CHANGE FINANCE

2020 Q1 COMMENTARY

ECONOMY & MARKETS: The 11-year bull market that began in 2009 came to an abrupt and unsettling end in the first quarter of 2020 as a global pandemic upended the world and financial markets. The need for social distancing to curb the spread of the coronavirus halted most economic activity, both domestically and in many parts of the world. Additionally, a price war waged by OPEC and Russia caused oil prices to fall by 66.5% over the quarter, leading to more economic angst and downward pressure on stock prices. The S&P 500 dropped 19.6% in Q1. Energy was the worst performing sector, falling 51.6%, while Information Technology and Health Care fared the best, posting -12.5% and -12.7% returns, respectively. Larger cap companies also did considerably better than their smaller cap counterparts as investors fled risk assets in search of relative safety.

YTD Performance

-40%

-30%

-20%

-10%

0%

10%

-19.94% CHGX - NAV-19.60% S&P500TR

As of 3/31/20

As of 3/31/20

© 2019 Change Finance, PBC. All rights reserved.

12/31/193/31/20

As jobless claims spiked in unprecedented fashion, the federal government embarked on the most extensive stimulus measures in history to combat what is likely to be an economic crisis unlike anything experienced in post-war modern society. Asset managers, pundits, and all variety of talking heads are doing their best to interpret the situation for investors, but the unnerving reality is that we simply cannot know the breadth or depth of the recession that is coming or already here.

SUSTAINABILITY & ESG: On average, sustainable equity funds weathered the market downturn relatively well. Of course, sustainable equity funds posted significant losses but most managed to outperform their conventional counterparts as 70% of sustainable equity funds fell into the first or second quartile of their Morningstar peer group.1 Jon Hale, Head of Sustainability Research at Morningstar, credits ESG data for leading sustainable fund managers to higher-quality companies that are more attractive during times of economic upheaval. Sustainable funds also benefited from less exposure to the energy sector and more exposure to technology companies.1

We believe that the energy sector presents a very high risk profile. The oil price war that erupted between OPEC and Russia pushed oil prices down to levels that imperil many energy companies, specifically shale oil producers in the United States. Bloomberg New Energy Finance estimates that producers in the Permian Basin need $47 per barrel oil to break even, and oil prices ended the quarter at approximately $22 per barrel.2 Reduced demand due to the economic contraction adds to the stress for domestic oil companies and the financial

Performance Average Annualized

YTD Quarter 1 Year 3 YearSince Inception

(10/9/17)

CHGX NAV -19.94% -19.94% -8.95% N/A 2.14%

CHGX Market Price -20.23% -20.23% -8.61% N/A 2.24%

S&P 500 -19.60% -19.60% -6.98% N/A 2.64%

The performance data quoted represents past performance. Past performance does not guarantee future results. The 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 and current performance may be lower or higher than the performance quoted. Performance current to the most recent month-end can be obtained by calling (1-800-617-0004).

As of 3/31/20Expense Ratio: 0.49%

3/31/20

* Current Sustainability Score based upon 100% of AUM. Global Category: US Equity Large Cap Blend: 3,100 Funds. Sustainability Score as of Jan 31, 2020.

† Universe: All funds. Ranking 1,161 out of 5,071 funds. Gender Equality Rank as of 1/30/20.

Change Finance US Large Cap Fossil Fuel Free ETF

Morningstar Historical Sustainability Score Percent Rank Top 1%*

Fossil Fuel Exposure 0.0%

Carbon Footprint 86.2% Below S&P 500

Gender Equality Rank Top 22.9%†

Weapons Exposure 0.0%

institutions that finance their operations. When considered against the backdrop of issues facing the industry, such as pressure from renewable energy and inevitable climate change policies, the investment outlook for fossil fuel companies goes from dire to disastrous. Whiting Petroleum, domiciled here in our home state of Colorado, has already filed for Chapter 11, and analysts anticipate many more bankruptcies to follow.3

CHGX: Net Asset Value of the Change Finance US Large Cap Fossil Fuel Free ETF (CHGX) lagged the S&P 500 by 0.34% in the first quarter. CHGX had zero exposure to the energy sector, which contributed 1.34% of outperformance relative to the S&P 500. However, the equal weight structure of the fund led to decreased exposure to the largest US companies relative to the benchmark. This factor detracted from performance as investors sought relative safety in mega-cap names.

