OVHaiLLM/Flipper huggingface dataset:
| A CLASS (CHF) |
| --- |
|  | YTD | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC |
| 2018 | -17.58% | 4.86% | -2.16% | -3.56% | 2.61% | 0.06% | -0.40% | 0.29% | -0.63% | -1.09% | -7.43% | -5.43% | -5.60% |
| 2019 | 29.48% | 8.35% | 3.02% | 0.87% | 4.29% | -3.60% | 4.21% | 0.13% | -2.77% | 2.49% | 2.07% | 4.80% | 2.83% |
| 2020 | 10.59% | -0.58% | -6.40% | -10.12% | 8.94% | 5.20% | 4.23% | 1.32% | 1.80% | -0.65% | -6.10% | 11.52% | 3.16% |
| 2021 | 29.18% | 1.64% | 2.36% | 5.32% | 3.14% | 3.24% | 3.50% | 3.07% | 4.39% | -4.53% | 2.57% | -1.59% | 3.16% |
| 2022 | -23.34% | -7.28% | -1.94% | -1.50% | -3.13% | -4.22% | -9.42% | 6.34% | -4.65% | -9.10% | 6.23% | 6.85% | -2.65% |
| 2023 | 24.44% | 7.83% | 2.72% | 3.58% | 1.85% | 0.03% | 1.42% | 1.84% | -0.49% | -0.98% | -5.80% | 8.67% | 2.19% |

Translation (ENDE, 2023-12-31):
| A-KLASSE (CHF) |
| --- |
|  | YTD | JAN | FEB | MAR | APR | MAI | JUN | JUL | AUG | SEP | OKT | NOV | DEZ |
| 2018 | -17.58% | 4.86% | -2.16% | -3.56% | 2.61% | 0.06% | -0.40% | 0.29% | -0.63% | -1.09% | -7.43% | -5.43% | -5.60% |
| 2019 | 29.48% | 8.35% | 3.02% | 0.87% | 4.29% | -3.60% | 4.21% | 0.13% | -2.77% | 2.49% | 2.07% | 4.80% | 2.83% |
| 2020 | 10.59% | -0.58% | -6.40% | -10.12% | 8.94% | 5.20% | 4.23% | 1.32% | 1.80% | -0.65% | -6.10% | 11.52% | 3.16% |
| 2021 | 29.18% | 1.64% | 2.36% | 5.32% | 3.14% | 3.24% | 3.50% | 3.07% | 4.39% | -4.53% | 2.57% | -1.59% | 3.16% |
| 2022 | -23.34% | -7.28% | -1.94% | -1.50% | -3.13% | -4.22% | -9.42% | 6.34% | -4.65% | -9.10% | 6.23% | 6.85% | -2.65% |
| 2023 | 24.44% | 7.83% | 2.72% | 3.58% | 1.85% | 0.03% | 1.42% | 1.84% | -0.49% | -0.98% | -5.80% | 8.67% | 2.19% |
| S CLASS (CHF) - Closed for new investments |
| --- |
|  | YTD | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC |
| 2018 | -16.90% | 4.95% | -2.12% | -3.47% | 2.63% | 0.18% | -0.33% | 0.35% | -0.57% | -1.03% | -7.37% | -5.37% | -5.53% |
| 2019 | 30.21% | 8.42% | 3.08% | 0.94% | 4.35% | -3.53% | 4.28% | 0.19% | -2.71% | 2.56% | 2.13% | 4.70% | 2.88% |
| 2020 | 11.36% | -0.51% | -6.34% | -10.06% | 9.02% | 5.26% | 4.29% | 1.35% | 1.85% | -0.60% | -6.03% | 11.57% | 3.22% |
| 2021 | 30.08% | 1.70% | 2.41% | 5.38% | 3.20% | 3.29% | 3.55% | 3.13% | 4.44% | -4.42% | 2.62% | -1.52% | 3.21% |
| 2022 | -22.76% | -7.22% | -1.88% | -1.44% | -3.07% | -4.16% | -9.37% | 6.41% | -4.59% | -9.04% | 6.30% | 6.90% | -2.59% |
| 2023 | 25.38% | 7.89% | 2.78% | 3.64% | 1.91% | 0.10% | 1.48% | 1.90% | -0.42% | -0.92% | -5.74% | 8.73% | 2.26% |

