Uncovering Income Boosting Opportunities in Low Rates by Columbia Thread Oct06 2020

Uncovering income-boosting opportunities in a
low-rate environment
Investing Beyond The Bond Benchmark:
Screen for Quality, Tilt for Income
October 6, 2020
For broker/dealer or institutional use only. It has not been filed with FINRA and
may not be shown, quoted to, or used with, members of the general public.
CT-MK (10/20) 3266554| CET001172 Exp. 04/30/21

Speakers Today
Gene Tannuzzo, CFA Marc Zeitoun, CFA Jay McAndrew

Deputy Global Head of Fixed Income Head of Strategic Beta and National Sales Manager,
COO of North America Distribution Strategic Beta
Columbia Threadneedle Investments Columbia Threadneedle Investments Columbia Threadneedle Investments
For broker/dealer or institutional use only. © 2020 Columbia Management Investment Advisors, LLC. All rights reserved.
Part I.
Fixed Income Market Today
The Economy and the Fed
Fiscal & monetary stimulus dulled the pain of a COVID recession, and the
Fed’s balance sheet remains a key safety net.
Personal incomes don’t generally grow The Fed’s balance sheet grew substantially
during recessions. The CARES Act during the Spring – but has shrunk
changed that. recently.
Source: Macrobond, BEA, and Columbia Threadneedle Investments as of 30 June 2020.
Fed Support: It Makes A Difference
Credit spreads compressed amidst a challenging fundamental environment.
Source: Bloomberg and Columbia Threadneedle Investments as of 30 June 2020.
Financial markets vs. the real economy
Financial assets have recovered much more than economic data
Source: Bloomberg as of September 30, 2020. Past performance is not a guarantee of future results. Bloomberg Barclays US Corporate High Yield Index.
The Fed’s new inflation framework
Expect easy monetary policy to persist
Inflation has persisted below the Fed’s The Fed is expected to remain on hold
2% target despite aggressive monetary for some time.
easing and a strong labor market. FOMC Dots Median
3.0
Inflation trend across developed markets
Core CPI inflation, average for G-7 countries
2.5
Implied Fed Funds Target Rate (%)

2.0
1.5
1.0
0.5
0.0
Note: 12-month change in core consumer price index inflation. 2020 2021 2022 2023 Longer
Source: Organisation for Economic Co-operation and Development. FRBSF Term
Economic Letter, “A New Balancing Act: Monetary Policy Tradeoffs in a Changing
World,” September 23, 2019. Past performance is not a guarantee of future results Source: Bloomberg and the Federal Reserve as of September 16, 2020.
Low yields challenge income generation
Value exists in credit sectors
Yields are meaningfully lower in high After a wild ride, credit valuations
quality sectors with direct Fed support. appear fair.
10Y US US Agg Agency US IG US HY EM USD

Tsy MBS
8/31/2019 8/31/2020
Source: Columbia Threadneedle Investments and Bloomberg. Bloomberg Barclays
10 Year Bellwether Index, US Aggregate Index, MBS index, US Corporate Index, US Source: Columbia Threadneedle Investments and Bloomberg. Bloomberg Barclays:
Corporate HY Index, USD Emerging Market Aggregate Index. Data as of 8/31/2020. MBS index, CMBS index, US Corporate Index, US Corporate HY Index, Credit
Past performance is not a guarantee of future results Suisse Leveraged Loan Index & JP Morgan EMBI Index. Data as of 9/15/2020.
An uneven recovery
Lower-rated risk remains a laggard
10
5
2.4
1.9
0 0.6
0.4
Cumulative Total Return (%)
-5
-7.0
-10
-11.4
-15
-20
-25
-30
-35
Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20
EMBI Index BBB/BB B and Below

HY Index BB/B CCC
Source: Bloomberg Barclays and JPMorgan Indices as of September 30, 2020.. EMBI Index represented by JPMorgan EMBI Global Index; HY Index represented by Bloomberg Barclays US
Corporate High Yield Index. Past performance is not a guarantee of future results
Part II.
Beyond the Bond Benchmark
Reduced opportunity set and yield
Fixed-income investors limit their opportunity set by focusing on the benchmark-

tracking or benchmark-hugging strategies
◼ The Agg has evolved since its inception in 1973 and does not represent the aggregate bond
universe today
◼ It represents less than 40% of the global bond market value and about the same of global
bond yield
◼ In this low and uncertain rate environment, investors need to reconsider their fixed-income
allocations to produce income and address total return
Global Bond Market Opportunity Global Bond Yield
6/30/20 6/30/20
Agg Agg
38% 38%
Rest of Rest of
Bond Bond
Market Market
62% 62%
Source: Bloomberg as of 6/30/2020. Global Bond Market Opportunity represents the market value of the Bloomberg Barclays US Aggregate Bond Index compared to the market value of the
Bloomberg Barclays Multiverse Index. Global Bond Yield represents the same methodology, but comparing yields.
Looking under the hood of the Agg

