SmartBe Global Value Momentum Trend Following ETF (SBEA)

Agenda

2

1. Under the hood of SBEA

2. Performance

3. Application

3

Our belief is that quality historical academic data enables strong decisions

We use information and technology to create the best possible decision-making process and outcome

We want the confidence that we’re doing the right thing and continuously work to improve the investment journey

1 2 3

Investment Philosophy

Building Confidence in Value

4

1.Identify the investable Universe

Identify the investable Universe

Avoid permanent loss of capital

Identify cheapness Avoid

value trap Invest with conviction

2.Avoid permanent loss of capital

3.Identify cheapness 4.

Avoid valuetrap

5.Invest with conviction

1. Start with ~ 1000 largest firms

2. Remove land mines (fraud, manipulation & bankruptcy (~10%)

3. Focus on top decile companies ranked on EBIT/TEV

5. Focus on ~ 120 cheapest companies with the strongest balance sheets diversified across Canada, US and Developed markets

4. Apply quality scores using fundamentalmeasures of business strength

Building Confidence in Momentum

5

2.CoreMomentumScreen

3.QualityScreen

4.SeasonalityScreen

5.Invest with conviction

1. Start with ~ 1000 largest firms; > $2B Mkt. cap

2. Select top decile base on Price Momentum

3. Identify smooth momentum (50%)

5. Focus on ~ 130 highest quality momentum stocks diversified across Canada, US and Developed markets

4. Apply seasonality rebalancing1.Identify the investable Universe

Trend OverlayBehavioural Economics

6

Prospect Theory +ve

- ve

• Loss Aversion and poor decisions• Endowment Effect and cutting losses• Protection and Risk Adjusted Returns• Improved investment outcomes

Prospect theory introduced by Kahneman and Tversky in 1979

Trend Overlay

7

Time Series Momentum (Absolute performance)

Total return of underlying market index relative to T-bill

Rule 1 Simple Moving

Average (Relative performance)

Current Price of underlying index relative to its moving average

Rule 2

50% weight each

2 Trend Rules

Time Series Momentum Moving Average

Applied monthly at Asset Class Level (Canada, US and International)

Trend Overlay Example in Canada

88

Both Triggers100% Short Term Canadian Bonds

One Rule is Triggered50% allocation to Canadian Equity

No Triggers100% allocation to Canadian Equity

Canadian EquityTime Series Momentum Moving Average

Both Triggers0% Allocation to Factors

One Rule is Triggered50% Value & Momentum

No Triggers100% Value & Momentum

Canadian Value & Momentum ExposureTime Series Momentum Moving Average

Three portfolio strategies

9

Developed Equity, 33%

US Equity, 34%

Canadian Equity, 33%

Global Market Cap Portfolio Global Value Momentum Portfolio

Global Market Cap Portfolio is equally weighted between TSX S&P, S&P500 and MSCI EAFE Indices Global Value Momentum Portfolio is equally weighted between the Alpha Architect quantitative value and momentum indices for Canada, US and Developed Markets Global Value Momentum with Trend is the Alpha Architect Global Value Momentum and Trend for Canada Index (Gross)

Global Value Momentum with Trend

Three portfolio strategiesReturns in CAD for January 1995 to July 2019

10

Global Market Cap Global Value Momentum Global Value Momentum with Trend

Annualized Returns 8.08% 12.80% 12.28%

Growth of $10,000 $67,499 $193,099 $172,575

Standard Deviation 11.43% 13.81% 9.65%

Sharpe Ratio 0.54 0.78 1.02

Number of positive periods 191 out of 295(64.75%)

196 out of 295(66.44%)

200 out of 295(67.80%)

Max Drawdown -41.41%(Jun-07 to Feb-09)

-42.15%(Jun-08 to Feb-09)

-14.79%(May-11 to Sep -11)

Time to Recovery 4 years 3 Years 11 Months 1 year 5 months

Peak to Peak 5 Years 9 months 4 Years 8 months 1 Year 10 months

Global Market Cap Portfolio is equally weighted between TSX S&P, S&P500 and MSCI EAFE Indices; Global Value Momentum Portfolio is equally weighted between the Alpha Architect quantitative value and momentum indices for Canada, US and Developed Markets; Global Value Momentum with Trend is the Alpha Architect Global Value Momentum and Trend for Canada Index (Gross). Data analysis done via Portfolio Visualizer. Returns and dollars expressed do not include any transaction costs of implementing these strategies.