The fund also suffered from not owning Amazon, one of the largest constituents of the S&P 500 that performed well in Q1 as investors anticipated consumers would turn to the online retailer for goods during “shelter in place” orders from state and local governments. Amazon does not meet Change Finance's investment criteria due to its well-documented, poor labor practices. At Change Finance, we are focused on corporate behavior that could lead to litigation, regulation, or loss of social license. So while Amazon may experience a short-term benefit from the pandemic, we will remain concerned about its long-term risk profile until its labor policies improve.

CHGX continues to exhibit some of the highest sustainability metrics of any large cap blend fund on the market. The fund maintains no exposure to fossil fuels or weapons, and its Morningstar Historical Sustainability Score ranks within the top one percent of 3,100 US Equity Large Cap Blend Funds as of 1/31/20.

IMPACT AND ADVOCACY: During the first quarter of 2020, Change Finance launched a revamped shareholder advocacy initiative that began with an attempt to engage Bank of America on its fossil fuel financing practices. Research published in 2019 revealed that Bank of America loaned $20.2 billion to natural gas production and transportation companies between 2016 and 2018.4 We believe this represents a clear instance where the interests of stakeholders and shareholders are aligned. These financing activities contribute significantly to the climate crisis and also expose Bank of America shareholders to unnecessary risk of loan defaults as the oil price war, the economic downturn, policy headwinds, and increased competition from renewables push more energy companies into bankruptcy. In addition to contacting Bank of America directly, Change Finance has filed an online petition and is collaborating with other asset managers on this

SECTOR WEIGHTINGS

CHGX S&P 500

Information Technology 27.15% 24.48%

Health Care 16.39% 14.34%

Financials 16.72% 12.25%

Communication Services 3.44% 10.63%

Consumer Discretionary 13.12% 9.82%

Industrials 9.44% 8.49%

Consumer Staples 3.11% 7.38%

Energy 0.00% 3.61%

Utilities 2.42% 3.47%

Real Estate 6.95% 3.01%

Materials 1.25% 2.52%

important issue. Last year, Bank of America demonstrated a willingness to shift their policies by cutting off lending to private prisons and detention centers. We expect that mounting pressure from a large enough community of responsible investors can create a similar result concerning fossil fuel lending.

LOOKING FORWARD: While the first quarter of 2020 confronted us all with an extraordinarily challenging environment, we anticipate that the long-term implications of the first quarter will favor sustainable and responsible investment methodologies for the following reasons:

1. The oil price war and decreased fossil fuel demand will compound longer-term challenges facing the energy sector. As a fossil fuel free portfolio, CHGX should continue to benefit from the lack of exposure to fossil fuels and higher exposure to clean technology relative to the benchmark.

2. We anticipate that the crisis will exacerbate earnings volatility. Research informs us that the earnings volatility of companies with low ESG scores is five times greater than that of companies with high ESG scores.5 CHGX seeks to invest in the best US large cap ESG performers, and we expect these companies will experience less earnings degradation moving forward.

3. The pandemic has brought the social and labor practices of corporations into sharp focus. Some companies have demonstrated leadership in this arena. For example, Workday, Inc. offered their employees a cash-bonus equivalent to two-weeks pay to help cope with hardships resulting from the crisis. In addition to the moral imperative, we believe that such measures will increase the company’s social capital, helping it to attract more customers and top tier talent. Conversely, we know that ESG controversies can weigh on stock price performance for up to a year.5 Therefore, companies that exploit their workers during this crisis may detract from broad index returns moving forward. The Enhanced ESG Investment Methodology at Change Finance leads CHGX to invest in the former and avoid the later.