Translation (ENDE, 2023-12-31):
| S-KLASSE (CHF) - Geschlossen für neue Investments |
| --- |
|  | YTD | JAN | FEB | MAR | APR | MAI | JUN | JUL | AUG | SEP | OKT | NOV | DEZ |
| 2018 | -16.90% | 4.95% | -2.12% | -3.47% | 2.63% | 0.18% | -0.33% | 0.35% | -0.57% | -1.03% | -7.37% | -5.37% | -5.53% |
| 2019 | 30.21% | 8.42% | 3.08% | 0.94% | 4.35% | -3.53% | 4.28% | 0.19% | -2.71% | 2.56% | 2.13% | 4.70% | 2.88% |
| 2020 | 11.36% | -0.51% | -6.34% | -10.06% | 9.02% | 5.26% | 4.29% | 1.35% | 1.85% | -0.60% | -6.03% | 11.57% | 3.22% |
| 2021 | 30.08% | 1.70% | 2.41% | 5.38% | 3.20% | 3.29% | 3.55% | 3.13% | 4.44% | -4.42% | 2.62% | -1.52% | 3.21% |
| 2022 | -22.76% | -7.22% | -1.88% | -1.44% | -3.07% | -4.16% | -9.37% | 6.41% | -4.59% | -9.04% | 6.30% | 6.90% | -2.59% |
| 2023 | 25.38% | 7.89% | 2.78% | 3.64% | 1.91% | 0.10% | 1.48% | 1.90% | -0.42% | -0.92% | -5.74% | 8.73% | 2.26% |
# Key facts
20 October 2021 Contractual fund CHF 20.20 Mio.
CHF 113.65
Daily until 12:00 CET 0.75% CH0582155336

Translation (ENDE, 2023-12-29):
# Basisdaten
| Lancierung |
| --- |
| Rechtsstruktur |
| Fondsvermögen |
| NAV |
| Zeichnungen / Rücknahmen |
| Total Expense Ratio (TER) |
| ISIN |

20. Oktober 2021 Vertraglicher Anlagefonds CHF 20.20 Mio.
CHF 113.65
Täglich 12:00 CET
0.75% CH0582155336
# Monthly commentary
December closes 2023 with new highs for our indices. Overall, the markets benefited from an auspicious environment: the recession was averted, margins held up and disinflation arrived! Two redemptions during the month led to the issue of a new Vontobel product with a coupon of 5.40% and a barrier at 50%. Any increase in volatility will provide the opportunity for a second product. The fund ended the year with a monthly performance of 0.76% and an annual performance of 11.77% (annualized 6.01%). Our goal remains to realize an annual absolute return of 5% net of fees and to minimize risk through very low barriers.

Translation (ENDE, 2023-12-29):
# Monatlicher Kommentar
Der Dezember schließt das Jahr 2023 mit neuen Höchstständen unserer Indizes ab. Insgesamt profitierten die Märkte von einem verheißungsvollen Umfeld: Die Rezession wurde abgewendet, die Margen hielten stand und die Desinflation kam! Zwei Rückzahlungen im Laufe des Monats führten zur Emission eines neuen Vontobel-Produkts mit einem Coupon von 5,40% und einer Barriere bei 50%. Jeglicher Anstieg der Volatilität wird die Gelegenheit für das zweite Produkt bieten. Der Fonds beendet das Jahr mit einer Monatsperformance von 0.76% und einer Jahresperformance von 11.77% (annualisiert 6.01%).
Unser Ziel bleibt es, eine jährliche absolute Rendite von 5% nach Abzug von Gebühren zu realisieren und das Risiko mit sehr tiefen Barrieren zu minimieren.
# Investment policy
The objective of the fund is to provide an efficient investment in a diversified portfolio of structured products of the Barrier Reverse Convertible type based exclusively on equity indices of the major developed countries (so-called multi-index products). This strategy implements a systematic sale of exotic options, thus capturing overvalued risk premiums. The fund aims for absolute capital growth.