Unintended concentration risk
◼ The Agg is cap-weighted, and the largest allocations are to the most indebted sectors
◼ An overreliance on benchmark-like strategies can lead to unintended concentration risk
Bloomberg Barclays U.S. Aggregate Bond Index

6/30/20
Treasuries +
Corporates Government MBS +
30% Treasuries
37%
Government Related =
Total government
Govt. Related
6% exposure over 70%
Govt. MBS
27%
Source: Bloomberg, data as of 6/30/2020, subject to change.
Opportunity to Capture Diversification
There is diversification potential if you examine other sectors of the bond

market
◼ The two largest sectors of the Agg, U.S. Treasuries and U.S. MBS, are highly correlated
◼ Additionally, the Agg does not include sectors like U.S. Corporate High Yield, Global
Treasuries or Emerging Market (EM) debt, which have much lower cross-correlations1
Multi-sector, Correlation
2006 – 2020
U.S. U.S. Agency Global Tsy EM USD Investment- U.S. High-
Treasury MBS Ex-U.S. Aggregate Grade Corp Yield Corp
U.S. Treasury 1.00
U.S. Agency MBS 0.82 1.00
Global Tsy Ex-U.S. 0.47 0.48 1.00
EM USD Aggregate 0.09 0.36 0.47 1.00

Investment-Grade
0.38 0.50 0.52 0.78 1.00
Corporate
U.S. High-Yield Corp -0.29 -0.01 0.27 0.81 0.64 1.00
Source: Bloomberg, data as of 6/30/2020, Columbia Threadneedle Investments.1Throughout this presentation, Emerging Market USD Aggregate or Emerging Market Debt represents
Emerging Market (EM) Sovereign debt denominated in U.S. Dollars; Global Treasuries or Global Tsy Ex U.S. represent non U.S. Treasuries. See Index Definitions for further information on
relevant indexes for each sector.
Market timing can mean missed income opportunities

Remaining invested is paramount to long-term success
Even in a 30-year bull market for bonds… …income, not price appreciation, drove total return.
18
9/30/81
9%
15.84 % 0.27%
16
+8.3% Income return
ann. total 8.03%
14 return 7% Price Return
10-year Treasury Annualized Returns

10-year Treasury Yield (%)
12
5%
10
2.66%
8
3%
6
2.23%
4 1%
2
7/8/16
1.37% -1%
0 30+ yr bond bull 5-yr trailing
1979 1984 1989 1994 1999 2004 2009 2014 market (6/30/15 -
Source: US Dept. of Treasury Past performance does not guarantee future results. (9/30/81-7/8/16) 6/30/20)

Managing yield, quality and liquidity
Broadening the opportunity may create challenges in yield, quality and liquidity
Lopsided yield distribution Distorted credit quality Broad liquidity spectrum
Barbell concentrations • U.S. Investment-Grade • High-quality markets have

across: Corporate (IG) and High notable liquidity premium,
Yield (HY) each have leading to lower yield
Safe Riskier challenges balancing
haven debt quality with income • Riskier markets trade less
assets profiles frequently, and trading in
• Developed Market (DM) less liquid markets can
and Emerging Market create high volatility
(EM) distinctions do not
equate to more or less
indebted countries
Our Strategic Beta Approach

Managing yield, quality and liquidity through a transparent,
rules-based process
YIELD ENHANCEMENT QUALITY MANAGEMENT

Yield Quality
Include multiple sectors Aim to avoid the ‘tails of the
throughout the U.S. and around market’ by removing sectors that
the globe. offer no risk premium and lower
quality tiers that have outsized
Strategic downside risk.
• Exclude short-term
government with limited yield. Beta
• Exclude non-government with • No corporates rated below
limited risk premium. single-B.
• Exclude negative yielding • No sovereigns rated below
bonds. double-B.
• No corporates longer than 15-
year maturity.
Liquidity
LIQUIDITY FOCUS
Focus on issues with sufficient tradability to provide

investors with liquidity, managed against volatility. Ratings based on Bloomberg methodology.
See appendix for Ratings Methodology
descriptions.
• Screen for larger issue size.
• Screen for recently issued securities.
• Limit number of bonds per issuer.
Part III.
Seeking Yield, Quality and Liquidity
The challenge of achieving income in today’s low-rate

environment
◼ Finding 5% yield today is much harder than it was in 2006, when an investor could achieve that yield with a
portfolio made up entirely of 5-year U.S. Treasuries.
◼ The same yield in today’s low-rate environment would require a significantly riskier portfolio. And that level of risk
isn’t appropriate for most investors
Past performance is not a guarantee of future results. It is not possible to invest directly in an index.
Calculated as of 12/31/2019. Risk is based on trailing 10-year standard deviation for the Bloomberg Barclays U.S. Corporate High Yield Bond Index, a measure of USD-denominated, high-
yield, fixed-rate corporate bond market, and the Bloomberg Barclays U.S. Treasury Bellwethers 5-Year Index, an unmanaged index representing the most recently auctioned U.S. Treasury
bond with five years of maturity.
Beta Advantage® Multi-Sector Bond Index

