VAST Disclosure

Each VAST Portfolio is designed to provide exposure to an advisor-selected equity market segment while seeking to enhance after-tax returns relative to an investor’s designated index. VAST Portfolios are benchmarked to a specific index chosen by the financial advisor for their investor client. VAST Portfolios typically invest directly in an optimized subset of securities that seeks to track the performance of the designated index by attempting to mimic the characteristics of the designated index, such as the designated index’s exposure and risk characteristics. VAST Portfolios invest both in securities included in the designated index and securities that are not included in the designated index. The performance of a VAST Portfolio will not be the same as the selected index for a number of reasons; indices typically have far more positions than a VAST Portfolio, which can mean lower volatility, and indices do not have contributions and withdrawals. Indices are unmanaged and it is not possible to invest directly in an index. Financial advisors and financial intermediaries may impose reasonable restrictions on the management of investor account(s) subject to approval by VAS. The following is an overview of the VAS designated indexes that can be chosen for an investor account:

S&P 500® Index - tracks the performance of 500 of the largest publicly traded companies in the United States.
S&P Mid Cap 400® Index - provides investors with a benchmark for mid-sized companies. The index is designed to measure the performance of 400 mid-sized companies, reflecting the distinctive risk and return characteristics of the market segment.
S&P Small Cap 600® Index - seeks to measure the small-cap segment of the U.S. equity market. The index is designed to track companies that meet specific inclusion criteria to ensure that they are liquid and financially viable.
S&P Composite 1500® Index - combines three leading indices, the S&P 500®, the S&P MidCap 400®, and the S&P SmallCap 600®, to cover approximately 90% of U.S. market capitalization. It is designed for investors seeking to replicate the performance of the U.S. equity market or benchmark against a representative universe of tradable stocks.
S&P 500® ESG Index - a broad-based, market-cap-weighted index that is designed to measure the performance of securities meeting sustainability criteria, while maintaining similar overall industry group weights as the S&P 500®.
S&P 500® Net Zero 2050 Paris-Aligned ESG Index - designed to measure the performance of eligible equity securities from the S&P 500®, selected and weighted to be collectively compatible with a 1.5ºC global warming climate scenario at the index level.
S&P 500® Catholic Values Index - excludes from the S&P 500® certain activities that are not aligned with the Responsible Investment Guidelines of the U.S. Conference of Catholic Bishops (USCCB). The index is designed for investors who do not want to breach religious norms in their passive investing strategies.
S&P Developed Markets Classic ADR Index - seeks to track all American depositary receipts trading on the NYSE, NYSE American, NASDAQ and over-the-counter (OTC) in the U.S. for companies domiciled in developed markets, subject to size and liquidity requirements.
Dow Jones US Dividend 100 Index - designed to measure the performance of high-dividend-yielding stocks in the U.S. with a record of consistently paying dividends, selected for fundamental strength relative to their peers, based on financial ratios.
S&P 500® ESG Elite Index - designed to measure the performance of securities meeting strict sustainability criteria, while maintaining similar overall sector weights as the S&P 500®.
S&P Developed Markets 100 ADR Index - seeks to track all American depositary receipts trading on the NYSE, NYSE American, and NASDAQ that represent shares in the 100 largest companies from international developed markets.
S&P 500®Focused 50 Index - measures the performance of a subset of securities in the S&P 500® Index, selected and weighted to reflect the performance of the S&P 500® Index.
S&P 500®Focused 100 Index – measures the performance of a subset of securities in the S&P 500® Index, selected and weighted to reflect the performance of the S&P 500® Index.
S&P 500®Catholic Values Focused 100 Index - measures the performance of a subset of securities in the S&P 500® Catholic Values Index, selected and weighted to reflect the performance of the S&P 500® Catholic Values Index.

