VALUE MOMENTUM TREND INDEX (VMOT & AA L/S INDEX)

VALUE MOMENTUM TREND INDEX (VMOT & AA L/S INDEX) As Of Date: 12/5/2017 Wesley R. Gray, PhD T: +1.215.882.9983 F: +1.216.245.3686 ir@alphaarchitect.com 213 Foxcroft Road Broomall, PA 19008 Empower Investors Through Education Affordable Alpha

2017 Alpha Architect. All Rights Reserved. We Are Thought Leaders on Value, Momentum, and Trend Wesley R. Gray, Ph.D. PhD/MBA, University of Chicago BS Economics, Wharton Captain, Marine Corps Three Wiley published books in five years Wesley R. Gray, Ph.D. has been an active participant in financial markets throughout his career. He is the Founder, CEO and Co-CIO for Alpha Architect, an SEC-Registered Investment Advisor. Dr. Gray has published multiple academic articles and books, to include the co-authored books Quantitative Value, DIY Financial Advisor, and Quantitative Momentum. Jack R. Vogel, Ph.D. PhD, Drexel University MS Mathematics, Drexel Univ. BS Mathematics, U. of Scranton Jack Vogel, Ph.D., conducts research in empirical asset pricing and behavioral finance, and has collaborated with Dr. Gray on multiple projects. He is the CFO and Co-CIO for Alpha Architect, an SEC- Registered Investment Advisor. Dr. Vogel has published multiple academic articles and coauthored the books DIY Financial Advisor, and Quantitative Momentum. Published in leading, peer-reviewed journals What Motivates Buy-Side Analysts to Share Recommendations Online? Forthcoming, Management Science Do Fund Managers Identify and Share Profitable Ideas? Forthcoming, Journal of Financial and Quantitative Analysis Enhancing the Investment Performance of Yield-Based Strategies, Journal of Investing (2014). Analyzing Valuation Measures: A Performance Horse-Race over the Past 40 Years, Journal of Portfolio Management (2012). Present in major publications + editor of academic website Wall Street Journal (multiple articles) CFA Institute (multiple articles) Forbes (multiple articles) Alpha Architect (editor) Numerous working papers (more available upon request) Why do Enterprise Multiples Predict Expected Stock Returns? On the Performance of Cyclically Adjusted Valuation Measures Using Maximum Drawdown to Capture Tail Risk Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013 Limited Attention and Asset Price Efficiency Our SSRN working paper website 2

Our Value Momentum Trend Indexes 1 VMOT Index 1. Val/Mom Beta 2. Domestic Trend 1 2 2017 Alpha Architect. All Rights Reserved. ~100% NAV Global Stocks ~50% NAV US Trend Global Stocks Trend 3. International Trend 3 ~50% NAV Int l Trend 2 AA L/S Index 1. Val/Mom Beta 2. Val/Mom Alpha 1 2 ~100% NAV Global Stocks ~50% NAV Mkt. Neutral Global Stocks Trend 3. Domestic Trend 3 ~50% NAV US Trend Leveraged Exposure 4. International Trend 4 ~50% NAV Int l Trend Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Exposures are for illustrative purposes only and not to scale. 3

2017 Alpha Architect. All Rights Reserved. Potential Costs and Benefits of VMOT and AA L/S Indexes A focused alternative portfolio that seeks to deliver a diversifying portfolio exposure Goal VMOT & AA L/S Index Traditional Alternatives Liquidity and Transparency High Low Multi-Factor Exposure High Depends Potential for Differentiated Return High High Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. Concentration increases the index exposure to individual stock volatility. 4

VALUE MOMENTUM TREND INDEX METHODOLOGY (VMOT & AA L/S INDEXES)