Translation (ENDE, 2023-12-29):
# Anlagepolitik
Das Ziel des Fonds besteht darin, eine effiziente Anlage in ein diversifiziertes Portfolio von strukturierten Produkten des Typs Barrier Reverse Convertible zu ermöglichen, welche ausschließlich auf Aktienindizes der wichtigsten Industrieländer basieren (sogenannte Multi-Index-Produkte). Diese Strategie implementiert einen systematischen Verkauf von exotischen Optionen und damit die Einnahme von überbewerteten Risikoprämien. Der Fonds strebt ein absolutes Kapitalwachstum an.
| Launched |
| --- |
| Legal structure |
| Fund size |
| NAV |
| Subscriptions / Redemptions |
| Total Expense Ratio (TER) |
| ISIN |

Translation (ENDE, 2023-12-29):
| Lancierung |
| --- |
| Rechtsstruktur |
| Fondsvermögen |
| NAV |
| Zeichnungen / Rücknahmen |
| Total Expense Ratio (TER) |
| ISIN |
| Type | % of assets | ISIN Issuer / Guarantor | Indexes | Coupon p.a | Barrier |
| --- | --- | --- | --- | --- | --- |
| BRC | 9.01% | CH1254446102 LUKB | EURO STOXX 50, S&P 500, SMI | 7.25% | 60% (at maturity) |
| BRC | 9.78% | XS2515320369 BBVA | Hang Seng, ASX 200, KOSPI2 | 7.00% | 50% (continuous) |
| BRC | 7.93% | CH1268723561 EFG | CAC 40, DAX, IBEX | 6.50% | 50% (continuous) |
| BRC | 9.88% | CH1254451243 LUKB | EURO STOXX 50, S&P 500, SMI | 6.60% | 50% (continuous) |
| BRC | 9.41% | CH1258216683 BIL | NASDAQ, CAC 40, AEX | 7.00% | 50% (continuous) |
| BRC | 8.68% | CH1258215453 BIL | DAX, IBEX 35, FTSE 100 | 7.00% | 50% (continuous) |
| BRC | 8.41% | XS2663157597 CIBC | Nikkei 225, S&P 500, OMX Stockholm | 7.00% | 50% (continuous) |
| BRC | 8.68% | CH1261611268 BKB | DAX, IBEX 35, OMX | 6.75% | 50% (continuous) |
| BRC | 9.18% | XS2526244061 Marex | EURO STOXX 50, S&P 500, SMI | 6.75% | 50% (at maturity) |
| BRC | 9.92% | CH1304188480 Vontobel | NASDAQ, OMX Stockholm, FTSE 100 | 5.40% | 50% (continuous) |
| Cash | 9.29% | Frankfurter Bankgesellschaft (Schweiz) AG |  |  |  |

