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TABLE OF CONTENTS INTRODUCTION TO CORE ALTERNATIVE CAPITAL EXPERIENCED LEADERSHIP TEAM WHY CORE? HISTORICAL PERFORMANCE A BALANCE BETWEEN RISK AND RETURN INVESTMENT STRATEGY OVERVIEW CORE STRATEGY ACROSS MARKET ENVIRONMENTS MARKET SCENARIO EXAMPLES APPENDIX 1 C ORE ALTERN ATI V E C APITAL
INTRODUCTION TO CORE ALTERNATIVE CAPITAL Core Alternative marries the reliability of an experienced portfolio management team with a market-tested strategy, executed with disciplined consistency. ESTABLISHED LEADERSHIP SPECIALIST STRATEGY David Pursell Danny Mack POTENTIAL COMPETITIVE ADVANTAGES Disciplined execution Reduced volatility Goal of producing Consistent Returns Transparent and Liquid 2 C ORE ALTERN ATI V E C APITAL
EXPERIENCED LEADERSHIP TEAM The Core Alternative portfolio management team has worked together since 2012. Their extensive experience covers risk, portfolio, and volatility management across a broad range of instruments and strategies, including derivatives, equities, private equity, venture capital, real assets, and structured products. Their complementary skill sets and overlapping areas of expertise provide Core with exceptional stability and strength. FOUNDER, CHIEF EXECUTIVE OFFICER AND LEAD PORTFOLIO MANAGER CHIEF OPERATING OFFICER AND PORTFOLIO MANAGER EXECUTIVE DIRECTOR 3 C ORE ALTERN ATI V E C APITAL
WHY CORE? At Core, we do not try to predict the future direction of the markets, rather we aim to participate in the future growth of US equities and attempt to harness volatility as a benefit rather than enduring it as a drag on performance. DIVERSIFICATION: VOLATILITY MANAGEMENT: CONSISTENT PERFORMANCE: EXPERIENCED LEADERSHIP: LIQUIDITY: CORE OFFERS NUMEROUS BENEFITS TO INVESTORS DISCIPLINED EXECUTION: COMPLEMENTARY ASSET ALLOCATION: 4 C ORE ALTERN ATI V E C APITAL
HISTORICAL PERFORMANCE Since inception, CCOR has demonstrated a minimal correlation to both the S&P 500 Total Return Index and the Bloomberg Barclays US Aggregate Bond Index, with significantly less volatility than the S&P. Annualized Cumulative Since Since YTD 1 Month 3 Months 6 Months 1 Year 3 Years Inception Inception Core Alternative ETF NAV Core Alternative ETF Price Barclays US Aggregate Bond Index S&P 500 Index 60/40 Blend of S&P 500 Index & Barclays US Aggregate Index 5 C ORE ALTERN ATI V E C APITAL
HISTORICAL PERFORMANCE Core’s all -weather strategy has produced relatively consistent returns across a range of market environments, making it a potential cornerstone in diversified portfolios. Developed for institutions and high net worth individuals with the dual objectives of capital appreciation and volatility mitigation, Core has demonstrated its ability to provide additive alpha during rising, falling or volatile markets. $1,150,067 $1,323,875 $1,170,621 6 C ORE ALTERN ATI V E C APITAL
A BALANCE BETWEEN RISK AND RETURN Since inception, CCOR has demonstrated a minimal correlation to both the S&P 500 Total Return Index and the Bloomberg Barclays US Aggregate Bond Index, with significantly less volatility than the S&P. MAX STANDARD SHARPE DRAW- DEVIATION ALPHA BETA CORRELATION RATIO DOWN Core Alternative 10.65% ETF S&P 500 Barclays Aggregate Bond MAX STANDARD SHARPE DRAW- DEVIATION ALPHA BETA CORRELATION RATIO DOWN Core Alternative ETF 5.14% S&P 500 4.53% Barclays Aggregate Bond 7 C ORE ALTERN ATI V E C APITAL
