Investment Strategy

Seeks to provide long-term appreciation through exposure to international equities across market capitalization ranges outside of North America. The strategy selects stocks we believe have better quality, valuation, momentum, and yield. Stocks are selected and weighted based on conviction and are broadly constrained by region, sector, and industry. Currency exposure is unhedged.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 3/31/2019

O’Shaughnessy International Equity (Gross)
O’Shaughnessy International Equity (Net) **
MSCI World ex USA
1Q2019
8.4%
8.2%
10.5%
-10.5%
-11.2%
-3.1%
1 Year
3 Year
3.0%
2.1%
7.3%
0.1%
-0.7%
2.2%
5 Year
7 Year
5.8%
4.9%
5.3%
10 Year
9.1%
8.2%
8.9%
Since Inception
2/1/2005
4.1%
3.3%
4.6%

* Any time period longer than one year is annualized.
** For composite performance presentation purposes, wrap fee account returns are net at 3% annually, which reflects the highest applicable “wrap” fee charged by any sponsor across our distribution channel. Non-wrap fee account returns are net of the actual advisory fees.

Important Performance Disclosures
ANNUAL RETURN

Annual Rates of Return (%)

O’Shaughnessy International Equity (Gross)
O’Shaughnessy International Equity (Net) *
MSCI World ex USA
YTD 2019
8.4%
8.2%
10.5%
-18.7%
-19.4%
-14.1%
2018
2017
25.5%
24.6%
24.2%
0.2%
-0.7%
2.8%
2016
-0.7%
-1.5%
-3.0%
2015
-2.9%
-3.8%
-4.3%
2014
2013
31.9%
30.8%
21.2%
2012
15.3%
14.3%
16.4%
-14.5%
-15.2%
-12.2%
2011
2010
14.2%
13.3%
9.1%
2009
26.0%
25.0%
33.8%
-47.9%
-48.4%
-43.5%
2008
2007
12.0%
11.1%
12.4%
2006
26.1%
25.1%
25.8%
2/1/05
-12/31/05
20.7%
19.8%
16.7%

* For composite performance presentation purposes, wrap fee account returns are net at 3% annually, which reflects the highest applicable “wrap” fee charged by any sponsor across our distribution channel. Non-wrap fee account returns are net of the actual advisory fees.

Important Performance Disclosures
CHARACTERISTICS

Characteristics as of 3/31/2019
Holdings Based * O'Shaughnessy
International Equity
MSCI World ex USA
Price/Earnings Ratio 11.1x 14.8x
Price/Sales Ratio 0.8x 1.2x
Trailing 9-month Price Appreciation 2.3% 1%
Weighted Average Market Capitalization $25,138 Mil $61,201 Mil
Median Market Capitalization $4,433 Mil $10,234 Mil
Dividend Yield** 3.9% 3.2%
Approximate Annual Turnover 75.1% (institutional)
Active Share 89.4%
 
Returns Based
(since inception - 2/1/2005)
Standard Deviation 17.9% 16.6%
Downside Standard Deviation 12.6% 11.8%
Sharpe Ratio 0.16 0.20
Beta 1.03 1.00
Information Ratio -0.10
5 Year Tracking Error 4.1%
Downside Capture 101.6% 100%
Upside Capture 99.7% 100%

Gross of Fees
* Based on a group of represntative accounts. Each client account will differ based on start date and regenerations dates.
Turnover is last 12 months.
** The Dividend Yield is the annual percentage of the return earned by an investor on a common or preferred stock. The yield is calculated by dividing the amount of dividends paid per share over the past twelve months by the current market price per share of the stock. OSAM utilizes the services of Factset, a third party data provider vendor, to calculate portfolio characteristics and metrics. The dividend yield is a gross indicated yield. There is no guarantee that the rate of dividend payment will continue and the income derived is subject to taxes and expenses which will impact the actual yield experience of each investor.


Important Performance Disclosures
COUNTRIES

Country Distribution as of 3/31/2019 (%)

O’Shaughnessy International Equity
MSCI World ex USA
Difference
Australia
10.7%
6.7%
4.0%
Austria
0.6%
0.2%
0.4%
Belgium
2.6%
0.9%
1.7%
Denmark
1.0%
1.6%
-0.6%
Finland
1.6%
0.9%
0.7%
France
5.5%
10.0%
-4.5%
Germany
3.8%
7.8%
-4.0%
Hong Kong
2.4%
3.7%
-1.3%
Ireland
0.0%
0.5%
-0.5%
Israel
3.1%
0.5%
2.6%
Italy
6.9%
2.1%
4.8%
Japan
22.8%
21.8%
1.0%
Netherlands
4.5%
3.3%
1.2%
New Zealand
1.9%
0.2%
1.7%
Norway
3.5%
0.7%
2.8%
Portugal
0.5%
0.1%
0.4%
Singapore
0.7%
1.2%
-0.5%
Spain
2.7%
2.7%
0.0%
Sweden
3.9%
2.4%
1.5%
Switzerland
3.9%
8.2%
-4.3%
United Kingdom
17.5%
15.1%
2.4%
BASE RATES

As of 3/31/2019

Base Rates vs. MSCI World ex USA (Gross of Fees)

Base Rates are batting averages for how often a strategy beats the benchmark over certain rolling time periods.
Won Lost Base
Rate
Avg.
Excess
Return
Avg.
Excess
Return
1-Year 73 86 46% 0.2%
3-Years 72 63 53% -0.1%
5-Years 59 52 53% 0.2%
7-Years 46 41 53% 0.2%
10-Years 21 30 41% -0.1%

Important Performance Disclosures

Performance returns are preliminary. Past performance is no guarantee of future results.
Due to ongoing research, the manager may from time to time adjust the model by changing certain factors or screens which compromise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than regularly scheduled rebalance without prior notice. Stocks with small and mid-sized market capitilazations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitilizations.

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

The statements on this page are qualified in their entirety by the disclaimers and limitations contained here.