DISCLOSURES

Mellon Investments Corporation (MIC) is a registered investment advisor and subsidiary of The Bank of New York Mellon Corporation (BNY Mellon). MIC is composed of two divisions: Mellon, which specializes in index management, and Dreyfus, which specializes in cash management and short duration strategies. Dreyfus is also a division of BNY Mellon Investment Adviser, Inc. (BNYMIA), a registered investment adviser. AUM, client and employee counts are as of the most recent quarter-end, unless noted otherwise. Where applicable, assets include discretionary and non-discretionary assets, and assets managed by investment personnel acting in their capacity as officers of affiliated entities. ESG assets include assets managed in custom ESG strategies and assets managed in accordance with client directed SRI guidelines. BNY Mellon Investment Management is one of the world’s leading investment management organizations, encompassing BNY Mellon’s affiliated investment management firms and global distribution companies. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and may also be used as a generic term to reference the Corporation as a whole or its various subsidiaries generally.

The Bank of New York Mellon (the Bank), a New York state chartered banking institution, is the discretionary trustee for its bank-maintained collective investment funds which include any Funds presented. The Bank is responsible for the management of the Funds, including the custody of Fund assets. Employees of Mellon Investments Corporation (MIC) manage the assets of the Funds in their capacity as dual officers of the Bank and MIC, which are subsidiaries of The Bank of New York Mellon Corporation (BNY Mellon). Please refer to the Schedule A for the Funds (and for each other fund that such Funds invests in) for important additional information. Any collective investment funds presented are not deposits of, and are not insured or guaranteed by, any bank, the FDIC or any other government agency.

Personnel of certain of our BNY Mellon affiliates may act as: (i) registered representatives of BNY Mellon Securities Corporation (in its capacity as a registered broker-dealer) to offer securities and certain bank-maintained collective investment funds, (ii) officers of The Bank of New York Mellon (a New York chartered bank) to offer bank-maintained collective investment funds and (iii) associated persons of BNY Mellon Securities Corporation (in its capacity as a registered investment adviser) to offer separately managed accounts managed by BNY Mellon Investment Management firms.

This document may not be used for the purpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or not authorized. This material (or any portion thereof) may not be copied or distributed without MIC’s prior written approval.

Statements and views are current as of the date of the material only and subject to change. Views expressed are those of the author stated and do not reflect views of other managers or the firm overall.

The following provides a simplified example of the cumulative effect of management fees on investment performance: An annual management fee of 0.80% applied over a five-year period to a $100 million portfolio with an annualized gross return of 10% would reduce the value of the portfolio from $161,051,000 to $154,783,041. The actual investment advisory fees incurred by clients may vary depending on account size, structure, cash flow and other account-specific factors. MIC’s standard fees are shown in Part 2A of its Form ADV.

No investment strategy or risk management technique can guarantee returns or eliminate risk in any market environment. Past results are not indicative of future performance and are no guarantee that losses will not occur in the future. Future returns are not guaranteed and a loss of principal may occur.

This material has been provided for informational purposes only, should not be construed as investment advice or a recommendation of any particular investment product, strategy, investment manager or account arrangement, and should not serve as a primary basis for investment decisions. This information may contain projections or other forward-looking statements regarding future events, targets or expectations, and is only current as of the date indicated. There is no assurance that such events or expectations will be achieved, and actual results may be significantly different from that shown here.

Performance is expressed in US dollars unless noted otherwise. Performance results for one year and less are not annualized. Many factors affect performance including changes in market conditions and interest rates and in response to other economic, political, or financial developments.

To derive Ten Largest Holdings, Characteristics, Economic Sector Weightings, Country Weightings and Portfolio Holdings for presentation purposes, a representative institutional account (Account) has been identified to be used as a proxy for the strategy. The information provided in this document should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account’s portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an Account’s entire portfolio and in the aggregate may represent only a small percentage of an Account’s portfolio holdings. It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

Some information contained herein has been obtained from third-party sources that are believed to be reliable, but the information has not been independently verified by MIC. MIC makes no representations as to the accuracy or the completeness of such information and has no obligation to revise or update any statement herein for any reason.

Charts and graphs herein are provided as illustrations only and are not meant to be guarantees of any return. The illustrations are based upon certain assumptions that may or may not turn out to be true.

The use of corporate names or logos in this presentation, other than those of MIC or its affiliates, is for illustrative purposes only and rights to any logos, trademarks or servicemarks are owned by their respective entities. It is not known whether the listed companies endorse or disapprove of MIC or any advisory services provided.

MIC claims compliance with the CFA Institute Asset Manager Code of Professional Conduct. This claim has not been verified by CFA Institute.

