BUYO Presentation

by Kraneshares

Harnessing The Key Drivers Powering Private Equity Buyout Funds Through Public Equity

Overview of the KraneShares Man Buyout Beta Index ETF (Ticker: BUYO)

Introduction to KraneShares

About KraneShares

Krane Funds Advisors, LLC is a specialist investment manager focused on China, Climate, and Alternative assets. KraneShares seeks to provide innovative, high conviction, and first to market strategies. The firm was founded in 2013 and manages for institutions and individuals globally. The firm is a signatory of the United Nations-supported Principles for Responsible Investment (UN PRI).

Product Suite

China Thematic Equity

KWEB: Internet & E-Commerce*
KURE: Healthcare
KGRN: Clean Technology
KSTR: STAR Market*
KTEC: Hang Seng Tech

China Core Equity

KBA: MSCI China A 50
KCAI: China Onshore Alpha Index

Options Income

KLIP: KWEB Covered Call
KWIN: Wahed Alternative Income

Managed Futures

KMLM: Mount Lucas Managed Futures

Global Equity

KARS: Electric Vehicles & Future Mobility
AGIX: Artificial Intelligence & Technology
KOID: Humanoid & Embodied Intelligence*

EM Equity

KEMX: MSCI Emerging Markets ex China
KEMQ: Emerging Markets Consumer Tech
KPHO: Dragon Capital Vietnam Growth

Levered

KBAB: 2X Long BABA Daily
KPDD: 2X Long PDD Daily
KMLI: 2X Long MELI Daily
KJD: 2X Long JD Daily
KBDU: 2X Long Baidu Daily

Carbon

KRBN: Global Carbon Strategy*
KEUA: European Carbon Allowance
KCCA: California Carbon Allowance

Fixed Income

IVOL: Quadratic Interest Rate Volatility & Inflation Hedge
BNDD: Quadratic Deflation ETF
KHYB: Asia High Income USD Bond
KCSH: Sustainable Ultra Short Duration

US Equity

KSPY: Hedgeye Hedged Equity
BUYO: Man Buyout Beta Index
KVLE: Value Line® Dynamic Dividend Equity
KIQQ: Nasdaq Hedge & Option Income

*Strategy also available in UCITS

Introduction to Man Group

Man Group is a global alternative investment management firm focused on pursuing outperformance for sophisticated clients via their Systematic, Discretionary and Solutions offerings. Powered by talent and advanced technology, their single and multi-manager investment strategies are underpinned by deep research and span public and private markets, across all major asset classes, with a significant focus on alternatives. Man Group takes a partnership approach to working with clients, establishing deep connections and creating tailored solutions to meet their investment goals and those of the millions of retirees and savers they represent. Headquartered in London, they manage $174.9 billion¹ and operate across multiple offices globally. Man Group plc is listed on the London Stock Exchange under the ticker EMG.LN and is a constituent of the FTSE 250 Index. Further information can be found at www.man.com.

¹ Data as of 12/31/2024. Throughout this presentation reference to 'Man' refers to all Man Group plc and its subsidiaries. Combined AUM of all affiliated Man investment managers. Unless otherwise stated Total Assets reflects the Assets Under Management (AUM) as stated and described in the Man Group Annual Report or the most recent Man Group Quarterly Trading Report and Statement. All investment management services are offered through Man-affiliated investment managers.

Key Statistics:

$174.9 bn¹ Assets Under Management
62% Assets in Alternatives
38% Assets in Long-only
480+ Investment Professionals
670+ Systematic Researchers and Technologists
$7tn Notional Traded Globally
150+ Actively Managed Strategies

BUYO

KraneShares Man Buyout Beta Index ETF

Investment Strategy

The KraneShares Man Buyout Beta Index ETF (Ticker: BUYO) seeks to track the performance of the Man Buyout Beta Index, which is designed to provide exposure to a subset of public equities that feature the key characteristics of companies held in PE/buyout funds. The Index employs a systematic approach to select a portfolio of small to mid-cap stocks, targeting industries favored by PE firms as well as companies that are similar in size and display similar company-specific characteristics as those in traditional PE funds.

KraneShares Man Buyout Beta Index ETF Features

Seeks to identify methodologies that buyout funds use to target takeover candidates and apply them to public equities to achieve similar results, such as delivering potentially higher long-term returns and diversification.
BUYO targets small to mid-cap public companies that exhibit the following characteristics:
1. Belong to sectors favored by PE buyout funds, including Information Technology, Consumer Discretionary, Industrials, and Health Care.
2. Match the profile of the types of companies in which PE buyout funds tend to invest by screening for fundamental metrics, including: valuation, growth, profitability, cash management, debt capacity, business uncertainty and risk, industry dynamics and informed investor views.
BUYO utilizes Man Group's data-driven investment strategy, which has been used since 2018 in the Model that underpins the Index.
Intraday liquidity, lower management fee relative to traditional PE funds, and full daily holdings transparency.

