SOCIETE GENERALE

QUANTITATIVE FINANCE SEMINAR

FEBRUARY 25, 2020 | NEW YORK CITY

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RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
VOL RISK PREMIUM

Yonathan Epelbaum

Head of QIS Americas

Societe Generale

This document, published on 21-Feb-2020 at 11:11 PM CET, is being provided for the exclusive use of
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
TWO MAIN FORMS OF VOL RISK PREMIUM

(1) IMPLIED MINUS REALIZED VOL (2) IMPLIED VOL TERM STRUCTURE
(insurance premium) (something bad is more likely in time)

Moving Averge of Implied vs. Realized Vol Typical Shape Of VIX Term-Structure
20% 20
10%
150%
0% 18 Sell
-10%
100% 16 Buy
-20%
50% -30% 14
-40% Marginal Expected Gain
0% -50% 12
Feb-01 Feb-04 Feb-07 Feb-10 Feb-13 Feb-16 Feb-19
10
Difference (RHS) Implied Realized 1 2 3 4 5 6 7 8 9 10 11 12 13

Harvest via Harvest via

• Selling Options (Delta-hedged or not) • Short Futures
• Var or Vol Swaps • Forward Starting Options Strategies

Source: Bloomberg & SG Financial Engineering, 2/21/2020. VIX term structure is purely indicative.

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RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 IS SELLING OPTIONS A VOL TRADE?

IT DEPENDS... 400%

350%

The P&L of a strategy that sells 300%

options is driven by market
performance to a larger degree. 250%

200%
Neutralizing the market exposure
(delta hedging) results in a more 150%
direct vol trade.
100%

50%

0%
Jan-04 Jan-07 Jan-10 Jan-13 Jan-16 Jan-19

SPX selling 1 month puts (DH) Selling monthly puts

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 4
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 WHAT IS GAMMA?

AN OPTION’S MARKET EXPOSURE IS NOT CONSTANT

LONG GAMMA ILLUSTRATION
As the market moves the delta needs to be adjusted (delta hedging)
The magnitude of the adjustment for a given market move is called gamma
 Long Gamma positions buy when the market is down and sell when the market is
up
 Short Gamma positions sell when the market is down and buy when the market is
down
The number and magnitude of adjustments will vary with the realized vol
 Higher vol means larger adjustments
Break Even Market Move
Delta hedging of a Long gamma positions makes more money in higher volatility
environments
Delta hedging of a Short gamma positions loses more money in higher volatility
environments
Selling an option and delta hedging is a bet that the losses incurred from hedging Time Decay
the short gamma position will not exceed the premium collected from the option.

WHEN DELTA HEDGING, GAMMA IS A MEASURE OF THE

Gamma P&L
Ganna PNL Break Even Level
EXPOSURE TO REALIZED VOL
Illustrations provided are for indicative purposes only.

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CHOICES INVOLVING DELTA HEDGED OPTIONS

MATURITY STRIKE(S) DELTA

∆
DEFINITION

TIMING

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RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 MATURITY – ATM OPTIONS PERFORMANCE

At the money options 500%

show a better risk DH 1M
Puts
DH 3M
Puts
DH 6M
Puts
DH 1Y
Puts
reward profile in the 450%
CAGR 7.90% 10.32% 10.12% 7.15%
three to six month 400% Vol 9.82% 9.98% 9.87% 10.04%
window. 350%
Skewness -20.44% -22.48% -16.23% -18.83%
Max DD 40.15% 37.47% 29.81% 25.48%
300%

Return to Risk Profiles 250%

1.5 40% 200%
30%
1.0 150%
20%
0.5 100%
10%
0.0 0% 50%
1M 3M 6M 12M
0%
Sharpe Return/DD (RHS)
Jan-04 Jan-07 Jan-10 Jan-13 Jan-16 Jan-19

SPX DH One Month Puts DH Three Month Puts DH Six Month Puts DH One Year Puts

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 7
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 STRIKE – 3M OPTIONS PERFORMANCE