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3 ye

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ESG Ratings and Future Earnings Volatility25%

0%

15%

10%

5%

20%

Stocks with Top Quartile ESG

Rating

Stocks with 2nd Quartile ESG

Rating

Stocks with 3rd Quartile ESG

Rating

Stocks with Bottom Quartile

ESG Rating

Source Data: Bank of America Merrill Lynch

In sum, companies with superior sustainability metrics are high-quality companies. On average, they are attentive to the needs of their employees and customers, are better stewards of the environment, and govern themselves well. We firmly believe that high-quality, sustainable companies always represent the best investment opportunities, but that their attractiveness is elevated during times of economic hardship and uncertainty. We sincerely appreciate the confidence that our clients have placed in us, and rest assured that we are working diligently to ensure that CHGX continues to invest in the most responsible and sustainable large cap domestic enterprises.

1 Hale, Jon. 2020. “Sustainable Funds Weather the First Quarter Better Than Conventional Funds.” Morningstar, April 3. https://www.morningstar.com/articles/976361/sustainable-funds-weather-the-first-quarter-better-than-conventional-funds

2 Bloomberg NEF. 2020. “Is This the End of the U.S. Shale Oil Revolution?” Bloomberg, March 16. https://about.bnef.com/blog/is-this-the-end-of-the-u-s-shale-oil-revolution/

3 Turak, Natasha. 2020. “Whiting Petroleum is Just the ‘First Domino’ to Fall in US Shale Wipeout, Strategist Says.” CNBC, April 2. https://www.cnbc.com/2020/04/02/coronavirus-whiting-petroleum-is-just-the-first-domino-to-fall-in-us-shale-wipeout-strategist-says.html

4 Rainforest Action Network. 2019. Banking on Climate Change: Fossil Fuel Finance Report Card. https://www.ran.org/wp-content/uploads/2019/03/ Banking_on_Climate_Change_2019_vFINAL1.pdf

5 Bank of America Merrill Lynch. 2019. ESG Matters - US. 10 Reasons You Should Care About ESG. September 23. https://www.bofaml.com/content/dam/boamlimages/documents/articles/ID19_1119/esg_matters.pdf

Investing involves Risk. Principal loss is possible. Investments in Real Estate Investment Trusts (REITs) involve additional risks such as declines in the value of real estate and increased susceptibility to adverse economic or regulatory developments. The social, governance, and/or environmental policy of the Fund could cause it to make or avoid investment that could result in the portfolio underperforming similar funds that do not have such policies. Shares of any ETF are bought and sold at market price (not NAV), may trade at a discount or premium to NAV, and are not individually redeemed from the Fund. Brokerage commissions will reduce returns. Diversification does not assure a profit or protect against a loss in a declining market.

An investor should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing or sending money. This and other important information can be found in the Fund’s prospectus. To obtain a prospectus, please call 303- 339-0525 or visit http://changefinanceetf.com/chgx/prospectus. Please read the prospectus carefully before investing.

The Change Finance Diversified Impact U.S. Large Cap Fossil Fuel Free Index uses an objective, rules based methodology to measure the performance of an equal-

weighted portfolio of approximately 100 large cap U.S.-listed companies that meet a diverse set of environmental, social, and governance (“ESG”) standards.

The Change Finance U.S. Large Cap Fossil Fuel Free ETF is distributed by Quasar Distributors, LLC. The fund’s investment advisor is Change Finance, PBC. and Change Finance, PBC owns the index that underlines the fund. Quasar is not affiliated with Change Finance. References to specific securities or industries do no constitute a recommendation and are subject to risk. Fund holdings and allocations are subject to change. Fund holdings can be found at http://changefinanceetf.com/chgx.

The performance of the Fund may diverge from that of the index. Because the fund may employ a representative sampling strategy and may also invest in securities that are not included in the index, the fund may experience tracking error to a greater extent than funds that seek to replicate an index. The funds are not actively managed and may be affected by a general decline in market segments related to the index.

Effective April 18, 2018 the Fund's name changed from the Change Finance Diversified Impact U.S. Large Cap Fossil Fuel Free ETF to the Change Finance U.S. Large Cap Fossil Fuel Free ETF.

NAV: The Net Asset Value of a share of the ETF as calculated from the values of the underlying shares.

Market Price: the price at which a share of the ETF actually trades.