Global Balanced Portfolio vs SBEA

11

100% Global

Balanced Portfolio

80/20GBP/SBEA

60/40GBP/SBEA

40/60GBP/SBEA

100% SBEA

Annualized returns(1995 – 2018)

7.37% 8.39% 9.37% 10.33% 12.17%

Annualized Std.(1995-2018)

7.32 7.30 7.57 8.08 9.65

Growth of $1 $5.51 $6.91 $8.59 $10.59 $15.75

Range of returns(Annual)

-14.7% to 19.6% -13.6% to 20.6% -12.5% to 24.28% -11.38% to 30.14% -9.52% to 41.87%

Maximum Drawdown -22.79% -21.24% -19.68% -18.09% -15.75%

Global Balanced portfolio consists of 60% Equity and 40% Fixed Income.: 20% S&P/TSX index, 20% Russell 3000 index and 20% MSCI EAFE(gross div) index., 40% FTSE TMX Canadian bond Index. Annually rebalanced. SBEA Index Gross consist of US and CAN Value and Momentum indices net of 2% frictional costs and Int’l Value and Mom net of 3% frictional costs.

Investment JourneyReturns Jan 1995 to July 2019

12

In CAD. SBEA Index (Net) consists of GVMTC Index Gross adjusted for 1% frictional costs. GVMTC Index is annually rebalanced across QV, QM, IQV,IQM,CQV,CQM Indices (Net). ROBUST Trend manages a dynamic 0-100% stock/bond allocation component. Trend rules triggered monthly. The bond allocation is a Canada Treasury Bill Index prior to 1/1/2001, the iShares Core Canadian Short Term Bond Index ETF from 1/1/2001 to 1/31/2019, the Vanguard Canadian Aggregate Bond Index ETF from 2/1/2019 to 4/30/2019, and the iShares Core Canadian Short Term Bond Index ETF thereafter. Alpha Architect calculations through 1/31/2019; Solactive calculations thereafter. Solactive calculations use underlying indexes and individual stock constituents that are gross of underlying fees and therefore less conservative than the calculations prior to 1/31/2019. SBEA Benchmark is prospectus benchmark of 23.4% S&P/TSX Capped Composite index, 23.3% S&P500 Index, 23.3% MSCI EAFE Index, 30% S&P Canada T-Bill Index. Rebalanced monthly. Global Market Cap portfolio consists of 34% S&P500; 33% TSX and 33% MSCI EAFE index Data provided by Alpha Architect and Portfolio Visualizer

FOR PROFESSIONAL USE ONLY

Trend Following works in major market collapses

$0

$20,000

$40,000

$60,000

$80,000

$100,000

$120,000

$140,000

$160,000

$180,000

1995

-119

95-5

1995

-919

96-1

1996

-519

96-9

1997

-119

97-5

1997

-919

98-1

1998

-519

98-9

1999

-119

99-5

1999

-920

00-1

2000

-520

00-9

2001

-120

01-5

2001

-920

02-1

2002

-520

02-9

2003

-120

03-5

2003

-920

04-1

2004

-520

04-9

2005

-120

05-5

2005

-920

06-1

2006

-520

06-9

2007

-120

07-5

2007

-920

08-1

2008

-520

08-9

2009

-120

09-5

2009

-920

10-1

2010

-520

10-9

2011

-120

11-5

2011

-920

12-1

2012

-520

12-9

2013

-120

13-5

2013

-920

14-1

2014

-520

14-9

2015

-120

15-5

2015

-920

16-1

2016

-520

16-9

2017

-120

17-5

2017

-920

18-1

2018

-520

18-9

2019

-120

19-5

Global Market Cap

SBEA Index Net

SBEA Benhmark

You still have to own risk in short market

corrections

Annual Returns

13

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Global Market Cap Portfolio (CAD) Global Value Momentum Portfolio Global Value Momentum with Trend

