Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 31 May 2021

Performance Overview By the middle of May it looked like the mantra of “sell in May and go away” would hold true yet again. However, by the end of the month the S&P/ASX Small Ordinaries index reversed its 4% intra month decline to finish the month in positive territory (+0.27%). Eclipsing the returns of the small cap index was the S&P/ASX100 index that finished the month up 2.6%. The spark for the global equity market sell-off, and subsequent increase in the various volatility indices, was the returning fear of higher inflation coupled with tightening credit condition. However, yet again a combination of policy maker commentary and supportive economic data saw these fears abate with the market rebounding swiftly. During May, the annual Commonwealth budget provided local investors with a clearer view of the Australian post-COVID economic recovery and the outlook for the immediate future. Crucial takeaways were that Federal fiscal policy will remain expansionary for some time, and that the economic recovery had been much stronger than anticipated, with the outlook for growth and employment remaining positive. Other supportive data points released during the month included an upbeat major investor conference, where many Australian firms reported positive trading conditions, and the completion of the US reporting season, where 80% of firms beat consensus earnings forecasts. A catalyst for the divergence in Australia’s small and large cap returns was the continued outperformance of value stocks, and in particular the major miners and big four banks. By month end, the MSCI Australian Value index had outstripped the equivalent Growth index 3.7% to 2.2%, as cyclical stocks continued their upward trajectory, a trend which commenced in late 2020 with the announcement of the various COVID vaccines. The performance of value and cyclical stocks within the Australian small cap space meant the best performing sectors for the month were Energy (+8.1%) and Materials (+3.0%). Further, within the Materials sector the gold stocks delivered strong returns, while, despite healthy commodity prices, most non-gold producers and explorers lagged. The growth orientated Information Technology (IT) (-5.4%) sector was the month’s worst performer. Not far behind were the Industrials (-4.9%) and Consumer Staples (-4.3%) sectors. These three sectors had a host of stocks hit with specific negative catalysts, rather than any across the board weakness. Dominating the list of the best returns for the month were a host of Materials and Energy stocks. The standout performers were Chalice Mining (+27.2%), Alkane Resources (+26.5%), Resolute Mining (+25.8%), and New Hope (+24.9%). The month’s laggards all suffered from stock specific earnings issues. Following the announcement of international legal issues EML Payments fell -41.9%, while Perenti Global (-38.5%), Nuix (-33.1%) and Costa Group (-27.0%) all released disappointing earnings updates. Blue Orbit Systematic Alpha Fund Performance The Blue Orbit Australian Small Caps Systematic Alpha Fund posted a total return of 0.26% for May, in line with the Benchmark return of 0.27%.

Since Inception As at 31 May 2021 1 Month 3 Month 6 Months FYTD 1 Year (Annualised)2 Blue Orbit Australian Small Cap Systematic Alpha Fund1 0.26% 8.01% 13.67% 30.18% 30.43% 6.08% Benchmark3 0.27% 6.09% 10.42% 29.25% 26.73% 11.57% Excess Return -0.01% 1.92% 3.26% 0.92% 3.70% -5.49% 1. Returns shown are Net of Fees. Returns shown for the Lead Series (October 2019). 2. Inception Date is 11 October 2019. 3. Benchmark is the S&P/ASX Small Ordinaries Accumulation Index.

Portfolio Facts Fund Details Fund Valuation (AUD) $2,335,677 NAV unit price (Mid) $1.0880 Inception date 11 October 2019 Performance benchmark S&P/ASXS&P/ASX Small Small Ordinaries Ordinaries Accumulation Index Buy/sell spread 0.20%/ -0.20% Distributions Annually ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 1 Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 31 May 2021

Portfolio Characteristics Characteristics Portfolio Benchmark Top Ten Holdings Portfolio Benchmark Number of securities 102 199 Harvey Norman Holdings Ltd 3.51% 1.41% Market Capitalization 3,370 2,487 Champion Iron Ltd. 2.95% 0.83% Active Share 53.3 0.0 Codan Limited 2.92% 0.86% Dividend Yield 2.8 2.1 Eagers Automotive Limited 2.77% 1.03% Price/Earnings 16.6 15.3 Janus Henderson Group 2.65% 0.53% P/E using FY1 Est 15.0 18.1 Sandfire Resources Limited 2.48% 0.49% Price/Cash Flow 9.4 11.4 News Corporation 2.48% 0.71% Price/Book 2.1 2.0 Pro Medicus Limited 2.44% 0.85% ROE 12.2 5.0 Metcash Limited 2.20% 1.40% LT Debt to Capital 28.2 24.8 Platinum Asset Management Ltd 2.13% 0.53%

