negative view.

In the relative value sub-strategies, the narrative signals determine relative preferences, and the sub-strategy will be constructed as a dollar-neutral (i.e. long and short positions are of equal size) portfolio. Within US equity sectors, for example, a long position might be established in energy and utilities sectors, offset by shorts in consumer discretionary and communications services sectors. With respect to commodities, the strategy determines long and short preferences for energy and precious metals using the narrative signals, then offsets that position with a position in the wider commodity benchmark. Other sub-strategies are not explicitly long-short (i.e. they are not dollar-neutral) but may at times establish short positions. For example, a strategy might establish a short position in a US treasury ETF, Commodity benchmark ETF, or a “USD currency” ETF.

Note that on an aggregate basis, the Index will not establish a net short position in equities, although it is possible as noted above that individual instruments may be net short at any given time.

The Index applies the following costs each day to determine the Index level: Rebalance cost of 0.085% per notional traded; funding cost (Fed Funds); shorting cost of 0.5% applied to any short positions.

B - Portfolio Underlyings and Groups

The ETFs within the portfolio are as shown below. The table shows the Asset Class and Sub-Strategy for each ETF.

C – Portfolio Performance (Backtested and Live)

The returns below are based on live and hypothetical back-tested performance. Past performance is no guarantee of future performance and actual results will vary. For more detailed information please see “F. Risk Factors” below.

The graph below shows the backtested and live performance for the Save US Macro Portfolio from January 14, 2013 to August 16, 2024 (backtested up to the live date of November 18, 2022, and live thereafter).

Hypothetical Backtest of Save Global Multi-Strategy Portfolio

The following table shows the one-, two- and five-year hypothetical backtested average returns of the Strategy for the corresponding time periods. Each return for a given time period is computed by observing a set of hypothetical one-, two- and five-year time periods for each trading day commencing January 14, 2013

D – Hypothetical and Live Account Returns

Past performance is no guarantee of future performance and actual results will vary. Please also see the "Risk Factors" section below.

Market Trust Hypothetical Account Returns

This section shows the historical, backtested distribution of outcomes for a hypothetical Market Trust account-holder, from the inception date of the portfolio (January 14, 2013) onward, assuming current funding rates have been in place throughout.

Save charges a per annum management fee of 0.79% (0.54% annual advisory management fee, plus a 0.25% annual administration fee) for the Market Trust Wrap Fee Program. Save will collect its annual administration fee of 0.25% at the beginning of each term year. This administration fee is never rebated to the customer, even in the event of a withdrawal of funds prior to full program term. The 0.25% annual administration portion of the management fee will be retained by Save for sub-periods during the program term that do not exceed 0.79%. At the end of each term year, Save will collect the annual advisory management fee of 0.54% only if the account return exceeds 0.79% during the term year (example: 1-year return of less than 0.79% means no advisory management fee is collected whereas 1-year return of greater than 0.79% means the annual advisory management fee is collected). If the account return exceeds 0.79% per annum over the course of the program term (example: 5-year return greater than 3.95%), then Save will collect any advisory management fees that were not collected during years with account returns less than 0.79%. If the account return does not exceed 0.79% per annum (example: 5-year return is less than 3.95%), then Save will only collect the annual advisory management fee for the number of individual 1-year sub-periods during the program term where the account return exceeded the 0.79% level. Once collected, this advisory management fee is never rebated. Should a program be withdrawn prior to the end of the program term, Save will prorate the annual administration fee yearly and the annual advisory management fee monthly. The annual administration fee of 0.25%, once collected, will not be rebated. The annual advisory management fee of 0.54%, once collected, will not be rebated. For example: program termination at 15 months would result in two full annual administration fees, one full annual advisory management fee, and one partial annual advisory management fee being collected. The full annual advisory management fee is collected only when the account return exceeds 0.79% for the first 1-year interval. This partial annual advisory management fee is collected only when the account return exceeds 0.1975% (0.79%*3/12) for the 2-month interval starting at the end of the first 1-year term. The minimum management fee charged per year during program year term is 0.25% per annum (administration fee portion of management fee). The maximum management fee charged over a program term is 0.79% per annum.

Market Savings Hypothetical and Live Account Returns

This section shows the historical backtested and live distribution of outcomes for a hypothetical Market Savings account-holder, from the inception date of the portfolio (January 14, 2013) onward, assuming current funding rates have been in place throughout.

The results are shown net of fees, which are charged as follows: if the portfolio return exceeds 0.2% per annum over the term, then a 0.2% per annum fee is charged on the greater of the program investment deposit or notional.

Market+ Hypothetical Account Returns

This section shows the historical, backtested distribution of outcomes for a hypothetical Market+ account-holder, from the inception date of the portfolio (January 14, 2013) onward, assuming current funding rates have been in place throughout.

Save charges a per annum management fee for the Market+ investment program that is a combination of an administration fee and an advisory management fee. The administration fee is: 0.25% * (1 - (guaranteed rate / prevailing MYGA annuity rate)).  The advisory management fee is: 0.54% * (1 - (guaranteed rate / prevailing MYGA annuity rate)).  Save will collect its annual administration fee at the beginning of each term year. This administration fee is never rebated to the customer, even in the event of a withdrawal of funds prior to full program term. At the end of each term year, Save will collect the annual advisory management fee only if the account return exceeds the combined administration fee and advisory management fee during the term year. If the account return exceeds the combined administration fee and advisory management fee for all years over the course of the program term, then Save will collect any advisory management fees that were not collected previously. If, at maturity, the account return does not exceed the combined administration fee and advisory management fee for all years, then Save will only collect the annual advisory management fee for the number of individual 1-year sub-periods during the program term where the account return exceeded the combined administration fee and advisory management fee. Once collected, this advisory management fee is never rebated. Should a program be withdrawn prior to the end of the program term, Save will prorate the annual administration fee yearly and the annual advisory management fee monthly. The annual administration fee, once collected, will not be rebated. The annual advisory management fee, once collected, will not be rebated. The minimum management fee charged per year over a program term is the administration fee per annum. The maximum management fee charged over a program term is the combined administration fee and advisory management fee per annum.

E - Portfolio Historical Exposure Level

This section shows the historical, backtested distribution of outcomes for a hypothetical Market Savings account-holder, from the inception date of the portfolio January 14, 2013 onward, assuming current funding rates have been in place throughout.

The graph below shows the total exposure of the Strategy to underlyings used for the hypothetical backtested performance.

F - Portfolio Historical Component Weights

The below graph displays the proportion of portfolio weight allocated to each Sub-Strategy over time.

The table below shows the hypothetical backtested minimum, average and maximum exposure of each of the 24 ETF components.