INVESTMENT STRATEGY OVERVIEW CCOR is designed with the goals: ▪ ▪ US equities option positions OBJECTIVES MINIMIZE THE NEGATIVE EFFECTS OF: EQUITY MOVEMENTS VOLATILITY EXOGENOUS EVENTS + + 8 C ORE ALTERN ATI V E C APITAL
CORE ALT STRATEGY ACROSS MARKET ENVIRONMENTS CCOR’s approach is dynamic: when markets are rising, we actively attempt to minimize the drag created by our protective puts and to capture a portion of the uptrend; when markets are falling and other investors are growing fearful, our options are designed to profit and reduce the losses that may be experienced in our equities. RISING MARKET FALLING MARKET VOLATILE MARKET MARKET SCENARIO PERFORMANCE DRIVERS POTENTIAL PORTFOLIO PROTECTION 9 C ORE ALTERN ATI V E C APITAL
UP MARKET EXAMPLE Core’s strategy has historically provided positive returns during sustained market uptrends. BULLISH ENVIRONMENT: 5/24/17 – 12/31/17^ 15% 12.52% 13% 11% 9% 7% 5% 3.68% 3% 1% 1.53% -1% -3% -5% 10 C ORE ALTERN ATI V E C APITAL
DOWN MARKET EXAMPLE Core’s strategy is designed to provide portfolio protection during market declines. LONGEST MARKET DOWNTURN ITD: 9/20/18 THROUGH 12/24/18^ 5% 2.63% 1.61% 0% -5% -10% -19.37% -15% -20% 11 C ORE ALTERN ATI V E C APITAL
COMBINATION MARKET EXAMPLE Core’s strategy has demonstrated that it can produce positive returns across a range of market conditions. COMBINATION ENVIRONMENT: 6/30/18 – 12/31/18^ 15% 9.92% 10% 5% 1.65% 0% -5% -6.86% -10% -15% 12 C ORE ALTERN ATI V E C APITAL
RECENT DOWN MARKET EXAMPLE Core’s strategy is designed to provide portfolio protection during market declines. LARGEST MARKET DOWNTURN ITD: 12/31/19 THROUGH 3/31/20 10% 3.15% 5% 2.44% 0% -5% -10% -15% -20% -19.60% -25% -30% -35% 13 C ORE ALTERN ATI V E C APITAL
A P P E N D I X 14 C ORE ALTERN ATI V E C APITAL
MANAGEMENT BIOGRAPHIES CEO AND PORTFOLIO MANAGER COO AND PORTFOLIO MANAGER EXECUTIVE DIRECTOR 15 C ORE ALTERN ATI V E C APITAL
HISTORICAL PERFORMANCE JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD* Core NAV 1.71% -1.85% -1.45% 0.28% Core Price 0.48% -1.43% -1.31% 0.14% S&P 500 12.82% 4.76% 1.99% -3.09% Barc Agg 1.78% 0.47% 0.63% 6.14% 60/40 Blend 8.40% 3.04% 1.45% 0.60% Core NAV 5.54% Core Price 6.03% S&P 500 31.49% Barc Agg 8.72% 60/40 Blend 22.38% Core NAV 4.87% Core Price 4.64% S&P 500 -4.39% Barc Agg 0.01% 60/40 Blend -2.63% Core NAV 3.31% Core Price 3.68% S&P 500 12.52% Barc Agg 1.53% 60/40 Blend 8.12% 16 C ORE ALTERN ATI V E C APITAL
CONTACT INFORMATION CORE ALTERNATIVE CAPITAL CEO and Portfolio Manager Trading/Operational Inquiries Investor Inquiries COO and Portfolio Manager Executive Director 3930 E. JONES BRIDGE RD SUITE 380 PEACHTREE CORNERS, GA 30092 17 C ORE ALTERN ATI V E C APITAL
GLOSSARY ALPHA: BETA: CALLS: CORRELATION: MAX DRAWDOWN: PUTS: SHARPE RATIO: STANDARD DEVIATION: 18 C ORE ALTERN ATI V E C APITAL
DISCLOSURES 19 C ORE ALTERN ATI V E C APITAL
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