Translation (ENDE, 2023-12-29):
| Type | % of assets | ISIN Emittent / Garant | Indizes | Coupon p.a | Barriere |
| --- | --- | --- | --- | --- | --- |
| BRC | 9.01% | CH1254446102 LUKB | EURO STOXX 50, S&P 500, SMI | 7.25% | 60% (in fine) |
| BRC | 9.78% | XS2515320369 BBVA | Hang Seng, ASX 200, KOSPI2 | 7.00% | 50% (laufend) |
| BRC | 7.93% | CH1268723561 EFG | CAC 40, DAX, IBEX | 6.50% | 50% (laufend) |
| BRC | 9.88% | CH1254451243 LUKB | EURO STOXX 50, S&P 500, SMI | 6.60% | 50% (laufend) |
| BRC | 9.41% | CH1258216683 BIL | NASDAQ, CAC 40, AEX | 7.00% | 50% (laufend) |
| BRC | 8.68% | CH1258215453 BIL | DAX, IBEX 35, FTSE 100 | 7.00% | 50% (laufend) |
| BRC | 8.41% | XS2663157597 CIBC | Nikkei 225, S&P 500, OMX Stockholm | 7.00% | 50% (laufend) |
| BRC | 8.68% | CH1261611268 BKB | DAX, IBEX 35, OMX | 6.75% | 50% (laufend) |
| BRC | 9.18% | XS2526244061 Marex | EURO STOXX 50, S&P 500, SMI | 6.75% | 50% (in fine) |
| BRC | 9.92% | CH1304188480 Vontobel | NASDAQ, OMX Stockholm, FTSE 100 | 5.40% | 50% (laufend) |
| Cash | 9.29% | Frankfurter Bankgesellschaft (Schweiz) AG |  |  |  |
|  | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sept | Oct | Nov | Dec | YTD |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 2021 |  |  |  |  |  |  |  |  |  | 99.98 | 99.43 | 99.86 | -0.14% |
| 2022 | 99.25 | 97.65 | 98.92 | 97.87 | 98.42 | 95.61 | 99.86 | 98.46 | 96.20 | 100.12 | 102.16 | 101.68 | +1.83% |
| 2023 | 106.03 | 106.49 | 108.08 | 108.75 | 109.76 | 110.41 | 110.86 | 110.76 | 110.85 | 110.89 | 112.79 | 113.65 | +11.77% |

Translation (ENDE, 2023-12-29):
|  | Jan | Feb | März | Apr | Mai | Juni | Juli | Aug | Sept | Okt | Nov | Dez | YTD |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 2021 |  |  |  |  |  |  |  |  |  | 99.98 | 99.43 | 99.86 | -0.14% |
| 2022 | 99.25 | 97.65 | 98.92 | 97.87 | 98.42 | 95.61 | 99.86 | 98.46 | 96.20 | 100.12 | 102.16 | 101.68 | +1.83% |
| 2023 | 106.03 | 106.49 | 108.08 | 108.75 | 109.76 | 110.41 | 110.86 | 110.76 | 110.85 | 110.89 | 112.79 | 113.65 | +11.77% |
# Breakdown of issuers
BBVA BIL
BKB CIBC EFG LUKB
Marex
Vontobel Cash
Positions (
Click on the ISIN to access the termsheet

Translation (ENDE, 2023-12-29):
# Verteilung der Emittenten
BBVA BIL
BKB CIBC EFG LUKB
Marex
Vontobel Cash
Positionen (
Klicken Sie auf die ISIN, um zum Termsheet zu gelangen
## Performance development1
Dividend payment (per share)	Twelve Cat Bond Fund SI2 USD 114
Share class	4.54%	­2.25%
7.5
Indexed value
111
Dividends

Translation (ENDE, 2022-09-30):
# Wertentwicklung1
Dividendenzahlung (pro Anteil)	Twelve Cat Bond Fund SI2 USD 114
Anteilsklasse	4,54%	­2,25%
7,5
Indexierter Wert
111
Dividenden
## Performance development1
Twelve Cat Bond Fund SI1 EUR	Dividend payment (per share) 112
Indexed value
109
106
103
Share class	2.67%	­4.80%	13.74%

Translation (ENDE, 2023-11-30):
# Wertentwicklung1
Twelve Cat Bond Fund SI1 EUR	Dividendenzahlung (pro Anteil) 112
Indexierter Wert
109
106
103
Anteilsklasse	2,67%	­4,80%	13,74%
## Historic drawdown simulations11
Spread at issuance	9.15%
Discount margin	9.48%
Expected loss at issuance	2.90%

Translation (ENDE, 2023-12-31):
## Historische Drawdown Simulationen11
Spread bei Emission	9,15%
Discount Margin	9,48%
Erwarteter Verlust bei Emission	2,90%
Risikoadjustierter Spread9	6,25%
## Portfolio characteristics	Asset allocation
Average coupon	9.20%
Discount margin	9.40%
Spread at issuance	5.55%
Expected loss at issuance4	2.07%
Excess spread at issuance5	3.47%
Average bond price92.68
Avg time to maturity (years)1.79
Modified duration0.06
Investment degree	82.15%
Number of positions208
Cat Bonds
Liquidity11

