VMOT: Value Momentum Trend ETF

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White Paper

VMOT ETF Overview

1Acquired Fund Fees and Expenses are indirect fees and expenses that the Fund incurs from investing in the shares of other investment companies, including the Alpha Architect ETFs (as defined herein). The Acquired Fund Fees and Expenses have been revised based on the current investment advisory fee levels of the Alpha Architect ETFs; absent such revisions, the Acquired Fund Fees and Expenses and Fee Waiver would have been 0.79% and 0.45%, respectively.
2The Fund’s investment adviser has contractually agreed to waive all or a portion of its management fee for the Fund until at least January 31, 2020 to the extent necessary to prevent (i) management fees paid to the investment adviser for the Fund plus (ii) the aggregate amount of management fees paid to the investment adviser for management of the Alpha Architect ETFs (defined below) that are directly attributable to the Fund’s ownership of shares of the Alpha Architect ETFs, from exceeding 0.79% of the Fund’s daily net assets. This waiver agreement may be terminated only by agreement of the investment adviser and the Fund’s Board of Trustees. of Trustees.

VMOT NAV History

VMOT Price History

VMOT AUM History

VMOT ETF Performance

Monthly End Performance (%)

As of Date
10/31/2019

Returns are average annualized total returns, except those for periods of less than one year, which are cumulative.

The performance data quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance quoted. Market price returns are based upon the closing composite market price and do not represent the returns you would receive if you traded shares at other times.

Quarterly End Performance (%)

Date
09/30/2019

Returns are average annualized total returns, except those for periods of less than one year, which are cumulative.

The performance data quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance quoted. Market price returns are based upon the closing composite market price and do not represent the returns you would receive if you traded shares at other times.

VMOT ETF Holdings

Effective Date
11/22/2019

Fund holdings and allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security.

VMOT ETF Distributions

VMOT ETF Documentation

VMOT Index Information

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VMOT Index Constituents

Historical Constituents (Last 5 Years)

dateEffective MonthQV Index (%)QM Index (%)IQV Index (%)IQM Index (%)US Hedge (%)Int'l Hedge (%)
Nov 201911/30/201920.7422.9126.5329.810.000.00
Oct 201910/31/201923.0723.5428.0628.070.00-28.06
Sep 201909/30/201921.7325.7426.3728.160.00-27.27
Aug 201908/31/201922.9525.4226.5827.740.00-27.16
Jul 201907/31/201922.8624.3127.6428.300.00-27.97
Jun 201906/30/201921.2623.4026.4427.45-22.33-53.88
May 201905/31/201923.0722.4328.0426.460.00-27.25
Apr 201904/30/201924.2628.0227.3525.680.00-53.03
Mar 201903/31/201924.5927.7727.6924.980.00-52.68
Feb 201902/28/201923.9826.6626.9924.57-50.64-51.56

Calculation Notes:

Index Weight (%)

“Index Weight (%)” represents the allocation as a percentage of the total net asset value of the Index. Please note that the Index Weights are as of the Index Date.

Index Date

“Index Date” is the Day the 3rd Party Index Provider publishes the constituents/weights of the Index that will reflect the hedge position. The Index is effective before market open on the Index Date.

Effective Month

“Effective Month” is the month that the rule is applicable. e.g., “Dec 2015” would be deployed on the “Index Date” of December 2015.

VMOT Index Trend Following Signals

Calculation Notes:

Domestic Equity Signal

The Index will engage in hedging of its U.S. portfolio by shorting a representative broad-based U.S. securities index ETF when either one or both of the following conditions are met. First, the Index will hedge if the U.S. equity markets’ total return over a rolling twelve calendar month period is less than or equal to U.S. Treasury bill returns over the same period. Second, the Index will hedge when the U.S. equity markets’ twelve-month moving average exceeds current prices. There is a 50 percent weight to each rule. If both rules are triggered the Index’s U.S. equity portfolio will be fully hedged; if one rule is triggered the Index’s U.S. equity portfolio will be 50 percent hedged; and if no rules are triggered the Index’s U.S. equity portfolio will have no hedge.

International Equity Signal

The Index will engage in hedging of its international portfolio by shorting a representative broad based international securities index ETF when either one or both of the following conditions are met. First, the Index will hedge if the international equity markets’ total return over a rolling twelve calendar month period is less than or equal to the returns of the U.S. Treasury bill over the same period. Second, the Index will hedge when the international equity markets’ twelve-month moving average exceeds current prices. There is a 50 percent weight to each rule. If both rules are triggered the Index’s international equity portfolio will be fully hedged; if one rule is triggered the Index’s international equity portfolio will be 50 percent hedged; and if no rules are triggered the Index’s international equity portfolio will have no hedge.

Index Date

“Index Date” is the Day the 3rd Party Index Provider publishes the constituents/weights of the Index that will reflect the hedge position. The Index is effective before market open on the Index Date.