Rules-based multi-sector strategic beta approach
The Beta Advantage® Multi-Sector Bond Index is rules-based multi-sector strategic beta
approach to measuring the performance of the debt market through representation of six
sectors, each focused-on yield, quality, and liquidity of the particular eligible universe.
Key Statistics Index Credit Rating1 Index Sector Weights
ETF Ticker (NYSE) DIAL Treasury 10.0%
Bloomberg Index Ticker BAMSTRUU Agency 15.0%
ETF Launch Date 10/12/17 AAA 5.1% U.S.

Treasury,
Index Inception Date 09/01/17 AA 2.4% 10.0%
Global
Expense Ratio 0.28% A 1.3% Treasury, High Yield
10.0% Corporates,
Holdings 914 BBB 29.8% 30.0%
Index Yield to Worst (%) 3.11 BB 26.8% U.S.
Mortgage-
Average Effective Duration 6.29 B 9.8% Backed
Securities,
Average Effective Maturity 9.73 15.0%
U.S.
Portfolio Managers: Index Maturity Distribution Investment Emerging
Grade Markets
Gene Tannuzzo, CFA 0-1 Years 1.4% Corporates, Debt,
15.0% 20.0%
David Janssen, CFA 1-3 Years 19.2%
3-7 Years 29.6%
7-10 Years 34.7%
10-15 Years 8.2%
Above 15 Years 6.8%

Past performance does not guarantee future results. Source: Bloomberg as of 6/30/2020. Columbia Diversified Fixed Income Allocation ETF (the Fund) seeks investment results that,
before fees and expenses, closely correspond to the performance of the Beta Advantage® Multi-Sector Bond Index. The Fund uses a representative approach which will result in the Fund
holding a smaller number of securities than are in the underlying index. The Beta Advantage® Multi-Sector Bond Index inception date was 09/01/17. 1Ratings as shown by Columbia
Threadneedle Investments. See appendix for Ratings Methodology descriptions.
Beta Advantage® Multi-Sector Bond Index

Highlight of selection criteria by sector
The selection criteria is customized for each sector, optimizing for yield, quality and liquidity with
monthly rebalancing discipline to manage drift.
Weight at
Sector Highlighted Approach Rationale
Rebalance
• Only bonds with index rating above B3 • Remove lower end of Ratings with historically higher
U.S. High Yield 30%
• 2% issuer cap by market value default rate3
• No corporate issuers to reduce potential risk

• Only USD-denominated sovereign debt
• Remove higher end of Ratings with lower yield
Emerging Market • Only bonds with index rating between BAA1 and BA3
• Remove lower end of Ratings, which typically reflect 20%
Sovereign Debt • Intermediate or longer-term maturities of between 5
political uncertainty
and 15 years
• Use USD-denominated to reduce currency risk
• Remove shorter-term securities with lower yield

U.S. Mortgage- • Fannie and Freddie 30-year MBS issued within the
• No GNMA, which typically trade at a premium due to the 15%
Backed Securities last 1,000 days
explicit government support
• Intermediate or longer-term maturities between 5 and • Remove higher end of Ratings with lower yield
U.S. Investment-
15 years • Historical better risk-adjusted returns within target ratings 15%
Grade Corporates
• Index rating between BAA1 and BAA3 profile2
• Remove short-term securities with lower yield

• Intermediate or longer-term maturities greater than 7
U.S. Treasury • Focus on intermediate to long-term Treasuries that have 10%
years
historically provided better downside protection1
• Intermediate or longer-term maturities of 7 and 12

Global Treasury years • Remove short-term securities with lower yield
10%
ex-U.S. • Equal-weight country exposure at rebalance • Enhance diversification through equal-weight
• No negative-yielding bonds
For detailed index methodology, please see the Appendix. Rebalanced and reconstituted monthly. Weightings fixed at rebalance. Ratings based on Bloomberg methodology. See appendix
for Ratings Methodology descriptions.
See page 34 for more detail on U.S. Treasury selection rationale and support. 2See page 32 for more detail on U.S. investment-grade corporate bond selection rationale and support. 3See
page 30 for more detail on U.S. high yield bond selection rationale and support.
Spotlight: U.S. High Yield