VAS seeks to opportunistically harvest net realized capital losses to provide improved returns over the designated index on an after-tax basis. This is achieved by utilizing tax-efficient optimization methodologies such as tax-loss harvesting, while also accounting for tracking the designated index. Tax-loss harvesting generally means selling a security that has lost value in order to offset capital gains on the investor’s tax return. In order to preserve a “harvested” loss, VAS will seek to avoid transactions that may cause a violation of applicable wash sale rules. Additionally, while VAS will monitor for wash sales within an account, VAS does not prevent wash sales in all cases, and as a result wash sales may occur from trading in multiple accounts held by a client, including multiple accounts held by the same client

The following terms used above have the following definitions:

VAST is a suite of offerings of VAS that combines technology and investment management services offered to financial advisors to provide advisory services to their individual investor clients. Based upon an investor’s investment goals, risk tolerance, personal tax situation (if applicable), and other personal values or customized instructions, VAST technology enables a financial advisor to construct a portfolio for a given investor and convey those settings to VAS. The investment team at VAS manages an investor’s account according to those instructions in consultation with the financial advisor.

A Personalized Portfolio constructed for an investor can range from a single index-based separately managed account (“SMA”) to a diversified mix of index-based SMAs from a selection of index providers, SMA strategies managed by third party asset managers, certain exchange-traded funds and mutual funds, as well as some individual securities. These Personalized Portfolios can also be customized to incorporate an investor’s personal tax situation and sensitivity for paying annual capital gains taxes (if applicable), to include security level, industry and sector, and other types of restrictions on holdings in the portfolios. Starting account minimums are $250,000.

A Focused Index Portfolio is an index-based SMA based upon an index developed by S&P and exclusive to VAST. Focused Index Portfolios can be customized to include a small number of security-level restrictions, and can be included in a diversified mix of index-based SMAs and select exchange-traded funds and mutual funds. Starting account minimums are $100,000.

VAST Portfolios mean, individually or collectively, Personalized Portfolios and Focused Index Portfolios.

In managing discretionary accounts and providing recommendations for non-discretionary accounts, VAS uses various investment strategies, indices, and methods of analysis. This document contains a discussion of the primary risks associated with these investment strategies, indices and methods, although it is not possible to identify all of the risks associated with investing and the particular risks applicable to an investor account will depend on the nature of the account, its investment strategy or strategies, indices used, and the types of securities held. Where available, please refer to the applicable prospectus, manager ADV, or other relevant offering documents for a more detailed discussion of strategies and risks involved with a particular account. While VAS seeks to manage accounts so that risks are appropriate to the return potential for the strategy, it is often not possible or desirable to fully mitigate risks.

Stock markets are volatile and can fluctuate significantly in response to company, industry, political, regulatory, market, or economic developments. Investing in stocks involves risks, including the loss of principal. Foreign securities are subject to interest rate, currency exchange rate, economic, and political risks. Any investment includes the risk of loss and there can be no guarantee that a particular level of return will be achieved. Investors should understand that they could lose some or all of their investment and should be prepared to bear the risk of such potential losses. Investors should be aware that while VAS does not limit its advice to particular types of investments, investor mandates may be limited to certain types of securities (e.g., equities) or to the recommendation of financial advisers or pooled investment vehicles and may not be diversified. Unless specifically discussed with an investor, the accounts managed by VAS are generally not intended to provide a complete investment program for an investor and VAS expects that the assets it manages typically do not represent all of the investor’s assets. Investors are responsible for appropriately diversifying their assets to guard against the risk of loss.

Risk of Loss

There are inherent risks to investing in strategies managed by VAS, including VAST Portfolios. The following list of risks does not purport to be a complete enumeration or explanation of the risks involved in those strategies. As the strategies develop and change over time, investors may be subject to additional and different risk factors. No assurance can be made that profits will be achieved or that substantial losses will not be incurred.

Management Risks

VAS applies its investment techniques and risk analyses in making investment decisions or recommendations for financial advisors to select for their clients, but there can be no guarantee that they will produce the desired results. In addition, there is no guarantee that a strategy based on historical information will produce the desired results in the future, and, if market dynamics change, the effectiveness of the strategy may be limited. There also can be no assurance that all key personnel will continue to be associated with the firm for any length of time. Investment performance depends on the portfolio management team and the team’s investment strategies. If the investment strategies do not perform as expected, if opportunities to implement those strategies do not arise, or if the team does not implement its investment strategies successfully, an investment portfolio may underperform or suffer significant losses.