The statement regarding diversification refers to sector exposure, not regulatory diversification under the Investment Company Act of 1940. Diversification does not ensure a profit or guarantee against a loss.

PE is popular among investors, but... has characteristics that can be improved upon

Leading reasons why investors like PE

Strong Historical Returns
Potential Diversification*
Long-Term Value Creation

BUT...

Some common frustrations with PE

High Fees + Subpar Distinction between Alpha & Beta
Long Time To Deploy Committed Capital
Illiquid + Long Lockups
Cyclicality In Distributions

*The statement regarding diversification refers to sector exposure, not regulatory diversification under the Investment Company Act of 1940. Diversification does not ensure a profit or guarantee against a loss.

As money flows into PE, supply-demand imbalance has led the PE industry to hoard record levels of cash

Value of U.S. PE Dry Powder from 2006 to 2024 (in billion U.S. dollars)

The chart shows a steady increase in PE dry powder from $318 billion in 2006 to $1,008 billion in 2024*, with particularly strong growth from 2015 onward:

2006: $318 billion
2007: $348 billion
2008: $348 billion
2009: $335 billion
2010: $302 billion
2011: $306 billion
2012: $310 billion
2013: $352 billion
2014: $351 billion
2015: $424 billion
2016: $471 billion
2017: $593 billion
2018: $655 billion
2019: $752 billion
2020: $819 billion
2021: $901 billion
2022: $1,004 billion
2023: $1,024 billion
2024*: $1,008 billion

Data from Pitchbook as of 1/31/2025. Retrieved 12/31/2025. *Data for 2024 is based on 1st half of 2024, Pitchbook estimated full-year 2024 data based on the 1st half results.

Private vs Public Equity Comparison

PE is a form of active equity investing, with alpha drivers that are also found in many public companies.

Characteristics of companies found in PE portfolios:

Profitable
Growing
Cash-efficient
Stable business
Visibility and predictability of cash flows
Benefiting from positive trends
Part of attractive industries
Reasonably valued
Able to take on / service debt

Can also be accessed in public equities

✓

What Types Of Companies Do PE Firms Buy?

The same fundamentals that attract buyout firms to private companies also exist in public companies

We believe...

Public equities are a reasonable proxy for the beta in buyout funds¹, and a nuanced public equity portfolio can potentially serve as a closer proxy for buyout fund performance.
Proxy for PE alpha may be achievable by investing in public companies that closely resemble the companies in buyout funds and avoiding the industries and types of companies buyout funds typically do not target.
It is important to invest in companies that 1) are similar in size to those in buyout funds, 2) belong to the same industries as those in buyout funds, and 3) display similar company-specific characteristics as those in buyout funds.

Target Sectors:

Information Technology, Consumer Discretionary, Industrials, Health Care (-) Underweight: Financials, Utilities

Key Characteristics:

Smaller: $100M-$10B common deal target
Cheaper: Focus on free cash flow yield
More Profitable: Operating margins important
Cash Disciplined: Board oversight, less CapEX, Debt repayment
Higher Growth: Top-line focus
Leveraged: Significant debt in deals

¹. There is a 75% correlation between the total returns of PE and the public equity market using the Preqin Private Equity ex-Venture Capital Index and the Russell 2500 Index as the proxies for private and public equity. Data from Preqin Ltd and analysis by Man Group as of 8/31/2024. Retrieved 12/31/2025.

Many of the performance drivers that benefit buyout companies are also found in select public companies

...But identifying those companies and harnessing that alpha requires a nuanced approach

Components of PE Return

BETA

As long-only equity portfolios, PEs' significant portion of total return is driven by broad macroeconomic influences or beta, that similarly impact public companies. Heightened leverage levels in PEs amplify this.