Balancing yield with quality
◼ Investors looking at the high-yield universe face a balancing act between reaching for income and managing
potential default.
◼ The Beta Advantage® Multi-Sector Bond Index screens out CCC and below rated bonds, which represent the
highest historical risk of default.
Average Default Rate by Rating
1981-2019
30.0% 27.1%
25.0%
20.0% Excluded
15.0%
10.0%
5.0% 3.3%
0.0% 0.0% 0.1% 0.2% 0.6%
0.0%
AAA AA A BBB BB B CCC
and
below
Source: S&P Global Fixed Income Research and S&P CreditPro®, “2019 Annual Global Corporate Default Study And Rating Transitions.” Average Default Rate by Rating represents the
weighted long-term average from 1981–2019 of the one-year default rate.
Spotlight: Emerging Market Sovereign Debt
◼ Within emerging market sovereign debt, the risk and return profile varies depending on the credit quality.
◼ Historically, bonds with an BBB or BB rating, not the highest quality and not the lowest quality, have
provided the relatively lower volatility.
6/30/10 – 6/30/20
Total >BBB BBB+BB B <B
Return 5.84% 5.10% 5.77% 6.73% 6.06%
Standard Deviation 6.98% 5.52% 7.05% 11.98% 25.14%
Sharpe Ratio 0.84 0.92 0.82 0.56 0.24
Past performance does not guarantee future results. Source: Bloomberg Barclays indices, monthly returns from 6/30/10 – 6/30/20. Ratings based on Bloomberg methodology. See
appendix for Ratings Methodology descriptions.
Spotlight: U.S. Investment-Grade Corporates
◼ Historically, bonds rated in the lower end of investment grade provide increased yield.
6/30/10 – 6/30/20
Total AAA AA A BBB
Return 5.47% 5.37% 4.43% 5.28% 5.92%
10-year average yield 3.30% 2.72% 2.55% 3.03% 3.76%
Past performance does not guarantee future results. Source: Bloomberg Barclays indices, monthly returns from 6/30/10 – 6/30/20. Ratings based on Bloomberg methodology. See
appendix for Ratings Methodology descriptions. Total yields and spreads calculated from Bloomberg Barclays US Corporate Index.
Spotlight: Global Treasuries (ex-U.S.)

Balancing quality and liquidity with yield
◼ A market cap-weighted international treasury index, such as the World Government Bond Index, has a
disproportionate exposure in a small number of countries, notably a concentration in Japan.
◼ The result is an index that has a high concentration, low yield and long duration.
◼ The Beta Advantage Multi-Sector Bond Index methodology provides a more diversified country and currency
exposure, investing in higher yielding countries, and a modestly shorter duration.
Country Allocation by Index (%)

40 6/30/20
35
30
25
20
15
10
5
0
Canada
Germany
France
Kingdom
Australia
Sweden
Switzerland
Norway
Japan
Italy
New Zealand
United
Beta Advantage Multi-Sector Bond Index Bloomberg Barclays Global Treasury ex-US
Source: Bloomberg as of 6/30/2020. Subject to change.
Columbia Diversified Fixed Income Allocation ETF (DIAL)

Seeks to broaden your opportunity set
◼ Multi-sector bond strategy
◼ Focused on balancing income and protection
◼ Income potential in all markets
◼ Weighted toward opportunity rather than indebtedness
◼ Diversified across six sectors
◼ Designed to serve as a core fixed-income allocation
◼ Strategic beta approach

◼ Informed by our expertise as a fixed-income active
manager
◼ Focused on providing investors with a consistent
balance of yield, quality and liquidity
◼ Key fund features

◼ Attractively priced at 28 basis points
◼ Monthly reconstitution, rebalancing and distributions
◼ No derivatives1
Columbia Diversified Fixed Income Allocation ETF (the Fund) seeks investment results that, before fees and expenses, closely correspond to the performance of the Beta Advantage® Multi-
Sector Bond Index. 1The Index strategy, as designed, does not use derivatives, and the Fund does not anticipate use of derivatives in tracking the performance of the Index.
Part IV.
Survey Says …
Allocating Over the Next 12 Months
No More Benchmarks
Influence of Current Market Volatility on Investing2

◼ In response to the
current market volatility
on investing, only 22%
I am looking to increase my allocation to of respondents
47%
active managers
indicated a willingness
to increase allocations
I am looking to increase my allocation to
35%
to benchmark ETFs
smart/strategic beta ETFs (e.g. SPY, AGG)
I am looking to increase my allocation to

22%
conventional benchmark ETFs
◼ Significantly more
advisors are
Unsure 12% expecting to increase
their exposures to
“active” or “strategic
Other 7% beta” – both of which
have alpha drivers
Source: Columbia Threadneedle Investments ETFs Survey of 195 financial advisors conducted in June 2020.
1Question: In the next twelve months, how do you expect to change your clients’ allocations to ETFs? Answered by 183 financial advisors surveyed that currently use ETFs/are likely to sell
ETFs in the next 12 months.
2Question: How has the current market volatility influenced your approach to investing? Answered by 165 financial advisors who are considering investment changes.
Fiduciary Responsibility of Asset Managers
Passive Offerings Should Include Best Thinking
Fiduciary Responsibility of Asset Managers to