Three month options 6

show a better risk ATM 40 Delta 25 Delta 10 Delta
reward profile near the CAGR 10.32% 10.26% 8.37% 5.92%
5
money. Vol 9.98% 10.20% 10.42% 10.39%
Skewness -22.48% -26.43% -34.19% -44.73%
(Skew is cheap?) 4 Max DD 37.47% 40.16% 41.62% 41.18%

Return to Risk Profiles 3

1.2 0.30
1.0 0.25
2
0.8 0.20
0.6 0.15
0.4 0.10 1
0.2 0.05
0.0 -
ATM 40 25 10 0
Delta Delta Delta Jan-04 Jan-07 Jan-10 Jan-13 Jan-16 Jan-19

Sharpe Return/DD (RHS) SPX ATM 40 Delta 25 Delta 10 Delta

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 8
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 STRIKE – RISK-REWARD OF SKEW IN TIME

In shorter maturities Return to Risk Profiles (1M) Return to Risk Profiles (3M)
skew seems to trade 1.50 0.40 1.50 0.40
better. 0.30 0.30
1.00 1.00
0.20 0.20
0.50 0.50
0.10 0.10
- - - -
ATM 40 Delta 25 Delta 10 Delta ATM 40 Delta 25 Delta 10 Delta

Sharpe Return/DD (RHS) Sharpe Return/DD (RHS)

Return to Risk Profiles (6M) Return to Risk Profiles (1Y)

1.50 0.40 1.50 0.40
0.30 0.30
1.00 1.00
0.20 0.20
0.50 0.50
0.10 0.10
- - - -
ATM 40 Delta 25 Delta 10 Delta ATM 40 Delta 25 Delta 10 Delta

Sharpe Return/DD (RHS) Sharpe Return/DD (RHS)

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 9
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
ELIMINATING PATH DEPENDENCY – VAR SWAPS

THE GAMMA OF AN OPTION IS NOT CONSTANT

LONG GAMMA ILLUSTRATION
Thus the exposure to realized vol changes as the market moves
A useful quantity in this analysis Dollar Gamma : 250%

 The dollar value of the change in delta for a 1% move in the underlying
A Variance Swap is an instrument with constant Dollar Gamma 200%

150%

100%

50%

0%
THE PATH DEPENDENCY OF MONTHLY PUTS Apr-08 Apr-11 Apr-14 Apr-17
REDUCES DRAWDOWNS AT THE EXPENSE OF Constant DH Puts Constant vega var swap
RETURNS DURING QUIET TIMES
Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS
ALSO APPLIES TO HISTORICAL MARKET DATA. PLEASE REFER TO CAUTIONARY STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.

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RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
MONTHLY VS. WEEKLY VAR SWAPS

SIMULATED HISTORICAL RESULTS COMPARISON OF DAILY RETURNS

250% 10%
SIGNIFICANTLY

Weekly Var Swap Returns

5% REDUCED
200%
DRAWDOWNS

150% 0%

100% -5%

50% -10%

0%
-15%
Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 Jan-17 Jan-19
-15% -10% -5% 0% 5% 10%
Weekly VarSwap Monthly VarSwap
Monthly Var Swap Returns

Weekly var swaps significantly reduce drawdowns at the expense of some underperformance in quieter times.
The shorter maturity allows for more efficient monetization of increased implied volatilities.

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS
ALSO APPLIES TO HISTORICAL MARKET DATA. PLEASE REFER TO CAUTIONARY STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.

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IMPROVING VAR SWAP RETURNS – TIMING DELTA

VAR SWAP GAMMA VARIES WITH STRIKE INTRADAY TREND STRATEGIES DAILY RETURNS
Long statistical “gamma” position with a positive expected
Var Swap PNL Based on Market Moves return
10% 8% 6% 4% 2% 0% -2% -4% -6% -8% -10% 10%
0
8%
-1
6%
-2
4%
-3
2%
-4
0%
-5
-2%
-6
-4%
10% 15% 20% 30% -15% -10% -5% 0% 5% 10% 15%

Combining Intraday trend with weekly variance can provide significant return enhancements.
The combination is done to match the gammas of the two positions.