David Swensen (former Yale CIO): deals driven by financial engineering alone are simply "turbo-charged equity"

REPLICABLE ALPHA

"Replicable Alpha" = return source requires skill but is replicable

TRUE ALPHA

True Alpha = idiosyncratic return driver employed by skilled PE managers, cannot be easily replicated in the public market (due primarily to lack of control over corporate decisions)

Sub-Components of PE Return

Replicable in Public Markets:

Leverage: Return amplifier; tax benefits
Industry Selection: Analyze industry trends, competitive dynamics
Valuation: Identify undervalued assets
Growth: Focus on increasing revenue
Cash Management: Cost reductions emphasized
Profitability: Need profits to pay down debt
Stability: Visibility / predictability of key fundamentals
Corp. Relationships: Analysis of ecosystem surrounding a company
Size: Less efficient pricing among smaller companies, potential hidden gems

Not Easily Replicable:

Strategy: Control strategic decisions, e.g., replacing management
Exit: Facilitate high-value exit/sale
Incentives: Enhance management incentives/upside
Acquisitions: Inorganic growth

Source: Man Group as of 12/31/2024. Retrieved 12/31/2025.

There is a strong correlation between public equities and PE, but can PE's other return drivers be captured?

There is a 75% correlation between the total returns of PE and the public equity market using the Preqin Private Equity ex-Venture Capital Index and the Russell 2500 Index as the proxies for private and public equity.

The PE Industry uses comparable public companies to value its portfolios
Both public and private companies are exposed to the same macroeconomic, industry-specific, and other top-down trends
Private equity investments benefit from "return smoothing", which if applied to public equities, would increase correlation even more*
Can a filtered public equity portfolio provide a more correlated return profile to PE?

![Russell 2500 Index 2024 Price Chart showing price movement on a quarterly basis as an example of "return smoothing"]

Data from Preqin Ltd and analysis by Man Group as of 8/31/2024. Retrieved 12/31/2025.
Data from Bloomberg as of 12/31/2024. Retrieved 12/31/2025.

*Private equity benefits from return smoothing, potentially increasing correlation with any index, including the Russell 2500. This feature stabilizes private equity performance compared to public indices, which show daily fluctuations. Smoothing could reduce perceived volatility and better align index returns with private equity.

Can applying PE selection criteria to public equities produce a similar return profile as traditional PE funds?

Yes, PE-like returns can be generated using public equities according to institutional investors/Limited Partners (LPs), academics, and sell-side firms.

Harvard Business School¹

"The passive replicating strategy represents an economically large improvement in risk- and liquidity-adjusted returns over direct allocations to private equity funds, which charge average fees of 6% per year."

GPIF (largest pension in the world)²

"The long-term performance of a replicating portfolio...tracks closely with the Cambridge Associates Global PE Index (US Buyout)."

Deutsche Bank³

"Our replication model provides attractive risk-adjusted return profiles compared to existing PE benchmark indices."

Data from "Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting", Harvard Business School 2015. Retrieved 12/31/2025.
Data from GPIF website as of 8/30/2024. Retrieved 12/31/2025.
Data from "Private Equity: Nothing Private About It." May 27, 2021. Retrieved 12/31/2025. Sell-side research, made available to clients and business partners of Deutsche Bank.

Introducing BUYO

A systematic approach to target public companies that have similar attributes to private equity targets

BUYO Index Construction Process

Largest 3,000 U.S. Public Companies By Market Capitalization
- Exclude the largest 500 companies by market capitalization from this universe
Industries Favored by PE
- Stocks that belong to specific sectors and industries that are not targets for traditional buyout deals are then excluded to create the index universe.
Screen For Stocks Matching Buyout Criteria
- Identifying companies that match the profile of the types of companies in which buyout funds tend to invest. This is a systematic process driven by eight higher level models, each of which is comprised of multiple underlying signals.
BUYO
- The weight for each constituent is capped at 5%.

Please see the end of the presentation for index definitions.

BUYO currently has more exposure to Information Technology, a sector currently favored by PE firms, compared to the Russell 2500 Index

![Sector Exposure bar chart comparing BUYO and Russell 2500 Index across sectors including Technology, Industrials, Consumer Discretionary, Healthcare, Financials, Materials, Communication Services, Consumer Staples, Energy, Utilities, and Real Estate]

Data from Bloomberg as of 12/31/2025. Please see the end of the presentation for index definitions.

BUYO avoids "obvious" stocks: the largest, most expensive, least profitable, most cash-flow-intensive public companies

Fundamental

Screen	Exclusion criteria
Valuation	MOST Expensive
Profitability	LEAST Profitable
Debt Capacity	LEAST Leveraged
Cash Management	LEAST Efficient
Growth	LOWEST Growers

Additional PE Alpha Proxies

Screen	Exclusion criteria
Business Uncertainty	MOST Uncertain
Industry Dynamics	LEAST Attractive
Informed Investor Views	LEAST Favorable

BUYO leverages a potential key advantage over private market investors: dynamic public market information may be predictive of future fundamentals.

