Swan Defined Risk Fund Class C · NASDAQ:SDRCX
Swan Defined Risk Fund Class C — Swan Global Investments — Corporate Update (July 2026)
14 slides from Swan Defined Risk Fund Class C's corporate update, July 2026
Slide 1: Q2 2026 PM Briefing
For Financial Professional Use Only Institutional Hedged Equity, Since 1997 Q2 2026 PM Briefing
Slide 2: Valuations Approaching Dot-Com Peak — Still
HEDGED EQUITY | Market Context: Why Now For Financial Professional Use Only Valuations Approaching Dot-Com Peak — Still 50 45 40 39.65 Current CAPE Ratio 35 June 2026 Level Shiller PE/CAPE Ratio 30 25 20 15 10 5 0 Jul-12 Jul-92 Jul-97 Jul-02 Jul-07 Jul-17 Jul-22 Apr-91 Apr-96 Apr-01 Apr-06 Apr-11 Ap
Slide 3: Are Bonds Reducing Portfolio Risk, Or Amplifying It?
HEDGED EQUITY | Market Context: Why Now For Financial Professional Use Only Are Bonds Reducing Portfolio Risk, Or Amplifying It? 36-Month Rolling Stock/Bond Correlation, Jan 1990 – June 2026 | Bloomberg U.S. Agg Index vs. S&P 500 Index Pre-2000 2000–2020: Negative Correlation 2021+ High / Positive C
Slide 4: HEGD - Different in Structure
Swan Hedged Equity U.S. Large Cap ETF (HEGD) | Distinct in Structure & Style For Financial Professional Use Only HEGD - Different in Structure Swan Hedged Equity Approach vs. Put Spread Collar – 1-Year View Theoretical Strategy Return (%) 0% S&P 500 Index Put Spread Collar HEGD (1-year view) 0% FOR
Slide 5: HEGD - Different in Style
HEGD | Distinct in Structure & Style For Financial Professional Use Only HEGD - Different in Style Active Management. UP MARKET: RAISE HEDGE LEVEL DOWN MARKET: Re-HEDGE for RECOVERY ▲ Raise the Hedge Level, ▲ Sell High (Appreciated Hedge) as Market Climbs Higher ▼ Buy Low (Add Equity at Market Lows)
Slide 6: Inverse Correlation – True Diversification at Work
HEGD | Performance Attribution: Q2 2026 For Financial Professional Use Only Inverse Correlation – True Diversification at Work HEGD: Attribution Through Q2-2026 20% 15% 10% 5% 0% -5% -10% Core Equity Hedge HEGD Total Return S&P 500 Q1 -4.06% 2.22% -2.13% -4.33% Q2 14.46% -5.49% 7.97% 15.20% YTD 9.81
Slide 7: Performance in Recent Market Drawdown & Recovery: 2026
HEGD | Performance in Recent Market Drawdown & Recovery: 2026 For Financial Professional Use Only Drawdowns: HEGD vs S&P vs 60/40 Blend, H1 2026 YTD Return: HEGD vs S&P vs 60/40 Blend, H1 2026 0% 120 Capture Ratios vs. S&P 500 -1% HEGD 60/40 Blend 115 -2% 2026 YTD 56% 63% -3% 110 Drawdown Cumulative
Slide 8: HEGD – The Hedged Equity ETF
HEGD | Standard Performance View For Financial Professional Use Only HEGD – The Hedged Equity ETF Risk Metrics as of 6/30/2026 Standard Beta vs S&P Max Sharpe (annualized since HEGD inception) Deviation 500 Index Drawdown Ratio HEGD (NAV) 8.63% 0.54 -13.65% 0.69 60/40 (60% S&P500 / 40% Bbg US Agg) 1
Slide 9: Performance in Recent Market Drawdown & Recovery: 2026
HEGD | Performance in Recent Market Drawdown & Recovery: 2026 For Financial Professional Use Only 2026: HEGD vs S&P 500 Index vs 60/40 Portfolio vs Bloomberg US Agg Bond Index $120k Capture Ratios vs. S&P 500 $115k Drawdown YTD period $110k HEGD 49% 56% 60/40 65% 63% Cumulative Return ($ USD) $105k
Slide 10: HEGD – Roles in a Modern Portfolio
HEGD | Popular Portfolio Implementations For Financial Professional Use Only HEGD – Roles in a Modern Portfolio. Three distinct implantation ideas for advisors building or repositioning model portfolios, assuming an initial 70% stock / 30% bond construction. Alternative to Bonds Core Equity Sleeve C
Slide 11: Modern Portfolios Require a Hedged Equity Sleeve
HEGD | Efficient Frontier Analysis For Financial Professional Use Only Modern Portfolios Require a Hedged Equity Sleeve. 5-Year Numbers: January 2021 – June 2026 | Efficient Frontier of Stock/Bond Mixes vs. HEGD 18% Annualized Standard January 2021 –June 2026 Return Deviation 16% 10% S&P 500 Index /
Slide 12: Disclosures & Definitions
Disclosures & Definitions For Financial Professional Use Only 1 – Although the Fund is actively managed, the Fund intends to passively invest (buy and hold) at least 80% of it's assets directly or indirectly through one or more ETFs in equity securities of large cap U.S. companies. Definitions: Opti
Slide 13: Disclosures
Disclosures For Financial Professional Use Only Exchange Traded Funds and Mutual Funds involve risk, including possible loss of principal. Shares of any ETF are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. There
Slide 14: Disclosures
Disclosures For Financial Professional Use Only Swan Global Investments, LLC ("Swan") is an independent Investment Advisory company headquartered in Durango, CO. Swan is registered with the US Securities and Exchange Commission under the Investment Advisers Act of 1940. Note that being an SEC regist
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