Outside Management Risks

Portfolios sub-advised by VAS may include investment strategies managed by outside managers. VAS has no due diligence, selection, or supervisory responsibility with respect to such outside managers. VAS makes no representations or guarantees as to the suitability of any investment in any illustration, nor to the management skill or continuity of outside managers. The responsibility for evaluating outside managers and the suitability of their strategies is the responsibility of an investor’s financial advisor or financial intermediary, and not of VAS. Investors should consult outside manager ADVs for more information on their risks.

Investment Risks

Investing in securities is subject to a number of risks, any of which could cause an investor to lose money and investors should be prepared to bear the risk of such loss. Investors should be aware that investing in securities involves risk of loss that they should be prepared to bear. Diversification cannot assure a profit or protect against loss.

Index-Related Risks

There is no assurance that investment products based upon indices designated by financial advisors will accurately track index performance or provide positive investment returns. Inclusion of a security within an index is not a recommendation by VAS to buy, sell, or hold such security, nor is it considered to be investment advice. The past performance of a designated index is not a guide to future performance. VAS and its affiliates do not guarantee the accuracy or the completeness of the designated index or any data included therein and VAS and its affiliates have no liability for any errors, omissions or interruptions therein. VAS and its affiliates make no warranty, express or implied, to any person or entity as to results to be obtained from the use of the designated index or any data included therein. Index providers do not provide any warranty as to the timeliness, accuracy or completeness of any data relating to any index utilized by VAS. Errors relating to the index, including index data, computations and/or construction, may occur from time to time and may not be identified by the index provider for a period of time or at all. Losses resulting from index errors may be borne by investor accounts. In addition, market disruptions could cause delays in an index’s rebalancing schedule that may result in the index and, in turn, an account experiencing returns different than those that would have been achieved under a normal rebalancing schedule. VAS permits personalization of portfolios in accounts, including the option for an investor to designate portfolio restrictions like Do Not Buy and Do Not Sell. These requests may cause an account’s holdings and performance to deviate from that of a designated index.

Tracking Error Risk

The VAST Personalized Portfolios seek to track the performance of the designated model(s) or benchmark(s) by attempting to mimic the characteristics of the designated model(s) or benchmark(s), such as the designated model(s)’s or benchmark(s)’s exposure and risk characteristics, although they may not be successful in doing so. The divergence between the performance of an investor’s account and the designated model(s) or benchmark(s), positive or negative, is called “tracking error.” Historical tracking error is a measure of the standard deviation of the annualized monthly excess return (which itself may be positive or negative) of the portfolio relative to its underlying model(s) or benchmark(s). Tracking error, therefore, indicates the range within which portfolio returns have deviated from benchmark returns roughly 68% of the time (one standard deviation). Expected tracking error, conversely, is a forward-looking estimate of the range within which the proposed portfolio is expected to deviate from its model or benchmark roughly 68% of the time (one standard deviation). Tracking error can be caused by many factors, such as restrictions imposed by a client or financial advisor on the types of securities held in the account: available loss harvesting opportunities, regulatory, operational, custodial or liquidity constraints; corporate transactions; asset valuations; transaction costs and timing; tax considerations; and model(s) or benchmark(s) rebalancing. In addition, cash flows into and out of an account, expenses and trading costs all affect the ability of an account to track the performance of the model(s) or benchmark(s), because the model(s) or benchmark(s) does not have to manage cash flows and does not incur any costs.

Optimization Tools Risks

There are limitations inherent in the use of an optimization methodology to manage accounts relative to a designated index; for instance, the optimization tools are not designed to account for current market conditions and any short-term market fluctuations. The optimization tools may seek to estimate individual tax circumstances but cannot incorporate all individual tax information, potentially leading to inaccuracies. Its functions consist of identifying opportunities for tax-loss harvesting and rebalancing relative to an investor’s designated index, and initiating buy/sell orders accordingly. There is also a risk that the optimization tools and related software used for accounts may not perform within intended parameters, which may result in a portfolio that does not mimic the characteristics of the designated index, and trigger at inappropriate or suboptimal times or fail to initiate at appropriate or optimal times, rebalancing and/or tax-loss harvesting trading.

