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Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 30 November 2019

Fund performance

The Blue Orbit Australian Small Caps Systematic Alpha Fund returned 1.95% in November, outperforming its benchmark (S&P/ASX Small Ordinaries Accumulation Index) which returned 1.56%. Global markets finished the month higher, with the S&P 500 up 3.4% (in USD) and MSCI World (Gross, in USD) up 2.63%. The Aussie dollar weakened over the month, down 1.8% against the US Dollar.

The Australian market had a strong month in November, with the S&P/ASX 100 up 3.4%. Small cap underperformed larger cap stocks, with the Small Ordinaries index up only 1.6% for the month.

Within small cap stocks, Information Technology (+9.4%) was again the top performing sector. Materials stocks were the weakest performers (-2.6%), and was the only negatively performing sector over the month.

As at 30 November 2019 1 Month 3 Month FYTD 1 Year Since Inception2 Blue Orbit Australian Small Cap Systematic Alpha Fund1 1.95% 2.37% 3 Benchmark 1.56% 2.23% Excess Return 0.40% 0.14% 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) $2,044,054 NAV unit price (Mid) $1.0237 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 Portfolio characteristics Characteristics Portfolio Benchmark Top Ten Holdings Portfolio Benchmark Number of securities 80 198 Holdings Ltd 4.55% 1.45% Market Capitalization 2,914 2,115 Technology One Limited 4.17% 1.12% Active Share 50.9 0.0 Group 4.14% 0.83% Dividend Yield 3.0 3.0 Independence Group NL 4.07% 1.37% Price/Earnings 21.9 19.6 Limited 3.24% 0.67% P/E using FY1 Est 18.8 17.8 Pro Medicus Limited 2.58% 0.50% Price/Cash Flow 15.5 12.5 Fisher & Paykel Healthcare Corp. Ltd 2.55% 1.50% Price/Book 2.5 1.9 Appen Ltd. 2.49% 1.24% ROE 16.3 13.7 Limited 2.44% 0.88% LT Debt to Capital 16.2 18.8 Limited 2.42% 0.44%

Five Largest Overweight Positions GICS Sector Breakdown Security Portfolio Benchmark Active Consumer Discretionary Harvey Norman Holdings Ltd 4.55% 1.45% 3.09% Consumer Staples Technology One Limited 4.17% 1.12% 3.05% Portfolio Energy Janus Henderson Group 4.14% 0.83% 3.31% Benchmark Financials Independence Group NL 4.07% 1.37% 2.70% Health Care Austal Limited 3.24% 0.67% 2.58% Industrials Information Technology Five Largest Underweight Positions Materials Security Portfolio Portfolio Active Real Estate Bapcor Ltd 0.00% 0.98% -0.98% Communication Services Limited 0.00% 0.99% -0.99% Utilities Charter Hall Long WALE REIT 0.00% 0.99% -0.99% Cash IRESS Limited 0.00% 1.12% -1.12% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% Nextdc Limited 0.00% 1.15% -1.15%

ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 1 Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 30 November 2019

Alpha Signal Attribution

2 Year 2 Year 12 Month 1 Month 1 Month Alpha Signal Annualised Annualized Information Return Excess Excess Return Tracking Error Ratio

Small Ordinaries 1.56% Defensive Alpha Signal 3.72% 2.16% 2.50% 3.91% 0.63 Quality Alpha Signal 0.25% -1.31% 7.15% 3.66% 1.91 Trend Alpha Signal 0.62% -0.94% 3.07% 3.90% 0.77 Diversified Alpha Signal 1.52% -0.03% 4.03% 1.65% 2.39 Systematic Alpha Portfolio (Model) 1.95% 0.39% 2.32% 3.29% 0.69 Blue Orbit Australian Small Caps Systematic Alpha Fund* 2.07% 0.52% N/A N/A N/A *Fund Returns in this table are shown Gross of Fees.