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS
ALSO APPLIES TO HISTORICAL MARKET DATA. PLEASE REFER TO CAUTIONARY STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.

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RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 IMPROVING VAR SWAP RETURNS –
TIMING DELTA

Adding Trend to Short Weekly Var

A specially designed trend
strategy can be equivalent 280

to converting the var swap 260

from close to close to
resetting every hour. 240

Hedging more frequently 220

improves returns in 200
trending markets.
180
However it can be costly in
mean reverting markets. 160
Weekly Var
140 Weekly Var
Intraday
CAGR 5.7% 8.2%
120
VOL 4.4% 3.6%
Sharpe 1.29 2.26
100
Skewness -42.2% 0.8%
80
Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18 Jan-20

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 13
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 IMPROVING VAR SWAP RETURNS –
TIMING DELTA BASED ON MKT CONDITIONS

We use SG’s Intraday Adding Gamma Filtered Trend to Short Var

Gamma Filter to decide 330
when intraday hedging is Weekly Var
Weekly Var Weekly Var GF
appropriate. Intraday Intraday
CAGR 5.7% 8.2% 8.7%
280
Other days the hedging is VOL 4.4% 3.6% 3.7%
Sharpe 1.29 2.26 2.36
done at the close. Skewness -42.2% 0.8% 4.0%
Over the past 14 years the 230

filter adds a small amount

of value. 180

130

80
Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18 Jan-19 Jan-20

Weekly Var @ Close Weekly Var + Gamma Filter ID Weekly Var + ID

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 14
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 IMPROVING VAR SWAP RETURNS –
TIMING DELTA BASED ON MKT CONDITIONS

During the past 3 years the Adding Gamma Filtered Trend to Short Var
markets have had a 125
stronger intraday mean 120
reverting behavior.
115
The value added by the
gamma filter is more 110
evident.
105

100

95 Weekly Var Weekly Var GF

Weekly Var
Intraday Intraday
CAGR 3.3% 3.0% 6.1%
90
VOL 4.9% 6.0% 4.9%
Sharpe 0.67 0.51 1.24
85
Skewness -60.7% 18.9% 52.5%

80
Jan-17 May-17 Sep-17 Jan-18 May-18 Sep-18 Jan-19 May-19 Sep-19 Jan-20

Close to Close Using Gamma Filter Using Unfiltered Intraday

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 15
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 IMPROVING VAR SWAP RETURNS –
TIMING DELTA BASED ON MKT CONDITIONS

Daily Returns
There is both a significant
reduction of drawdowns 5%

and a higher average

return during quieter

Gamma-Filtered ID + Weekly Var Swap Returns

3%
times. IMPROVEMENTS

1%

TRADEOFFS
-1%

-3%

-5%

-7%
-7% -5% -3% -1% 1% 3% 5%

Close-to-Close ID + Weekly Var Swap Returns

Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 16
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
DYNAMIC SHORT
VIX
MONETIZING CARRY IN VIX TERM
STRUCTURE

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 STRUCTURAL VIX CURVE CONTANGO

The shorter the maturity, VIX FUTURES TERM STRUCTURE AS OF 9/18/2019

the steeper the contango.
18.5

17.5

16.5

15.5

14.5

13.5
Spot 1st 2nd 3rd 4th 5th 6th 7th 8th 9th
Nearby Nearby Nearby Nearby Nearby Nearby Nearby Nearby Nearby

Source:
This document, Bloomberg
published on& 21-Feb-2020
SG Financial Engineering,
at 11:112/21/2020.
PM CET, is being provided for the exclusive use of 18
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 PRIMARY RISK IS CURVE INVERSION