Please see the end of the presentation for definitions.

With a seemingly insufficient number of attractive, appropriately valued private companies, PE firms can turn to public markets for deals

![Bar chart showing the number of US Public to Private Takeout Deals from 2015 to 2024, with values ranging from 39 to 56 deals per year]

Data from Pitchbook as of 1/31/2025. Retrieved 12/31/2025. *Data shown by the year the deal was completed. Please note that this data includes microcap companies that are not in the Man Buyout Beta Index selection universe.

How does BUYO fit in your portfolio?

A strong SMID (Small and Mid Cap) strategy possesses several key qualities that contribute to its effectiveness

BUYO as a SMID strategy

BUYO is a US SMID investment strategy, focusing on private market signals and PE manager return drivers
The strategy offers exposure by intentionally deviating from typical sector-neutral quant approaches to align with PE deal activity sectors
The approach leverages PE firms' extensive due diligence and information advantages gained from their long-term investment horizon and related company investments
The portfolio maintains higher tracking error than typical quants while serving as a differentiated strategy through its broad alpha drivers and sophisticated risk management

Please see the end of the presentation for definitions.

How does BUYO fit in your portfolio?

A strong SMID (Small and Mid Cap) strategy possesses several key qualities that contribute to its effectiveness

Quality Companies

Investing in high-quality companies with strong competitive advantages and market positions, consistent revenue and earnings growth, solid balance sheets and financial stability, high returns on invested capital, and positive free cash flow generation

Growth Orientation

While maintaining a quality focus, successful SMID strategies often target companies with above-average earnings growth potential, businesses in expanding industries or niche markets, and innovative companies with disruptive potential

Effective Risk Control Measures

Broad industry and sector diversification, limits on individual position sizes, focus on downside hedge through quality selection

Bottom-Up Fundamental Analysis

Rigorous company-specific research, analysis of management quality and alignment with shareholders, and evaluation of competitive positioning and industry dynamics

How does BUYO fit in your portfolio?

According to recent data, major endowments typically allocate around 20-40% of their portfolios to private equity, with some top institutions like Ivy League Universities reaching as high as 36.7% of their total investment, reflecting a significant portion of their overall portfolio allocation to private equity.¹

BUYO Use Cases

Investors seeking potential liquid beta to the PE buyout asset class while awaiting placement in traditional PE funds
Investors desiring highly correlated liquid alternative exposure to the buyout market
Investors looking to implement a more endowment-like asset allocation that includes a healthy weighting to PE-like strategies

![Chart showing Richest Universities in the United States in fiscal year 2023, by endowment fund market value & percentage allocation to PE/VC]

Data MPI Research as of July 2024. Retrieved 12/31/2025.
Data from Statista as of 12/31/2023. *No data available for Yale and MIT asset allocation. Retrieved 12/31/2025.

Why BUYO?

Multi-faceted approach to creating an investable beta for buyouts, targeting the actual drivers of buyout fund performance
Not statistical replication or indirect exposure to PE performance drivers, like some peers
Sub-advisor has 6+ year live Liquid PE track record & 35+ years of experience in systematic investing¹
Fundamentally-based, disciplined, systematic approach
Broad diversification* across sectors, industries, and companies; sophisticated risk management
Leverages data science and research capabilities, and broader infrastructure and resources of Man Group, a $174.9B investment manager¹
Automated vintage diversification* and exposure to PE return drivers without the PE fees

Data from Man Group as of 12/31/2024. Retrieved 12/31/2025.

Index Definitions:

Russell 2500 Index: The Russell 2500 Index measures the performance of the 2,500 smallest companies in the Russell 3000 Index

Preqin Private Equity ex-Venture Capital Index: The Preqin Private Equity ex-Venture Capital Index represents the returns on committed capital in private equity partnerships. It includes the amount of money invested in these partnerships and the returns that outstanding commitments would generate if invested risk-free.

Term Definitions:

Free cash flow yield (FCFY): Free cash flow yield is a financial metric that compares a company's cash flow to its overall valuation. It's a key indicator of a company's financial health and performance, and is used by investors to assess how well a company can meet its financial obligations.

Operating margins: In business, operating margin—also known as operating income margin, operating profit margin, EBIT margin and return on sales —is the ratio of operating income to net sales, usually expressed in percent. Net profit measures the profitability of ventures after accounting for all costs.

Capital Expenditure (CAPEX): Capital expenditure or capital expense is the money an organization or corporate entity spends to buy, maintain, or improve its fixed assets, such as buildings, vehicles, equipment, or land.