2017 Alpha Architect. All Rights Reserved. Value Momentum Trend Index A 3-step process that seeks to deliver 3 factor premiums (Value, Momentum, and Trend) 1 2 3 Global Value and Momentum Equity Trend-Following Model Quant Value Quant Momentum Time-Series Trend-Following Moving Average Trend-Following 1 2 3 Global value and momentum equity seeks to capture large expected equity premiums. The trend-following model seeks to minimize large drawdowns via trend following. Dynamically hedged equity seeks to capture risk premiums with downside protection. Our trend-following models may not work in all situations and could fail to achieve their objectives. 6

2017 Alpha Architect. All Rights Reserved. Step 1: Global Value and Momentum Equity 1 2 3 Global Value and Momentum Equity Trend-Following Model Quant Value Quant Momentum Time-Series Trend-Following Moving Average Trend-Following Our downside protection models may not work in all situations and could fail to achieve their objectives. 7

2017 Alpha Architect. All Rights Reserved. Step 1: Generic Value and Momentum Summary Statistics Value Strategy: Buy Cheap Momentum Strategy: Buy Strong VAL_10 = Top Decile Value, mid/large cap Ranked on book-to-market Annually rebalanced SP500 = SP500 Total Return Index Simulated Performance: 1/1/1963 to 12/31/2015 Net of fees: 1% mgmt. fee,.5% transaction costs Total returns, including dividends and distributions MOM_10 = Top Decile Momentum Ranked on cumulative 12 months, skip last month Monthly rebalanced SP500 = SP500 Total Return Index Simulated Performance: 1/1/1963 to 12/31/2015 Net of fees: 1% mgmt. fee, 2.5% transaction costs Total returns, including dividends and distributions Value and momentum are long-term investments Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. Source: Ken French Data and Bloomberg. 8

2017 Alpha Architect. All Rights Reserved. Step 2: We Deploy Differentiated Value and Momentum We seek to buy the cheapest highest quality value stocks We seek to buy stocks with the highest quality momentum Note: Momentum quality is not directly related to fundamentals, but the momentum itself. See Da, Gurun and Warachka, 2013, Frog in the Pan: Continuous Information and Momentum, Review of Financial Studies 27, pg. 2171-2218. 9

2017 Alpha Architect. All Rights Reserved. Step 2: Trend-Following Model 1 2 3 Global Value and Momentum Equity Trend-Following Model Quant Value Quant Momentum Time-Series Trend-Following Moving Average Trend-Following Our Trend-Following Models may not work in all situations and could fail to achieve their objectives. 10

2017 Alpha Architect. All Rights Reserved. Step 2: Downside Protection Matters $50 gain in 11 yrs $15 gain in 3 yrs $100 $100 $85 $85 $50 $50 Investor A Buy-and-hold investor experiences a 50% drawdown: At a 7% return, Investor A recovers in 11 years Investor B Investor/w downside protection experiences only a 15% drawdown: At a 7% return, Investor B recovers in 3 years Large drawdowns are hazardous to your wealth Charts presented are for illustrative purposes only. Our Trend-Following Models may not work in all situations and could fail to achieve their objectives. 11

2017 Alpha Architect. All Rights Reserved. Step 2: Our Trend-Following Methodology Identify Asset Class Assess Trend-Following Rules Create Downside Protected Portfolio Individual Asset Class (e.g., stocks) 1 2 Rule #1: Time Series Trend Following Rule #2: Moving Average Trend Following Both rules triggered 100% hedged One rule triggered 50% hedged No rules triggered 0% hedged Our Trend-Following Models may not work in all situations and could fail to achieve their objectives. 12

2017 Alpha Architect. All Rights Reserved. Step 2: Details on our Downside Protection Methodology 1) 50% Time Series Momentum Rule (TMOM) Excess return = total return over past 12 months less return of T-bill If Excess return >0, go long risky assets. Otherwise, go alternative assets (T-Bills) 2) 50% Simple Moving Average Rule (MA) Moving Average (12) = average 12 month prices If Current Price Moving Average (12) > 0, go long risky assets. Otherwise, go alternative assets (T-bills). 1 2 Avoid Assets with Poor Absolute Performance Avoid Assets with Poor Trending Performance Charts presented are for illustrative purposes only. Our Trend-Following 13

