ETF Research Center

Constrained Capital ESG Orphans ETF

ALTAR
Score™

6.6%

Recommen-
dation

NEUTRAL

2023E 2024E
P/E ratio	13.6x	P/Sales ratio	2.0x
P/BV ratio	2.8x	Div. yield	3.9%

Description
Performance
Comps
Fundamentals
Valuation
Rating

ORFN tracks a market cap-weighted index of US-listed companies from orphaned sectors that are commonly excluded by other funds when making ESG investments.

FUND BASICS
Category	US Equities
Fund Sponsor	Toroso Investments
Website	www.constrainedcapitaletfs.com/orfn/
Inception date	May 17, 2022
Assets (mns)	$3
Currency	USD
Expense ratio	75 bp
Distributions	Quarterly

FUND STRUCTURE
Regulation	Open-Ended Fund
Custodian
Weighting	Market Cap
Index replication
Uses derivatives	No
Options available	Yes

SECTOR BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents	50
Wgt avg mkt cap (mns)	$101,972
Large cap (>$10bn)	77.0%
Mid cap ($2-10bn)	1.4%
Small cap (<$2bn)	0.0%
Developed mkts	98.2%
Emerging mkts	1.8%

TOP TEN HOLDINGS
Total	48.1 %
PHILIP MORRIS INTERNATIONAL	6.1 %
RAYTHEON TECHNOLOGIES CORPORATION	5.8 %
NEXTERA ENERGY GROUP	5.7 %
EXXON MOBIL CORP	5.1 %
BOEING CO	5.1 %
LOCKHEED MARTIN CORP	4.8 %
CHEVRON CORP	4.2 %
ANHEUSER-BUSCH INBEV SPN ADR	4.1 %
DIAGEO PLC-SPONSORED ADR	3.9 %
ROYAL DUTCH SHELL PLC-ADR	3.2 %

TOP COUNTRY EXPOSURE
	UNITED STATES	73.6 %
	BRITAIN	13.7 %
	BELGIUM	4.1 %
	FRANCE	2.2 %
	BRAZIL	2.1 %
	NORWAY	1.4 %
	ITALY	0.8 %
	HONG KONG	0.2 %

HISTORICAL PERFORMANCE info

	Custom date range	Compare to
	thru

Standardized Annual Returns (thru August 31)
Year-to-date	1 year	5 years	10 years	Since Incep.
--	--	--	--	0.0%

Market Correlations
versus...	Beta	R-squared
S&P500	0.77	58%
MSCI EAFE	0.78	58%
MSCI Emg. Mkts.	0.34	14%

Technical Indicators
Recent close	$19.34
30d moving avg.	$19.41
Annualized volatility	21.3%
Short interest (ETF)	0.0%
Relative strength (RSI)	46

Liquidity measures
Avg. volume (thou.)	1
Turnover	0.6%
Bid/Ask (% of price)	0.20%
ADV underlying (mns)	$6,884

Distributions

There were no matches found with other funds under coverage.

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RESULTS & ESTIMATES

	2018	2019	2020	2021	2022	2023E	2024E
Sales per share	**	**	**	**	**	**	**
Earnings per share	**	**	**	**	**	**	**
Dividends per share	**	**	**	**	**	**	**
Book value per share	**	**	**	**	**	**	**

Sales per share growth		**%	**%	**%	**%	**%	**%
EPS growth		**%	**%	**%	**%	**%	**%

Sales per share growth		**%	**%	**%	**%	**%	**%
EPS growth		**%	**%	**%	**%	**%	**%

OTHER FUNDAMENTAL METRICS

Long term EPS growth est.	**%		Debt-to-equity	**x
Asset turnover	**%		Assets-to-equity	**x

Return on equity

Revision activity*

*Six months ago = 100

Net margins

Compound annual growth rates

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VALUATION METRICS

	2022	2023E	2024E
Price-to-sales	**	**	**
Price-to-earnings	**	**	**
Price-to-cash flow	**	**	**
Price-to-growth	**	**	**
Price-to-book value	**	**	**
Yield	**	**	**

Historical valuation trends

Forward multiple:	Constrained Capital ESG Orphans ETF
Relative to:	S&P500	MSCI EAFE	MSCI Emg. Mkts.	Other ETF:

NEUTRAL

Average appreciation potential. A rating of NEUTRAL is assigned to ETFs with ALTAR Scores in the middle quintile (ranking between 40%-60%) of their category. This indicates that valuations adequately reflect the fundamentals of stocks in these funds.

ALTAR Score™

Calculation of ALTAR Score™
Avg. Return on Equity	18.3	%
Divided by: Fwd. P/BV	2.5	x
Less: Expense ratio	75	bp
Equals: ALTAR Score	6.6	%

More information on ALTAR Score™

MODERN PORTFOLIO THEORY info

CONSENSUS RECOMMENDATIONS: FUND CONSTITUENTS

COMPOSITE RATING	1.52	CATEGORY AVERAGE	1.50

The composite rating is a weighted average of analysts' consensus recommendations for individual ETF constituents, based on the following scale: BUY = 1; OVERWEIGHT = 1.5, HOLD = 2; UNDERWEIGHT = 2.5; and SELL = 3. Readers are cautioned that because analyst ratings tend to be inflated, the composite score may be more useful as a relative measure of sentiment between funds rather than as a stand-alone recommendation.