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Our Proprietary Loss Harvesting Process

4 Pillars R1

Green Harvest Asset Management is the developer of SmartCapture. This proprietary discipline is a multi-step process designed to optimize ETF selection, maximize the capture of tax benefits, minimize tracking error and efficiently implement trading.

• Our team of experts creates a universe of suitable, low-cost, passive, name brand ETFs for every possible exposure

• Tax regulator (IRS) interactions provided critical input into their views on loss harvesting

SmartCapture optimizer selects the most suitable anchor ETF and multiple swap candidates for each country, region, sector, industry or other exposure

SmartCapture algorithms generate estimated optimum loss capture thresholds for all portfolio ETFs

• Core Index Plus models and ETFs, as well as ETF trading thresholds, are integrated into our tax sensitive trading software

• ETFs are “simultaneously swapped” to keep clients fully invested and minimize tracking error

ETF Experience and Expertise

• Senior management possesses deep understanding of ETFs built through 20 years of:

– ETF Product Development: Index creation, liquidity, attributes, outcomes

– ETF Portfolio Construction: Portfolio attributes, volatility management, return abnormalities

– ETF Trading: Creation/redemption process, trading best practices, relationships with market makers and authorized participants in varied asset classes and categories

• Our firsts include a loss harvesting industry nomenclature glossary, a benchmark specific to loss harvesting managers

• We write extensively on relevant topics including defining tax alpha and best loss harvesting practices

IRS Interaction

• Tax regulator (IRS) interactions and feedback provided critical input into their views on loss harvesting practices

• Multiple conversations over a three-month period with a senior IRS team through outside tax counsel produced observations and comments on many relevant and valuable topics

• We have a strong understanding of their concerns and processes

ETF Optimizer and Trading Algorithms

• Our optimizer determines the most suitable ETFs to represent each sector, industry, country or regional exposure

• The four crucial attributes of attractive loss harvesting securities were determined through extensive research and drive the optimizer

• An intrinsic volatility-based algorithm provides an estimate of optimum loss capture thresholds for portfolio ETFs

• Trading at optimum thresholds lowers turnover and costs and may lower tracking error

Implementation Technology

RedBlack portfolio management and trading platform allows security swapping, model implementation and other trading and execution capabilities in addition to account allocation and settlement across multiple custodians

• Full process delivery includes multiple-account monitoring, pre-trade compliance, order management, fixed connection trading, account allocation and post trade compliance including trade archival

• Robust connectivity to over 300 custodians