2017 Alpha Architect. All Rights Reserved. Step 2: Our Downside Model Seeks to Limit Drawdowns Percentage Loss Drawdown Protection Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. Note: B&H is 100% US Equity Total Return Index. Source: Global Financial Data, Alpha Architect. Our Trend-Following Models may not work in all situations and could fail to achieve their objectives. 14

2017 Alpha Architect. All Rights Reserved. Step 3: Putting it all Together 1 2 3 Global Value and Momentum Equity Trend-Following Model Quant Value Quant Momentum Time-Series Trend-Following Moving Average Trend-Following Our Trend-Following Models may not work in all situations and could fail to achieve their objectives. 15

Step 3: Putting it all Together 2017 Alpha Architect. All Rights Reserved. T = # of trend following rule triggers. Rule #1: Time-series trend; Rule #2: Moving Average trend 1 2 VMOT Index AA L/S Index $50 Lever $50 Hedge $50 Lever $50 Lever $50 Hedge $100 Hedge $150 Hedge $100 Equity $100 Equity $100 Equity $100 Hedge $100 Equity $100 Equity $100 Equity Long T: 0/2 Hedged T: 1/2 Market Neutral T: 2/2 Long T: 0/2 Hedged T: 1/2 Market Neutral T: 2/2 Three States of the World: Long, Hedged, Market Neutral Charts presented are for illustrative purposes only. Our Trend-Following Models may not work in all situations and could fail to achieve their objectives. 16

VMOT & AA L/S INDEX SIMULATED RESULTS

Simulated Strategy Background 2017 Alpha Architect. All Rights Reserved. Simulated Historical Performance: 1/1/1995 to 12/31/2016 All returns are total returns and include the reinvestment of distributions (e.g., dividends) Interest earned is assumed to be 90-day T-Bill minus 0.5%; Interest paid is assumed to be 90-day T-Bill plus 0.5% ROBUST Trend-Following rules are calculated based on underlying passive asset class benchmark (i.e., QVAL INDEX is based on SP500 TR Index). 50% 12-month time series momentum rule and 50% 12-month simple moving average rule. Legend VMOT_INDEX_NET = Annual rebalance (May 1) across QVAL INDEX NET, QMOM INDEX NET, IVAL INDEX NET, and IMOM INDEX NET. Volatility-weighted. 0% permanent hedge position. ROBUST Trend-Following manages a dynamic 0-100% hedge component. Trend rules trigger index hedging. Monthly rebalanced. Net of 1% in costs. AALS_INDEX_NET = Annual rebalance (May 1) across QVAL INDEX NET, QMOM INDEX NET, IVAL INDEX NET, and IMOM INDEX NET, scaled to 150% of net asset value. 50% permanent hedge position. ROBUST Trend-Following manages a dynamic 0-100% hedge component. Trend rules trigger index hedging. Monthly rebalanced. Net of 1.5% in costs. QVAL INDEX NET = Quarterly rebalanced, equal-weight, total returns including dividends. Alpha Architect calculations through 10/31/2014; Solactive calculations thereafter. Net 2% in costs. QMOM INDEX NET = Quarterly rebalanced, equal-weight, total returns including dividends. Alpha Architect calculations through 12/31/2015; Solactive calculations thereafter. Net 2% in costs. IVAL INDEX NET = Semi-annually rebalanced, equal-weight, total returns including dividends. Alpha Architect calculations through 12/31/2014; Solactive calculations thereafter. Net 2% in costs. IMOM INDEX NET = Quarterly rebalanced, equal-weight, total returns including dividends. Alpha Architect calculations through 12/31/2015; Solactive calculations thereafter. Net 3% in costs. FF_COMBO = Monthly rebalance across FF_VAL, FF_MOM, FF_INT_VAL, FF_INT_MOM FF_VAL = Generic Value portfolio from Ken French s website Top decile of firms based on book-to-market, value-weighted FF_MOM = Generic Momentum portfolio from Ken French s website Top decile of momentum firms based on 12-2 month lookback, value-weighted FF_INT_VAL = Generic International Value portfolio from Ken French s website Average of 3 top market-cap quintile portfolios with highest book-to-market, value-weighted FF_INT_MOM = Generic International Momentum portfolio from Ken French s website Average of 3 top market-cap quintile portfolios with highest momentum (12-2 lookback), value-weighted FF_COMBO_50/50 = 50% FF_COMBO, 50% 90-Day T-Bill MSCI ACWI = MSCI All Country World Index Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. Please see the disclosures at the end of this document for additional information. 18