XIV (Short VIX ETF) vs. VIX

A systematic short VIX 300% 39
futures takes advantage of
the contango shape 250% XIV (LHS) 34
(positive carry). VIX (RHS)
200% 29
VIX futures term structure
has been in contango shape
150% 24
81% of the time since
December 2005.
100% 19
Contango is historically
steeper on shorter 50% 14
maturities.
0% 9
Stressed markets can
generate significant losses
for a systematic short VIX
futures position.
A SIGNAL CAN HELP REDUCE DRAWDOWNS DURING PERIODS OF HIGH
TURBULENCE
Source: Bloomberg & SG Financial Engineering, 2/21/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO
PAST
This document, PERIODS AND
published onARE NOT A RELIABLE at
21-Feb-2020 INDICATOR
11:11 OF
PMFUTURE
CET, RESULTS. THISprovided
is being ALSO APPLIES TOthe
for HISTORICAL MARKET
exclusive useDATA.
of PLEASE REFER TO CAUTIONARY 19
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
 THE TERM STRUCTURE COMPONENT

The VIX Term Structure ILLUSTRATION OF THE VIX FUTURES TERM STRUCTURE COMPONENT CALCULATION
Component is computed 27

daily.
The VIX futures Term 25

Structure Component
estimates the carry gain or 23
cost of a short exposure to
the front of the VIX futures 21
curve.
Expected gain of carry
19

17
Timing

15
VIX 1st future 2nd future 3rd future 4th future 5th future 6th future 7th future

VIX Futures Term Structure Component = Steepness Of Curve

Illustrations
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 THE MOMENTUM COMPONENT

The VIX Momentum THE VIX MOMENTUM COMPONENT IS BASED ON:

Component is computed
daily.
VIX Spot is a leading
indicator of futures moves. VMC = Recent VIX
Spot Trend
x Sensitivity of Nearby
Futures to VIX Moves

The VIX trend is multiplied by the sensitivity (beta) in order to re-scale the VMC to be comparable to
the trend component.

VIX Spot is a leading indicator of futures moves.

When the VIX Spot is:
 Trending DOWN: this signal will reinforce the term-structure component
 Trending UP: this signal can instruct to delever before the curve inverts, therefore anticipating and
minimizing drawdowns

Illustrations
This document, published are provided for indicative purposes
on 21-Feb-2020 at 11:11only.PM CET, is being provided for the exclusive use of 21
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 SIMULATED HISTORICAL PERFORMANCE

HISTORICAL SIMULATION (SHORT MAX LEVERAGE 20%)

Transaction costs included
2600 Launch Date
in the index calculation are
0.025 per future compared 2400
to a quotation tick of 0.05. 2200