Global Market Cap Portfolio is equally weighted between TSX S&P, S&P500 and MSCI EAFE Indices; Global Value Momentum Portfolio is equally weighted between the Alpha Architect quantitative value and momentum indices for Canada, US and Developed Markets; Global Value Momentum with Trend is the Alpha Architect Global Value Momentum and Trend for Canada Index (Gross). Data analysis done via Portfolio Visualizer. Returns and dollars expressed do not include any transaction costs of implementing these strategies.

In Cad for Period: January 1995 to July 2019

Rolling 5 Year Returns

-5.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Global Market Cap Global Value Momentum Global Value Momentum with Trend

Global Market Cap Portfolio is equally weighted between TSX S&P, S&P500 and MSCI EAFE Indices; Global Value Momentum Portfolio is equally weighted between the Alpha Architect quantitative value and momentum indices for Canada, US and Developed Markets; Global Value Momentum with Trend is the Alpha Architect Global Value Momentum and Trend for Canada Index (Gross). Data analysis done via Portfolio Visualizer. Returns and dollars expressed do not include any transaction costs of implementing these strategies.

In Cad for Period: January 1995 to July 2019

Historical Trend Off – Trend On

15

0

10

20

30

40

50

60

70

80

90

100

1995

-01

1995

-07

1996

-01

1996

-07

1997

-01

1997

-07

1998

-01

1998

-07

1999

-01

1999

-07

2000

-01

2000

-07

2001

-01

2001

-07

2002

-01

2002

-07

2003

-01

2003

-07

2004

-01

2004

-07

2005

-01

2005

-07

2006

-01

2006

-07

2007

-01

2007

-07

2008

-01

2008

-07

2009

-01

2009

-07

2010

-01

2010

-07

2011

-01

2011

-07

2012

-01

2012

-07

2013

-01

2013

-07

2014

-01

2014

-07

2015

-01

2015

-07

2016

-01

2016

-07

2017

-01

2017

-07

2018

-01

2018

-07

2019

-01

2019

-07

Perc

enta

ge

US Value US Momentum Developed Value Developed Momentum Canadian Value Canadian Momentum Canadian Bonds

Source: Alpha Architect Value and Momentum Indices for US, CAD and Developed Markets

The information contained on this website is: (i) for Canadian residents only; (ii) for informational purposes only; and (iii) not intended to be, nor shall it be interpreted as, a recommendation or the provision of advice (including without limitation financial, investing, sales, marketing, legal, accounting, or tax advice), and shall not be relied upon by you in that regard. SmartBe Wealth Inc. cannot guarantee the accuracy of any information contained in this website that is derived from third-party sources, although we believe those sources to be reliable.

SmartBe Wealth Inc. and its affiliates may receive compensation derived from investments in, or sales of, its products, or both. SmartBe Wealth Inc.’s products described in this website may not be applicable or available with respect to all investors, and may change without notice.

Past performance does not guarantee future comparable results. Exchange-traded funds (ETFs) are not guaranteed; their values change frequently and past performance may not be repeated. Investors will pay management fees and expenses, but they will not pay commissions or trailing commissions, and they may experience a gain or loss from their investment in or sale of an ETF.

You may request a prospectus [for an ETF] from your financial advisor by visiting smartbewealth.com, or by calling SmartBe Wealth Inc. at 403 930 8688. The prospectus includes investment objectives, risks, fees, expenses and other information that you should consider carefully before investing. Please consult a lawyer or tax professional regarding your specific legal or tax situation, respectively.