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O ’ S H A R E S S T R A T E G Y S E R I E SNOVEMBER 2019

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Learn more:OUSM: Quality Small-Caps, Stronger Profitability

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U.S. Small-Caps Beat U.S. Large-Caps 12 Times Since 2000

Source: Bloomberg Finance L.P. Data as of 10/31/2019.US: S&P 500. The S&P 500 is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investmentproducts. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization. US Small Cap: Russell2000 Index. The Russell 2000 Index is comprised of the smallest 2000 companies in the Russell 3000 Index, representing approximately 8% of the Russell3000 total market capitalization. Asia Pacific: MSCI AC Asia Pacific Index. Captures large and mid cap representation across 5 Developed Markets countriesand 9 Emerging Market countries in the Asia Pacific region. Europe: EURO STOXX 50 Net Return USD. STOXX 50 Return Index USD is a capitalization-weighted index of 50 European blue-chip stocks. MSCI World ex USA Index: Captures large and mid cap representation across 22 of 23 developed marketsexcluding the United States.Past performance is no guarantee of future results. The referenced indices are shown for general market comparisons and are not meant to represent theFund. Investors cannot directly invest in an index.

• Total return since 2000:

Small-caps: 315%

Large-caps: 234%

• Small-caps have outperformed by over 80% since 2000.

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 YTD

-3.1% 2.5% -8.1% 47.3% 20.9% 24.1% 32.0% 21.5% -33.8% 38.2% 26.8% 2.1% 19.9% 38.8% 13.7% 1.4% 21.3% 32.3% -4.4% 23.2%

-8.0% -11.9% -15.4% 42.5% 18.9% 15.1% 26.3% 14.9% -37.0% 34.5% 17.5% -4.2% 17.4% 32.4% 4.9% -1.5% 12.0% 24.9% -11.0% 20.3%

-9.1% -20.3% -20.5% 41.3% 18.3% 7.6% 18.3% 13.0% -41.4% 29.7% 15.1% -11.7% 17.1% 27.0% 0.5% -2.5% 5.4% 24.3% -13.1% 17.9%

-13.0% -21.0% -22.1% 40.1% 18.2% 4.9% 17.1% 5.6% -43.2% 27.1% 9.6% -14.7% 16.4% 21.7% -3.7% -4.4% 3.4% 21.8% -13.6% 17.2%

-28.4% -23.9% -24.2% 28.7% 10.9% 4.5% 15.8% -1.6% -45.2% 26.4% -9.1% -16.9% 16.0% 12.5% -8.7% -4.5% 0.7% 14.6% -16.2% 14.2%

U.S. U.S. Small-Cap Asia Pacific MSCI World Ex. U.S. Europe

https://outlook.office365.com/owa/calendar/[email protected]/bookings/

https://outlook.office365.com/owa/calendar/[email protected]/bookings/

https://oshares.com/ousm/

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https://oshares.com/ousm-quality-small-caps-strong-profitability/

O ’ S H A R E S S T R A T E G Y S E R I E SNOVEMBER 2019

Before you invest in O’Shares ETF Investments Funds, please refer to the prospectus for important information about the investmentobjectives, risks, charges and expenses. To obtain a prospectus containing this and other important information, please visitwww.oshares.com to view or download a prospectus online. Read the prospectus carefully before you invest. There are risksinvolved with investing including the possible loss of principal.

Concentration in a particular industry or sector will subject the Funds to loss due to adverse occurrences that may affect that industry or sector.The Funds may use derivatives which may involve risks different from, or greater than, those associated with more traditional investments. AFund's emphasis on dividend-paying stocks involves the risk that such stocks may fall out of favor with investors and underperform the market.Also, a company may reduce or eliminate its dividend after the Fund's purchase of such a company's securities. Returns on investments inforeign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail specialrisks, including political, diplomatic, economic, foreign market and trading risks. In addition, a Fund's investments in securities denominated inother currencies could decline due to changes in local currency relative to the value of the U.S. dollar, which may affect the Fund's returns. Seethe prospectus for specific risks regarding the Funds.

The securities of small capitalization companies are often more volatile and less liquid than the stocks of larger companies and may be moreaffected than other types of securities during market downturns. Compared to larger companies, small capitalization companies may have ashorter history of operations, and may have limited product lines, markets or financial resources.

Past performance does not guarantee future results. Shares are bought and sold at market price (not NAV), are not individually redeemable,and owners of Shares may acquire those Shares from the Funds and tender those shares for redemption to the Funds in Creation Unitaggregations only, consisting of 50,000 Shares. Brokerage commissions will reduce returns. The market price of Shares can be at, below, orabove NAV. Market Price returns are based upon the midpoint of the bid/ask spread at 4:00 PM Eastern time (when NAV is normallydetermined), and do not represent the returns you would receive if you traded Shares at other times.

O’Shares ETF Investments Funds are distributed by Foreside Fund Services, LLC. Foreside Fund Services, LLC is not affiliated with O’SharesETF Investments or any of its affiliates.


Related Content: U.S. Small Caps

O ’ S H A R E S S T R A T E G Y S E R I E SSEPTEMBER 2019



Learn more:Small-Cap Stocks, Cheap and Less Exposed to Trade Wars


1.13 1.060.93

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Health Care

Information TechnologyConsumer Staples

S&P SmallCap 600

Utilities

Industrials

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S&P SmallCap 600 Sectors: 10 Years Risk vs. Return

S&P SmallCap 600 Equity Sector Scatterplot: Long-Term Performance Versus Risk

Source: Bloomberg, data as of 8/31/2019. Returns are annualized. 1. Volatility: 10 year weekly annualized standard deviation. Volatility is a statistical measure of risk. Commonly, the higher the volatility, the riskier the security. Past performance does not guarantee future results. The referenced indices are shown for general market comparisons and are not meant to represent the Fund. Investors cannot directly invest in an index.