They represent a marginal 2000

portion of the final P&L. 1800

1600

1400

1200

1000

800
Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16 Dec-18

(shown as Excess Return) YTD 1Y 3Y BT

Annualized Return -0.78%* 3.43% 4.26% 7.04%
Annualized Volatility - 7.98% 7.40% 7.75%
Sharpe Ratio - 0.43 0.58 0.91
*Cumulative Return Max Drawdown -3.46% -4.49% -4.83% -11.95%
Source: Bloomberg & SG Financial Engineering, 2/6/2020. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO PAST
This PERIODS
document, AND AREon
published NOT A RELIABLE INDICATOR
21-Feb-2020 OF FUTURE
at 11:11 PM RESULTS.
CET, isTHIS ALSOprovided
being APPLIES TO HISTORICAL MARKET DATA.
for the exclusive use PLEASE
of REFER TO CAUTIONARY 22
STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “IMPORTANT LEGAL NOTICE” AT THE END OF THE DOCUMENT.
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
RISKS & OTHERS CONSIDERATIONS*
Indicative risk factors summary only. The risk factors are not complete and you should read the risk factors contained in a final offering document prior to investing in any
products linked to this Index. This presentation is provided for information purposes only and does not purport to summarize or contain all of the provisions that would be set
forth in a final offering document.
▪ The Index is not guaranteed to yield any specific results. The Index is complicated and based on factors, including market movements and general economic conditions,
which no one can predict.
▪ There are transaction costs, replication costs, and costs associated with taking short positions embedded in the Index that will reduce its performance. These costs are
incurred daily pursuant to entering and exiting positions and will increase relative to the size of the positions. These costs cannot easily be predicted. The Index is
determined net of these costs, which is intended to approximate the costs and expenses of replicating the exposure to the index strategy.
▪ Certain extraordinary and disruption events may impact the calculation of the Index.
▪ A trend strategy employs a mathematical model that seeks to capitalize on positive and negative trends in the prices of assets on the assumption that if an asset performs
well or poorly, it will continue to perform well or poorly in the future. Consequently, a trend following investing strategy may perform poorly in non-trending markets
characterized by high volatility. No assurance can be given that a trend following investment strategy will be successful or that it will outperform any alternative strategy.
▪ The Index is based on complex algorithms and is not guaranteed to be successful. The Index lacks substantial operating history and, as it is based on complex algorithms,
may perform in unanticipated ways. Neither this document nor the issuance of any structured product with returns linked to the Index should be deemed as investment
advice of SG or any of its affiliates, or as an assurance or guarantee by SG or any of its affiliates that an investment linked to the Index will generate a positive return.
▪ The roles of the different teams involved within Societe Generale in the design, maintenance and replication of the Strategy have been strictly defined. Where Societe
Generale holds a product having certain strategy as its underlying and other positions exposing it to such strategies for its own account, the replication of the strategies is
made in the same manner by a single team within Societe Generale, be it for the purpose of hedging the product held by external investors or for the purpose of the positions
held by Societe Generale acting for its own account. Societe Generale may take positions in the market of the financial instruments or of other assets involved in the
composition of the strategy, including as liquidity provider.

