ETF Risk Report: BRF Buyer beware: Every ETF holds the full risk of its underlying equities Disclosures in the best interest of investors VanEck Vectors Brazil Small-Cap ETF Gray Swan Event Risks exist for every equity held by BRF. Gray swan events include accounting fraud, management failures, failed internal controls, M&A problems, restatements, etc. These risks occur infrequently, but Gray Swan Event Factor for BRF 1.69% consistently for all equities. Equities account for 65.65% of BRF’s assets. Most investors ignore these risks until after they are disclosed; whereupon a stock’s price drops precipitously. Just as insurance companies can predict likely costs for a driver’s future car accidents based on the driver’s history, Watchdog Research contacts each ETF asking how they notify investors about we predict the likely cost (price drop) for BRF following accounting governance risks in equities in their fund. We will publish their response gray swan disclosures within its holdings. The expected when received. price decrease across the BRF equity portfolio is 1.69%. However, individual equity risks vary signicantly. This report helps investors know their risk exposure. Inception Date: 05/12/2020 Year-to-Date Return: -8.16% Passively managed, the fund tracks the MVIS Brazil Small- Cap Index, which includes securities of Brazilian small- Net Assets: $45.2m 1-Year Return: 51.79% capitalization companies. As of December 31, 2019, the Brazil Small-Cap Index included 66 securities of Price: $19.56 3-Year Return: -4.27% companies with a market capitalization range between Net Asset Value (NAV): $19.64 5-Year Return: 12.98% approximately $406.1 million and $3.4 billion and a weighted average market capitalization of $2.0 billion. Net Expense Ratio: 0.63% Yield: 1.80% The Brazil Small-Cap Index is reconstituted semi-annually and rebalanced quarterly. As of: 03/31/2021 Company Ticker Held Current GSEF Category Value Top Holdings by Value Embraer S.A. ERJ Long 0.52% Low $1.87m This table shows Gray Swan Event Factors for the top ten equity holdings by dollar-value, as of Sep 24, 2021. Azul Sa AZUL Long 0.65% Low $1.61m Investors should invest in ETFs only when they adequately Companhia De Locaca... LCAM3 Long - NA $1.3m understand an ETF’s risks. Buyer beware. ETF prospectuses generally acknowledge that ETF managers Oi Sa Adr OIBRC Long - NA $1.3m do NO traditional risk analysis on equities in their fund. Cogna Educacao COGN3BZ Long - NA $1.24m Our Gray Swan Event Factors are meant to inform investors of signicant traditional accounting and Gol Intelligent Air... GOL Long 5.69% High $1.2m managerial risks for the equities in each ETF. Br Malls BRML3 Long - NA $1.18m ETF Risk Reports are published quarterly on dedicated Cyrela Brazil Realt... CYRE3 Long - NA $1.12m platforms like Factset, Renitiv, Capital IQ etc. Weekly updates are available for a paid subscription. Fleury Sa FLRY3 Long - NA $1.09m For more details contact: [email protected] Duratex Sa DTEX3 Long - NA $1.03m Company Ticker Held Current GSEF Category Value Riskiest Holdings Gol Intelligent Air... GOL Long 5.69% High $1.2m This table shows the individual Gray Swan Event Factors for this ETF’s most at-risk equities as of Sep 24, 2021. Smart Global Holdin... SGH Long 1.70% Low $326k The average equity GSEF across 6,500 public equities is Arcos Dorados Holdi... ARCO Long 1.09% Low $455k 1.25%. Equities with a GSEF between 5% and 10% are considered high risk. Equities with a GSEF above 10% are Adecoagro S.A. AGRO Long 0.83% Low $449k extreme risks. Gray Swan Event Factors are derived from skilled analysts Azul Sa AZUL Long 0.65% Low $1.61m charting 15 years of negative gray swan event disclosures Ituran Location & C... ITRN Long 0.64% Low $264k against stock price declines following such disclosures. A Gray Swan Event Factor is an assessment of the Embraer S.A. ERJ Long 0.52% Low $1.87m likelihood of, and 12-month price risk for, gray swan Companhia De Locaca... LCAM3 Long - NA $1.3m events for each equity. Oi Sa Adr OIBRC Long - NA $1.3m Cogna Educacao COGN3BZ Long - NA $1.24m Watchdog Research, Inc. • www.watchdogresearch.com • [email protected] • (855) 820-6272 This table lists the equity holdings for VanEck Vectors Brazil Small-Cap ETF ranked by highest GSE Factor (riskiest rst). We list all equities (US and foreign) for this ETF. However, some foreign listings only show via a ticker. To further evaluate risks, you can access details for each company by opening its Brief Watchdog Report available for viewing and pdf download. The report is free to readers for their personal consumption and it includes the executive summary data pulled from the full Watchdog Report. To learn more about the full Watchdog and GSEF Reports go to last page or visit watchdogresearch.com. Company Access Details Ticker Held Current GSEF Category Value