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, Collins Foods (+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