This document, published on 21-Feb-2020 at 11:11 PM CET, is being provided for the exclusive use of 23
RICHARD LINDSEY (WINDHAM CAPITAL MANAGEMENT LLC)
APPENDIX - DISCLAIMER
THIS DOCUMENT IS NOT INTENDED FOR RETAIL CLIENTS defined under FINRA Rule 2210); (ii) when referencing options, only to such institutional investors who have received and reviewed the proper options risk
This document is a marketing communication from the Global Markets Division of Societe Generale (“SG”) and is not a product of SG’s Research department. It disclosure document titled "Characteristics and Risks of Standardized Options" at http://www.optionsclearing.com/about/publications/character-risks.jsp.;
is for qualified institutional or professional clients only and may contain market information, trading strategies, trade ideas and/or information about SG and (iii), when referencing security futures, only to such institutional investors who have received and reviewed the proper security futures risk disclosure
Global Markets products or services. The present document is of a commercial and not of a regulatory nature. IT HAS NOT BEEN PREPARED IN ACCORDANCE document titled “Risk Disclosure Statement for Security Futures Contracts” at http://www.nfa.futures.org/NFA-compliance/publication-library/security-
WITH THE REGULATORY PROVISIONS DESIGNED TO PROMOTE THE INDEPENDENCE OF INVESTMENT RESEARCH. futures-disclosure.pdf. Trading in options and security futures involves additional risks and is not suitable for all investors. Please visit
The contents of this document are given for purely indicative purposes and has no contractual value. The opinions expressed herein are those of the authors http://www.sgasdisclosure.com/ for important disclosures regarding SGAS and transactions you may enter into with SGAS.
named in this document and do not reflect SG’s views. To the maximum extent possible at law, SG does not accept any liability arising from the use of this In addition, for the sole purpose of CFTC Rule 1.71(a)(9), to the extent the trade idea or commentary contained herein includes an analysis of a price of a
document or information contained herein. derivative and contains information reasonably sufficient to base a decision to enter into a derivatives transaction, it is conveyed as a solicitation for entering
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SG’s employees are not conflicted in the financial promotions that they provide to clients. the Index described herein, which cannot be invested in directly, or any product linked to the Index. Its purpose is simply to describe the principles and main
SG is subject to the provisions of the fourth iteration of the Capital Requirements Directive (“CRD IV”), which requires that institutions’ remuneration policies financial characteristics of the Index.
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employees and any variable remuneration that they receive. However, the revenue generated for SG as a result of the activities of its employees may be one of the Index(es) described herein, you should refer to the full offering document for important information concerning such investment, including related risk
the various quantitative and qualitative factors that are considered in remuneration of SG’s employees, alongside an assessment of the quality of service factors. Such risks include, without limitation, risk of loss of some or all of your investment, risk of adverse or unanticipated market developments, risk of
provided to clients and their commitment to the compliance and risk management arrangements of SG. counterparty or issuer default and risk of liquidity. In addition, prior to making any investment in a product having the Index(es) as underlying, you should
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APPENDIX - DISCLAIMER
Société Générale believes that the information in this document is reliable but makes no representation or warranty as to whether the information is the simulated historical data that prevailed in the period following the date of the relevant simulation. Accordingly, although the graphs and simulated
current, accurate or complete. Société Générale is under no obligation to update, modify or amend this communication or to otherwise notify you that any results herein may be useful in order to gain some historical perspective, past performances of the Index(es) and the hypothetical historical performance
matter contained herein has changed or subsequently become inaccurate. The figures relating to past performances and simulated performances refer to data presented should not be taken as indicative of future performance of the Index(es). It is impossible to predict whether the value of the Index(es) will
past periods and are not reliable indicator of future results. The level of the Index(es) may fluctuate significantly due to the volatility of the market rise, fall or remain flat.
parameters and the value of the reference underlyings. The Backtests of the Index(es) described in this document take into account certain transaction costs that are built into the Index(es). THESE PRICES
Statements contained in this presentation (including those relating to current and future market conditions and trends with respect thereof) that are not REPRESENT A PRO FORMA VALUE AND TAKE INTO ACCOUNT PRO FORMA RUNNING AND TRANSACTION COSTS ON THE UNDERLYING PRICING PARAMETERS
historical facts are based on current expectations, estimates, projections, opinions and/or beliefs of Societe Generale. Such statements involve known and WHICH ARE APPROXIMATIONS BASED ON HISTORICAL OBSERVATIONS. Actual results including actual transaction costs and the precise methodologies will