Offer Best Investments Ideas for
All Products, Including Passive
Base: Currently Sell ETFs
◼ 64% of advisors believe that asset
managers have a fiduciary
Yes No, only in their active offerings No
responsibility to incorporate their
best investment ideas and insights
into all their products, including
passive offerings.
2020
34% ◼ Since our “active” PMs develop
n=192
64% the rules for our Fixed Income
Strategic Beta ETFs, they
incorporate our best insight and
investment ideas
2%
Question: Do you believe asset managers have a fiduciary responsibility to offer their best investment ideas and incorporate their research insights into all their products, including passive
offerings? Answered by 192 financial advisors surveyed who currently sell ETFs/are likely to sell ETFs in the next 12 months.
Familiarity with Portfolio Managers
Who’s In Your Wallet?
Familiarity with Portfolio Managers

Base: All
◼ 74% of advisors are

extremely to very familiar
Extremel 18% 16%
y familiar with the portfolio managers
36% on their active mutual
Very
22% funds.
familiar 31%
◼ But less than half of
respondents apply that
Somewh
at familiar 38% 35% same level of due
24% diligence to ETFs.
Not very
familiar
18% 16% 17%
Not at all 5% 11% 11% ◼ Is that what clients expect?

familiar 3%
Active Benchmark replication Strategic/
mutual fund strategy ETFs smart beta ETFs
(n=193) (n=186) (n=173)
Question: How familiar are you with the portfolio manager(s) (e.g. their name, track record and fund sponsor) for each of the following types of products you use with clients?
Answered by all 195 advisors surveyed.
ETFs from Familiar Portfolio Managers
Majority of advisors are more likely to use ETF products from familiar PMs
◼ Over 80% of advisors are more likely to use ETF products from portfolio managers with
whom they are familiar
◼ Columbia makes it a point to build ETFs with the PM teams advisors know
Likelihood to use ETFs from Familiar Portfolio Managers

Base: Currently Sell/Likely to Sell ETFs in the Next 12 Months
n=192
1% 18% 55% 26%
Much less likely Less likely Neither more nor less likely More likely Much more likely
Question: How likely are you to use ETFs from portfolio managers that you are familiar with (name, expertise, strategy, experience with other funds, etc.)? Answered by 192 financial advisors
surveyed who currently sell ETFs/ are likely to sell ETFs in the next 12 months.
Interest in Multi-Sector Strategy
Active/Passive: Makes No Difference
◼ 73% of advisors are interested in a multi-sector strategy given the current market
environment
Interest in Multi-Sector Strategy
Base: All
Unsure
14%
No
13%
Yes, I am
interested in an
active or passive
multi-sector
strategy
73%
Question: Given the current market environment, are you interested in a multi-sector strategy? Answered by all 195 financial advisors surveyed.
It’s All There: The Time is Right
◼ Advisors are validating the way we approach ETFs

◼ 64% want to access our best thinking – even in our passive products
◼ 78% are not expecting to increase allocations to conventional beta benchmarks
◼ 73% are looking for Multi-Sector Fixed Income solutions
◼ 80% want to work with managers they know
◼ Our approach resonates

◼ “Seeking Income In An Uncertain Market Environment” is a common refrain
◼ We are meeting clients where they wish to be met – at different price points
◼ Columbia named “Best Smart Beta (Fixed Income) Issuer” by ETF Express readers
◼ It’s Time to Rebalance to Alpha

◼ Advisors know to manage against allocation drift (large vs small, equity vs fixed income,
growth vs value), but they should also consider recalibrating their allocations to beta and
alpha sleeves
◼ Given the limited opportunity of fixed income benchmarks, the time is right to do so
In closing
Columbia Diversified Fixed Income Allocation ETF (DIAL)
Contact Columbia Threadneedle