The Blue Orbit Systematic Alpha process is built from three individual underlying Alpha Signals developed using proprietary internal quantitative research processes. The three individual Signals are well diversified with low to negative correlations of active returns, and designed to outperform in differing market environments. The Diversified Alpha Signal is the combination of the individual underlying Alpha Signals, and is used as the main alpha input to construct the portfolio.

The Systematic Alpha Model is the target model portfolio that the strategy is traded towards. This model is a theoretical target, and its returns do not include fees or transaction costs. The returns shown here for the Blue Orbit Systematic Alpha Fund are the gross returns of the live Fund for the relevant period, shown after transaction costs but before management or performance fees.

Sector Attribution

ASX Small Systematic S&P/ ASX Small Ordinaries Attribution Sector Attribution Average Contribution Average Contribution Total Return Total Return Allocation Selection Total Weight To Return Weight To Return Information Technology 13.51% 13.69% 1.77% 8.42% 9.43% 0.78% 0.38% 0.34% 0.92% Financials 13.63% 7.52% 0.99% 11.33% 4.40% 0.48% 0.07% 0.34% 0.47% Energy 2.25% 11.92% 0.26% 3.02% 4.34% 0.13% -0.02% 0.22% 0.14% Consumer Staples 2.63% 5.46% 0.14% 7.49% 4.13% 0.30% -0.13% 0.11% -0.09% Communication Services 1.66% 2.82% 0.05% 4.86% 2.57% 0.12% -0.03% 0.02% -0.03% Real Estate 10.98% 0.99% 0.11% 12.89% 0.55% 0.06% 0.03% 0.06% 0.08% Utilities 0.00% 0.00% 0.00% 0.41% 2.53% 0.01% 0.00% 0.00% 0.00% Materials 16.42% -4.97% -0.81% 20.57% -2.64% -0.54% 0.18% -0.50% -0.22% Industrials 10.63% -1.32% -0.13% 8.19% 2.01% 0.16% 0.02% -0.27% -0.33% Health Care 8.42% -1.15% -0.10% 8.16% 0.20% 0.02% 0.00% -0.10% -0.12% Consumer Discretionary 18.97% -1.23% -0.22% 14.65% 0.23% 0.03% -0.05% -0.22% -0.32% Cash 0.91% 0.64% 0.00% 0.00% 0.00% 0.00% -0.01% 0.00% -0.01% Total 100% 2.05% 2.05% 100% 1.56% 1.56% 0.44% -0.01% 0.49%

ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 2 Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 30 November 2019

Stock Attribution

ASX Small Systematic S&P/ ASX Small Ordinaries Variation Attribution Average Contribution Average Contribution Contribution Total Return Total Return Weight To Return Weight To Return To Return Top 5 Technology One Limited 4.16% 26.12% 0.99% 1.00% 25.89% 0.23% 0.76% Janus Henderson Group 3.98% 14.63% 0.54% 0.79% 14.49% 0.11% 0.44% EML Payments Ltd. 1.84% 22.15% 0.38% 0.57% 19.71% 0.12% 0.27% Fisher & Paykel Healthcare Corporation Limited 2.35% 17.76% 0.39% 1.38% 17.72% 0.23% 0.16% Harvey Norman Holdings Ltd 4.50% 5.03% 0.22% 1.44% 5.13% 0.07% 0.15% Bottom 5 A.P. Eagers Limited 1.70% -20.27% -0.38% 0.98% -20.10% -0.22% -0.16% Jumbo Interactive Limited 2.43% -8.65% -0.20% 0.45% -7.61% -0.04% -0.16% Pro Medicus Limited 2.69% -7.85% -0.23% 0.52% -7.31% -0.04% -0.19% Saracen Mineral Holdings Limited 2.28% -17.94% -0.45% 1.44% -16.26% -0.26% -0.19% Independence Group NL 4.36% -7.75% -0.35% 1.46% -8.16% -0.12% -0.23% Performance Commentary

Defensive Alpha Signal The Defensive Alpha Signal outperformed the Benchmark by over 2% in November. Stock selection was again the key to the outperformance, particularly within the Materials sector, where stock selection added 1.12%. Key contributors to outperformance were the Signal being underweight in Saracen Minerals (-16.3%), Limited (-16.4%) and Corporation (-12.5%). Within Financials, an overweight position in Janus Henderson (+14.5%) was another strong contributor.