unknown risks, uncertainties and other factors, and undue reliance should not be placed thereon. Certain information contained herein constitutes vary, perhaps significantly, from the hypothetical historical data set forth herein. This document is furnished to you solely for purposes of discussion in
"forward-looking statements," or statements of opinion or intention which can be identified by the use of terms such as "may”, “will", "should", "seek", order to determine your preliminary interest in the Index(es).
"expect", "anticipate", "forecast", "project", "estimate", "intend", "continue," "target', "plan" or "believe" (or the negatives thereof) or other variations If you are a “U.S. Person” (as defined by the U.S. Commodity Futures Trading Commission), please visit http://swapdisclosure.sgcib.com for important
thereon or comparable terminology. Due to changing circumstances or various risks and uncertainties, actual events or results, market conditions or information with respect to derivative products. By transacting with Société Générale, you are deemed to acknowledge that you have read and accepted
actual performance of any actual investment may differ materiality from those reflected or contemplated in such forward-looking statements. As a result, the information contained in the disclosure documents on this website.
investors should not rely on such forward-looking statements in making their investment decisions. No representation or warranty is made as to future This document is for use only by Institutional Investors (as defined under FINRA 2210 of the Financial Industry Regulatory Authority, Inc.). Use of this
performance or such forward-looking statements. NEITHER SG NOR ANY OF ITS AFFILIATES, OFFICERS OR EMPLOYEES MAKES ANY REPRESENTATION OR communication with or by any other party is prohibited. You should be aware that the product(s) described herein may be subject to certain additional
WARRANTY CONCERNING THE ACCURACY, COMPLETENESS OR FAIRNESS OF ANY STATEMENT OR INFORMATION CONTAINED HEREIN. NEITHER SG NOR investor qualification(s) pursuant to the internal policy of Société Générale (or any of its affiliates) or the relevant law in the jurisdiction where the product
ANY OF ITS AFFILIATES, OFFICERS OR EMPLOYEES ACCEPT ANY LIABILITY WHATSOEVER FOR ANY DAMAGES OR LOSSES ARISING FROM THE RECEIPT OR is offered, as applicable.
USE OF THIS DOCUMENT AND INFORMATION. Additional Notice to Canadian Investors: This document is for information purposes only and is intended for use, in Canada, by Permitted Clients (as
A product having the Index(es) as underlying may be subject to restrictions with regard to certain persons or in certain countries under national defined under National Instrument 31-103) and Accredited Investors (as defined under National Instrument 45-106). Furthermore, availability of derivative
regulations applicable to such persons or in said countries. It is the responsibility of the investor to ascertain that such investor is authorized to invest in products in Canada may be limited to persons that are Accredited Counterparties (as defined under the Derivatives Act (Québec)) or, in certain Canadian
such a product. provinces, "Qualified Parties" (as defined under applicable provincial rules or orders). In Canada, certain services may be provided by Société Générale
The Index rules (the "Index Rules") define the calculation principles of the Index(es) and the consequences on this Index(es) of extraordinary events which Capital Canada Inc. (“SGCC”), a Canadian regulated entity having a principal place of business in Montréal, province of Québec (Canada), affiliated to
may affect one or several of the underlying programs on which it is based. The Index Rules are available upon request from the Index Sponsor. Société Générale and SG Americas Securities, LLC (“SGAS”). SGCC is a member of the Canadian Investor Protection Funds. In marketing and promoting
The information herein does not purport to summarize or explain the methodologies governing the Index(es) described herein. The Index(es) is based on financial products and services of Société Générale or SGAS, SGCC has no authority to commit or bind Société Générale or SGAS in any manner
complex algorithms. The investment strategy tracked by the Index(es) is not guaranteed to be successful. The Index(es) lacks operating history and, as it is whatsoever. Société Générale and SGAS are not Canadian regulated financial institutions, do not carry on business in Canada and all or substantially all of
based on complex algorithms, may perform in unanticipated ways. Please contact Société Générale for the complete Index Methodology. their assets are situated outside of Canada. Any data or information contained herein related to past performances and/or simulated performances are
Parties entering into transactions (such as a derivative or financing transaction) or investing in financial instruments that use an index or a variable not a reliable indicator of future performance and nothing herein shall be interpreted as guaranteeing any performance or results. The sale of any product
interest rate (benchmark) are exposed to the risk that: described herein which would constitute a security may have to be sold in Canada by way of an exemption from the requirement under Canadian
(1) such benchmark may be subject to methodological or other changes which could affect the value of the relevant transaction; or securities laws to file a prospectus or, in the case of resale, may be subject to sale restriction periods. This document is not an offering document.
(2) (i) may become not compliant with applicable laws and regulations (such as the European Benchmark Regulation), (ii) may cease to be published Canadian investors should obtain advice from their own tax advisors as to the Canadian tax consequences of purchasing, holding or redeeming any