Alpha: Alpha is a financial term that measures how well an investment strategy, portfolio manager, or trader has performed relative to a benchmark or the market. It's also known as excess return or abnormal rate of return.

Beta: Beta measures an investment's volatility relative to the market and is used to quantify its risk. It's calculated as the slope of a security's returns regressed against a benchmark market index.

Tracking error: Tracking error is the standard deviation of the difference between a portfolio's returns and its benchmark's returns, measuring how closely the portfolio follows its benchmark over time. A higher tracking error indicates greater deviation from the benchmark, often due to active management decisions, while a lower tracking error suggests the portfolio closely mimics the benchmark.

Alpha drivers: Alpha drivers are investments or strategies designed to generate returns that are independent of the overall market, aiming to produce excess returns (alpha) through active management or unique sources of value. In portfolio construction, alpha drivers are contrasted with beta drivers, which track market movements, as alpha drivers seek to outperform regardless of market direction.

Important Notes:

Carefully consider the Funds' investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds' full and summary prospectus, which may be obtained by visiting www.kraneshares.com/buyo. Read the prospectus carefully before investing.

Risk Disclosures:

Investing involves risk, including possible loss of principal. There can be no assurance that a Fund will achieve its stated objectives. Indices are unmanaged and do not include the effect of fees. One cannot invest directly in an index.

This information should not be relied upon as research, investment advice, or a recommendation regarding any products, strategies, or any security in particular. This material is strictly for illustrative, educational, or informational purposes and is subject to change. Certain content represents an assessment of the market environment at a specific time and is not intended to be a forecast of future events or a guarantee of future results; material is as of the dates noted and is subject to change without notice.

The Underlying Index uses Numeric models in its methodology, which depend on various data sources that may be inaccurate or incomplete, rendering the models potentially unreliable. Historical market data may not predict future price movements, and unusual market events can lead to unexpected outcomes. Models may also have hidden biases and could incur losses if actual events diverge from their assumptions. Additionally, performance may be affected by software issues or programming errors. While the Underlying Index aims to reflect private equity performance and risk like private equity buyout funds, there is no guarantee that public equities will achieve this exposure or that the models will effectively provide it.

The Fund may invest in derivatives, which are often more volatile than other investments and may magnify the Fund's gains or losses. A derivative (i.e., futures/forward contracts, swaps, and options) is a contract that derives its value from the performance of an underlying asset. The primary risk of derivatives is that changes in the asset's market value and the derivative may not be proportionate, and some derivatives can have the potential for unlimited losses. Derivatives are also subject to liquidity and counterparty risk. The Fund is subject to liquidity risk, meaning that certain investments may become difficult to purchase or sell at a reasonable time and price. If a transaction for these securities is large, it may not be possible to initiate, which may cause the Fund to suffer losses. Counterparty risk is the risk of loss in the event that the counterparty to an agreement fails to make required payments or otherwise comply with the terms of the derivative.

The Fund is new and does not yet have a significant number of shares outstanding. If the Fund does not grow in size, it will be at greater risk than larger funds of wider bid-ask spreads for its shares, trading at a greater premium or discount to NAV, liquidation and/or a trading halt. Narrowly focused investments typically exhibit higher volatility. The Fund's assets are expected to be concentrated in a sector, industry, market, or group of concentrations to the extent that the Underlying Index has such concentrations. The securities or futures in that concentration could react similarly to market developments. Thus, the Fund is subject to loss due to adverse occurrences that affect that concentration. In addition to the normal risks associated with investing, investments in smaller companies typically exhibit higher volatility. BUYO is non-diversified.

ETF shares are bought and sold on an exchange at market price (not NAV) and are not individually redeemed from the Fund. However, shares may be redeemed at NAV directly by certain authorized broker-dealers (Authorized Participants) in very large creation/redemption units. The returns shown do not represent the returns you would receive if you traded shares at other times. Shares may trade at a premium or discount to their NAV in the secondary market. Brokerage commissions will reduce returns. Beginning 12/23/2020, market price returns are based on the official closing price of an ETF share or, if the official closing price isn't available, the midpoint between the national best bid and national best offer ("NBBO") as of the time the ETF calculates the current NAV per share. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The KraneShares ETFs and KFA Funds ETFs are distributed by SEI Investments Distribution Company (SIDCO), 1 Freedom Valley Drive, Oaks, PA 19456, which is not affiliated with Krane Funds Advisors, LLC, the Investment Adviser for the Funds, or any sub-advisers for the Funds.

This page appears to be a continuation of the legal disclaimers and risk disclosures from the previous page, containing the KraneShares logo at the top.