GICS Sector Breakdown Five Largest Overweight Positions Communication Services Security Portfolio Benchmark Active Consumer Discretionary Janus Henderson Group 2.65% 0.53% 2.12% Consumer Staples Champion Iron Ltd. 2.95% 0.83% 2.12% Energy Portfolio Harvey Norman Holding 3.51% 1.41% 2.10% Financials Benchmark Codan Limited 2.92% 0.86% 2.06% Health Care Sandfire Resources Limited 2.48% 0.49% 1.99% Industrials Five Largest Underweight Positions Information Technology Security Portfolio Benchmark Active Materials Charter Hall Long WALE REIT 0.00% 1.04% -1.04% Real Estate Bapcor Ltd 0.00% 1.07% -1.07% Utilities Iluka Resources Limited 0.00% 1.26% -1.26% Cash Vocus Group Limited 0.00% 1.31% -1.31% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% 24% 26% Steadfast Group Limited 0.00% 1.35% -1.35%

Performance Attribution Amongst May’s volatility, the Fund performed in line with its Benchmark. The main positive contributor was the Defensive signal, which had a strong month, and balanced the underperformance in the Quality and Trend Signals. Stock selection was the main source of positive attribution, with selections in the Consumer Discretionary (+0.26%) and Communications Services (+0.28%) delivering a majority of the outperformance. In terms of allocation attribution, the Fund primarily suffered from its underweight position in the Energy (+8.1%) sector, with an underweight to Real Estate (+2.6%) compounding the underperformance. An overweight position in the Materials (+3.0%) sector and an underweight to the Industrials (-4.9%) sector were the main positive sector allocation contributors. Regarding stock selection in the Consumer Discretionary sector, the Fund was overweight the following outperforming stocks, (+10.8%), Super Retail Group (+7.9%) and ARB Corporation (8.7%). However, an underweight to Corporate Travel (+12.7%) and an overweight to Accent Group (-6.0%) pared some of these gains. In the Communications Services sector, an underweight to Chorus (-6.0%) and an overweight to News Corp (+4.2%) produced meaningful outperformance. The Fund had a mixed, but ultimately negative, month in terms of selection gains from the Materials sector. While selection gains came from the performance of overweights Ramelius Resources (15.9%) and Sandfire (5.6%), along with poor performance of underweight holding Perenti Global, these gains were overwhelmed from being underweight Perseus Mining (+18.4%), and overweight Champion Iron (-3.7%) and Nickel Mines (-9.6%). The Fund also had mixed fortunes in the Consumer Staples sector with the gains from an overweight in Inghams (+7.9%) offset by the overweight to Costa Group (-27.0%).

ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 2 Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 31 May 2021

Sector Attribution

ASX Small Systematic S&P/ ASX Small Ordinaries Attribution Sector Attribution Average Contribution Average Contribution Selection + Total Return Total Return Allocation Total Weight To Return Weight To Return Interaction Consumer Discretionary 20.26% 1.09% 0.26% 16.89% 0.26% 0.07% 0.01% 0.17% 0.17% Communication Services 5.93% 2.68% 0.16% 5.77% 0.28% 0.02% 0.00% 0.14% 0.14% Health Care 5.40% -0.57% -0.03% 6.50% -0.99% -0.06% 0.01% 0.02% 0.03% Information Technology 7.46% -5.05% -0.41% 7.54% -5.43% -0.44% 0.01% 0.03% 0.03% Industrials 5.41% -5.48% -0.31% 6.45% -4.94% -0.33% 0.05% -0.03% 0.03% Financials 12.16% 1.83% 0.25% 13.78% 1.44% 0.22% -0.02% 0.04% 0.02% Utilities 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Materials 24.80% 2.46% 0.54% 21.28% 3.02% 0.58% 0.08% -0.12% -0.04% Real Estate 10.47% 2.43% 0.25% 12.86% 2.55% 0.33% -0.05% -0.01% -0.06% Consumer Staples 7.30% -5.18% -0.40% 6.71% -4.30% -0.30% -0.03% -0.07% -0.10% Energy 0.00% 0.00% 0.00% 2.22% 8.08% 0.18% -0.17% 0.00% -0.17% Cash 0.79% 0.00% 0.00% 0.00% 0.00% 0.00% 0.01% 0.00% 0.01% Total 100% 0.33% 0.33% 100% 0.27% 0.27% -0.10% 0.16% 0.07%