Translation (ENDE, 2023-01-31):
# Portfoliocharakteristika	Vermögensaufteilung
Durchschnittliche Kuponrendite	9,20%
Discount Margin	9,40%
Spread bei Emission	5,55%
Erwarteter Verlust bei Emission4	2,07%
Risikoadjustierter Spread5	3,47%
Durchschnittlicher Anleihekurs	92,68
Durchschnittliche Restlaufzeit (Jahre)	1,79
Modifizierte Duration	0,06
Investitionsgrad	82,15%
Anzahl Positionen208
Cat Bonds
Liquidität11
## Performance development1
Dividend payment (per share)	Twelve Cat Bond Fund I GBP 114
Share class	4.86%	4.02%	­2.55%
7.5
Indexed value
111
Dividends

Translation (ENDE, 2022-09-30):
# Wertentwicklung1
Dividendenzahlung (pro Anteil)	Twelve Cat Bond Fund I GBP 114
Anteilsklasse	4,86%	4,02%	­2,55%
7,5
Indexierter Wert
111
Dividenden
# Insurance Bonds
## Asset allocation
|  |  | 56.14% |
| --- | --- | --- |
|  |  | 41.53% |
|  | 2.33% |

Contribution by asset class
4
Cat Bonds
Liquid Debt
Liquidity7
Cat Bonds
Liquid Debt

## Portfolio characteristics	Rating profile5
Average coupon	5.79%
Yield to expected buyback in bond ccy	7.80%
Yield to expected buyback hedged to share class ccy		6.60% Average issue rating	BBB- to BBB
Modified duration2.78

## Duration profile	Country allocation
| 24.44% | 1.13%	1.38% | 0% |
| --- | --- | --- |
|  |

<0.5	0.5-1	1-2	2-5	5-7	7-10	>10
A- 0.78%
BBB+ 3.83%
BBB 9.67%
BBB- 17.11%
BB+ 3.72%
BB 4.32%
NR 2.10%
United Kingdom 20.60%
Italy 8.64%
Netherlands 3.98%
Switzerland 2.92%
Portugal 2.33%
Australia 1.21%
Germany 1.08%
France 0.78%
4 YTD performance contribution by an asset class is calculated by TWC. Performance contribution is hedged into the share class currency and adjusted for fees and liquidity proportionally to the average weight of an asset class
5 Worst of S&P and Moody's presented as S&P equivalent rating
6 This is a combination of the allocation-weighted yield to expected buy back for Insurance Bonds and discount margin for Insurance-Linked Securities. The metric is converted to the shareclass currency using the current spread between the reference interest rates of instrument currencies and the shareclass currency

Translation (ENDE, 2023-02-28):
# Liquide Schuldverschreibungen
## Vermögensaufteilung
|  |  | 56,14% |
| --- | --- | --- |
|  |  | 41,53% |
|  | 2,33% |

Beitrag per Anlageklasse
4
Cat Bonds Liquide
Schuldverschreibungen Liquidität7
Cat Bonds
Liquide Schuldverschreibungen

## Portfoliocharakteristika	Ratingprofil5
Durchschnittliche Kuponrendite	5,79%
Ertrag beim erwarteten Rückkauf in Bondwährung	7,80%
A­ 0,78%
BBB+ 3,83%
Ertrag beim erwarteten Rückkauf abgesichert in die Währung der Anteilsklasse
6,60%
BBB 9,67%
BBB­ 17,11%
Durchschnittliches Emissionsrating	BBB­ bis BBB Modifizierte Duration		2,78

