O’Shaughnessy
International Equity

Investment Strategy

Seeks to provide long-term appreciation through exposure to the non-U.S. equity market. The strategy is designed to incorporate into one consolidated portfolio what the manager believes are the strongest international growth and value stock ideas across all cap ranges and invests primarily in equity securities of companies outside of North America. The model selects companies evenly across a value model, a core model, and a growth model. Country and sector weights are a byproduct of the investment process. Currency exposure is unhedged.

Stock Screening Process


Composite Performance


Annualized Rates* of Return for Periods Ending 12/31/16 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return as of 12/31/16 (%)


Characteristics



Characteristics as of 12/31/16
O'Shaughnessy
International Equity
MSCI EAFE
Index

Holdings Based*



Price/Earnings Ratio
(forward earnings)
12.6×
18.1×

Price/Sales Ratio
0.6×
1.2×

Trailing 9-month Price Appreciation 23.1%
17.5%

Weighted Average Market Capitalization
$11,346 mil
$54,209 mil

Median Market Capitalization
$1,722 mil
$8,879 mil

Dividend Yield
4.3%
3.0%

Approximate Annual Turnover
67%


Active Share
94%






Returns Based
(Since Inception —
February 1, 2005)


Standard Deviation
18.8%
17.6%

Downside Standard Deviation
5.8%
3.6%

Sharpe Ratio
0.15
0.15

Beta 1.03 1.00  
Information Ratio
0.03


Tracking Error
5.1%


Downside Capture
100.3%
100.0%

Upside Capture
105.6%
100.0%

Gross of Fees

* Based on a representative account. The dividend yields reflect dividend payments made by the constituents over the trailing twelve months, and there is no guarantee this rate of dividend payment will continue.


Important Performance Disclosures

Current Country Weightings


Country Distribution as of 12/31/16 (%)



Due to ongoing research, the manager may from time to time adjust the model by changing certain factors or screens which comprise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than the regularly scheduled rebalance without prior notice. Stocks with small and mid–sized market capitalizations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitalizations.

Style allocations are approximate. They may change over time and vary by account.