Brandywine Large Cap

Q2 2024
Strategy Fact Sheet

Investment StrategyOBJECTIVE

The Brandywine Large Cap strategy seeks to exceed the return of the Russell 1000 and S&P 500 overa full market cycle, while also seeking to limit downside risk.

STRATEGY
The strategy seeks to maintain exposure to U.S. large-cap equities while protecting thedownside using Brandywine’s innovation of Risk Replacement. Risk Replacement uses put
options to offset equity market risk and seeks to pay for the cost of that option protection
by investing in a broadly diversified systematic Return Driver Diversifier(1) portfolio.

STRATEGY PERFORMANCE(2)The Russell 1000 dropped more than
24% during the 2022 bear market. By
reducing that loss to just 17%, investors
are able start their recovery fromhigher levels.

The investment manager has traded the strategies underlying the Return Driver Diversifierin funds and managed accounts beginning in 1991. The returns below include that inverified performance starting in January 2013, together with actual performance, as
described in the footnotes and disclaimers.

The result is not only reduced recoverytime but also potentially increasedreturns. This is why the Brandywine
Large Cap strategy has the potential toexceed the returns of the Russell 1000
Since
10 Year
Inception over a full market cycle.

Strategy & Benchmark

YTD

3 Month 1 Year

3 Year

5 YearBrandywine Large Cap

15.24%

4.24%

29.05%

11.10%

16.89%

14.64%

16.60%

Russell 1000 TR

14.24%

3.57%

23.88%

8.74%

14.61%

12.51%

14.28%

ANNUAL RETURNS(2)
2022

2021

2020

2019

2018

2017

2016

2015

2014

BLC

29.0% -15.6%

2023

26.0%

23.4%

32.6%

-0.1%

26.4%11.8%-0.2%

19.4%

R1000

26.5% -19.1%

26.5%

21.0%

31.4%

-4.8%

21.7%

12.1%

0.9%

13.2%

SUMMARY PERFORMANCE & RISKMETRICS - HYPOTHETICAL(3)CAPTURE RATIO

Brandywine Large Cap vs.
Russell 1000 TR

102%
100%

BLC

76%
75%

50%

Upside Capture

Downside
CaptureYears
Annual RoR
Max Drawdown
Sharpe Ratio
Information Ratio

R1000

11 1/2 11 1/2
16.6% 14.3%-17.2% -24.6%
0.99
0.67
0.39
-PROTECTION IN BEAR MARKETS
Loss During the 2022 Bear Market
Russell 1000:
Brandywine Large Cap:

-24.6%-17.2%

Had you been invested in
Brandywine Large Cap instead of theRussell 1000 you would have
reduced your loss by 30%,
while still preserving the upside
potential.

Bear Market Protection

Risk Replacement retains the upside
potential of owning the Russell 1000 but
offsets a portion of its high risk with the
reduced risk of a portfolio diversified
across dozens of Return Drivers.
Brandywine Large Cap:
• Holds significant long position in U.S.
Large-cap equities• Buys put options to offset a portionof the downside risk, then• Seeks to pay for the cost of the put
protection by investing in a more
broadly diversified overlay portfolio,
the Return Driver Diversifier.
That’s it. 100% equity exposure ismaintained. But a portion of the risk ofowning the Russell 1000 is replaced by
the lower risk of holding a smaller
allocation made to Brandywine’s
Return Driver Diversifier.

0%-5%-10%-15%-20%-25%

Russell1000 TR

Brandywine
Large CapCONTACT INFORMATIONFor Investment related questions
please contact Rob Proctor at
Brandywine Asset Management at:
610-361-1000 x102 orrob@brandywine.com. You may also
use this calendal link to schedule acall: https://connect.brandywine.com/
meetings/robproctor/zoom

Risk Analysis 5-Year

Brandywine Large Cap Strategy

Investment
Brandywine Large Cap

Morningstar Benchmark
Morningstar Large Blend

Calculation Benchmark
Russell 1000 TR

18.00%

Brandywine Large Cap
Morningstar Large Blend
Russell 1000 TR

17.00%
16.00%
15.00%

Total Return14.00%
13.00%
12.00%
14.00%

15.00%

16.00%

17.00%

18.00%

19.00%

20.00%

Standard Deviation
USD | Category: Morningstar Large Blend | Index: Russell 1000 TR | Return and Standard Deviation as of June 30, 2024

