ERShares Mid Cap eVestment Report

Capital Impact : ERShares US Mid Cap Strategy

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Analysis

Calendar Year Returns

Risk Analysis

Capital Impact: ERShares US Mid Cap Strategy

100

Statistic

Russell 3000 Growth

YTD

-16.81%

13.49%

1 Year Return

13.87%

27.57%

2 Year Return

27.31%

31.78%

3 Year Return

16.89%

21.27%

5 Year Return

23.54%

22.30%

7 Year Return

18.45%

18.13%

10 Year Return

20.51%

19.40%

-50

Cumulative Return

1192.88%

569.14%

Standard Deviation

22.01%

15.62%

Gain Deviation MAR (5%)

18.04%

11.63%

YTD 2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 -100

Loss Deviation MAR (5%)

13.09%

10.63%

Sharpe Ratio (FTSE 3 Mo. T-…

0.73

0.72

ERShares US Mid Cap Strategy

Russell 3000 Growth

eVestment US Mid Cap Growth Equity

Background Universe:

Performance Statistics - All Market

Tracking Err

Excess Rtn

Info Ratio

Bench Rtn

Bat A v g

Std De v

Bench Std De v

Benchmark

Alpha

Beta

R^2

Returns

Russell 3000 Growth

4.54%

1.06

0.57

14.51%

4.68%

0.32

17.15%

12.48%

0.52

22.01%

15.62%

Vehicle Type: USA - SA - Composite - ERShares US Mid Cap Strategy - Gross of Fees. Displayed in US Dollar (USD). Data frequency: Monthly eVestment Alliance, LLC and its affiliated entities (collectively, “eVestment”) collect information directly from investment management firms and other sources believed to be reliable, however, eVestment does not guarantee or warrant the accuracy, timeliness, or completeness of the information provided and is not responsible for any errors or omissions. Performance results may be provided with additional disclosures available on eVestment’s systems and other important considerations such as fees that may be applicable. Not for general distribution and limited distribution may only be made pursuant to client’s agreement terms. * All categories not necessarily included, Totals may not equal 100%. Copyright 2012-2021 eVestment Alliance, LLC. All Rights Reserved.