Simulation Summary Statistics 2017 Alpha Architect. All Rights Reserved. The Value Momentum Trend Indexes capture focused multiple factor premium and lacks a strong correlation with generic beta 1 Summary Statistics* VMOT_INDEX_NET AALS_INDEX_NET FF_COMBO FF_COMBO_50/50 CAGR 14.59% 16.56% 10.94% 7.02% Standard Deviation 13.12% 15.68% 17.18% 8.60% Downside Deviation (MAR = 5%) 9.38% 10.70% 13.73% 6.91% Sharpe Ratio (RF=T-Bills) 0.93 0.91 0.55 0.55 Sortino Ratio (MAR=5%) 1.02 1.09 0.50 0.31 Appraisal Ratio 0.76 0.75 0.00 0.18 Worst Drawdown -22.16% -26.29% -57.20% -32.63% Lowest Month Return -15.62% -17.16% -20.97% -10.45% Highest Month Return 10.18% 11.42% 12.87% 6.44% Monthly % Profit 65.15% 63.26% 65.15% 66.29% Correlation Analysis** VMOT_INDEX_NET AALS_INDEX_NET FF_COMBO FF_COMBO_50/50 Up % -- 98.20% 86.05% 85.71% Down % -- 91.75% 73.91% 75.28% Negative Correlation -- 96.82% 52.36% 50.76% Positive Correlation -- 96.61% 50.65% 52.74% Tracking Error -- 3.60% 11.77% 9.23% Correlation Matrix VMOT_INDEX_NET AALS_INDEX_NET FF_COMBO FF_COMBO_50/50 VMOT_INDEX_NET 100.00% 98.54% 73.07% 73.36% AALS_INDEX_NET 98.54% 100.00% 69.02% 69.33% FF_COMBO 73.07% 69.02% 100.00% 99.93% FF_COMBO_50/50 73.36% 69.33% 99.93% 100.00% **Bold denotes values less than.5 1 MSCI ACWI summary statistics are not included. The performance statistics are uniformly worse than FF_COMBO_50/50 and FF_COMBO_50/50 is a better reflection of the beta risk associated with the VMOT and AALS Indexes. *Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. 19

Simulation Drawdown Analysis 2017 Alpha Architect. All Rights Reserved. The strategy does not limit volatility, but there is protection during large drawdown events Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. 20

Simulation Drawdown Analysis The Value Momentum Trend Indexes have a favorable drawdown profile 2017 Alpha Architect. All Rights Reserved. Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. 21

Simulation Factor Attribution Analysis Positive alpha and strong exposure to many of the common factor premiums 2017 Alpha Architect. All Rights Reserved. Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. See http://blog.alphaarchitect.com/2017/02/03/factor-models-are-more-art-and-less-science/ for more information on the factor models examined. The AQR 6 Factor model uses the Fama and French HML variable. 22

Simulated Relative Performance to MSCI ACWI Index 64% chance of 1-year relative win; 80% chance of a 5-year relative win 2017 Alpha Architect. All Rights Reserved. Strong relative performance but does not work all the time! Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. 23

Simulation Invested Growth Value Momentum Trend Indexes captures factor premiums over time 2017 Alpha Architect. All Rights Reserved. Favorable long-term investment Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. 24