(possible cessation of LIBOR publication or planned cessation of EONIA both after December 2021), or (iii) the supervisor or administrator of any such product described herein. Nothing herein shall be interpreted as offering advice or management services which would be subject to Canadian advisor or
benchmark may make a statement that the relevant benchmark is no longer representative, and as a consequence the relevant benchmark may be investment fund manager registration requirements. Certain of the strategies or products described herein are not available or offered in all jurisdictions
replaced by another benchmark which may have an adverse and material impact on the economics of the relevant transactions. and there is no assurance that they will be available or offered in the future. Additional Canadian notices and disclaimers can be found at
You should conduct your own independent investigation and analysis of the potential consequences of any relevant risks such as those mentioned above, https://americas.societegenerale.com/en/regulatory-disclosures/canada-regulatory-disclosures/.
particularly in light of the ongoing industry initiatives related to the development of alternative reference rates and the update of the relevant market Conflict of interest management: The roles of the different teams involved within Société Générale in the design, maintenance and replication of the Index
standard documentation. have been strictly defined. Where Société Générale holds a product having the Index as its underlying and other positions exposing it to the Index for its
The Index is the property of Société Générale. Singapore Exchange Limited and its affiliates (collectively, the “ SGX Group Companies”) each expressly own account, the replication of the Index is made in the same manner by a single team within Société Générale, be it for the purpose of hedging the
excludes any guarantee, warranty, condition, term, undertaking or representation of any kind, express or implied, statutory or otherwise, in relation to the product held by external investors or for the purpose of the positions held by Société Générale acting for its own account. Société Générale may take
Custom Indices, the methodology and the components of a Custom Index which may include, but is not limited to, constituent level data such as futures positions in the market of the financial instruments or of other assets involved in the composition of the Index, including as liquidity provider.
prices, shares outstanding, investable weight factor, and fundamental data such as price/earnings ratios and/or other financial ratio, including calculation Unless expressly agreed in writing, Société Générale, SG Americas Securities, LLC and their affiliates (collectively, “SG”) are not acting as an advisor or in an
of the Custom Indices (“ Underlying Data”) or values of the Custom Indices (“ Index Values”). In no event whatsoever shall any of the SGX Group Companies advisory capacity to any recipient of this document. In particular, SG is not acting as your fiduciary under Section 15B of the Securities Exchange Act of
be liable or responsible for any damages or loss of any kind, even if they have been advised of the possibility of such damages or loss, whether in contract, 1934, as amended (the “Act”), and our relationship will not otherwise be subject to the provisions of such Section 15B, the rules thereunder, or the rules
tort (including negligence), strict liability or otherwise and whether direct, indirect, special, incidental, punitive, consequential, economic loss or any kind issued by the Municipal Securities Rulemaking Board that relate to the provision of advice to municipal entities or their obligated persons.
(including but not limited to loss of profit, loss of reputation, loss of opportunity, or lost time or goodwill), suffered or incurred by any person from the use The Dynamic Short VIX Futures Index (VIX®) is the exclusive property of SG. SG has contracted with the Chicago Board Options Exchange Incorporated
or reliance of the Custom Indices, Underlying Data or Index Values.Leverage related risk: This Index includes embedded leverage, which amplifies the (“CBOE”) to maintain and calculate the Index. The VIX® is the property of the Chicago Board Options Exchange, Incorporated. The VIX® Index have been
variation, upwards or downwards, in the value of the underlying instrument(s). licensed for use by SG in connection with the Index. Neither CBOE nor any of its affiliates shall have any liability for any errors or omissions in calculating
Secondary Market: Upon issuance, our products may not have an established trading or secondary market. Société Générale and its affiliates cannot the Index.
assure investors that a trading or secondary market will develop for each of our products or, if one develops for any of our products, that it will be © 2020 Société Générale ("SG"), SGAS and their affiliates. SG CIB is the Corporate and Investment Banking arm of SG. Certain services described herein are
maintained. Société Générale and its affiliates are under no obligation to develop or maintain any secondary or trading market for any of our products. provided by SGAS, a US registered broker-dealer, member of the NYSE, FINRA and SIPC, and a wholly owned subsidiary of SG. Services provided outside
REGARDING HYPOTHETICAL SIMULATIONS the US may be provided by affiliates of SGAS.
Prospective investors should be aware that any hypothetical performance data included in this document is derived from the economic environment and

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