O’Shaughnessy
International Equity

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 the manager believes 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.

Stock Screening Process


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 as of 6/30/17 (%)


Characteristics



Characteristics as of 6/30/17
O'Shaughnessy
International Equity
MSCI EAFE
Index

Holdings Based*



Price/Earnings Ratio
(forward earnings)
11.4×
17.6×

Price/Sales Ratio
0.6×
1.2×

Trailing 9-month Price Appreciation 28.3%
18.1%

Weighted Average Market Capitalization
$8,805 mil
$59,918 mil

Median Market Capitalization
$1,335 mil
$10,403 mil

Dividend Yield
4.1%
3.0%

Approximate Annual Turnover
69%


Active Share
94%






Returns Based
(Since Inception —
February 1, 2005)


Standard Deviation
18.5%
17.3%

Downside Standard Deviation
13.0%
12.3%

Sharpe Ratio
0.20
0.21

Beta 1.03 1.00  
Information Ratio
0.03


Tracking Error
5.0%


Downside Capture
100.3%
100.0%

Upside Capture
105.5%
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 6/30/17 (%)



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.