The underperformance over the Period was primarily driven by the defensive objective of the strategy capturing less of the return of the benchmark in a period of large gains for the benchmark.

Additionally, over the Period, a concentrated subset of the largest stocks within the benchmark primarily drove returns. The Fund’s systematic strategy avoided holding these companies due to their higher volatility and the inherent risks associated with them. This resulted in underweight allocations to some of the sectors experiencing the most gains such as the Information Technology and Communication Services sectors, and overweight allocations to less volatile sectors such as the Utilities and Industrials sectors.

The outperformance over the Period was primarily driven by the defensive objective of the strategy, which consisted of multiple drawdowns and recoveries over the Period. By realizing lower losses than the benchmark during pullbacks, but otherwise generating similar returns as the benchmark during recoveries, the strategy was able to outperform over the Period.

The Fund’s more defensive profile resulted in shallower drawdowns than the benchmark, but less upside participation. Small and mid-sized stocks in the benchmark generally lagged larger cap stocks over the same Period, as these companies have exhibited characteristics more sensitive to macro-economic uncertainty. As a result, the benchmark was roughly flat over the Period and the Fund delivered a similar return, reflecting limited relative performance dispersion in an environment where size factors overshadowed other drivers.

This underperformance was driven by differences in how the Fund’s portfolio is managed compared to the benchmark. Our Mergers & Acquisitions (“M&A”) underwriting model continues to prioritize announced merger transactions with strong market-implied closure probabilities due to lack of tariff exposure, limited politically driven directionality, manageable antitrust risk, and reasonably short closing timelines. Conversely, the benchmark will hold all pending transactions irrespective of quality and duration to provide broader exposure to the M&A universe. An example of one volatile merger that the Fund avoided due to risk profile, but that the benchmark benefited from during the Period, was Nippon Steel Corporation’s (“Nippon”) $14.9 billion acquisition of United States Steel Corporation (“X”). The mega deal was originally announced on December 18, 2023. However, President Biden prohibited the X/Nippon transaction from closing via the Committee on Foreign Investment in the United States (“CFIUS”) on January 3, 2025. In response, Nippon brought lawsuits claiming that the CFIUS process was unfairly administered in bad faith. On April 7, 2025, President Trump ordered a new review. The deadline for the new CFIUS review was May 21, 2025. CFIUS returned a split recommendation; however, President Trump surprisingly approved the deal. This was a rollercoaster ride, but X (the target company stock) produced a 61% return year-to-date through consummation of the deal on June 18, 2025. Based on our investment criteria, we avoided investing in this merger due to the uncertain political environment and high antitrust risk profile. We strive to deliver relatively steady returns for shareholders compared to the benchmark even if it means potentially underperforming in periods where certain riskier transactions may unexpectedly close, like the X/Nippon example. Our objective is to deliver relatively low-volatility, absolute returns and compound capital for shareholders, which we were able to achieve during the Period.