SOS Shield Series - Tracking Report

Series Name Series Inception Series End Updated Remaining Outcome Period Reference Return Remaining Cap Remaining Shield Illustrative Inception Value: Cap Illustrative Inception Value: Shield Start Illustrative Inception Value: Shield End
SOS 10 June 2020 Series 6/9/2020 6/10/2021 9/11/2020 269 4.03% 5.70% 13.48% 9.96% 0.00% -10.00%
SOS 20 June 2020 Series 6/9/2020 6/10/2021 9/11/2020 269 4.03% 0.92% 23.10% 4.98% 0.00% -20.00%
SOS 10 July 2020 Series 7/8/2020 7/9/2021 9/11/2020 298 5.59% 11.77% 14.76% 18.01% 0.00% -10.00%
SOS 20 July 2020 Series 7/8/2020 7/9/2021 9/11/2020 298 5.59% 3.08% 24.23% 8.84% 0.00% -20.00%
SOS 10 August 2020 Series 8/21/2020 8/24/2021 9/11/2020 344 -1.65% 17.25% 8.49% 15.31% 0.00% -10.00%
SOS 20 August 2020 Series 8/21/2020 8/21/2021 9/11/2020 344 -1.65% 10.06% 18.65% 8.24% 0.00% -20.00%

Disclosures: SMAs charge fees and expenses.  No such fees or expenses were deducted from the hypothetical return scenarios shown above. Actual returns would be lower.  The cap is shown gross of the 0.50% management fee. The upside cap for a strategy is determined at the inception date of the outcome period in each calendar year. The cap investors will experience may be different than what is illustrated herein. The SOS Shield 10 and 20 series seek to shield investors against losses from 0%-10% and 0%-20% respectively, over the outcome period. There is no performance guarantee.


Series Inception – The trading day used to base pricing of underlying reference asst and FLEX Options for all three of the SOS Shield strategies.

Series End – The date each of the three SOS Shield strategies will expire after the Outcome Period, usually 12 months and 1 day from the inception date.

Remaining Outcome Period – Represents the number of days remaining until the end of the Outcome Period (Series End Date). The structured outcome values may only be realized for an investor who remains invested for the entire Outcome Period shown.

Reference Return – Represents the current value and the price return of the Reference Asset since the start of the Outcome Period.

Remaining Cap – Based on the respective SOS Shield strategy’s current bid/ask midpoint, the best potential return if held to the end of the Outcome Period, assuming the Reference Asset meets or exceeds the cap.

Remaining Shield – Represents the current amount of the SOS Shield strategy’s stated downside shield remaining, which is the sum of Downside Before Shield, Reference Asset to Shield End, and Unrealized Option Payoff.


Performance data quoted is hypothetical, representing past performance based on a specific inception date. Actual performance experienced by SOS Shield investors will vary if their Series Inception Date differs from what is shown above. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate during the Outcome Period, and the account value may be worth more or less than their original investment amount at the end of the Outcome Period.

Our Structured Outcome Strategies (SOS Shield) reflect our commitment to provide risk management solutions and options-based strategies that accommodate different investor risk tolerances and investment objectives.

Portfolio Construction

The SOS Shield strategies seek to provide a structured range of investment outcomes over a specified time period by combining 3 components: equity exposure, downside shield, and an upside cap. The structured outcome may only be realized for investors who remain invested throughout their specified period.

1. Equity Exposure

The portfolio will purchase a low strike call option (near zero), replicating a long position in the price returns of an underlying equity ETF, such as the S&P 500.

2. Downside Shield

The portfolio will buy a put option on the S&P 500 and then simultaneously write (sell) a put option at a price below that is equal to the predetermined shield levels for each strategy. The purchased put option provides a downside SOS Shield, while the written put option will stop the shield at the predetermined level.

3. Upside Cap

The portfolio will write (sell) call options with strike prices at the capped level, generating the premium to help pay for the downside shield. Writing a call gives the seller the obligation to sell shares of the underlying asset at a strike price that is set above the current market price.  If S&P 500 increases to the strike price of the written call option by expiration, the strategy will hit its cap and no longer participate in any further gains.

Important Disclosures:  The charts are for illustrative purposes only and are not indicative of any actual investment. The charts are intended to illustrate potential outcomes at the end of the outcome period and are based on hypothetical reference asset returns. The charts do not account for payment of fees and expenses. The strategy may not be able to achieve the hypothetical returns set forth above. The Structured Outcome Strategies (SOS) have characteristics unlike many other traditional investment products and may not be suitable for all investors. Investors in the SOS will bear all index losses exceeding the downside shield. Changes in market volatility can impact the performance cap from one defined outcome period to the next. The SOS are designed to provide point-to-point exposure to the price return of an index via a basket of Flex Options. As a result, any given SOS is not expected to move directly in line with the index during the interim period. Additionally, FLEX Options may be less liquid than standard options. In a less liquid market for the FLEX Options, the SOS may have difficulty closing out certain FLEX Options positions at desired times and prices. The performance cap, downside shield, and FLEX options should be considered before investing in the SOS. The upside cap for a strategy is determined at the inception date of the outcome period in each calendar year. The cap investors will experience may be different than what is illustrated herein. The SOS Shield Structured Outcome Strategies discussed above seek to shield investors against a range of losses, based on the specific SOS variation, from 0% to -35%, over the target outcome period.

Our Objective – All About Outcomes

Our primary objective is fundamentally aligned with that of long-term investors = achieve desired outcomes.  That starts with seeking to reduce uncertainty and losses associated with equity investing.


Explore our suite of outcome-oriented investment solutions: