Facts

Multi Factor Sequential Screening ModelJulex pioneers a unique approach which intergrates a robust three-step investment process to help generate consistent returns.

September 30, 2019TrueAlpha™ Large Cap Strategy

Note: The Julex TrueAlphaTM Large Cap performance above is a live record of the Julex composite. The returns on a TAMP may be different due to the timing of trading and transaction costs. Performance is historical and does not guarantee future results. Account level performance may be higher or lower than the Composites. Total returns are shown gross and net of maximum annual 1.00% modeled advisory fee. Returns include the reinvestment of dividends and capital gains. See “Disclosure” for more important information. A GIPS compliant presentation is available upon request through the contact information on the reverse side.

Julex Composite Performance

2019 YTD 2018 2017 2016

2015(Jul-Dec)

16.87%

16.01%

20.53%

16.40%

-5.90%

-6.85%

-4.78%

-8.60

28.40%

27.15%

21.69%

16.07%

7.41%

6.35%

12.05%

14.59%

1.51%

1.00%

-0.78%

-4.13%

Gross Return

Net Return after Max. 100 bps Fee

Benchmark

Category

Returns

10.69%

9.59%

10.91%

7.44%

13.26%

13.26%

12.52%

12.36%

0.72

0.64

0.78

0.51

Standard Deviation Sharpe Ratio

Factor 1: ValuationReduced to the most undervalued stocks

Factor 2: Pro�tabilityReduced to the most pro�table

stocks

Factor 3: LeverageReduced to the most

stable stocks

Russell© 1000 Universe

Select a portfolio of 20-40 stocks

Inception Date:07/01/2015

Portfolio Manager:Henry Ma, Ph. D., CFA;George Xiang., Ph. D., CFA

Firm AUM (9/30/2019):$1.1 B

Benchmark and Category:Russell 1000 IndexMorningstar Large Cap Value

Calendar Year Returns Annualized Since Inception

Overview

Objectives

Outperform Benchmark: Strive for higher returns than the Russell 1000 Index over a full market cycle.

A quantitative equity strategy aiming to generate alpha unrelated to factors such as value, size, or momentum.

Create an Alpha-Oriented Portfolio: Select high quality, under-valued companies with strong pro�tability .

Top Holdings 3rd Quarter 2019

Weights

Weights

9.8%

9.8%

9.8%

9.8%

8.0%

5.7%

4.8%

4.0%

3.9%

2.9%

Name of Security

Home Depot, Inc.

Colgate-Palmolive Company

S&P Global, Inc.

Altria Group, Inc.

FedEx Corporation

O’Reilly Automotive, Inc.

IDEXX Laboratories, Inc.

Synchrony Financial

Clorox Company

CBS Corporation

Composite Returns 3rd Quarter (USD)

Since Inc.Q3 YTD 1-yr 3-yr

Gross

Net

Benchmark

Category

-0.31%

-0.56%

1.51%

1.42%

16.87%

16.01%

16.40%

20.53%

1.91%

0.89%

1.84%

3.87%

14.88%

13.75%

9.49%

13.19%

10.69%

9.59%

7.44%

10.91%

-5%

0%

5%

10%

15%

20%

25%

Value of $1,000 Investment (Starting Jan. 2000)

Disclosures

Note on Data

This fact sheet is for the purpose of information exchange. This is not a solicitation or offer to buy or sell any security. You must do your own due diligence and consult a professional investment advisor before making any investmentdecisions. The use of a proprietary technique, model or algorithm does not guarantee any speci�c pro�table results. Past performance is not indicative future returns. The performance data presented are gross returns. The risk ofloss in trading securities can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your �nancial condition. All information posted is believed to come from reliable sources. We do notwarrant the accuracy or completeness of information made available and therefore will not be liable for any losses incurred.

The investment performance shown on this page for the Julex TrueAlphaTM Large Cap strategy is HYPOTHETICAL. It is based on the back tests of historical data. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve pro�t or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the bene�t of hindsight. In addition, hypothetical trading does not involve �nancial risk, and no hypothetical trading record cancompletely account for the impact of �nancial 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 also adversely affectactual trading results. There are numerous other factors related to the markets in general or the implementation of any speci�c trading program which cannot be fully accounted for in the presentation of hypothetical performanceresults and all of which can adversely affect actual trading results.

0

1000

2000

3000

4000

5000

6000

7000

8000

9000TrueAlphaTM Large Cap

Benchmark

Hypothetical Back Test Results

Julex Capital Management, LLC (Julex) is an independent investment management �rm registered in the Commonwealth of Massachu-setts that is not a�liated with any parent organization. Julex Capital Management, LLC claims compliance with the Global Investment Performance Standards-veri�ed by ACA Performance Services.

