COTWO ADVISORS PHYSICAL EUROPEAN CARBON ALLOWANCE TRUST

Where It Passes

Where It Falls Short

• Debt & Leverage0% pass✗ 5▾

  All 4 investors flag CTWO's debt & leverage

  LT Debt / Total Assets Change

  ✗PiotroskiDecreased YoY

  Total Debt / Shareholders' Equity

  ✗Templeton< 1.0 (fixed cap; proxy for below-sector-median leverage)✗SchlossD/E < 1.00x

  Negative debt-to-equity (higher means less debt)

  ✗AsnessTop 30% of eligible cross-section

  Current Assets / Current Liabilities

  ✗SchlossCurrent ratio >= 1.50x (app cutoff)
• Valuation0% pass✓ 5✗ 21▾

  No clean pass — all 12 investors flag at least one valuation criterion

  Price / Tangible Book Value per Share1.0x

  ✓Dreman< 1.2x✗SchlossP/TBV <= 1.00x (app cutoff)

  Price / Book Value per Share1.0x

  ✓Templeton< 1.5x✗SchlossP/B <= 0.80x (app cutoff)

  Price / 3-yr avg EPS

  ✗Graham<= 15x

  Price-to-Tangible-Book Ratio1.0x

  ✓Graham<= 1.5x

  P/E x P/TBV

  ✗Graham<= 22.5

  Basic earnings-growth PEG (dividends excluded)

  ✗Lynch< 1.0 (ideally < 0.5)

  Price / EPS

  ✗Dreman< 12x✗Templeton< 12x (fixed ceiling; proxy for the market's cheapest 40%)

  Price / (CFO / Shares)

  ✗Dreman< 8x

  Valuation Reasonableness

  ✗MungerP/E < 25 or Owner Earnings Yield > 5%

  P/E or FCF Yield

  ✗PabraiP/E < 15 or FCF Yield > 10%

  P/B or P/E vs. Historical AverageP/B=1.0x

  ✓MarksP/E < 15 or P/B < 2.0

  Discount to Intrinsic Value

  ✗Marks>= 20% below intrinsic value

  Price / FCF per Share

  ✗Ackman<= 25

  Price vs. Trailing Low123% of trailing low ($15.77)

  ✗Templeton<= 120% of trailing low (certified split-adjusted live window)

  Net income / market capitalization

  ✗AsnessTop 30% of eligible cross-section✗OshaughnessyTop 10% of eligible cross-section

  Positive book equity / market capitalization+0.9749; #1532/6449 (top 23.8%)

  ✓AsnessTop 30% of eligible cross-section

  Price / Diluted EPS

  ✗NeffP/E <= 15x (app proxy for a P/E 40%-60% below the market)

  (EPS CAGR % + Dividend Yield %) / P/E

  ✗Neff> 0.7 (Neff's published traditional edge)

  Book Value per Share Change

  ✗SchlossLatest BVPS >= earliest BVPS over >= 3 years (app rule)

  Revenue / market capitalization

  ✗OshaughnessyTop 10% of eligible cross-section

  (Operating cash flow - capex) / market capitalization

  ✗OshaughnessyTop 10% of eligible cross-section

  Trailing six-month price return through the evaluation date+18.99%; #1389/6202 (top 22.4%)

  ✗OshaughnessyTop 10% of eligible cross-section
• Cash Flow0% pass✗ 12▾

  All 10 investors flag CTWO's cash flow

  Free Cash Flow Proxy

  ✗BuffettPositive and growing

  FCF Positive and Growing

  ✗LynchPositive and growing

  Operating Cash Flow

  ✗PiotroskiCFO > 0

  (CFO / Total Assets) vs ROA

  ✗PiotroskiCFO/Assets > ROA

  Price / (CFO / Shares)

  ✗Dreman< 8x

  P/E or FCF Yield

  ✗PabraiP/E < 15 or FCF Yield > 10%

  FCF Positive

  ✗MarksPositive FCF in majority of recent years

  (OCF - CapEx) / Market Cap

  ✗Ackman>= 4%

  Price / FCF per Share

  ✗Ackman<= 25

  Positive Operating Cash Flow frequency

  ✗SleepPositive OCF in >= 70% of available years

  Operating Cash Flow - Capital Expenditures

  ✗Neff> $0 (app proxy for a strong fundamental case)

  (Operating cash flow - capex) / market capitalization

  ✗OshaughnessyTop 10% of eligible cross-section
• Growth0% pass✗ 12▾

  All 8 investors flag CTWO's growth

  EPS Growth (3-yr avg, 10-yr window)

  ✗Graham>= 33% growth

  Basic earnings-growth PEG (dividends excluded)

  ✗Lynch< 1.0 (ideally < 0.5)