Size Attribution

ASX Small Systematic S&P/ASX Small Ordinaries Attribution Size Attribution Average Contribution Average Contribution Total Return Total Return Allocation Selection Total Weight To Return Weight To Return

Total 100.00 0.33 0.33 100.00 0.27 0.27 -0.08 0.15 0.07 Market Cap Quintile 1 (Large) 51.91 0.85 0.44 35.26 -0.04 -0.02 -0.05 0.47 0.42 Market Cap Quintile 2 13.38 -3.43 -0.48 27.66 0.42 0.11 -0.02 -0.52 -0.54 Market Cap Quintile 3 20.32 3.24 0.65 18.07 0.73 0.14 0.01 0.49 0.51 Market Cap Quintile 4 11.31 -2.71 -0.30 11.78 -0.17 -0.02 0.00 -0.29 -0.29 Market Cap Quintile 5 (Small) 2.29 0.70 0.03 7.22 0.74 0.05 -0.03 -0.00 -0.03 Cash 0.79 ------0.01 -- 0.01

Stock Attribution

ASX Small Systematic S&P/ ASX Small Ordinaries Attribution Stock Attribution Average Contribution Average Contribution Total Return Total Return Total Effect Weight To Return Weight To Return Top 5 Janus Henderson Group 2.60% 11.33% 0.28% 0.52% 11.34% 0.06% 0.22% Ramelius Resources Limited 1.47% 15.88% 0.22% 0.59% 15.88% 0.09% 0.13% Collins Foods Limited 1.62% 10.82% 0.18% 0.49% 10.82% 0.05% 0.12% Perenti Global Limited 0.00% 0.00% 0.00% 0.23% -38.53% -0.12% 0.12% Monadelphous Group Limited 0.00% 0.00% 0.00% 0.42% -22.51% -0.11% 0.11% Bottom 5 Fisher & Paykel Healthcare Corporation Limited 0.55% -16.95% -0.10% 0.00% 0.00% 0.00% -0.10% Whitehaven Coal Limited 0.00% 0.00% 0.00% 0.48% 23.05% 0.11% -0.10% Perseus Mining Limited 0.00% 0.00% 0.00% 0.62% 18.37% 0.11% -0.11% NRW Holdings Limited 1.04% -16.97% -0.20% 0.30% -16.97% -0.06% -0.14% Costa Group Holdings Ltd. 1.62% -27.04% -0.47% 0.68% -27.04% -0.20% -0.27%

ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 3 Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 31 May 2021

Alpha Signal Attribution

The Blue Orbit Systematic Alpha construction process combines four individual underlying Alpha signals – Defensive, Quality, Trend, and Value, developed using our proprietary internal quantitative research processes. The design intention of the four signals is to insure they will outperform in a variety of market environments through their diversified nature and low to negative correlations between each other. The Diversified Alpha Signal is the combination of the individual underlying Alpha Signals, and is the primary alpha input in the construction of the final portfolio, namely the Systematic Alpha Model. This model is the target model portfolio and determines the strategy underlying the implemented portfolio, that is, the Fund. The model is a theoretical target, and its returns do not include fees or transaction costs.

2 Year 2 Year 2 Year 1 Month 1 Month Alpha Signal Annualised Annualized Information Return Excess Excess Return Tracking Error Ratio

Small Ordinaries 0.27% Defensive Alpha Signal 1.64% 1.37% 0.03% 6.30% 0.00 Quality Alpha Signal -0.41% -0.67% 4.97% 6.54% 0.76 Trend Alpha Signal -0.25% -0.52% 3.05% 7.12% 0.43 Value Alpha Signal 2.38% 2.11% 5.66% 7.49% 0.75 Diversified Alpha Signal 0.33% 0.06% 1.32% 2.88% 0.46 Systematic Alpha Portfolio (Model) 0.43% 0.16% -3.09% 5.50% -0.56 Blue Orbit Australian Small Caps Systematic Alpha Fund* 0.33% 0.06% N/A N/A N/A *Fund Returns in this table are shown Gross of Fees.

