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O'SHARES STRATEGY SERIES

July 2018

Dividend Stocks Cheapest in 5 Years. Buying Opportunity?

? Dividend stocks have outperformed the S&P 500 55% of the time over the past 20 calendar years. ? They have traded at approximately a 9% premium to the S&P 500 over the past 5 years. ? They now have a P/E with only a 4% premium to the S&P 500 and are nearly the cheapest in 5 years.

1.16 1.14 1.12 1.10 1.08 1.06 1.04 1.02 1.00 May 2013

Dividend Stocks vs. S&P 500 - Relative P/E

May 2014

May 2015

May 2016

May 2017

May 2018

Calendar Year Performance - Dividend Stocks vs. S&P 500

40% 30% 20% 10% 0% -10% -20% -30% -40% -50%

1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

S&P 500 Dividend Aristocrats Total Return Index

S&P 500 Index

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Source: Bloomberg. Data as of 5/31/2018. The indices shown are for informational purposes only and are not reflective of any investment. As it is not possible to invest in the indices, the data shown does not reflect or compare features of an actual investment, such as its objectives, costs and expenses, liquidity, safety, guarantees or insurance, fluctuation of principal or return, or tax features. Past performance is no guarantee of future results.

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O'SHARES STRATEGY SERIES

July 2018

Related pieces: U.S. Large Caps

EPS ($) EPS ($) Annualized Return

O'SHARES STRATEGY SERIES

June 2018

Fed Model: Equity Valuations Remain Favorable in Low Rate Environment

What is the Fed Model? ? The model compares the stock market forward earnings yield to the yield on long term government bonds (The

U.S. 10 Year Government Bond Yield) ? Stocks and bonds are considered fairly valued when these two yield measures are equal. ? When the earnings yield is higher, stocks are considered attractive relative to bonds. Conversely, when bond

yields are higher than earnings yields, bonds are considered more attractive relative to stocks.

Stocks appear attractive, earnings yield remains higher than bond yields

Fed Model - S&P 500 Earnings Yield vs. Long-Term Government Bond Yield

10%

9%

8%

7%

6%

5%

4%

3%

2%

1%

0%

1990

1994

1998

2002

2006

2010

2014

2018

S&P 500 Earnings Yield

U.S. 10 Year Government Bond Yield

S&P 500 - Earnings Per Share

+11% Growth

$200 $150

+10% Growth

+19% Growth

$159

$134

$175

$193

$100 $84

$82 $94 $99 $106 $112 $109 $109

$54 $59 $50

$0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018e 2019e 2020e

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Source: Bloomberg. Fed Model chart, data as of 5/31/2018; S&P 500 Earnings per share chart, data as of 6/20/2018. | info@

Fed Model: Equity Valuations Remain Favorable in Low Rate Environment Click here to read more

O'SHARES STRATEGY SERIES

june 2018

Quality Stocks: Cheapest Since 2009?

? Quality stocks historically trade at a ~20% premium to the S&P 500 ? Quality stocks (using the OUSA Index) now have a P/E with only an ~7% premium, cheaper than the 15 year

average relative P/E (vs. the S&P 500) and the cheapest since 2009.

P/E of Quality Stocks vs.the S&P 500 - 15 Year History Quality Stocks ~10% Cheaper than Historic Relative Average

1.50 1.45 1.40 1.35

1.30 1.25 1.20 1.15

1.10 1.05

1.0 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Another opportunity? 2014 2015 2016 2017 2018

S&P 500 - Earnings Per Share

+11% Growth

$200

+10% Growth

$193

+19% Growth

$175 $159

$150

$134

$100 $84

$82 $94 $99 $106 $112 $109 $109

$54 $59 $50

$0 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018e 2019e 2020e

Source: Bloomberg. Quality stocks and historic price-to-earnings ratio data are represented by the FTSE US Qual/Vol/Yield Factor 5% Capped Index constituents as of 5/31/2018, held at a fixed weight using the weighted average of each stock's historic price-to-earnings ratios. OUSA Index: FTSE US Qual/Vol/Yield Factor 5% Capped Index, U.S equities represented by the S&P 500.

OUSA: O'Shares ETFs approach to U. S. Large Caps, visit

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Quality Stocks: Cheapest Since 2009?

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O'SHARES STRATEGY SERIES

june 2018

S&P 500 Scatterplot: Long-Term Performance Versus Risk

? Comparing 10 year return and risk data for the 11 sectors in the S&P 500, several observations can be made. ? The sectors with the lowest volatility in the past 10 years were Consumer Staples and Health Care. The highest

volatility sectors were Financials and Real Estate. ? The best performing sectors in the past 10 years were Consumer Discretionary and Information Technology.

The worst performing sectors were Real Estate and Energy. ? Adjusting for risk, the best performing sectors were Health Care and Consumer Discretionary.

16% 14% 12% 10% 8% 6% 4% 2% 0%

10%

S&P 500 Sectors: 10 Year Risk vs. Return

InformationTechnology Health Care

Consumer Discretionary

Consumer Staples S&P 500 Industrials

Utilities Telecommunication

Materials

Energy

15%

20%

25%

Annualized Volatility

Financials Real Estate

30%

35%

0.80 0.71 0.70 0.60 0.50 0.40 0.30 0.20 0.10

0 Health Care

Return/Risk (Annualized Return/Annualized Volatility) 0.68 0.67 0.65

0.50 0.40 0.37 0.25 0.21 0.16

Consumer Information Consumer S&P 500 Industrials Utilities Telecom Materials Financials

Discretionary Technology Staples Index

Services

0.11 Real Estate

0.04 Energy

OUSA: O'Shares ETFs approach to U. S. Large Caps, visit

Source: Bloomberg. Data as of 5/31/2018. Past performance is not a guarantee of future results. | info@

S&P 500 Scatterplot: Long-Term Performance Versus Risk Click here to read more

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Before you invest in O'Shares Investments funds, please refer to the prospectus for important information about the investment objectives, risks, charges and expenses. To obtain a prospectus containing this and other important information, please visit to view or download a prospectus online. Read the prospectus carefully before you invest. There are risks involved 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. The funds' 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 in foreign securities could be more volatile than, or trail the returns on, investments in U.S. securities. Exposures to foreign securities entail special risks, including political, diplomatic, economic, foreign market and trading risks. In addition, unless perfectly hedged, the Fund's investments in securities denominated in other 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. The funds' hedging strategies may not be successful, and even if they are successful, the funds' exposure to foreign currency fluctuations is not expected to be fully hedged at all times. The securities of small capitalization companies are often more volatile and less liquid than the stocks of larger companies and may be more affected than other types of securities during market downturns. Compared to larger companies, small capitalization companies may have a shorter history of operations, and may have limited product lines, markets or financial resources. See the prospectus for specific risks regarding the Fund.

Past performance does not guarantee future results. Shares are bought and sold at market price (not NAV), are not individually redeemable, and owners of the Shares may acquire those Shares from the Funds and tender those shares for redemption to the Funds in Creation Unit aggregations only, consisting of 50,000 Shares. Brokerage commissions will reduce returns.

O'Shares Investments funds are distributed by Foreside Fund Services, LLC. Foreside Fund Services, LLC is not affiliated with O'Shares Investments, or any of its affiliates.

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