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Analysis

Historical Performance - Monthly Returns

Jan

Feb

Mar

Apr

Ma y

Jun

Jul

Aug

Sep

Oct

No v

Dec

Year

2021

5.94%

0.27% -14.74%

0.00%

-3.65%

7.64%

-5.68%

-1.92%

-4.26%

---

-16.81%

2020

2.13%

-2.87% -15.64%

18.41%

9.26%

4.59%

8.96%

4.08%

1.81%

5.05%

18.29%

10.15%

78.95%

2019

19.05%

7.59%

1.78%

4.50%

-5.98%

4.92%

1.79%

-4.74%

-5.42%

2.11%

7.57%

-0.89%

34.17%

2018

6.46%

-0.87%

1.36%

1.20%

11.12%

2.80%

0.43%

9.95%

0.07% -13.38%

1.79%

-9.32%

9.25%

2017

2.27%

0.89%

-1.10%

1.42%

0.08%

4.84%

0.97%

2.05%

1.73%

2.08%

2.02%

-1.55%

16.70%

2016

-6.14%

1.28%

6.97%

0.11%

2.05%

-1.04%

5.79%

-1.04%

0.10%

-2.71%

11.67%

3.98%

21.71%

2015

-1.77%

6.66%

0.84%

-2.08%

2.17%

-0.97%

2.70%

-6.72%

-3.83%

4.21%

2.68%

-3.41%

-0.33%

2014

-3.00%

6.87%

-2.05%

-1.52%

0.18%

7.60%

-6.08%

5.28%

-5.35%

6.08%

0.28%

-0.43%

6.85%

2013

4.15%

0.89%

5.76%

1.89%

7.17%

-0.46%

7.29%

0.60%

4.13%

1.66%

2.19%

3.43%

45.87%

2012

8.22%

6.86%

0.46%

-1.14%

-4.55%

0.36%

2.27%

4.87%

1.59%

-5.17%

3.69%

2.12%

20.37%

2011

1.74%

7.77%

1.09%

3.98%

0.24%

-2.16%

-4.70%

-8.01%

-8.04%

12.00%

-1.67%

1.23%

1.59%

2010

-6.05%

8.30%

3.47%

6.24%

-5.32%

-4.56%

3.17%

-4.58%

13.05%

4.01%

7.65%

3.75%

30.66%

2009

-7.09%

-9.44%

0.50%

28.16%

5.47%

-5.10%

8.89%

9.37%

8.43%

-7.39%

3.36%

5.94%

42.04%

2008

-12.06%

-7.53%

-3.74%

0.04%

7.96%

-4.52%

8.14%

7.75%

-8.83% -11.02% -12.17%

16.68% -21.81%

2007

3.23%

1.56%

0.74%

5.29%

3.11%

-0.58%

-0.16%

0.60%

-3.23%

-5.03% -12.10%

-4.35% -11.53%

2006

15.51%

-4.79%

10.37%

-1.58%

0.22%

0.33%

-5.42%

0.77%

7.41%

1.04%

9.33%

3.19%

40.17%

2005

---

-2.98%

1.40%

5.51%

11.42%

5.49%

22.00%

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Charts

Growth of $1,000

Drawdown

15k

0.0%

10k

-20.0%

-40.0%

-5k

-60.0%

2006

2008

2010

2012

2014

2016

2018

2020

2008

2012

2016

2020

ERShares US Mid Cap Strategy

Russell 3000 Growth

ERShares US Mid Cap Strategy

Russell 3000 Growth

Distribution of Monthly Returns

Standard Deviation - One Year Rolling

40%

20%

2008

2010

2012

2014

2016

2018

2020

ERShares US Mid Cap Strategy

Russell 3000 Growth

ERShares US Mid Cap Strategy

Russell 3000 Growth

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Peer Analysis

Background Universe: US Mid Cap Growth Equity

-5

Excess Returns

Returns

Standard Deviation

Ann. Alpha

Tracking Error

ERShares US Mid Cap Strategy

Russell 3000 Growth

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Peer Analysis

Background Universe: US Mid Cap Growth Equity displaying 61 peers

18%

17%

16%

15%

14%

13%

12%

11%

10%

14.5%

15%

15.5%

16%

16.5%

17%

17.5%

18%

18.5%

19%

19.5%

20%

20.5%

21%

21.5%

22% 22.5%

Standard Deviation

eVestment US Mid Cap Growth Equity

ERShares US Mid Cap Strategy

Russell 3000 Growth

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Peer Analysis

Background Universe: US Mid Cap Growth Equity

100

-20

-40

-60

YTD

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

2007

2006

ERShares US Mid Cap Strategy

Russell 3000 Growth

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Peer Analysis

Background Universe: US Mid Cap Growth Equity

100

Q3 2020

Q4 2020

Q1 2021

Q2 2021

ERShares US Mid Cap Strategy

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Peer Analysis

Background Universe: eVestment US Mid Cap Growth Equity

Rolling 1 Year Returns (incl. future periods)

20%

40%

60%

80%

100%

Dec 2020

Mar 2021

Jun 2021

Sep 2021

Dec 2021

Mar 2022

1 Year Returns

ERShares US Mid Cap Strategy

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Snapshot

Description

Firm Name:

Capital Impact

Product Name:

ERShares US Mid Cap Strategy

Asset Class:

Equity

Geographic Focus: Investment Focus: Inception Date: Pref. Benchmark:

United States Long Only 07/31/2005

Russell 3000 Growth

Assets Under Management (Million) displayed in US Dollar (USD)

Total Firm:

$550.2 $119.1

Total Product:

$300

Total Product

$200

Q2 2020 Q3 2020 Q4 2020 Q1 2021 Q2 2021 Q3 2021

$92.6 $84.7

$128.0 $304.7 $178.1 $119.1

$100

Q2 2020

Q3 2020

Q4 2020

Q1 2021

Q2 2021

Q3 2021

Contact Information

Marketing Contact Joel Shulman, Managing Director 175 Federal Street, 175 Federal Street Boston, Massachusetts 02110

Database Contact APX Stream, Other

175 Federal Street Suite 875 Boston, Massachusetts 02110

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Snapshot

Characteristics - Equity

S&P/MSCI GICS Sectors

Primary Equity Cap: Primary Equity Style: P/E (12-mo Trailing): P/E (12-mo Forward):

Mid Cap Growth

Consumer Discretionary:

--- --- --- --- --- ---

Information Technology:

--- --- --- --- ---

--- --- --- --- --- ---

Consumer Staples:

Materials: Telecom:

Energy:

Dividend Yield:

Financials: Healthcare: Industrials:

Utilities: Other:

Weighted Avg. Mkt Cap (Mil): Median Market Cap (Mil):

# of Positions:

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Snapshot

Sliding Fee Schedule

Separate/Segregated Acct. Minimum Investment ($ Mil):

Pooled/Commingled Fund Minimum Investment ($ Mil):

Mutual Funds Minimum Investment ($ Mil):

--- --- --- ---

First $25 Million At: Next $75 Million At: Next $150 Million At: Next $250 Million At: Next -- Million At: Next -- Million At: Next -- Million At: Remaining Balance At:

0.80% 0.65% 0.55% 0.45%

First $50 Million At: Next $50 Million At: Next $150 Million At: Next $250 Million At: Next -- Million At: Next -- Million At: Next -- Million At: Remaining Balance At:

0.65% 0.60% 0.55% 0.45%

Ticker:

Fund Name: All Assets At:

--- --- ---

0.35%

All Assets At:

---

All Assets At:

---

Investment Philosophy

The ERShares proprietary Entrepreneur Factor (EF) model incorporates a bottom-up investment orientation, powered by artificial intelligence (“AI”), that includes investment criteria such as management attributes, sector, growth, value, leverage, market capitalization (size), momentum, and geographic orientation. With the aid of AI and thematic research, the advisor also incorporates a macro-economic, top-down approach that integrates changing investment flows, innovation entry points, sector growth and other proprietary characteristics into a dynamic, global perspective model. The Fund invests primarily in equity securities of mid capitalization (above $2.5 billion) companies traded on the NASDAQ, the New York Stock Exchange or other major U.S. exchanges. Companies that meet the EF threshold are typically found in the following categories: · Artificial Intelligence and Robotics · Cloud Computing · Genetic Engineering and Biotech · Digital Economy · E-Commerce · FinTech

· Intelligent Manufacturing · Interactive Entertainment · MedTech and Diagnostics · Nanotechnology · NextGen Transportation

· Renewable Energy · Space Exploration ·

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Snapshot

Investment Philosophy (continued)

Exploration · Sustainable Food Products · 3D Printing · 5G & NextGen Communication

Capital Impact

Aug 2005 - Sep 2021

ERShares US Mid Cap Strategy

Appendix

Date Range

Universe

US Dollar Currency

Frequency

FTSE 3-Month T-Bill Risk-Free Index

08/2005-09/2021

US Mid Cap Growth Equity

Monthly

Products & Benchmarks

Firm

Product

Data Source

Vehicle

Reporting Method Start

End

Capital Impact

ERShares US Mid Cap Strategy

I M

ERShares US Mid Cap Strategy

Gross

08/2005

09/2021

Russell Index

Russell 3000 Growth

I M

---

Index

01/1979

09/2021

Abbreviations & Definitions

RM - Reporting Method GF - Gross of Fees

SA - Separate/Segregated Account - This vehicle is comprised of an account or a composite of several accounts where the investor directly owns the securities instead of owning a share in a pool of securities. CF - Commingled Fund/Co-ownership - This vehicle is comprised of several accounts that are blended together, like mutual funds. Fees are generally lower for commingled accounts compared to mutual funds, and the minimum required investment is much higher. PF - Fund (Pooled/Mutual) - This vehicle is comprised of a pool of funds collected from many investors for investing in securities such as stocks, bonds, money market instruments, and similar assets. ETF - Exchange Traded Fund - This vehicle is comprised of an exchange traded fund, in which shares are made up of a basket of assets like a mutual fund but trade like a common stock on a stock exchange. LIF - Life Policy - An open-ended investment or insurance contract made available through a life insurance company. Converted - Manager performance values converted from base currency using Spot Rate.

NF - Net of Fees VT - Vehicle Type IX - Index IRD - Interest Rate Differential SR - Spot Rate IM - Input by Manager

eVestment Alliance, LLC and its affiliated entities (collectively, “eVestment”) collect information directly from investment management firms and other sources believed to be reliable, however, eVestment does not guarantee or warrant the accuracy, timeliness, or completeness of the information provided and is not responsible for any errors or omissions. Performance results may be provided with additional disclosures available on eVestment’s systems and other important considerations such as fees that may be applicable. Not for general distribution and limited distribution may only be made pursuant to client’s agreement terms. * All categories not necessarily included, Totals may not equal 100%. Copyright 2012-2021 eVestment Alliance, LLC. All Rights Reserved.

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