## Durationsprofil	Länderallokation
| 24,44% | 1,13%	1,38% | 0% |
| --- | --- | --- |
|  |

<0.5	0.5­1	1­2	2­5	5­7	7­10	>10
BB+ 3,72%
BB 4,32%
NR 2,10%
Vereinigtes Königreich 20,60%
Italien 8,64%
Niederlande 3,98%
Schweiz 2,92%
Portugal 2,33%
Australien 1,21%
Deutschland 1,08%
Frankreich 0,78%
- Der Leistungsbeitrag einer Anlageklasse seit Jahresbeginn wird von Twelve Capital berechnet. Der Leistungsbeitrag wird in die Währung der Anlageklasse abgesichert und proportional zur durchschnittlichen Gewichtung einer Anlageklasse um Gebühren und Liquidität angepasst
- Schlechteste von S&P und Moody’s dargestellt als S&P äquivalente Ratings
- Dies ist eine Kombination aus der allokationsgewichteten Rendite auf den erwarteten Rückkauf von Versicherungsanleihen und der Discount Margin für Insurance­Linked Securities. Die Kennzahl wird anhand des aktuellen Spreads zwischen den Referenzzinssätzen der Instrumentenwährungen und der Währung der Anteilsklasse in die Währung der Anteilsklasse umgerechnet
- Liquidität: Die Liquidität umfasst Bargeld, Bargeldäquivalente und fremdwährungsbezogene Derivate
## Historic drawdown simulations10
Spread at issuance	8.00%
Discount margin	12.79%
Expected loss at issuance	2.80%

Translation (ENDE, 2023-02-28):
## Historische Drawdown Simulationen10
Spread bei Emission	8,00%
Discount Margin	12,79%
Erwarteter Verlust bei Emission	2,80%
Risikoadjustierter Spread8	5,20%
|  | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 2020 |  |  |  |  |  |  |  |  |  |  | ­0.02% | 0.22% | 0.20% |
| 2021 | 0.40% | 0.18% | 0.40% | 0.23% | 0.27% | 0.19% | 0.45% | 0.37% | 0.14% | ­0.16% | 0.11% | ­0.04% | 2.57% |
| 2022 | 0.02% | 0.03% | ­0.17% | ­0.13% | ­0.16% | ­0.47% | ­0.15% | 0.31% | ­3.07% | ­0.12% | ­1.12% | 0.08% | ­4.85% |
| 2023 | 0.72% | 0.77% | 1.06% | 1.21% | 0.99% | 1.48% | 0.81% | 1.24% | 1.13% | 1.12% | 0.43% | 0.65% | 12.24% |

Translation (ENDE, 2023-12-31):
|  | Jan | Feb | Mär | Apr | Mai | Jun | Jul | Aug | Sep | Okt | Nov | Dez | Jahr |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 2020 |  |  |  |  |  |  |  |  |  |  | ­0,02% | 0,22% | 0,20% |
| 2021 | 0,40% | 0,18% | 0,40% | 0,23% | 0,27% | 0,19% | 0,45% | 0,37% | 0,14% | ­0,16% | 0,11% | ­0,04% | 2,57% |
| 2022 | 0,02% | 0,03% | ­0,17% | ­0,13% | ­0,16% | ­0,47% | ­0,15% | 0,31% | ­3,07% | ­0,12% | ­1,12% | 0,08% | ­4,85% |
| 2023 | 0,72% | 0,77% | 1,06% | 1,21% | 0,99% | 1,48% | 0,81% | 1,24% | 1,13% | 1,12% | 0,43% | 0,65% | 12,24% |
## Performance development1
Twelve Cat Bond Fund SI2 CHF	Dividend payment (per share) 112
109
Share class	2.57%	­4.85%	12.24%

Translation (ENDE, 2023-12-31):
# Wertentwicklung1
Twelve Cat Bond Fund SI2 CHF	Dividendenzahlung (pro Anteil) 112
Indexierter Wert
109
Anteilsklasse	2,57%	­4,85%	12,24%
## Performance development1
Twelve Cat Bond Fund I GBP	Dividend payment (per share) 114
Indexed value
111
108
Share class	2.92%	5.31%	2.77%	­2.11%
7.5
Dividends

