Brandywine Extended Market

Q2 2024
Strategy Fact Sheet

Investment StrategyOBJECTIVE

The Brandywine Extended Market strategy seeks to exceed the return of the Russell 2500 and othersmall and mid-cap equity blend indexes over a full market cycle, while seeking to limit downside risk.

STRATEGY
The strategy seeks to maintain exposure to U.S. small and mid-cap equities while protecting
the downside using Brandywine’s innovation of Risk Replacement. Risk Replacement uses
The Russell 2500 dropped more thanput options to offset equity market risk and seeks to pay for the cost of that option
24% during the 2022 bear market andprotection by investing in a broadly diversified systematic Return Driver Diversifier.(1)almost 30% during the COVID crash. By
reducing those losses to just –21%,
STRATEGY PERFORMANCE(2)investors can start their recovery from
The investment manager has traded the strategies underlying the Return Driver Diversifier higher levels.
in funds and managed accounts beginning in 1991. The returns below include that inThe result is not only reduced recovery
verified performance starting in January 2013, together with actual performance, astime but also potentially increased
described in the footnotes and disclaimers.
returns. This is why the Brandywine
Extended Market strategy has theSince
Strategy & Benchmark
YTD 3 Month 1 Year 3 Year 5 Year 10 Year
Inception potential to exceed the returns of theRussell 2500 over a full market cycle.
Brandywine Extended Market
5.79% -2.31% 15.25% 4.45% 12.33% 11.35% 13.67%
Russell 2500 TR

2.35%-4.27%

10.47%-0.29%

8.31%

7.99%

10.42%

ANNUAL RETURNS(2)
2023

2022

2021

2020

2019

20182017

2016

2015

2014

BEM

23.8% -17.3%

19.7%

26.5%

30.3%

-3.7%

22.7%

12.2%

-2.3%

16.3%

R2500

17.4% -18.4%

18.2%

20.0%

27.8% -10.0%

16.8%

17.6%

-2.9%

7.1%

SUMMARY PERFORMANCE & RISKMETRICS - HYPOTHETICAL(3)CAPTURE RATIO

100%

Brandywine Extended Market vs.
Russell 2500 TR

99%
69%

75%
50%
25%
0%

Upside Capture

Downside
CaptureYears
Annual RoR
Max Drawdown
Sharpe Ratio
Information Ratio

BEM

R2500

11 1/2
13.7%-20.8%
0.57
0.55

11 1/2
10.4%-29.7%
0.27-PROTECTION IN BEAR MARKETS
Average Loss During the COVID Crash
and 2022 Bear Market

Bear Market Protection
0%

Russell 2500:-27.3%
Brandywine Extended Market: -20.5%-10%

Had you been invested inBrandywine Extended Market insteadof the Russell 2500 you would havebeen protected from 1/4 of thelosses, while still preserving theupside potential.

-20%
-30%

Russell
2500 TR

Brandywine
ExtendedMarketRisk Replacement retains the upside
potential of owning the Russell 2500 but
offsets a portion of its high risk with thereduced risk of a portfolio diversified
across dozens of Return Drivers.
Brandywine Extended Market:• Holds significant long position in U.S.
small and mid-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 2500 is replaced by
the lower risk of holding a smaller
allocation made to Brandywine’s
Return Driver Diversifier.

CONTACT 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 Extended Market

Investment
Brandywine Extended Market

Morningstar Benchmark
Morningstar Small Blend

Calculation Benchmark
Russell 2500 TR

13.00%

Brandywine Extended Market
Morningstar Small Blend

12.00%

Russell 2500 TR
11.00%
10.00%

Total Return

9.00%
8.00%
7.00%
17.00%18.00%

19.00%

20.00%

21.00%

22.00%

23.00%

24.00%

Standard Deviation
USD | Category: Morningstar Small Blend | Index: Russell 2500 TR | Return and Standard Deviation as of June 30, 2024

Risk & Volatility Measures
Trailing

Brandywine Extended Market

Morningstar Small Blend

Alpha

4.72

(0.39)

Beta

0.75

0.98

2R

96.26

99.19

Sharpe Ratio

0.57

0.25

Standard Deviation

17.82

22.44

USD | All Measures as of June 30, 2024 | Calculation Benchmark: Russell 2500 TR

Market Volatility Measures
Capture Ratios

Brandywine Extended Market

Morningstar Small BlendUpside

9499

Downside68101

Drawdown

Brandywine Extended Market %Morningstar Small Blend %Maximum-20.83-32.44

Drawdown Peak Date

Drawdown Valley Date

Max Drawdown Duration

December 2019

March 2020

3 Months

USD | As of June 30, 2024 | Calculation Benchmark: Russell 2500 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 April 2023, plus the actual performance of the Brandywine Extended Market Founders Class fund as reportedby the Fund’s trustee beginning in May 2023. “Since Inception” starts in January 2013. The performance prior to May 2023, althoughverified, is considered hypothetical. The strategy combines significant exposure to the Russell 2500 and related equity indexes, which may
be obtained through the purchase of individual equities, mutual funds, ETFs or futures, with Brandywine’s Risk Replacement methodology.
This includes the performance of the strategy’s put option protection, which assumes the quarterly purchase of one-year put options
covering a portion of the account value, and an investment in Brandywine’s Return Driver Diversifier. Performance throughout the verifiedand actual period is reduced for the fees and expenses 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 OFWHICH 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
0.60%
Estimated Acquired Fund Fees
0.04%
Estimated Administrative Expenses
0.05%
Total Annual Operating Expense
0.69%
Annual effect on the Fund's operating expense on $1,000 is $6.90
Prior year portfolio turnover: 66% (ramp-up period during 1st year of trading)

ABOUT BRANDYWINEFounded in 1982, Brandywine Asset Management has a 40 year legacy of investment research, management and innovation.
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 canparticipate in the Brandywine Extended Market strategy through managed accounts or funds. Related CUSIP: 10532X707.