The indices referred to herein are used for comparative and informational purposes only and have been selected because they are generally considered to be representative of certain markets. Comparisons to indices as benchmarks have limitations because indices have volatility and other material characteristics that may differ from the portfolio, investment or hedge to which they are compared. The providers of the indices referred to herein are not affiliated with MIC, do not endorse, sponsor, sell or promote the investment strategies or products mentioned herein and they make no representation regarding the advisability of investing in the products and strategies described herein. Investors cannot invest directly in an index. Please see below for important index licensing information.

INDEX LICENSING

Standard & Poor's®, S&P®, S&P 500® Index, Standard & Poor's 500®, S&P Small Cap 600® Index, S&P Mid Cap 400® Index, and S&P MLP Index are registered trademarks of Standard & Poor's Financial Services LLC ("S&P") and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed for use by S&P Dow Jones Indices LLC and its affiliates and sublicensed for certain purposes by The Bank of New York Mellon (together with its affiliates and subsidiaries). The S&P 500® Index, S&P Small Cap 600® Index, S&P Mid Cap 400® Index, and S&P MLP Index are products of S&P Dow Jones Indices LLC or its affiliates, and have been licensed for use by The Bank of New York Mellon (together with its affiliates and subsidiaries). The Bank of New York Mellon's and/or the Firm's products are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, their respective affiliates and neither S&P Dow Jones Indices LLC, Dow Jones, S&P, their respective affiliates make any representation regarding the advisability of investing in such product(s).

Source ICE Data Indices, LLC (“ICE DATA”), is used with permission. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD PARTY SUPPLIERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND MELLON INVESTMENTS CORPORATION, OR ANY OF ITS PRODUCTS OR SERVICES.

The Dow Jones, Dow Jones U.S. Total Stock Market Index℠, Dow Jones U.S. Completion Total Stock Market Index℠, Dow Jones Industrial Average℠, and Dow Jones U.S. Select REIT Index℠ are products of S&P Dow Jones Indices LLC (“SPDJI”), and have been licensed for use by the Firm and The Bank of New York Mellon. Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P"); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by the Firm and/or The Bank of New York Mellon. The Bank of New York Mellon's and/or the Firm's products are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the above-mentioned indexes.

Source: BLOOMBERG® and its Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by Mellon Investments Corporation (MIC). Bloomberg is not affiliated with MIC, and Bloomberg does not approve, endorse, review, or recommend MIC. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to MIC’s products.

Source: MSCI. The MSCI data is comprised of a custom index calculated by MSCI for, and as requested by, the Firm. The MSCI data is for internal use only and may not be redistributed or used in connection with creating or offering any securities, financial products or indices. Neither MSCI nor any other third party involved in or related to compiling, computing or creating the MSCI data (the "MSCI Parties”) makes any express or implied warranties or representations with respect to such data (or the results to be obtained by the use thereof), and the MSCI Parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to such data. Without limiting any of the foregoing, in no event shall any of the MSCI Parties have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

Data provided is for informational purposes only and may not be used for any other purpose including as the basis for any other fund, derivative or financial product. The funds or securities referred to herein are not sponsored, endorsed or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based.

Source: London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). © LSE Group 2022. FTSE Russell is a trading name of certain of the LSE Group companies. “FTSE Fixed Income®”, “FTSE®”, “Russell®” and “FTSE Russell®” are trademarks of the relevant LSE Group companies and are used by any other LSE Group company under license. All rights in the FTSE Russell indexes or data vest in the relevant LSE Group company which owns the index or the data. Neither LSE Group nor its licensors accept any liability for any errors or omissions in the indexes or data and no party may rely on any indexes or data contained in this communication. No further distribution of data from the LSE Group is permitted without the relevant LSE Group company’s express written consent. The LSE Group does not promote, sponsor or endorse the content of this communication.

Source: FTSE International Limited ("FTSE") © FTSE 2017. "FTSE®" is a trade mark of the London Stock Exchange Group companies and is used by FTSE International Limited under license. The trade names Fundamental Index® and RAFI® are registered trademarks of Research Affiliates, LLC. The FTSE RAFI® Index Series is calculated by FTSE in conjunction with Research Affiliates LLC. All intellectual property rights in the Index vest in FTSE. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings or underlying data. No further distribution of FTSE Data is permitted without FTSE's express written consent.

The SciBeta United States Maximum Decorrelation Index is the intellectual property (including registered trademarks) of Scientific Beta Pte Ltd and/or licensors. The Firm’s products that replicate fully or partially the SciBeta United States Maximum Decorrelation Index are not sponsored, endorsed, sold or promoted by Scientific Beta Pte Ltd and its licensors and neither Scientific Beta Pte Ltd nor its licensors shall have any liability with respect thereto.