APPENDIX

Simulation Summary Statistics for go to cash option Maintaining a long position in stocks outperforms a go to cash hedging option 2017 Alpha Architect. All Rights Reserved. Summary Statistics* VMOT_INDEX_NET_CASH VMOT_INDEX_NET FF_COMBO FF_COMBO_50/50 CAGR 12.16% 14.59% 10.94% 7.02% Standard Deviation 12.51% 13.12% 17.18% 8.60% Downside Deviation (MAR = 5%) 8.95% 9.38% 13.73% 6.91% Sharpe Ratio (RF=T-Bills) 0.79 0.93 0.55 0.55 Sortino Ratio (MAR=5%) 0.82 1.02 0.50 0.31 Appraisal Ratio 0.59 0.76 0.00 0.18 Worst Drawdown -20.86% -22.16% -57.20% -32.63% Lowest Month Return -15.62% -15.62% -20.97% -10.45% Highest Month Return 10.09% 10.18% 12.87% 6.44% Monthly % Profit 64.02% 65.15% 65.15% 66.29% Correlation Analysis** VMOT_INDEX_NET_CASH VMOT_INDEX_NET FF_COMBO FF_COMBO_50/50 Up % -- 92.44% 85.47% 85.14% Down % -- 89.13% 76.09% 77.53% Negative Correlation -- 93.87% 43.13% 41.10% Positive Correlation -- 89.32% 52.08% 54.51% Tracking Error -- 4.12% 11.77% 8.68% Correlation Matrix VMOT_INDEX_NET_CASH VMOT_INDEX_NET FF_COMBO FF_COMBO_50/50 VMOT_INDEX_NET_CASH 100.00% 95.07% 72.86% 73.10% VMOT_INDEX_NET 95.07% 100.00% 73.07% 73.36% FF_COMBO 72.86% 73.07% 100.00% 99.93% FF_COMBO_50/50 73.10% 73.36% 99.93% 100.00% **Bold denotes values less than.5 *Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Index returns are for illustrative purposes only and do not represent actual fund performance. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. Go to cash is an index strategy that achieves a hedged stance by selling equities to the desired portfolio level and invests the proceeds in 90-day Treasury Bills. In contrast, the VMOT Index strategy is always 100% long and shorts passive exposure to achieve a hedged stance. 26

2017 Alpha Architect. All Rights Reserved. IMPORTANT INFORMATION - DISCLOSURES There are risks involved with investing, including loss of principal. There is no assurance that the objectives of any strategy or fund will be achieved or will be successful. No investment strategy, including diversification, can protect against market risk or loss. Current and future portfolio holdings are subject to risk. Past performance does not guarantee future results. There is a risk of substantial loss associated with trading commodities, futures, options and other financial instruments. Before trading, investors should carefully consider their financial position and risk tolerance to determine if the proposed trading style is appropriate. Investors should realize that when trading futures, commodities and/or granting/writing options one could lose the full balance of their account. It is also possible to lose more than the initial deposit when trading futures and/or granting/writing options. All funds committed to such a trading strategy should be purely risk capital. Certain economic and market information contained herein has been obtained from published sources prepared by other parties, which in certain cases have not been updated through the date hereof. While such sources are believed to be reliable, neither Alpha Architect nor its affiliates assumes any responsibility for the accuracy or completeness of such information and such information has not been independently verified by Alpha Architect. Index returns are for illustrative purposes only and do not represent actual fund performance. References to an index do not imply that the portfolio will achieve returns, volatility or other results similar to that index. The composition of the index may not reflect the manner in which a portfolio is constructed in relation to expected or achieved returns, portfolio guidelines, restrictions, sectors, correlations, concentrations, volatility or tracking error targets, all of which are subject to change. Index performance returns do not reflect any management fees, transaction costs, or expenses, which would reduce returns. Indexes are unmanaged and one cannot invest directly in an index. There are no active components of indexes; therefore, using them as a proxy can be of limited value because there is no guarantee that the portfolio would have been managed to match the index. Realized returns and/or volatility may come in higher or lower than expected. Annual performance is calculated based on monthly return streams, geometrically linked as of the end of the specified month end. Results, unless cited otherwise, are shown gross of fees and do not reflect the effect of investment fees which would lower performance. Performance reflects the reinvestment of dividends and other earnings. The following hypothetical illustrates the compound effect fees have on investment return: For an account charged 1% with a stated annual return of 10%, the net total return before taxes would be reduced from 10% to 9%. A ten year investment of $100,000 at 10% would grow to $259,374, and at 9%, to $236,736 before taxes. For a complete description of all fees and expenses, please refer to Alpha Architect s Form ADV Part 2A. 27