References to specific securities or industries do no constitute a recommendation and are subject to risk. Fund holdings and allocations are subject to change. Fund holdings can be found at http://changefinanceetf.com/chgx. As of 3/31/2020, Amazon.com, Inc. constitutes 0.00% of the Fund holdings, Workday, Inc. constitutes 0.88% of the Fund holdings, and Bank of America Corp constitutes 0.88% of the Fund holdings.

S&P 500: The Standard & Poor's 500, often abbreviated as the S&P 500, or just the S&P, is an American stock market index based on the market capitalizations of 500 large companies having common stock listed on the NYSE or NASDAQ. The S&P 500 index components and their weightings are determined by S&P Dow Jones Indices. It is not possible to invest directly in an index. (From Investopedia)

Basis Point: one hundredth of one percent, used chiefly in expressing differences of interest rates

Morningstar Sustainability Score: The Historical Sustainability Score is an exponential weighted moving average of the Portfolio Sustainability Scores over the past 12 months. The process rescales the current Portfolio Sustainability Score to reflect the consistency of the scores. The Historical Sustainability Score ranges between 0 to 100, with a higher score indicating that a fund has, on average, more of its assets invested in companies with high ESG Risk, on a consistent historical basis.

Morningstar calculates its Portfolio Sustainability Score when Morningstar receives

a new portfolio. Then, the Historical Sustainability Score is calculated one month and six business days after the reported as-of date of the most recent portfolio. As part of the evaluation process, Morningstar uses Sustainalytics’ ESG scores from the same month as the portfolio as-of date. Please visit http://corporate1.morningstar.com/SustainableInvesting/ for more detailed information about the Morningstar Sustainability Score methodology and calculation frequency.

Fossil Fuels Exposure: measures the percentage of a fund’s net assets invested in companies which own, extract, process, or burn fossil fuels for electricity generation. More information available from fossilfreefunds.org.

Carbon Footprint: measures the tons of carbon dioxide (CO2) emissions per $1 million invested in a fund. More information available from fossilfreefunds.org.

Gender Equality Rank: measures a fund’s performance relative to other funds in the same Morningstar category as assessed using a weighted average of scores received by companies in the fund on Equileap’s Gender Equality Scorecard which rates companies on gender balance in leadership and policies promoting gender equality. More information available from genderequalityfunds.org.

Gender Balance and Gender Policy scores are generated from data provided by Equileap, a social venture that aims to accelerate progress towards gender equality in the workplace. Gender Balance: companies can earn a max of 15 points based on the following criteria:

1. Board of Directors - Gender balance of the company’s board of directors/non-executive board (or supervisory board)

2. Executives — Gender balance of the company’s executives / executive board

3. Senior Management — Gender balance of the company’s senior management

4. Workforce — Gender balance of the company’s total employee workforce 5. Promotion and Career Development Opportunities — Ratio of each gender

in senior management compared to ratio of each gender in the workforce

Gender Policies companies can earn a max of 7 points based on the following criteria:

1. Fair Remuneration — Commitment to pay a fair wage to all employees, even in those countries that do not legally require a minimum

2. Training and Career Development — Commitment to ensure equal access to training and career development to both men and women, at all levels of the company

3. Recruitment Strategy — Commitment to ensure non-discrimination against any type of demographic group including women

4. Safety at Work — Commitment to the safety of employees in the workplace, in travel to and from the workplace and on company related business, and ensure the safety of vendors in the workplace

5. Human Rights — Commitment to ensure the protection of human rights, including employees’ rights to participate in legal, civic and political affairs

6. Social Supply Chain — Commitment to reduce social risks in its supply chain such as forbid business related activities that condone, support, or otherwise participate in trafficking, including for labour or sexual exploitation

7. Employee Protection — Systems and policies for the reporting of internal ethical compliance complaints without retaliation or retribution, such as access to confidential third-party ethics hotlines or systems for confidential written complaints

Weapon Exposure: measures the percentage of a fund’s net assets invested in companies that manufacture or sell civilian firearms, that manufacture or service nuclear weapons, that manufacture cluster munitions or land mines, or that are among the 100 largest military contractors. More information available from weaponfreefunds.org.