Investments for more information
+1.888.800.4347
ETFinfo@columbiathreadneedle.com
www.columbiathreadneedleus.com/etfs
Columbia Diversified Fixed Income Allocation ETF (the Fund) seeks investment results that, before fees and expenses, closely correspond to the performance of the Beta Advantage® Multi-
Sector Bond Index.
Appendix
Definitions and Additional Disclosures
The content of this presentation is presented for general information purposes only.
Nothing contained herein should be considered a recommendation or advice to purchase
or sell any security. While the information and statistical data contained herein are based
on sources believed to be reliable, we do not represent that it is accurate and it should
not be relied on as such or be the basis for an investment decision. The statements and
opinions expressed are those of Columbia Management Investment Advisers, LLC and
are as of the date of this presentation. All information is historical and not indicative of
future results, and subject to change. This presentation may include estimates,
projections and other “forward-looking statements.” Due to numerous factors, actual
results may differ substantially from those presented. Columbia Management Investment
Advisers, LLC assumes no duty to update any such statements. Past performance
does not guarantee future results. Information and opinions provided by third parties
have been obtained from sources believed to be reliable, but accuracy and completeness
cannot be guaranteed. Please see the Appendix for additional important disclosures.
Important Disclosures
Investors should carefully consider the fund‘s investment objectives, risk factors and charges and expenses before
investing. This and other information can be found in the fund’s prospectus, which may be obtained by calling
888.800.4347 or by visiting the fund‘s website www.columbiathreadneedleetf.com to view or download a prospectus.
Read the prospectus carefully before investing. Investing involves risk, including possible loss of principal.
The Columbia Diversified Fixed Income Allocation ETF (the Fund) seeks investment results that, before fees and expenses, closely correspond to the
performance of the Beta Advantage® Multi-Sector Bond Index.
Fixed income securities Involve interest rate, credit, inflation, illiquidity and reinvestment risks. Interest rate risk is the risk that fixed income securities will
decline in value because of changes in interest rates. Generally, the value of debt securities falls as interest rates rise. Fixed income securities differ in their
sensitivities to changes in interest rates. Fixed income securities with longer effective durations tend to be more sensitive to changes in interest rates, usually
making them more volatile than securities with shorter effective durations. Effective duration is determined by a number of factors including coupon rate,
whether the coupon is fixed or floating, time to maturity, call or put features, and various repayment features. Below investment-grade securities, or “junk
bonds,” are more likely to pose a credit risk, as the issuers of these securities are more likely to have problems making interest and principal payments than
issuers of higher-rated securities. Lower-rated securities may be more susceptible to real or perceived adverse economic and competitive industry conditions
than higher-grade securities, and prices of these securities may be more sensitive to adverse economic downturns or individual corporate developments. If
the issuer of the securities defaults, the ETF may incur additional expenses to seek recovery. Generally, rising interest rates tend to extend the duration of
fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, if the ETF
holds mortgage-related securities, it may exhibit additional volatility. In addition, adjustable and fixed rate mortgage-related securities are subject to
prepayment risk. The fund is passively managed and seeks to track the performance of an index. The fund’s use of a “representative sampling” approach
in seeking to track the performance of its index (investing in only some of the components of the index that collectively are believed to have an investment
profile similar to that of the index) may not allow the fund to track its index with the same degree of accuracy as would an investment vehicle replicating the
entire Index. In addition to the multi-sector bond strategies employed, the fund may invest in other securities, including private placements. The Fund
may have portfolio turnover, which may cause an adverse cost impact. There may be additional portfolio turnover risk as active market trading of the
fund’s shares may cause more frequent creation or redemption activities that could, in certain circumstances, increase the number of portfolio transactions as
well as tracking error to the Index and as high levels of transactions increase brokerage and other transaction costs and may result in increased taxable
capital gains. Foreign currency risks involve risk of capital loss from unfavorable fluctuation in currency values, from differences in generally accepted
accounting principles, from economic or political instability in other nations or increased volatility and lower trading volume.
The construction of the Beta Advantage® Multi-Sector Bond Index (the "Index") is based on criteria applied retroactively with the benefit of hindsight and
knowledge of factors that may have positively affected its performance and cannot account for all financial risk that may affect the actual performance of the
ETF. The actual performance of the ETF may vary significantly from the pre-inception performance of the Index. The Beta Advantage Multi-Sector Bond
Index and, when available, an investment in the ETF may present risks different from, and greater than the risks relative to, the Bloomberg Barclays US
Aggregate Bond Index, including a higher expected standard deviation and Sharpe ratio. Indexes are unmanaged and one cannot invest directly in an index.
ETF shares are bought and sold at market price (not NAV) and are not individually redeemable. Investors buy and sell shares on a secondary market. Shares
may trade at a premium or discount to the NAV. Only market makers or "authorized participants" may trade directly with the Fund(s), typically in blocks of
50,000 shares.
Investment products are not federally or FDIC-insured, are not deposits or obligations of, or guaranteed by, any financial institution and involve investment
risks, including possible loss of principal and fluctuation in value.
Columbia Management Investment Advisers, LLC serves as the investment manager to the ETFs. The ETFs are distributed by ALPS Distributors, Inc.,
which is not affiliated with Columbia Management Investment Advisers, LLC or its parent company Ameriprise Financial, Inc. Columbia Threadneedle
Investments is the global brand name of the Columbia and Threadneedle group of companies.
© 2019 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers;
(2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are
responsible for any damages or losses arising from any use of this informat
Bloomberg Bond Ratings Methodology