Translation (ENDE, 2023-01-31):
# Wertentwicklung1
Twelve Cat Bond Fund I GBP	Dividendenzahlung (pro Anteil) 114
Indexierter Wert
111
108
Anteilsklasse	2,92%	5,31%	2,77%	­2,11%
7,5
Dividenden
|  | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 2020 |  |  |  |  | 0.49% | 0.68% | 0.98% | 0.80% | 1.36% | 0.57% | 0.01% | 0.27% | 5.28% |
| 2021 | 0.41% | 0.19% | 0.41% | 0.25% | 0.27% | 0.19% | 0.47% | 0.38% | 0.13% |  |  |  | 2.73% |

Translation (ENDE, 2021-09-30):
|  | Jan | Feb | Mär | Apr | Mai | Jun | Jul | Aug | Sep | Okt | Nov | Dez | Jahr |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 2020 |  |  |  |  | 0,49% | 0,68% | 0,98% | 0,80% | 1,36% | 0,57% | 0,01% | 0,27% | 5,28% |
| 2021 | 0,41% | 0,19% | 0,41% | 0,25% | 0,27% | 0,19% | 0,47% | 0,38% | 0,13% |  |  |  | 2,73% |
## Performance development1
Dividend payment (per share)	Twelve Cat Bond Fund I EUR 106
105
Share class	4.70%	­0.83%

Translation (ENDE, 2022-08-31):
# Wertentwicklung1
Dividendenzahlung (pro Anteil)	Twelve Cat Bond Fund I EUR 106
105
Anteilsklasse	4,70%	­0,83%
## Portfolio characteristics	Asset allocation
Average coupon	7.63%
Discount margin	6.75%
Spread at issuance	5.63%
Expected loss at issuance4	2.12%
Excess spread at issuance5	3.51%
Average bond price97.98
Avg time to maturity (years)2.08
Modified duration0.05
Investment degree	84.05%
Number of positions204
Cat Bonds
Liquidity11

Translation (ENDE, 2022-08-31):
# Portfoliocharakteristika	Vermögensaufteilung
Durchschnittliche Kuponrendite	7,63%
Discount Margin	6,75%
Spread bei Emission	5,63%
Erwarteter Verlust bei Emission4	2,12%
Risikoadjustierter Spread5	3,51%
Durchschnittlicher Anleihekurs	97,98
Durchschnittliche Restlaufzeit (Jahre)	2,08
Modifizierte Duration	0,05
Investitionsgrad	84,05%
Anzahl Positionen204
Cat Bonds
Liquidität11
## Risk factors
Investment in the Fund is associated with various risks which include:
Event risk: Should an insured event occur and the threshold values be exceeded, then the value of a Cat Bond in which the Fund invests may decrease to the extent of a total loss.
Model risk: The Investment Manager uses risk models to estimate the event probability of the Cat Bonds in which the Fund invests. These risk models are constantly being revised and developed, but they only represent an approximation of reality. These models are fraught with uncertainty and errors. Consequently, event risks can be significantly under­ or overestimated.
Absence of operating history: The Cat Bonds in which the Fund invests are typically issued by newly formed special­purpose vehicles. These issuers will often not have any operating history.
Liquidity risk: The Fund may not be able to dispose of its investments so as to be able to meet redemption requests as they are made. This could arise from the fact that there is currently a limited number of active participants on the Cat Bond market.