Market/Systemic Risks

There is no assurance that an account will achieve its investment objective. Accounts are subject to market risk, which is the possibility that the market values of the securities in an account will decline and that the value of the securities may therefore be less than what an investor paid for them. Financial markets rise and fall in response to a variety of factors, sometimes rapidly and unpredictably. Markets may be impacted by economic, political, regulatory and other conditions, including economic sanctions and other government actions. In addition, the occurrence of global events, such as war, terrorism, environmental disasters, natural disasters, and epidemics, may also negatively affect the financial markets. Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. As with any investment whose performance is tied to these markets, the value of an investment will fluctuate, which means that an investor could lose money over short or long periods.

Liquidity Risks

Liquidity risk exists when particular investments may become difficult to purchase, sell or value, especially during stressed market conditions. The market for certain investments may become illiquid due to specific adverse changes in the conditions of a particular issuer or under adverse market or economic conditions independent of the issuer. In such cases, an account with limitations on investments in illiquid securities and the difficulty in readily purchasing and selling such securities at favorable times or prices, may decline in value, experience lower returns and/or be unable to achieve its desired level of exposure to a certain issuer or sector. Further, transactions in illiquid securities may entail transaction costs that are higher than those for transactions in liquid securities. Liquidity risk also includes the risk that market conditions or large redemptions may impact the ability of an account to meet redemption requests. In order to meet such redemption requests, an account may be forced to sell securities at inopportune times or prices.

Frequent Trading Risk

VAS’s recommendations may result in frequent trading by accounts. To the extent VAS engages in frequent trading, portfolio turnover rate and transaction costs will rise, which may lower performance and may have tax consequences.

Counterparty Risks

There may be a risk of an executing broker failing to deliver securities, especially if there is a large volume of step-out transactions with broker-dealers other than the program sponsor or investor-selected broker-dealer/custodian. This may result in a loss to the investor.

Tax Risks

VAS is not a tax advisor, and VAST is not designed to address client-specific tax objectives. VAS considers the potential federal and state capital gains tax consequences to individuals of holding, buying and selling securities within the strategies VAS sub-advises. VAS does not consider other taxes, including (but not limited to) alternative minimum tax, foreign taxes (including those applied to dividends and potential reclaim), tax rules that apply to entities, estate taxes, gift taxes, or generation-skipping taxes. Federal and state laws are complex and subject to change, and any such changes may have a material impact on pretax and/or after-tax investment results. Investors should seek professional tax advice.

VAS relies on information provided by financial advisors and their investor clients in an effort to provide tax optimization services, and does not offer tax advice. Investors are responsible for all tax liabilities arising from transactions in their accounts, for the adequacy and accuracy of any positions taken on tax returns, for the actual filing of tax returns, and for the remittance of tax payments to taxing authorities.

A wash sale is the sale at a loss and purchase of the same or substantially similar security within 30 days of each other. If a wash sale transaction occurs, the Internal Revenue Service may disallow or defer the loss for current tax reporting purposes. More specifically, the wash sale period for any sale at a loss consists of 61 calendar days: the day of the sale, the 30 days before the sale, and the 30 days after the sale. The wash sale rule invalidates losses on a sale if replacement shares are bought around the same time. While VAS seeks to avoid wash sales in VAST accounts, there is the risk that the investment management activity in an investor's account before or after a tax-loss sale may result in additional realized gains that partially or completely offset the tax benefit realized from the tax-loss sale.

The estimated realized gains/losses and tax impact are solely intended to be used to help the investor compare the various scenarios described in a proposal. The actual realized gains/losses, adjusted gross income and total tax that will eventually be calculated for the tax year in which the proposal is implemented may differ significantly. The conditions that will cause the actual values to be different include (but are not limited to) the following:

The actual values will be calculated with full knowledge of all of the investor's earned and unearned income, including any actual realized gains/losses not associated with the implementation of the proposal, and the estimated values have been calculated with very limited knowledge.