Bloomberg ratings methodology uses the middle rating of Moody’s, S&P and Fitch to determine a security’s credit classification or “index rating”. This
essentially works as a “two-out-of-three” rule because at least two of the three agencies need to rate a bond as investment grade to qualify it for investment
grade indices (or two agencies to rate it as high yield to qualify it for the high yield indices). If only two agencies rate a security, the most conservative
(lowest) rating is used. If only one rates a security, that single rating is used. Bloomberg uses a ratings classification system is similar in many ways to the
major ratings organizations. Investment grade securities are classified as any rating from AAA-Baa3. Anything rated Ba1 and below are below investment
grade.
Third-party rating agencies provide bond ratings ranging from AAA (highest) to D (lowest). When three ratings are available from Moody’s, S&P and Fitch, the
middle rating is used. When two are available, the lower rating is used. If only one is available, that rating is used. If a security is Not Rated but has a rating
by Kroll and/or DBRS, the same methodology is applied to those bonds that would otherwise be Not Rated. Bonds with no third-party rating are designated
as Not Rated. Investments are primarily based on internal proprietary research and ratings assigned by our fixed income investment analysts. Therefore,
securities designated as Not Rated do not necessarily indicate low credit quality, and for such securities the investment adviser evaluates the credit quality.
Holdings of the portfolio other than bonds are categorized under Other. Credit ratings are subjective opinions of the credit rating agency and not statements
of fact and may become stale or subject to change.
Ratings as shown by Columbia Threadneedle Investments

Bond ratings are divided into categories ranging from AAA (highest) to D (lowest) and are subject to change. The ratings shown are determined by using the
middle rating of Moody’s, S&P and Fitch, each a third-party rating agency, after dropping the highest and lowest available ratings. When a rating from only
two agencies is available, the lower rating is used. When a rating from only one agency is available, that rating is used. When a bond is not rated by one of
these agencies, it is designated as Not Rated. Securities designated as Not Rated do not necessarily indicate low credit quality, and for such securities the
investment adviser evaluates the credit quality. Holdings of the portfolio other than bonds are categorized under Other. Credit ratings are subjective opinions
of the credit rating agency and not statements of fact and may become stale or subject to change. For information on the rating methodology of each agency,
please go to: www.moodys.com, www.fitchratings.com or www.standardandpoors.com/home/en/us.
Definitions
Average Effective Duration provides a measure of a fund’s interest-rate sensitivity. The longer a fund‘s duration, the more sensitive the fund is to shifts in
interest rates. Average Effective Maturity is a weighted average of all the maturities of the bonds in a portfolio, computed by weighting each bond’s
effective maturity by market value of the security. Duration is a time measure of a bond's interest-rate sensitivity, based on the weighted average of the time
periods over which a bond's cash flows accrue to the bondholder. Sharpe Ratio is the average return in excess of the risk-free rate divided by the standard
deviation of return; a measure of the average excess return earned per unit of standard deviation of return. Standard Deviation is the square root of the
variance; a measure of dispersion in the same units as the original data. Yield to Maturity (YTM) is a term used to describe the rate of return an investor
will receive if a long-term, interest-bearing security, such as a bond, is held to its maturity date. Yield to Worst (YTW) is the lowest potential yield that can
be received on a bond without the issuer actually defaulting.
Index Definitions
The Beta Advantage® Multi-Sector Bond Index is a rules-based multi-sector strategic beta approach to measuring the performance of the debt market through
representation of six sectors, each focused on yield, quality, and liquidity of the particular eligible universe. The Index will have exposure to the following six sectors of the
debt market: U.S. Treasury securities; global ex-U.S. treasury securities; U.S. agency mortgage-backed securities; U.S. corporate investment grade bonds; U.S. corporate
high yield bonds; and emerging markets sovereign debt.
The Bloomberg Barclays Corporate Index includes dollar-denominated debt from U.S. and non-U.S. industrial, utility and financial institution issuers. Subordinated
issues, securities with normal call and put provisions and sinking funds, medium-term notes (if they are publicly underwritten) and 144A securities with registration rights
and global issues that are SEC-registered are included. Structured notes with embedded swaps or other special features, as well as private placements, floating-rate
securities and eurobonds, are excluded from the index.
The Bloomberg Barclays Emerging Markets USD Aggregate Index (“Emerging Market Sovereign Debt” or “EM Debt”) is a flagship hard currency Emerging
Markets debt benchmark that includes USD-denominated debt from sovereign, quasi-sovereign, and corporate EM issuers.
The Bloomberg Barclays Global Aggregate Index is an unmanaged broad-based, market-capitalization-weighted index that is designed to measure the broad global
markets for U.S. and non-U.S. corporate, government, governmental agency, supranational, mortgage-backed and asset-backed fixed-income securities.
The Bloomberg Barclays Global Treasury ex-US Index (“Global Treasuries ex-US”) tracks fixed-rate, local currency government debt of investment grade countries,
including both developed and emerging markets.
The Bloomberg Barclays Multiverse Index provides a broad-based measure of the global fixed-income bond market. The index represents the union of the Global
Aggregate Index and the Global High-Yield Index and captures investment grade and high yield securities in all eligible currencies.
The Bloomberg Barclays US Aggregate Bond Index (the “Agg”) is a market-value-weighted index that tracks the daily price, coupon, pay-downs and total return
performance of fixed-rate, publicly placed, dollar-denominated and non-convertible investment-grade debt issues with at least $250 million par amount outstanding and
with at least one year to final maturity.
The Bloomberg Barclays US Corporate High Yield Index (“U.S. High Yield”) is composed of fixed-rate, publicly issued, non-investment-grade debt.
The Bloomberg Barclays US Corporate Index (“U.S. Investment Grade Corporates” or “IG Corporate”) measures the investment grade, fixed-rate, taxable
corporate bond market.
The Bloomberg Barclays US Mortgage Backed Securities (MBS) Index (“U.S. MBS”) tracks agency mortgage backed pass-through securities (both fixed-rate and
hybrid ARM) guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
Index Definitions (con’t)
The Bloomberg Barclays US Treasury Index (“U.S. Treasuries”) measures US dollar-denominated, fixed-rate, nominal debt issued by the US
Treasury.
The S&P 500 Index is a broad-based measure of U.S. stock market performance.
BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). BARCLAYS® is a trademark and
service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays,
own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays is affiliated with Columbia Management Investment
Advisers, LLC and neither approves, endorses, reviews or recommends the Columbia Diversified Fixed Income Allocation ETF. Neither Bloomberg nor
Barclays guarantees the timeliness, accurateness or completeness of any data or information relating to Beta Advantage® Multi-Sector Bond Index, and
neither shall be liable in any way to the Columbia Diversified Fixed Income Allocation ETF, investors in Columbia Diversified Fixed Income Allocation
ETF or other third parties in respect of the use or accuracy of the Beta Advantage® Multi-Sector Bond Index or any data included therein.
Indexes are not managed and are unavailable for investment.