2017 Alpha Architect. All Rights Reserved. IMPORTANT INFORMATION - DISCLOSURES Performance figures contained herein are hypothetical, unaudited and prepared by Alpha Architect, LLC; hypothetical results are intended for illustrative purposes only. Past performance is not indicative of future results, which may vary. Hypothetical performance results (e.g., quantitative backtests) have many inherent limitations, some of which, but not all, are described herein. No representation is being made that any fund or account will or is likely to achieve profits or losses similar to those shown herein. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently realized by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material points which can adversely affect actual trading results. The hypothetical performance results contained herein represent the application of the quantitative models as currently in effect on the date first written above and there can be no assurance that the models will remain the same in the future or that an application of the current models in the future will produce similar results because the relevant market and economic conditions that prevailed during the hypothetical performance period will not necessarily recur. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results, all of which can adversely affect actual trading results. Hypothetical performance results are presented for illustrative purposes only. Neither Alpha Architect nor its affiliates provide tax advice. IRS Circular 230 disclosure: To ensure compliance with requirements imposed by the IRS, we inform you that any tax advice contained in this communication was not intended or written to be used, and cannot be used, for the purpose of (i) avoiding tax-related penalties under the Internal Revenue Code or (ii) promoting, marketing or recommending to another party any matters addressed herein. You should seek advice based on your particular circumstances from an independent tax advisor. The information contained in this communication is not meant to substitute for a thorough estate planning and is not meant to be legal and/or estate advice. It is intended to provide you with a preliminary outline of your goals. Please consult your legal counsel for additional information. This presentation is only intended for pre-approved presentations and may not be duplicated in any form by any means or redistributed without Alpha Architect s prior written consent. 28

2017 Alpha Architect. All Rights Reserved. IMPORTANT INFORMATION - DEFINITIONS CAGR: Compound annual growth rate Standard Deviation: Sample standard deviation Downside Deviation: Sample standard deviation, but only monthly observations below 41.67bps (5%/12) are included in the calculation Sharpe Ratio (annualized): Average monthly return minus treasury bills divided by standard deviation Sortino Ratio (annualized): Average monthly return minus treasury bills divided by downside deviation Appraisal Ratio (annualized): CAPM regression intercept estimate divided by regression residual volatility Worst Drawdown: Worst peak to trough performance (measured based on monthly returns) Rolling X-Year Win %: Percentage of rolling X periods that a strategy outperforms Sum (5-Year Rolling MaxDD): Sum of all 5-Year rolling drawdowns Down %: The Down Number Ratio is a measure of the number of periods that the investment was down when the benchmark was down, divided by the number of periods that the benchmark was down. The smaller the ratio, the better Up %: The Up Number Ratio is a measure of the number of periods that the investment was up when the benchmark was up, divided by the number of periods that the benchmark was up. The larger the ratio, the better Tracking Error: Tracking Error is measured by taking the square root of the average of the squared deviations between the investment s returns and the benchmark s returns Negative Correlation: Correlation of returns relative to benchmark returns when the benchmark is negative Positive Correlation: Correlation of returns relative to benchmark returns when the benchmark is positive 29

QUESTIONS? As Of Date: 12/5/2017 T: +1.215.882.9983 F: +1.216.245.3686 ir@alphaarchitect.com 213 Foxcroft Road Broomall, PA 19008 Empower Investors Through Education Affordable Alpha