Translation (ENDE, 2022-08-31):
# Risikofaktoren
Anlagen in den Fonds sind mit verschiedenen Risiken verbunden, wie:
Ereignisrisiko: Falls ein versichertes Ereignis eintritt und der Schwellenwert übersteigt wird, kann der Wert eines Cat Bonds, in den der Fonds investiert, sinken oder einen Totalverlust erleiden.
Modellrisiko: Der Investmentmanager wendet Risikomodelle an, um die Ereigniswahrscheinlichkeit eines Cat Bonds, in den der Fonds investiert, abzuschätzen. Diese Risikomodelle werden kontinuierlich revidiert und weiterentwickelt, repräsentieren aber lediglich eine Annäherung an die Realität. Diese Modelle können mit Unsicherheit und Fehlern behaftet sein. Folglich können Ereignisrisiken wesentlich unter­ oder überschätzt werden.
Fehlen eines betrieblichen Werdegangs: Die Cat Bonds, in die der Fonds investiert sind typischerweise von einer neu errichteten Zweckgesellschaft begeben. Diese Emittenten haben oft keinen betrieblichen Werdegang.
Liquiditätsrisiko: Der Fonds kann nicht über seine Investitionen verfügen, um seinen Rücknahmeverpflichtungen nachzukommen. Grund dafür kann sein, dass zum spezifischen Zeitpunkt nur eine limitierte Anzahl Teilnehmer am Cat Bond­Markt aktiv auftreten.
|  | Rolling performance 1 |  |
| --- | --- | --- |
|  | 10.2018 | 10.2019 | 10.2020 | 10.2021 |
|  | 10.2019 | 10.2020 | 10.2021 | 10.2022 |
| Share class | 4.23% | 5.64% | 3.47% | ­2.31% |
| Performance development 1 |  |  |  |  |  |

Translation (ENDE, 2022-10-31):
|  | Rollierende Rendite 1 |  |
| --- | --- | --- |
|  | 10.2018 | 10.2019 | 10.2020 | 10.2021 |
|  | 10.2019 | 10.2020 | 10.2021 | 10.2022 |
| Anteilsklasse | 4,23% | 5,64% | 3,47% | ­2,31% |
| Wertentwicklung 1 |  |  |  |  |  |
## Performance development1
Twelve Cat Bond Fund SI2 USD	Dividend payment (per share) 114
Share class	5.95%	3.89%	­2.94%
7.5
Indexed value
111
Dividends

Translation (ENDE, 2022-11-30):
# Wertentwicklung1
Twelve Cat Bond Fund SI2 USD	Dividendenzahlung (pro Anteil) 114
Anteilsklasse	5,95%	3,89%	­2,94%
7,5
Indexierter Wert
111
Dividenden
## Performance development1
Twelve Cat Bond Fund I GBP	Dividend payment (per share) 114
Share class	2.96%	4.99%	3.38%	­3.37%
7.5
Indexed value
111
Dividends

Translation (ENDE, 2022-11-30):
# Wertentwicklung1
Twelve Cat Bond Fund I GBP	Dividendenzahlung (pro Anteil) 114
Anteilsklasse	2,96%	4,99%	3,38%	­3,37%
7,5
Indexierter Wert
111
Dividenden
|  | Rolling performance 1 |  |
| --- | --- | --- |
|  | 12.2019 | 12.2020 | 12.2021 | 12.2022 |
|  | 12.2020 | 12.2021 | 12.2022 | 12.2023 |
| Share class | 5.85% | 3.48% | ­2.72% | 16.76% |
| Performance development 1 |  |  |  |  |  |

Translation (ENDE, 2023-12-31):
|  | Rollierende Rendite 1 |  |
| --- | --- | --- |
|  | 12.2019 | 12.2020 | 12.2021 | 12.2022 |
|  | 12.2020 | 12.2021 | 12.2022 | 12.2023 |
| Anteilsklasse | 5,85% | 3,48% | ­2,72% | 16,76% |
| Wertentwicklung 1 |  |  |  |  |  |
## Historic drawdown simulations10
Spread at issuance	8.83%
Discount margin	10.22%
Expected loss at issuance	3.26%

Translation (ENDE, 2022-08-31):
## Historische Drawdown Simulationen10
Spread bei Emission	8,83%
Discount Margin	10,22%
Erwarteter Verlust bei Emission	3,26%
Risikoadjustierter Spread8	5,57%
## Performance development1
Twelve Cat Bond Fund SI1 EUR	Dividend payment (per share) 103
102
Share class	2.11%	­2.94%

Translation (ENDE, 2023-02-28):
# Wertentwicklung1
Twelve Cat Bond Fund SI1 EUR	Dividendenzahlung (pro Anteil) 103
102
Anteilsklasse	2,11%	­2,94%