Uncovering Income Boosting Opportunities in Low Rates by Columbia Thread Oct06 2020

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Uncovering income-boosting opportunities in a

CT-MK (10/20) 3266554| CET001172 Exp. 04/30/21

Gene Tannuzzo, CFA Marc Zeitoun, CFA Jay McAndrew

Source: Macrobond, BEA, and Columbia Threadneedle Investments as of 30 June 2020.

Source: Bloomberg and Columbia Threadneedle Investments as of 30 June 2020.

Implied Fed Funds Target Rate (%)

10Y US US Agg Agency US IG US HY EM USD

EMBI Index BBB/BB B and Below

Beyond the Bond Benchmark

Reduced opportunity set and yield

Fixed-income investors limit their opportunity set by focusing on the benchmark-

Looking under the hood of the Agg

Bloomberg Barclays U.S. Aggregate Bond Index

Source: Bloomberg, data as of 6/30/2020, subject to change.

Opportunity to Capture Diversification

There is diversification potential if you examine other sectors of the bond

U.S. Agency MBS 0.82 1.00

Global Tsy Ex-U.S. 0.47 0.48 1.00

EM USD Aggregate 0.09 0.36 0.47 1.00

Market timing can mean missed income opportunities

10-year Treasury Annualized Returns

Beyond the Bond Benchmark

Lopsided yield distribution Distorted credit quality Broad liquidity spectrum

Barbell concentrations • U.S. Investment-Grade • High-quality markets have

Our Strategic Beta Approach

YIELD ENHANCEMENT QUALITY MANAGEMENT

Focus on issues with sufficient tradability to provide

Seeking Yield, Quality and Liquidity

The challenge of achieving income in today’s low-rate

Beta Advantage® Multi-Sector Bond Index

Bloomberg Index Ticker BAMSTRUU Agency 15.0%

ETF Launch Date 10/12/17 AAA 5.1% U.S.

3-7 Years 29.6%

7-10 Years 34.7%

10-15 Years 8.2%

Above 15 Years 6.8%

Beta Advantage® Multi-Sector Bond Index

• No corporate issuers to reduce potential risk

• Remove shorter-term securities with lower yield

• Remove short-term securities with lower yield

• Intermediate or longer-term maturities of 7 and 12

Spotlight: U.S. High Yield

Spotlight: Emerging Market Sovereign Debt

Return 5.84% 5.10% 5.77% 6.73% 6.06%

Standard Deviation 6.98% 5.52% 7.05% 11.98% 25.14%

Sharpe Ratio 0.84 0.92 0.82 0.56 0.24

Spotlight: U.S. Investment-Grade Corporates

Total AAA AA A BBB

Return 5.47% 5.37% 4.43% 5.28% 5.92%

10-year average yield 3.30% 2.72% 2.55% 3.03% 3.76%

Spotlight: Global Treasuries (ex-U.S.)

Country Allocation by Index (%)

Columbia Diversified Fixed Income Allocation ETF (DIAL)

◼ Strategic beta approach

◼ Key fund features

Influence of Current Market Volatility on Investing2

I am looking to increase my allocation to

Fiduciary Responsibility of Asset Managers to

Familiarity with Portfolio Managers

◼ 74% of advisors are

Not at all 5% 11% 11% ◼ Is that what clients expect?

Likelihood to use ETFs from Familiar Portfolio Managers

1% 18% 55% 26%

◼ Advisors are validating the way we approach ETFs