The Sensefolio’s algorithm takes into account companies’ reports as well. It skims through each of their ‘Sustainability’ reports, ‘Environmental, Social and Governance (ESG)’ reports, or simply their ‘Annual’ reports, as well as companies’ earnings call transcripts, and applies an internal Natural Language Processing (NLP) algorithm to assess the companies’ degrees of involvement into social, environmental and governance topics defined by Sensefolio. Companies from the largest indices are currently covered by Sensefolio. This includes over 10,000 companies with a global coverage of over 50 countries. The indices include the following:

S&P 500 NASDAQ FTSE 250 CAC 40

EURONEXT 100 NEXT 150

NIKKEI 225 CANADA S&P/TSX

CHINA SSE50 HANG SENG INDEX

S&P/ASX 200 …

FINANCIAL / ESG REPORTS AND EARNINGS CALLS

by:

"GIVE SENSE TO YOUR INVESTMENT PORTFOLIO"

FINANCIAL / ESG / SUSTAINABILITY REPORTS

Below are a few examples of reports that companies can release to disclose their commitments to ESG. They can be either ‘ESG’ reports, ‘Sustainability’ reports, or the information can be contained in the companies’ ‘annual reports’ as well. Exhibit 1: Different versions of ESG, Sustainability, or CSR Reports from companies covered by Sensefolio

A B C A: Barclays’s Environmental, Social and Governance 2017 Report Available on: https://www.home.barclays/content/dam/barclayspublic/docs/InvestorRelations/AnnualReports/AR2017/Barclays%20PLC%20ESG%20Report%202017.pdf

B: Royal Dutch Shell Sustainability Report 2017 Available on: https://reports.shell.com/sustainability-report/2017/servicepages/downloads/files/download.php?file=shell_sustainability_report_2017.pdf

C: LVMH Corporate Social Responsibility 2017 Report Available on: https://r.lvmh-static.com/uploads/2014/11/2017-social-responsibility-report.pdf

Sensefolio is programmed to intercept and read every new report being published by a company. They can be named ESG report (as seen on A), Sustainability report (as seen on B), or CSR report (as seen on C). Text is then read and analysed to be integrated and add new information into Sensefolio’s existing or new companies’ scores.

1

Internal NLP algorithms are used to assess the degree of companies’ commitment to ESG topics as well as the objectivity and subjectivity of the text corpus. As shown in Exhibit 2, Shell discloses in its Sustainability Report how it is responding and act according to their relevant United Nations Sustainable Development Goals (SDGs); ie. Ensuring access to affordable, reliable, sustainable, and modern energy, decent work and economic growth, building resilient infrastructure, promoting inclusive and sustainable industrialisation and fostering innovation, having a responsible consumption and production, as well as the climate action(s) they are taking. In this same report, Shell also discloses their environmental data which are all scrutinized and evaluated by the Sensefolio algorithm. Exhibit 2: Shell Sustainability Report 2017: https://reports.shell.com/sustainability-report/2017/servicepages/download-centre.html

2

EARNINGS CALL TRANSCRIPTS

Sensefolio includes earnings calls to its “Financial Report and Earnings Calls” pillar. Earnings Calls are conference calls between the management of a publicly-traded company, sell-side analysts and other attendees to discuss the firm’s latest financial results. Each earning call is split into three major sections:

- The prepared remarks made by executives - The questions from the sell-side analysts - The unscripted responses by executives to analysts’ questions

Executives are generally CEOs and CFOs. Exhibit 3 shows an example of a recent Earnings Call transcript of Verizon Communications Inc. made for the company’s Q3 2018 results. Reading earnings call transcripts adds more information into the Sensefolio scores as our algorithms can assess and monitor both sentiment-based signals as well as behavioural-based signals. Exhibit 3: Verizon Earnings Call Transcript for Q3 2018 Results:

3

Sensefolio utilizes the Gunning fog index, which is a readability test for English writing. The index estimates the years of formal education a person needs to understand the text on the first reading. The index takes into account the average words per sentence, as well as the number of complex words in a call. The “complex” words consist of three or more syllables without including proper nouns, familiar jargons, or compound words. As an example, a fog index of 12 would require the reading level of a US high school senior (ie. Around 18 years old). Sensefolio takes into account the analyst favouritism into its model. Indeed, companies might select the most bullish analysts to ask questions in order to hide their results and show a more optimistic view of the company prospects to others. Finally, Sensefolio counts how many numerical values are presented during the earnings call. The more numerical values are presented, the more likely the executives want to conceal the unfavourable future of the company.

4

Sensefolio Final Score Calculation Sensefolio aggregates the three parts mentioned above – Financial News, ESG or Sustainability Reports and Social Media posts. Each part accounts for a third of the total score. 𝑺𝒆𝒏𝒔𝒆𝒇𝒐𝒍𝒊𝒐_𝑺𝒄𝒐𝒓𝒆

= 𝑵𝒆𝒘𝒔_𝑺𝒄𝒐𝒓𝒆 +𝑹𝒆𝒑𝒐𝒓𝒕(𝒔)_𝑺𝒄𝒐𝒓𝒆 + 𝑺𝒐𝒄𝒊𝒂𝒍𝑴𝒆𝒅𝒊𝒂_𝑹𝒆𝒗𝒊𝒆𝒘𝒔_𝑺𝒄𝒐𝒓𝒆 Sensefolio-owned scores are calculated on a very regular basis – i.e. whenever new financial reports, news, social media posts or company reviews are published. This thus makes the Sensefolio scores updated on a 'near' real-time basis. There is a Sensefolio Score for each ESG pillar. Several keywords have been and are constantly developed by the Sensefolio team in order to allocate each review and social media post to a particular pillar of the ESG classification. Each information is thus aggregated for a certain company classified within the Global Industry Classification Standard (GICS) and being assigned the following weights below :

Data can be provided by API or FTP. Companies are matched by their: ISIN, CUSIP, SEDOL, BBG, Factset, GICS Sector, GICS Industry.

5

Contact Sensefolio

For more information or any inquiries, feel free to contact us on: contact@sensefolio.com Chicago 2034 N Orleans St Chicago, IL 60614, USA 847 208 7532 London 10A James Street WC2E 8BT London UK 6

Sensefolio sensefolio @sensefolio @sensefolio @sensefolio