  3-5 Year EPS CAGR

  ✗Lynch15-30% (Fast Grower); > 0% to pass

  EPS Growth Direction

  ✗DremanPositive over recent years

  EPS CAGR

  ✗Dreman> 5% annualized

  Positive Net Income Frequency

  ✗MarksPositive net income in >= 7 of last 10 years

  3yr Median Revenue Growth

  ✗Ackman>= 5%

  Positive EPS Growth Frequency

  ✗AckmanPositive EPS growth in >= 3 of last 5 years

  5-Year EPS CAGR

  ✗Templeton> 0% (5-year EPS CAGR)

  Revenue growth vs. gross and operating margin trend

  ✗SleepRevenue rising; gross margin flat or falling; operating margin holding

  5-year Revenue CAGR

  ✗SleepCAGR > 7%

  3-5 Year Diluted EPS CAGR

  ✗Neff7%-20% annualized
• Efficiency0% pass✗ 3▾

  All 3 investors flag CTWO's efficiency

  Revenue / Total Assets Change YoY

  ✗PiotroskiImproved YoY

  Reinvestment Rate x ROIC

  ✗AkreReinvestment Rate * ROIC > 10%

  ROE (5-year)

  ✗SleepROE > 12% in a majority of years
• Verdicts0% pass✗ 14▾

  Split decision: 14 FAIL · 2 NEUTRAL

  Overall verdict

  ✗GrahamFAIL (1/7)✗BuffettFAIL (0/6)✗LynchFAIL (0/4)✗PiotroskiFAIL (F-Score 0)✗DremanFAIL (1/9)✗MungerFAIL (1/3)✗PabraiFAIL (1/3)✗AkreFAIL (0/5)✗MarksFAIL (1/4)✗AckmanFAIL (0/8)✗TempletonFAIL (2/8)✗SleepFAIL (0/6)•AsnessNEUTRAL (Not ranked)✗NeffFAIL (0/6)✗SchlossFAIL (0/7)•OshaughnessyNEUTRAL (Not ranked)
• Profitability6% pass✓ 1✗ 34▾

  15 of 16 flag CTWO's profitability — Graham, Buffett, Lynch +12 more

  Positive EPS (10 years)0/1 years positive

  ✗GrahamPositive EPS every year for 10 years

  EPS Growth (3-yr avg, 10-yr window)

  ✗Graham>= 33% growth

  Net Income Positive (10+ years)0/1 years positive

  ✗BuffettPositive every year for 10+ years

  ROE (up to 5-year arithmetic mean)

  ✗Buffett> 15% arithmetic mean (app rule)

  Operating Margin (10-yr trend)

  ✗BuffettStable or rising over 10 years

  Free Cash Flow Proxy

  ✗BuffettPositive and growing

  Earnings Variance (10-yr CoV)

  ✗BuffettCoV < 0.3

  Retained Earnings Effectiveness

  ✗Buffett$1 retained -> > $1 market value created

  Basic earnings-growth PEG (dividends excluded)

  ✗Lynch< 1.0 (ideally < 0.5)

  3-5 Year EPS CAGR

  ✗Lynch15-30% (Fast Grower); > 0% to pass

  ROE

  ✗Lynch> 15%

  Net Income / Total Assets

  ✗PiotroskiROA > 0

  ROA Change YoY

  ✗PiotroskiCurrent ROA > Prior ROA

  (CFO / Total Assets) vs ROA

  ✗PiotroskiCFO/Assets > ROA

  Pre-Tax Income / Revenue

  ✗Dreman>= 8%

  Net Income / Shareholders' Equity

  ✗Dreman> 12%

  Return on Equity

  ✗Munger> 15%✗AkreROE > 20% (3-year avg)

  Margin of SafetyP/TBV=1.0x

  ✓PabraiP/TBV < 1.5 or P/E < 15

  ROE (high and growing)FY2025: ROE=unavailable

  ✗AkreLatest 3 consecutive FYs: ROE > 15% in each

  Discount to Intrinsic Value

  ✗Marks>= 20% below intrinsic value

  Positive Net Income Frequency

  ✗MarksPositive net income in >= 7 of last 10 years

  Operating Income / Revenue

  ✗Ackman>= 15%

  Net Income / Shareholders Equity

  ✗Ackman>= 15%

  5-Year EPS CAGR

  ✗Templeton> 0% (5-year EPS CAGR)

  Operating Margin Trend

  ✗TempletonNon-negative operating-margin trend over 3 years

  Revenue growth vs. gross and operating margin trend

  ✗SleepRevenue rising; gross margin flat or falling; operating margin holding

  ROE (5-year)

  ✗SleepROE > 12% in a majority of years

  Net income / market capitalization

  ✗AsnessTop 30% of eligible cross-section✗OshaughnessyTop 10% of eligible cross-section

  Gross profit / total assets

  ✗AsnessTop 30% of eligible cross-section

  Net income / positive book equity

  ✗AsnessTop 30% of eligible cross-section

  Negative 5-year standard deviation of ROA

  ✗AsnessTop 30% of eligible cross-section

  3-5 Year Diluted EPS CAGR

  ✗Neff7%-20% annualized

  Positive Diluted-EPS Years

  ✗Schloss>= 70% positive over 5-10 observed years (app rule)