Source: Swan Global Investments and Zephyr StyleAdvisor. Data based on historic returns of a 60/40 blended composite and the Swan Defined Risk US Large Cap Composite net of fees, from 7/1997 to 12/31/2020, and assume no portfolio withdrawals. The 60/40 blended composite, weighted 60% in the S&P 500 Index, , which consists of approximately 500 large cap stocks, and 40% in the Barclays US Aggregate Bond Index. The 60/40 is rebalanced monthly. The Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency). Results in the table are the best, worst, and average annualized returns, based on month-end returns, for every rolling period listed within the overall time frame of July 1st, 1997 to December 31st, 2020. Prior performance is not a guarantee of future results and there can be no assurance, and investors should not assume, that future performance will be comparable to past performance.