Investment Strategy

Seeks to provide long-term appreciation through exposure to international equities, primarily using American Depository Receipts (ADRs), that we believe rank favorably on the themes of quality, valuation, momentum, and yield. Stocks are selected and weighted based on conviction and are broadly constrained by region, sector, and industry.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 12/31/2017

O’Shaughnessy International ADR (Gross)
O’Shaughnessy International ADR (Net) **
MSCI ACWI ex USA Index
4Q2017
5.3%
4.7%
5.0%
1 Year
29.6%
26.3%
27.2%
3 Year
11.7%
8.8%
7.8%
5 Year
10.6%
7.7%
6.8%
7 Year
8.1%
5.2%
4.9%
10 Year
3.4%
0.6%
1.8%
Since Inception
1/1/2006
7.0%
4.2%
4.9%

* 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 ADR (Gross)
O’Shaughnessy International ADR (Net) *
MSCI ACWI ex USA Index
2017
29.6%
26.3%
27.2%
2016
6.3%
3.4%
4.5%
1.1%
-1.4%
-5.7%
2015
-6.6%
-9.1%
-3.9%
2014
2013
27.3%
24.0%
15.3%
2012
15.7%
12.5%
16.8%
-9.8%
-12.5%
-13.7%
2011
2010
7.8%
4.6%
11.2%
2009
26.2%
22.6%
41.4%
-40.5%
-42.1%
-45.5%
2008
2007
17.3%
14.5%
16.7%
2006
37.6%
34.4%
26.7%

* 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 12/31/2017
Holdings Based * O'Shaughnessy
International ADR
MSCI ACWI ex USA Index
Price/Earnings Ratio 12.9× 16.8×
Price/Sales Ratio 0.9× 1.3×
Trailing 12-month Price Appreciation 44.2% 24.7%
Weighted Average Market Capitalization $40,259 mil $72,280 mil
Median Market Capitalization $23,048 mil $9,213 mil
Dividend Yield** 2.2% 2.6%
Approximate Annual Turnover 71%
Active Share 87%
 
Returns Based
(since inception - 1/1/2006)
Standard Deviation 17.2% 17.9%
Downside Standard Deviation 11.9% 12.7%
Sharpe Ratio 0.35 0.21
Beta 0.93 1.00
Information Ratio 0.48
Tracking Error 4.5%
Downside Capture 97.8% 100.0%
Upside Capture 102.8% 100.0%

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 12/31/17 (%)

O’Shaughnessy International ADR
MSCI ACWI ex USA Index
Difference
France
7.0%
7.1%
-0.1%
Germany
4.9%
6.7%
-1.8%
Hong Kong
1.6%
2.5%
-0.9%
Italy
3.4%
1.6%
1.8%
Japan
12.0%
16.5%
-4.5%
Netherlands
3.1%
3.9%
-0.8%
Spain
0.2%
2.2%
-2.0%
Switzerland
4.5%
5.5%
-1.0%
United Kingdom
6.5%
11.0%
-4.5%
Other
Developed
Countries
30.3%
18.1%
12.2%
Combined
Emerging
Markets
26.5%
24.7%
1.8%
BASE RATES

As of 12/31/2017

Base Rates vs. MSCI ACWI 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
Rolling 1-Year Periods 91 42 68% 1.6%
Rolling 3-Year Periods 77 32 71% 1.4%
Rolling 5-Year Periods 63 22 74% 1.6%
Rolling 7-Year Periods 61 0 100% 1.5%
Rolling 10-Year Periods 25 0 100% 1.5%

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.