The actual realized gains/losses associated with a proposal will be calculated using the sales that were made to implement the proposal and the prices at the time those sales were made. The estimated gains/losses have been calculated using the sales that were expected to be made and the prices at the time this proposal was generated. The passage of time can result in short-term gains/losses becoming long-term gains/losses and market volatility can result in differences in the prices. Together this can result in differences in both the set of securities sold and the sales prices.

The tax impact methodology calculates the impact of short-term gains/losses and long-term gains/losses and then sums them to estimate a tax impact. In certain situations, the IRS methodology may require long-term gains to be netted with short-term losses, or require short-term gains to be netted with long-term losses. Either of these IRS netting techniques may alter the tax impact of the remaining net gain or loss to a particular investor.

The tax impact methodology assumes that all realized losses can be used to lower the tax impact. The IRS methodology may disallow some losses in the tax year in which the proposal is implemented and require them to be used in subsequent tax years.

VAS can implement trades in accounts that may trigger significant tax consequences as it seeks to manage accounts consistently with strategy investment objectives, including, if required, to sell securities used to fund an investor’s account. Therefore, assets in accounts may be sold for a taxable gain or loss at any time. While VAS makes a good-faith effort to make tax-optimal investment recommendations for investors, VAS cannot guarantee the effectiveness of its tax-efficient optimization methodologies in serving to reduce or minimize an investor’s overall tax liability. Additionally, while VAS will monitor for wash sales within an account, VAS does not prevent wash sales in all cases, and as a result, wash sales may occur from trading in multiple accounts held by an investor, including multiple accounts held by the same investor. Furthermore, VAS cannot prevent wash sales that may occur due to investor or financial advisor requests that impact trading in a particular account, including trades that may occur within 31 days preceding or following account inception. VAS considers the ability to harvest losses as part of its tax-efficient optimization methodologies employed for an account. There is no guarantee that the tax-loss harvesting optimization used for VAST will reduce, defer or eliminate the tax liability generated by an investor’s investment portfolio in any given tax year. Individual stock positions can experience price declines, possibly below an investor’s adjusted tax basis in the security (as determined by the tax basis information on record for the investor’s account). In such instances, losses can be realized in the investor’s account for tax purposes. In cases where a position is sold to realize a capital loss for tax purposes, the position usually will be replaced with investments VAS believes will maintain consistent benchmark exposure. Such replacements may be guided or constrained by the sponsor firm, and such limitations on replacements may cause the portfolio's performance to deviate from the underlying model(s) or benchmark(s) or incur an unintended tax liability. In harvesting tax losses, VAS does not attempt to harvest every tax loss that occurs in an investor’s account. Furthermore, each specific lot of securities in an investor’s account—a block of shares bought at a particular time at a particular price—is reviewed and the potential federal and state income tax burden associated with selling that lot is weighed against the potential investment merits of the sale, such as performance potential, added diversification, and support of risk-management strategies. Once VAS decides to sell an eligible security, it will attempt to sell the lot(s) that will generate the lowest overall federal income tax burden (or generate a loss for tax purposes) using the tax basis and holding period information on record. While VAS attempts to apply the investor's anticipated federal and state tax rates based on information provided by the financial advisor, an investor's actual tax rates may differ from those used by VAS. There is a material risk that investors’ actual tax rates, the presence of current or future capital loss carryforwards, and other investor tax circumstances may materially and negatively affect the investor’s actual returns. Investors should consult a professional tax advisor for help with their unique situations.

Tax Loss Harvesting Risks

There are several investment-related risks associated with tax loss harvesting. There is potential that the tax loss harvesting may:(i) negatively affect the overall performance of an investor’s portfolio; and (ii) result in a temporary overweight and/or underweight of certain sectors, securities, and/or cash in an investor’s portfolio that influences performance, and VAS will not consider any other account that the investor may have. Tax-loss harvesting involves the risks that the new investment could perform worse than the original investment and that transaction costs could offset the tax benefit. VAS may repurchase securities after the end of the tax loss “wash sale” period at a price higher than that for which they were sold. Securities sold for the purpose of tax loss may or may not be repurchased by VAS following the 30-day wash sale period. VAS cannot prevent wash sales that may occur in other accounts besides the account to which the tax loss harvesting was applied. Furthermore, VAS cannot prevent wash sales that may occur due to investor or financial advisor requests that impact trading in the account.