Gol Intelligent Airlines Inc. Watchdogresearch.com/watchdog/$GOL GOL Long 5.69% High $1.2m Smart Global Holdings, Inc. Watchdogresearch.com/watchdog/$SGH SGH Long 1.70% Low $326k Arcos Dorados Holdings Inc. Watchdogresearch.com/watchdog/$ARCO ARCO Long 1.09% Low $455k Adecoagro S.A. Watchdogresearch.com/watchdog/$AGRO AGRO Long 0.83% Low $449k Azul Sa Watchdogresearch.com/watchdog/$AZUL AZUL Long 0.65% Low $1.61m Ituran Location & Control Ltd. Watchdogresearch.com/watchdog/$ITRN ITRN Long 0.64% Low $264k Embraer S.A. Watchdogresearch.com/watchdog/$ERJ ERJ Long 0.52% Low $1.87m Companhia De Locacao Das Ame Common - LCAM3 Long - NA $1.3m Stock Oi Sa Adr - OIBRC Long - NA $1.3m Cogna Educacao - COGN3BZ Long - NA $1.24m Br Malls - BRML3 Long - NA $1.18m Cyrela Brazil Realty Sa Empreendimentos E - CYRE3 Long - NA $1.12m Participacoes Fleury Sa - FLRY3 Long - NA $1.09m Duratex Sa - DTEX3 Long - NA $1.03m Sao Martinho Sa - SMTO3 Long - NA $997k Santos Brasil Participacoes Sa - STBP3 Long - NA $924k Irb Brasil Resseguros Sa Common Stock - IRBR3 Long - NA $905k Arezzo Industria E Comercio S.A. - ARZZ3 Long - NA $861k Cvc Brasil Operadora E Agenc - CVCB3 Long - NA $860k Qualicorp Sa - QUAL3 Long - NA $820k Eztec Empreendimentos E Participacoes - EZTC3 Long - NA $802k Sa Aliansce Sonae Shopping Cent - ALSO3 Long - NA $759k Ero Copper Corp - ERO Long - NA $748k Omega Geracao Sa Common Stock - OMGE3 Long - NA $657k Slc Agricola Sa - SLCE3 Long - NA $629k Light Sa - LIGT3 Long - NA $616k Mrv Engenharia - MRVE3 Long - NA $614k Cia Hering Sa - HGTX3 Long - NA $601k Anima Holding Sa - ANIM3 Long - NA $595k Iguatemi Empresa De Shopping Centers - IGTA3 Long - NA $593k S.A Odontoprev S.A. - ODPV3 Long - NA $528k Cia De Saneamento De Minas Gerais - CSMG3 Long - NA $499k Copasa Common Stock Brl 0 Movida Participacoes Sa Common Stock - MOVI3 Long - NA $449k Lojas Quero Quero Sa - LJQQ3 Long - NA $436k Watchdog Research, Inc. • www.watchdogresearch.com • [email protected] • (855) 820-6272 Company Access Details Ticker Held Current GSEF Category Value Minerva Sa - BEEF3 Long - NA $427k Largo Resources Ltd. Watchdogresearch.com/watchdog/$LGO LGO Long - NA $381k Grendene Sa - GRND3 Long - NA $353k Ecorodovias - ECOR3 Long - NA $348k Br Properties Sa - BRPR3 Long - NA $321k Jhsf Participacoes - JHSF3BZ Long - NA $314k Modec Inc - 6269 Long - NA $307k Guararapes - GUAR3 Long - NA $299k Bk Brasil Operacao E Assesso - BKBR3 Long - NA $284k Tupy Sa - TUPY3 Long - NA $273k Dimed Sa Distribuidora Da Medicamentos - PNVL3 Long - NA $260k Construtora Tenda Sa Common Stock Npv - TEND3 Long - NA $253k Iochpe Maxion S.A. - MYPK3 Long - NA $250k Enauta Participacoes Sa /Brl/ - ENAT3 Long - NA $243k Mahle Metal Leve Sa - LEVE3 Long - NA $217k Log Commercial Properties E - LOGG3 Long - NA $209k Sonda Sa - SONDA Long - NA $200k Direcional Engenharia Sa - DIRR3 Long - NA $196k Even - EVEN3 Long - NA $195k Instituto Hermes Pardini Sa Common - PARD3 Long - NA $163k Stock Ser Educacional Sa - SEER3 Long - NA $155k Camil Alimentos Sa - CAML3 Long - NA $114k Watchdog Research, Inc. • www.watchdogresearch.com • [email protected] • (855) 820-6272 This is a story about four people investing in ETFs. They are named Everybody, Somebody, Anybody and Nobody. Everybody wanted to buy ETFs because ETFs are such great investments. “Not so fast,” said Somebody. “Nobody should buy an ETF without rst understanding the accounting and disclosure risks for the ETF’s basket of stocks.” Everybody scoffed: “Don’t be silly! What could go wrong? Let’s just BUY immediately! Somebody at the ETF must have done that work for us.” Anybody explained how Everybody was wrong in their thinking: “Most ETF prospectuses specically say Nobody at the ETF actually does traditional stock risk analysis.” Everybody read many ETF prospectuses, and, sure enough, Anybody was right! So, while Everybody should know the risks before buying an ETF, Nobody was actually doing it. Until this report was created. Watchdog Research, Inc. educates investors on accounting and disclosure risks. Full Watchdog and Gray Swan Event Factor Reports offer in-depth information about identied risks. See more about Watchdog Research Inc. and available subscriptions below. Watchdog Research, Inc. is an independent research organization that does not make "buy", "sell" or "hold" recommendations and does not trade in public stocks. About Watchdog Research, Inc. Watchdog Research, Inc. is an independent research provider and publisher of Watchdog Reports. Watchdog Research analysts track gray swan events and critical disclosures for over 4,500 public companies. Gray swan events are reliably predictable, yet infrequent disclosures that expose a company's failures in accounting, internal controls, management integrity and which negatively impact stock prices or increase probabilities for a lawsuit.