In the back test, we used the index returns in case the historical returns of the ETFs are not long enough. The ETF returns were approximated by index returns subtracted by their respective expense ratios. The following summarizesthe detailed calculations: (1) IWM: Russell 2000 Index - 20bps before 5/31/2000; (2) EFA: MSCI EAFE Index -34 bps before 8/28/2001 (3) VWO: MSCI EM Index - 15 bps before 4/29/2005; (4) VNQ: MSCI US REIT Index - 10 bps before 10/29/2004;(5) MLPI: Alerian MLP Infrastructure Index - 85 bps before 5/28/2010; 6) GLD: London Gold Fixing - 40 bps before 12/31/2004 (7) JNK: Bloomberg Capital US High Yield Index - 40 bps before 1/31/2008; (8) AGG: Bloomberg Capital US AggregateIndex - 8 bps before 10/31/2003; (9) IEF: Bloomberg Capital US Treasury Index - 15 bps before 8/30/2002; (10) TLT: Bloomberg Capital 20+ year US Treasury Index - 15 bps before 8/30/2002; (11) SHV: Three month T-bill before 02/28/2007; (12)DVY: Dow Jones US Select Dividend Index - 39 bps before 12/31/2003; (13) EMB: JP Morgan EMBI Global Core Index - 60 bps before 1/31/2008; (14) PFF: S&P US Preferred Index - 47 bps before 4/30/2007; (15) BKLN: S&P/LSTA Bank LoanIndex - 65 bps before 4/29/2001; (16) IVE: S&P 500 Value Index - 18 bps before 6/30/2000; (17) IVW: S&P 500 Growth Index - 18 bps before 6/30/2000; (18) IWS: Russell MidCap Value Index - 25 bps before 9/28/2001; (19) IWP: Russell MidCapGrowth Index - 25 bps before 9/28/2001; (20) IWN: Russell SmallCap Value Index - 25 bps before 8/31/2000; (21) IWO: Russell SmallCap Growth Index - 25 bps before 8/31/2000; (22) DJP: Dow Jones UBS Commodity Index - 75 bps before11/30/2006; (23) RWX: Dow Jones Global Real Estate Index - 59 bps before 1/31/2007 (Source: Bloomberg, Yahoo, Julex Capital)

The composition of a benchmark index may not re�ect the manner in which a Julex portfolio is constructed in relation to expected or achieved returns, investment holdings, portfolio guidelines, restrictions, sectors, correlations,concentrations, volatility, or tracking error targets, all of which are subject to change over time. No representation or warranty is made to the reasonableness of the assumptions made or that all assumptions used to construct theperformance provided have been stated or fully considered.

40 Grove Street, Suite 140Wellesley, MA 02482, USA

781-489-5398julexcapital.com

Annual Return

Standard Deviation

Sharpe Ratio

Maximum Drawdown

Information Ratio

Tracking Error

January 1990-June 2015

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015 (Jan.-June)

TrueAlpha™Large Cap

Benchmark

TrueAlpha™Large Cap

BenchmarkYear

17.2%

16.5%

0.93

-38.7%

0.96

7.77%

9.7%

14.7%

0.46

-51.1%

Jan-06

Jan-07

Jan-08

Jan-09

Jan-10

Jan-11

Jan-12

Jan-13

Jan-14

Jan-15

-0.1%

49.8%

16.2%

12.3%

-1.1%

39.9%

24.6%

50.5%

32.3%

20.4%

8.5%

2.8%

-10.4%

31.0%

25.4%

17.7%

21.1%

14.6%

-31.2%

45.8%

24.4%

14.1%

18.3%

38.9%

12.7%

-1.2%

-4.2%

33.0%

8.9%

10.2%

0.4%

37.8%

22.4%

32.9%

27.0%

20.9%

-7.8%

-12.4%

-21.7%

29.9%

11.4%

6.3%

15.5%

5.8%

-37.6%

28.4%

16.1%

1.5%

16.4%

33.1%

13.2%

1.7%Jan-00

Jan-01

Jan-02

Jan-03

Jan-04

Jan-05

Category

8.5%

13.7%

0.40

-38.7%

-6.3%

28.3%

10.0%

13.4%

-0.6%

32.2%

20.3%

26.9%

12.3%

6.4%

7.7%

-4.6%

-18.9%

28.3%

12.9%

5.9%

18.1%

1.3%

-37.4%

24.3%

13.6%

-0.8%

14.6%

31.2%

10.2%

0.1%

Category

Category