# PERFORMANCE IN FIGURES (AS AT 28 February 2023)
| PERFORMANCE [1] | LO FUNDS – CONVERTIBLE BOND (N EUR) | BENCHMARK (REFINITIV GLOBAL CONVERTIBLE COMPOSITE INDEX HDGD IN EUR) [4] | MSCI WORLD (HDGD IN EUR) | PARTICIPATION IN THE PERFORMANCE OF EQUITIES |
| --- | --- | --- | --- | --- |
| 2023 YTD | 2.2% | 2.7% | 4.5% | 0.49x |
| 2022 | -14.3% | -15.5% | -17.9% | 0.8x |
| 2021 | -2.7% | -0.9% | 23.3% | -0.11x |
| 2020 | 14.3% | 16.0% | 11.8% | 1.21 x |
| 2019 | 7.6% | 8.1% | 24.6% | 0.31 x |
| 2018 | -6.5% | -5.6% | -9.4% | 0.70 x |
| 2017 | 3.7% | 2.9% | 16.8% | 0.22 x |
| 2016 | -0.5% | 0.8% | 7.8% | N/A |
| 2015 | 4.5% | 3.3% | 1.7% | 2.56 x |
| 2014 | 5.7% | 3.9% | 9.5% | 0.60 x |
| 2013 | 11.5% | 11.2% | 28.1% | 0.41 x |
| 2012 | 9.0% | 10.4% | 14.6% | 0.62 x |
| 2011 | -3.7% | -3.3% | -5.7% | 0.65 x |
| 2010 | 6.8% | 7.8% | 8.5% | 0.79 x |
| 2009 | 18.8% | 21.5% | 24.9% | 0.75 x |
| 2008 | -18.2% | -25.5% | -39.3% | 0.46 x |
| 2007 | 8.5% | 6.1% | 4.2% | 2.01 x |
| 2006 | 7.9% | 12.0% | 14.2% | 0.55 x |
| 2005 | 13.3% | 4.0% | 14.9% | 0.89 x |
| Since launch (9 December 2002) | 88.3% | – | – | – |
| Volatility (ex pos/ann) [2] | 6.5% | 6.7% | 17.9% |  |
| Duration | 2.9 | 2.8 |  |  |
| Rho (Interest rate sensitivity) | -1.68% | -1.44% |  |  |
| Avg maturity/distance to best | 3.2yrs/2.9yrs | 3.4yrs/2.9yrs |  |  |
| Yield-to-maturity/best | -0.24%/0.04% | -3.01%/-2.87% |  |  |
| Current yield | 0.6% | 0.8% |  |  |
| Modified yield [3] | 1.0% | -0.3% |  |  |
| Premium | 54% | 29% |  |  |
| Credit spread (bps) | 174 | 209 |  |  |
| Bond floor | 86% | 84% |  |  |
| Delta | 56% | 54% |  |  |
| Gamma | 0.82 | 0.83 |  |  |
| Beta | 1.00 | 1.07 |  |  |
| Number of issues | 130 | 220 |  |  |
| Number of underlyings | 110 | 178 |  |  |

- Net of fees
- 5 years annualised, based on daily performance
- Modified yield is the delta-adjusted average yield (using YTM and current yield)
- Composite (calculated by LOIM) of 2 Refinitiv Convertible Indices: 2/3 Refinitiv Global Focus hedged and 1/3 Refinitiv Global Focus IG hedged; (previously known as UBS).

Translation (ENFR, 2023-02-28):
# PERFORMANCE EN CHIFFRES (AU 28 février 2023)
LO FUNDS – CONVERTIBLE
BENCHMARK (REFINITIV
PARTICIPATION A LA
PERFORMANCE [1]
BOND (N EUR)
GLOBAL
|  | INDEX HDGD IN EUR) [4] |  |
| --- | --- | --- |
| 2022 YTD | 2.2% | 2.7% | 4.5% | 0.49x |
| 2021 | -2.7% | -0.9% | 23.3% | -0.11x |
| 2020 | 14.3% | 16.0% | 11.8% | 1.21 x |
| 2019 | 7.6% | 8.1% | 24.6% | 0.31 x |
| 2018 | -6.5% | -5.6% | -9.4% | 0.70 x |
| 2017 | 3.7% | 2.9% | 16.8% | 0.22 x |
| 2016 | -0.5% | 0.8% | 7.8% | N/A |
| 2015 | 4.5% | 3.3% | 1.7% | 2.56 x |
| 2014 | 5.7% | 3.9% | 9.5% | 0.60 x |
| 2013 | 11.5% | 11.2% | 28.1% | 0.41 x |
| 2012 | 9.0% | 10.4% | 14.6% | 0.62 x |
| 2011 | -3.7% | -3.3% | -5.7% | 0.65 x |
| 2010 | 6.8% | 7.8% | 8.5% | 0.79 x |
| 2009 | 18.8% | 21.5% | 24.9% | 0.75 x |
| 2008 | -18.2% | -25.5% | -39.3% | 0.46 x |
| 2007 | 8.5% | 6.1% | 4.2% | 2.01 x |
| 2006 | 7.9% | 12.0% | 14.2% | 0.55 x |
| 2005 | 13.3% | 4.0% | 14.9% | 0.89 x |
| Depuis le lancement (9 décember 2002) | 88.3% | – | – |  |
| Volatilité (ex pos/ann) [2] | 6.5% | 6.7% |  |  |
| Duration | 286.5% | 277.1% |  |  |
| Rho (sensibilité aux taux d'intérêt) | -1.7% | -1.4% |  |  |
| Maturité/Distance au best | 3.2ans/2.9ans | 3.4ans/2.9ans |  |  |
| Rendement à l'échéance/au best | -0.24%/0.04% | -3.01%/-2.87% |  |  |
| Rendement actuel | 0.6% | 0.8% |  |  |
| Rendement modifié [3] | 1.0% | -0.3% |  |  |
| Prime | 54% | 29% |  |  |
| Spread de crédit (bp) | 174 | 209 |  |  |
| Plancher obligataire | 85.6% | 84.1% |  |  |
| Delta | 55.9% | 54.2% |  |  |
| Gamma | 0.82 | 0.83 |  |  |
| Beta | 1.00 | 1.07 |  |  |
| Nombre de positions | 130 | 220 |  |  |

CONVERTIBLE COMPOSITE
MSCI WORLD (HDGD IN EUR)
PERFORMANCE DES ACTIONS
- Après déduction des commissions
- Annualisée sur 5 ans, basée sur les performances journalières
- Le rendement modifié est le rendement moyen ajusté du delta (au moyen du rendement à l’échéance et du rendement actuel)
- Composite de 2 indices convertibles Refinitiv : 2/3 Refinitiv Global Focus couvert et 1/3 Refinitiv Global Focus IG couvert (calculé par LOIM), anciennement UBS.