§ Comparing 10 year return and risk data for the 11 sectors in the S&P SmallCap 600, several observations can be made.§ The sectors with the lowest volatility in the past 10 years were Utilities and Consumer Staples. The highest volatility

sectors were Energy and Materials.§ The best performing sectors in the past 10 years were Health Care and Utilities. The worst performing sectors were

Energy and Communication Services.§ Adjusting for risk, the best performing sectors were Utilities and Health Care.

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Small-Cap Stock Market Performance After Yield Curve Inversion

S&P Small-Cap 600 Equity Sector Scatterplot: Long-Term Performance Versus Risk

Small-Cap Quality Beat Small-Cap Value, Stronger Performance, Less Risk

O ’ S H A R E S S T R A T E G Y S E R I E SSEPTEMBER 2019





OUSMRussell 2000

Value0.0%

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12.0% 12.5% 13.0% 13.5% 14.0% 14.5% 15.0% 15.5% 16.0% 16.5%

Retur

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Risk

Since Inception Return vs. Risk Comparison: OUSM vs. Russell 2000 and Value

Small-Cap Quality Beat Small-Cap Value, Stronger Performance, Less Risk

Source: Bloomberg, performance data as of 8/31/2019. Returns for periods longer than 1 year are annualized. Volatility (S/I): Annualized daily standarddeviation from inception date (12/30/2016). Volatility (1Y): The 260-day price volatility equals the annualized standard deviation of the relative pricechange for the 260 most recent trading days closing price, expressed as a percentage. Volatility is a statistical measure of risk. Commonly, the higher thevolatility, the riskier the security. Russell 2000 Value Index: Russell 2000 Value Index measures the performance of those Russell 2000 companies withlower price-to-book ratios and lower forecasted growth values. Russell 2000: The Russell 2000 Index is comprised of the smallest 2000 companies in theRussell 3000 Index, representing approximately 8% of the Russell 3000 total market capitalization. Upside/Downside Capture Ratio: Measure todemonstrate relative performance against a broad benchmark during periods of market strength or weakness. Since Inception 12/30/2016. Referencebenchmark: Russell 2000. Performance is measured as mean return. S/I: Inception Date: 12/30/2016. For most recent month end performance, pleasevisit the OUSM page. Investors cannot directly invest in an index; unmanaged index returns do not reflect any fees, expenses or sales charges. Pastperformance does not guarantee future results.

§ OUSM has outperformed Value with less risk.§ OUSM has provided better downside protection than Value.

1Y S/I Volatility

OUSM -4.1% 5.4% 12.7%

Value -14.9% 0.1% 15.0%

Russell 2000 -12.9% 4.9% 15.9%

Upside Downside +/-

OUSM 92% -89% 3%

Value 86% -107% -22%

Russell 2000 100% -100% -

OUSM VS. Russell 2000 and ValueUpside/Downside Capture - Since Inception (12/30/2016)Performance & Risk Metrics

O ’ S H A R E S S T R A T E G Y S E R I E SAUGUST 2019





0

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1979 1981 1983 1985 1987 1989 1991 1993 1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017

Yield

(%)

U.S. Treasury Yield Comparison – 2-Year vs. 10-Year

U.S. 10 Year Treasury Yield U.S. 2 Year Treasury Yield

Small-Cap Stock Market Performance After Yield Curve Inversion

Source: Bloomberg. Yield chart: Weekly data as of 8/9/2019. Dates of first U.S. Treasury 2/10 Year yield inversion events. Last 4 events: 08/20/1980, 12/09/1988, 05/26/1998, 12/30/2005, from MarketWatch. Past performance does not guarantee future results. For informational purposes only and is not meant to represent the Fund. Investors cannot directly invest in an index.

Recession indicator: When longer dated U.S. Treasury bonds have lower yields than shorter dated ones, this is commonly viewed as a recession signal. In August, U.S. Treasury 2-year yields were higher than U.S. Treasury 10-year yields for brief periods, the first time this has occurred since 2007.

Small-cap stock performance: The Russell 2000 has had positive returns on average during the 3-month, 6-month, 1-year and 3-year periods after the the first day of the last 4 yield curve inversion events (08/20/1980, 12/09/1988, 05/26/1998, 12/30/2005).

U.S. Small-Cap Market Performance After First Day of The Last 4 Yield Curve Inversions

Average Russell 2000 Performance in the next:

Date of first inversion 3 months 6 months 1 year 3 years

1980-08-20 15.0% 10.5% 19.2% 77.3%

1988-12-09 9.8% 20.5% 17.3% 22.8%

1998-05-26 -13.3% -12.3% -3.1% 16.1%

2005-12-30 13.6% 8.2% 18.3% -28.1%

Average 6.3% 6.7% 12.9% 22.0%

https://oshares.com/small-cap-quality-beat-small-cap-stock-market-performance-after-yield-curve-inversion/

https://oshares.com/sp-small-cap-600-equity-sector-scatterplot-long-term-performance-versus-risk-2/

https://oshares.com/small-cap-quality-beat-small-cap-value-stronger-performance-less-risk-2/

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