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 6/30/2018

O’Shaughnessy International Equity (Gross)
O’Shaughnessy International Equity (Net) **
MSCI World ex USA
-2.3%
-2.5%
-0.8%
2Q2018
1 Year
6.5%
5.7%
7.0%
3 Year
5.2%
4.3%
4.9%
5 Year
7.7%
6.8%
6.2%
7 Year
4.9%
4.0%
4.5%
10 Year
3.1%
2.2%
2.7%
Since Inception
2/1/2005
5.1%
4.2%
5.1%

* 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
-3.8%
-4.2%
-2.8%
YTD 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 6/30/2018
Holdings Based * O'Shaughnessy
International Equity
MSCI World ex USA
Price/Earnings Ratio 12.9x 15.5x
Price/Sales Ratio 0.7x 1.2x
Trailing 9-month Price Appreciation 14.7% 4.9%
Weighted Average Market Capitalization $19,763 Mil $60,115 Mil
Median Market Capitalization $2,639 Mil $11,253 Mil
Dividend Yield** 3.1% 3%
Approximate Annual Turnover 86.6% (institutional)
Active Share 88.2%
 
Returns Based
(since inception - 2/1/2005)
Standard Deviation 18% 16.7%
Downside Standard Deviation 12.6% 11.8%
Sharpe Ratio 0.21 0.23
Beta 1.03 1.00
Information Ratio 0.00
Tracking Error 5%
Downside Capture 100.8% 100%
Upside Capture 101% 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 6/30/2018 (%)

O’Shaughnessy International Equity
MSCI World ex USA
Difference
Australia
11.0%
6.3%
4.7%
Austria
1.1%
0.2%
0.9%
Belgium
0.7%
1.0%
-0.3%
Canada
3.0%
8.9%
-5.9%
Denmark
6.3%
1.5%
4.8%
Finland
2.6%
0.9%
1.7%
France
5.7%
9.7%
-4.0%
Germany
5.3%
8.7%
-3.4%
Hong Kong
0.8%
3.3%
-2.5%
Ireland
0.1%
0.5%
-0.4%
Israel
2.5%
0.5%
2.0%
Italy
8.8%
2.2%
6.6%
Japan
23.1%
21.9%
1.2%
Luxembourg
0.5%
0.0%
0.5%
Netherlands
2.6%
3.3%
-0.7%
New Zealand
1.2%
0.2%
1.0%
Norway
3.9%
0.7%
3.2%
Portugal
0.6%
0.1%
0.5%
Russia
0.3%
0.0%
0.3%
Singapore
1.1%
1.2%
-0.1%
Spain
2.4%
2.8%
-0.4%
Sweden
3.3%
2.4%
0.9%
Switzerland
3.0%
7.2%
-4.2%
United Kingdom
10.2%
16.4%
-6.2%
BASE RATES

As of 6/30/2018

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 76 49% 0.6%
3-Years 71 54 57% 0.0%
5-Years 55 46 55% 0.2%
7-Years 36 41 47% 0.1%
10-Years 13 28 32% -0.2%

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.