June 30, 2024

Advantage Small Cap Value
Seeks to match or exceed the performance of the Russell 2000 Value Index
over a full market cycle.
Morningstar® Category: US Equity Small-Cap Value

Portfolio Managers
Michael P. Dever
Professional Experience Since 1982
Robert B. Proctor
Professional Experience Since 1982

Strategy Performance—Hypothetical (%)

Calendar Year Returns

Average Annual Total Returns
Strategy

3 MonthAdvantage Small Cap Value-1.55%

1.96% 21.09%

3.52% 10.55%

9.21% 11.69%

Russell 2000 Value TR-3.64%-0.81% 10.94%-0.52%

6.23%

YTD

1 Year

3 Year

5 Year10 Year

7.08%SI

8.54%

Performance shown contains both actual and tested performance and is net of fees and expenses.
Please read all footnotes and disclaimers. Since Inception (SI) performance is from the start of theverified performance period in January 2013.

Value of a $10,000 Investment$35,000$30,000$25,000$20,000

Ending Value
Advantage Small Cap Value$35,669

Russell 2000 Value TR$25,653

Advantage
Small Cap Russell 2000Value
Value TR
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014

…............
…............
…............
…............
…............
…............
…............
…............
…............
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24.83%-14.53%23.23%
12.53%
26.68%-7.10%
14.71%
24.39%-7.93%
13.05%

14.65%-14.48%28.27%
4.63%
22.39%-12.86%7.84%
31.74%-7.47%
4.22%

Information Ratio: 0.42

$15,000$10,000$5,000Dec-12

Dec-14

Dec-16

Dec-18Dec-20Dec-22

Investment Philosophy and Strategy
The Advantage Small Cap Value strategy is based on the belief that by limiting market
losses, recoveries can start from higher levels and performance, over time, can exceedthat of a riskier investment. The average loss for the Russell 2000 Value Index during theCOVID Crash and 2022 bear market was -29.3% This required an average 41.5% return
just to get back to even. If instead the losses were constrained to the -22% indicated by
the tested performance of the Advantage Small Cap Value strategy, that same +41%
return would yield +10% in new profits. This is illustrated in the graph to the right.
Advantage Small Cap Value protects the downside with put options and then allocatesto a multi-strategy approach designed to pay for the cost of that put option protection.

Recovery

11,00010,000 Start
9,000
8,000

7,000
6,000

Average
LossAdvantage SC Value
Russell 2000 Value

Contact Information
For investment related questions please contact the investment manager: Robert Proctor: 610.361.1000 x102 orrob@brandywine.com.

Risk Analysis 5-Year

Advantage Small Cap Value

Investment
Advantage Small Cap Value

Morningstar Benchmark
Morningstar Small Value

Calculation Benchmark
Russell 2000 Value TR

12.00%

Advantage Small Cap Value
Morningstar Small Value

11.00%

Russell 2000 Value TR
10.00%
9.00%

Total Return

8.00%
7.00%
6.00%
18.00%

19.00%

20.00%

21.00%

22.00%

23.00%

24.00%

25.00%

26.00%

Standard Deviation
USD | Category: Morningstar Small Value | Index: Russell 2000 Value TR | Return and Standard Deviation as of June 30,2024

Risk & Volatility Measures
Trailing

Advantage Small Cap Value

Morningstar Small Value

Alpha

3.96

1.85

Beta

0.72

0.98

2R

96.79

99.16

Sharpe Ratio

0.45

0.28

Standard Deviation

18.48

24.27

USD | All Measures as of June 30, 2024 | Calculation Benchmark: Russell 2000 Value TR

Market Volatility Measures
Advantage Small Cap Value

Morningstar Small Value

Upside84

105

Downside

58

96

Drawdown

Advantage Small Cap Value %Morningstar Small Value %Maximum-26.17-36.97

Capture Ratios

Drawdown Peak Date

Drawdown Valley Date

Max Drawdown Duration

December 2019

March 2020

3 Months

USD | As of June 30, 2024 | Calculation Benchmark: Russell 2000 Value TR | Drawdown as of June 30, 2024

Footnotes and Disclaimers
Strategy Performance Disclaimer
The Strategy Performance displayed in this Fact Sheet includes performance that has been independently verified by Alpha Performance
Verification Services for the period January 2013 through June 2023, plus the actual performance of the Advantage Small Cap Value strategy
as reported beginning in July 2023. “Since Inception” starts in January 2013. The performance prior to July 2023, although verified, isconsidered hypothetical. The strategy combines significant exposure to the Russell 2000 Value index 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 oi 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 OPPORTUNITYFOR 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 TOACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEENHYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADINGPROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITHTHE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICALTRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THEABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES AREMATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORSRELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BEFULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY
AFFECT ACTUAL TRADING RESULTS.
Annual Operating Expense

Annual Percentage
Rate
Trustee/Management Expenses
0.70%
Estimated Acquired Fund Fees
0.03%
Estimated Administrative Expenses
0.05%
Total Annual Operating Expense
0.78%
Annual effect on the Fund's operating expense on $1,000 is $7.80
Prior year portfolio turnover: 31%

How to Invest
Investors may participate in the strategy through individually managed accounts or funds. A related CUSIP is 10532X889. Contact
the Investment Manager at Robert Proctor: 610.361.1000 x102 or rob@brandywine.com.