Quality Alpha Signal The Quality Alpha signal underperformed the Benchmark by 1.31% during the month. Sector allocation added a small amount of value, particularly the overweight to the strongly performing Information Technology Sector. However, stock selection detracted value, with the signal’s overweights to Ramelius Resources (-18.8%), Clinuvel Pharmaceuticals (-8.1%) and Pro Medicus Limited (-7.3%) the key detractors.

Trend Alpha Signal The Trend Alpha Signal underperformed the Benchmark by 0.94% month of November. Stock selection was again the key factor, detracting value particularly in the Consumer Discretionary and Materials sectors. The key stock detractors were the overweights to PolyNovo Limited (-20.8%), A.P. Eagers Limited (-20.1%) and the Signal not holding Group Ltd (+13.8%).

Diversified Alpha Signal The Diversified Alpha Signal underperfomed the Benchmark by 0.03%. Sector allocation added a small amount of value, particularly the overweight position in Information Technology. hHowever, stock selection was a detractor. Signal overweights to Ramelius Resources, Pro Medicus Limited and Clinuvel Pharmaceuticals were the key individual stock detractors, together with the signal not holding (+20%).

Systematic Model versus Diversified Alpha Signal The Systematic Model outperformed the Diversified Alpha Signal by 0.42%. Outperformance was primarily due to stock selection within the Information Technology and Financials sectors, together with a sector overweight to the strongly performing Information Technology sector.

Within Info Tech, the key contributor were the overweight positions in Technology One Limited (+25.9%) and Appen Limited (+12%). An overweight to Janus Henderson Group (+14.5%) within the model also added value, while overweights to Saracen Mineral and Independence Group detracted from outperformance.

Blue Orbit Systematic Alpha Fund Performance The Fund outperformed in November with a gross performance of 2.07%, outperforming its Benchmark by 0.52%. The Fund’s sector allocation added much of the value for the month, due to the Fund’s overweights to the outperforming Information Technology and Financials Sectors.

ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 3 Australian Small Caps Systematic Alpha Fund (Wholesale) Monthly Performance Report as at 30 November 2019

The Fund’s stock selection within these sectors also added value, with overweight to Technology One (+25.9%), EML Payments Ltd (+19.7%) and Janus Henderson Group (14.5%) the key contributors. An overweight to Independence Group NL (-8.2%) was the largest stock detractor in November.

The live performance of the Fund also outperformed its target Systematic model by 0.13% in November. The live Fund’s performance is expected to have small deviations from the model due to the impact of implementation costs (such as brokerage and market impact), the timing and execution of trading towards a new model, as well as the impact of cash drag. Conclusion

The Blue Orbit Australian Small Caps Systematic Alpha strategy uses stock active weight limits of ±3.0%, sector active weight limits of ±5.0%, holds 75 to 95 stocks, and targets a hit-rate of around 65%. The diversification and risk controls of the strategy means that extreme moves in a handful of individual stocks will only have a moderate effect on the portfolio relative to the benchmark in any one time-period. The strategy instead aims for consistent outperformance of the overall portfolio of stocks over longer time periods.

In November, two of the Alpha Signals underperformed the benchmark by around 1%, while the Defensive Alpha Signal balanced this by outperforming strongly. The shorter term signals and portfolio construction within the Systematic Model added value over the Diversified Alpha Signal in November, while the trading activity and implementation in the live Fund was also a value add for the month. In the current environment, global trade tensions are high and markets are frothy. Given the recent periods of outperformance in Value strategies in particular, the Systematic Alpha strategy has been performing well in a challenging market environment.

Disclaimer

This report has been prepared for the general information of clients and professional associates of Blue Orbit 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 4