O’Shaughnessy
International ADR

Investment Strategy

Seeks to provide long-term appreciation through exposure to international equities, primarily using American Depository Receipts (ADRs), that the manager believes 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.

Stock Screening Process


 

       1 Universe is all ADRs within the S&P Compustat database.

Composite Performance


Annualized Rates* of Return for Periods Ending 6/30/17 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (%)


Characteristics



Characteristics as of 6/30/17
O'Shaughnessy
International ADR
MSCI ACWI
ex USA Index

Holdings Based*



Price/Earnings Ratio
12.4×
17.0×

Price/Sales Ratio
0.8×
1.3×

Trailing 12-month Price Appreciation
44.4%
27.4%

Weighted Average Market Capitalization
$41,092 mil
$62,761 mil

Median Market Capitalization
$19,908 mil
$8,092 mil

Dividend Yield**
2.6%
2.8%

Approximate Annual Turnover
68%

Active Share
87%





Returns Based
(Since Inception – January 1, 2006)


Standard Deviation
17.5%
18.2%

Downside Standard Deviation
12.1%
13.0%

Sharpe Ratio
0.28
0.17

Beta 0.93 1.00  
Information Ratio
0.41


Tracking Error
4.5%


Downside Capture
97.8%
100.0%

Upside Capture
98.6%
100.0%

Gross of Fees

* Based on a group of representative accounts. Each client account will differ based on start date and regeneration dates.
** The Dividend Yield is the annual percentage of 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

Current Country Weightings


Country Distribution as of 6/30/17 (%)


Based on a group of representative accounts.

Base Rates


As of 6/30/17

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
Rolling 1-Year Periods
85
42
67%

Rolling 3-Year Periods
71
32
69%

Rolling 5-Year Periods
57
22
72%

Rolling 7-Year Periods
55
0
100%

Rolling 10-Year Periods
19
0
100%



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 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.