Risk & Volatility Measures
Trailing

Brandywine Large Cap

Morningstar Large Blend

Alpha

4.46(0.61)

Beta

0.77

0.94

2R

96.07

99.61

Sharpe Ratio

0.99

0.63

Standard Deviation

14.80

17.49

USD | All Measures as of June 30, 2024 | Calculation Benchmark: Russell 1000 TR

Market Volatility Measures
Capture Ratios

Brandywine Large Cap

Morningstar Large Blend

Upside9394

Downside

6799

Drawdown

Brandywine Large Cap %Morningstar Large Blend %Maximum-17.23-23.30

Drawdown Peak Date

Drawdown Valley Date

Max Drawdown Duration

December 2021

September 2022

9 Months

USD | As of June 30, 2024 | Calculation Benchmark: Russell 1000 TR | Drawdown as of June 30, 2024

FOOTNOTES & DISCLAIMERS(1) A “Return Driver” is the primary underlying condition that drives the price of a market. The “Return Driver Diversifier” is a portfolio
comprised of numerous Return Drivers trading across dozens of uncorrelated markets. As espoused by modern portfolio theory, thisenables the creation of a lower risk portfolio used to pay for the cost of the strategy’s put protection and is a primary element ofBrandywine’s innovation of Risk Replacement.
(2) “Strategy Performance” includes performance that has been independently verified by Alpha Performance Verification Services for theperiod January 2013 through June 2023, plus the actual performance of the Brandywine Large Cap strategy as reported beginning in July
2023. “Since Inception” starts in January 2013. The performance prior to July 2023, although verified, is considered hypothetical. Thestrategy combines significant exposure to the Russell 1000 and related equity indexes, which may be obtained through the purchase ofindividual equities, mutual funds, ETFs or futures, with Brandywine’s Risk Replacement methodology. This includes the performance of thestrategy’s put option protection, which assumes the quarterly purchase of one-year put options covering a portion of the account value, andan investment in Brandywine’s Return Driver Diversifier. Performance throughout the verified and actual period is reduced for the fees andexpenses displayed in the table below.
The actual performance of Brandywine’s Return Driver Diversifier during the verified period is based on the actual trading performance ofBrandywine’s futures trading programs from January 2013 through June 2018 and June 2020 through February 2023, and actual trading
beginning in May 2023. The tested performance includes the periods July 2018 through May 2020, and March through April 2023. All
performance is based on the performance of an initial $10,000 investment, with dividends and other earnings reinvested and based onmonthly settlement prices for all investments in the strategy.
The effect of material market or economic conditions on the strategy’s performance may result in performance for the strategy that varies
from that of its benchmark index. For example, the use of put protection in the actual performance of the strategy may result in the strategy
losing less when the strategy’s benchmark index falls and in periods of strong benchmark index performance the strategy may underperform
if the performance of the Return Driver Diversifier does not offset the losses incurred by the put protection.
Potential investors are encouraged to contact Brandywine with any questions related to the performance of the strategy, which is based on
Brandywine’s actual trading experience starting in 1991, in order to better understand how the risks and limitations of the strategy may affectany investment decisions to the extent they may not be reflected in the actual and backtested performance.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. THERE IS THE RISK OF LOSS AS WELL AS THE OPPORTUNITY FOR
GAIN WHEN INVESTING IN THIS STRATEGY. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF
WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITSOR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICALPERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OFTHE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OFHINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORDCAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTANDLOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CANALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS INGENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THEPREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
(3) “Annual RoR” (Rate of Return) and “Max Drawdown” are from the start of the verified performance period beginning January 2013.
“Sharpe Ratio” and “Information Ratio” are calculated over the past five years.

Annual Operating Expense
Annual Percentage Rate
Trustee/Management Expenses
0.40%
Estimated Acquired Fund Fees
0.03%
Estimated Administrative Expenses
0.01%
Total Annual Operating Expense
0.44%
Annual effect on the Fund's operating expense on $1,000 is $4.44
Prior year portfolio turnover: 0%

ABOUT BRANDYWINEFounded in 1982, Brandywine Asset Management has a greater than 40-year legacy of investment research, management andinnovation. Brandywine’s founder and CEO is a featured subject in three books and wrote a best-selling book describing
Brandywine’s Return Driver based investment approach. This is a key component of Brandywine’s innovation of Risk Replacement.
Investors can participate in the Brandywine Large Cap strategy through managed accounts or funds. Related CUSIP: 10532X400.