Figure 1: Accumulative Signal Performance

Figure 1 provides a summary of the cumulative relative returns for each of the Alpha Signals and the Fund throughout May against their benchmark. The Value Signal was the clearly the best performed Signal for the month, with the Defensive Signal trailing it slightly. Both the Defensive and Value Signals performed very strongly during the weaker portion of the month, before tailing off as the market recovered in the back half of the month. The Quality Signal was very much the mirror image of the Defensive Signal, with its performance improving as the market picked up.

ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 4 Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 31 May 2021

Performance Commentary

Defensive Alpha Signal While the market delivered a positive return for the month, at one point it was down 4%. It was during this decline that the Defensive Signal generated the bulk of its outperformance. The outperformance largely came from superior stock selection, with sector allocations also assisting. Regarding sector allocation, the Signal’s main gains were from being overweight REITs and underweight IT. Trimming some of the gains was an underweight to the Materials sector. The Signal’s largest selection gains for month came from the Financials and IT sectors. Standout selections from the Financials sector were overweights to Janus Henderson (+11.3%) and Pendal (+8.3%) and an underweight to ZIP (-12.7%). The only noticeable detractor was an underweight in Virgin Money UK (+6.5%). From the underperforming IT sector, the Signal was underweight EML Payments, Nuix and Nearmap (-15.7%). An underweight to Megaport (4.2%) was a minor detractor. A larger detractor was the Signal’s selections in the Industrials and Materials sectors. From the Industrials sector, an underweight in CIMIC (+8.7%) and overweight positions in Monadelphous (-22.5%) and the Seven Group (-7.0%) were the main detractors. An overweight in SSR Mining (+20.8%) was a standout from the Materials sector, but its outperformance could not overcome the strong performance of the following underweights, Chalice Mining (+27.2%), Perseus Mining (+18.4%) and Silver Lake Resources (+15.2%).

Quality Alpha Signal With investors preferring the sanctuary of defensive and value stocks in May, the Quality Signal’s performance lagged the market. While Selection gains were positive for the month, they were not sufficient to overcome the negative sector allocation. The key sources of underperformance were an overweight position in the IT sector and an underweight to REITs and the Energy sector. The Signal’s stock selection in the Materials sector was a standout, with overweights Ramelius Resources, Silver Lake Resources, and Gold Road (+20.7%) the standouts. Unfortunately, some of the gains were trimmed through underweight positions in Chalice Mining, Perseus Mining and an overweight in Champion Iron. The Signal’s selections in the Healthcare, namely an underweight to Polynovo (-9.7%) and overweight to Integral Diagnostics (+8.1%), was another positive contributor. From the Consumer Discretionary sector, the noticeable performers were overweights Super Retail and Collins Foods (+10.9%) along with underweights to (-9.1%) and PointsBet (-8.6%). Within the IT sector, overweights Nearmap (-15.7%), Nuix (-33.1%) and Infomedia (-14.0%) were negative stock contributors to performance.

Trend Alpha Signal With May being characterised by a month of two halves, the Trend signal underperformed the Benchmark. Unlike the Quality Signal, here we saw poor stock selection overwhelming positive sector allocation attribution. Delivering most of the positive sector attribution was an overweight position in the Materials sector along with an underweight allocation to Industrials and IT sectors. An underweight allocation to the REIT sector dimmed some of those gains. In terms of stock selection, the Signal was not well positioned in the Materials, IT, and Financials sectors. Positions in the IT sector that detracted value included an overweight to EML Payments coupled with underweight holdings in Bravura Solutions (+21.6%) and IRESS (+6.1%). While the Signal was overweight Chalice Mining and underweight Perenti Global, these positions were not enough to cover the underweight positioning in gold stocks, including Perseus Mining, Gold Road, Silver Lake Resources and Ramelius Resources. Negative selections from the Financials sector included an overweight in Zip Payments and an underweight to IOOF Holdings (+8.2%) and Pendal.