ESG Risk

VAST Portfolios that utilize an index that considers certain environmental, social and governance (“ESG”) metrics may perform differently than strategies that do not screen for ESG attributes. The strategy’s use of an index that incorporates ESG considerations in the index construction process may exclude securities of certain issuers for non-investment reasons and therefore the strategy may forgo some market opportunities available to strategies that do not screen for ESG attributes. Additionally, the criteria used to select companies for inclusion in the index that the strategy utilizes may result in exposure to certain sectors and/or types of investments that may adversely impact the strategy’s performance depending on whether such sectors or investments are in or out of favor in the market. In addition, there is a risk that the companies identified for inclusion in the index do not operate as expected when addressing ESG issues.

ESG is not a uniformly defined characteristic and applying ESG criteria often involves a subjective assessment. A company’s ESG performance may change over time, which could cause an investor to temporarily hold securities that do not comply with the investor’s responsible investment criteria. Successful application of an investor’s responsible investment strategy will depend on their financial advisor’s skill in properly identifying and analyzing material ESG issues.

Operational Risks

Accounts are subject to operational risks arising from various factors, including but not limited to, processing errors, communication failures, human errors, inadequate or failed internal or external processes, fraud by employees or other parties, limitations or failure in systems and technology, changes in personnel and errors caused by third-party service providers. Accounts that are managed by investment personnel across multiple offices are subject to greater operational risks due to different systems and technology, potential communication failures and personnel changes. VAS seeks to reduce these operational risks through controls and procedures believed to be reasonably designed to address these risks. However, these controls and procedures cannot address every possible risk and may not fully mitigate the risks that they are intended to address.

Equity Risk

The prices of equity securities rise and fall daily. These price movements may result from factors affecting individual companies, industries or the securities market as a whole. Individual companies may report poor results or be negatively affected by industry and/or economic trends and developments. The prices of securities issued by such companies may suffer a decline in response. In addition, markets tend to move in cycles, which may cause stock prices to fall over short or extended periods of time.

Fixed Income Risk

In general, the bond market is volatile, and fixed income securities carry interest rate risk. As interest rates rise, bond prices usually fall, and vice versa. This effect is usually more pronounced for longer-term securities. Fixed income securities also carry inflation risk, liquidity risk, call risk and credit and default risks for both issuers and counterparties. Lower-quality bonds can be more volatile and have greater risk of default than higher-quality bonds. Foreign securities are subject to interest rate, currency exchange rate, economic, and political risks, all of which are magnified in emerging markets. Leverage can increase market exposure and magnify investment risk.

Market Capitalization

Securities issued by companies of different market capitalizations tend to go in and out of favor based on market and economic conditions. In addition, there may be less trading volume in securities issued by mid- and small-cap companies than those issued by larger companies and, as a result, trading volatility may have a greater impact on the value of securities of mid- and small-cap companies. Smaller companies generally face higher risks due to their limited product lines, markets and financial resources. Securities issued by large-cap companies, on the other hand, may not be able to attain the high growth rates of some mid- and small-cap companies. During a period when securities of a particular market capitalization fall behind other types of investments an account’s performance could be impacted.

Focused Portfolio Risk

Portfolios that hold a smaller number of securities may be more volatile than more diversified portfolios, since gains or losses from each security will have a greater impact on the portfolio’s overall value. Due to their concentrated nature, focused portfolios may also miss opportunities for returns from other non-model securities. Additionally, investors with pre-existing concentrations in particular securities may be exposed to concentration risk for which VAS cannot be held responsible.

Limitations of Disclosure

The foregoing list of risks does not purport to be a complete enumeration or explanation of the risks involved in VAST Portfolios or VAST. As the strategies develop and change over time, investors may be subject to additional and different risk factors. No assurance can be made that profits will be achieved or that substantial losses will not be incurred.

The following terms used above have the following definitions:

VAST Portfolios mean, individually or collectively, Personalized Portfolios and Focused Index Portfolios.

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