Value Alpha Signal After a few months of subdued performance, the Value Signal had a very strong May. However, the Signal’s gains did not contribute to the Fund’s performance as this Signal is not currently switched on within the overall portfolio construction process. The Signal’s strong performance mainly came from stock selection, with selections in the Materials, IT and Financials sectors the crucial drivers. In terms of the Materials sector, the Signal was able to capture the gains from ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 5 Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 31 May 2021

various gold stocks and was underweight Perenti Global. The Signal avoided the poor performers in the IT sector (EML Payments and Nuix) and was underweight Zip Payments and overweight Janus Henderson in the Financials sector. While the Signal’s stock selections were strong, it did suffer slightly from being overweight the Industrials and Consumer Staples sectors, while being underweight REITs.

Diversified Alpha Signal Despite only the Defensive signal outperforming for the month, the Diversified Signal’s returns were marginally above its benchmark. This outcome highlights the strength of the Blue Orbit investment process by highlighting the process does not overly rely on tilting to any one Signal, or trying to aggressively time Signal rotations. The Diversified Signal saw a negative contribution from its sector positioning over the month, with the negative effects of an underweight allocation to the REIT and Energy sectors the main factors. The Signal’s small outperformance came off the back of stock selection in the Healthcare and Communication Services sectors. From the Healthcare sector, the highlights were being underweight Polynovo, Nanosonic (-8.0%) and Avita (-12.9%). An underweight to Chorus and an overweight to News Corp were responsible for the outperformance from the Communication Services sector. A key detractor was the Signal’s positioning within the IT sector, with an overweight to Nearmap, and underweight positions in Bravura and Megaport (+4.2%).

Conclusion May provided further evidence that global stock markets are far more resilient than many doomsdayers had anticipated. While the Australian market dipped at the start of the month, after hitting 12-month highs in April, the continual release of positive economic data and the furtherance of supportive economic policies provided the grounds for a rapid rebound. Importantly, Blue Orbit investors should take added confidence from the fact that the Fund has been able to provide strong outperformance over the previous 6-months, despite the fluctuating market environment. Going forward inflationary pressures are likely to keep investors on their toes for the remainder of the year but it will require a rapid reversal in interest rate policies by global central banks to truly rattle investors. This is not to say that there will not be further rotation amongst sectors and styles as investors balance their exposure to last year’s growth stories and those stocks riding the cyclical updraft. Regardless of the ultimate market outcome, Blue Orbit has undertaken the necessary research and has sufficient levers at its disposal to adjust the Fund to navigate the markets ahead.

Disclaimer

This report has been prepared for the general information of clients and professional associates of Blue Orbit Asset Management Pty. Ltd., ABN: 74 623 916 816 | AFSL: 513710 (Blue Orbit AM). This presentation has been prepared for use by wholesale clients only (within the meaning of the Corporations Act 2001 (Cth) and no other persons. Information presented in this document is general information only, and is not intended to constitute personal advice or recommendations. This information has not taken into account your investment objectives, financial situation or needs. We strongly recommend that you seek your own professional financial and legal advice prior to any investment decision. While every effort has been made to ensure accuracy at the time of compilation, Blue Orbit AM makes no warranties or representations as to the accuracy, completeness or reliability of this information, nor that it is free from error. You should read the information memorandum or other offer document for the Fund and consider whether an investment is appropriate for you. Unless otherwise stated, all returns shown in this presentation are simulated returns, and do not represent actual returns that an investor received. Neither Blue Orbit AM nor any other party guarantees any income or capital return from an investment and past performance is not an indication of future returns. Any forward looking statements in this presentation are based upon Blue Orbit AM’s current views and assumptions and involve known and unknown risks and uncertainties, many of which are beyond Blue Orbit AM’s control and could cause actual results, performance or events to differ materially from those expressed or implied. These forward-looking statements are not guarantees or representations of future performance and should not be relied upon as such. Blue Orbit AM undertakes no obligation to update any forward-looking statements to reflect events or circumstances after the date of this presentation. For more information please visit www.blueorbitam.com

ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 6