Momentum Composite 5.0% 4.0% 3.0%

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1 1Q13 AND LTM FACTOR PERFORMANCE Strategy Performance Summary of Excess Factor Performance QTD LTM Best of Value Excess Return* QTD LTM International ADR 5.51% 12.14% (higher excess is better) MSCI EAFE Index 5.13% 11.25% Value Composite 1.3% 1.9% *Returns vary relative to our ADR All Stocks Universe which returned +4.5% for the quarter and +0.8% LTM. Momentum Composite 4.6% 15.5% Company Name QTD QTD Worst of Quality Excess Return* QTD LTM Weight Contribution (lower excess is better) Quarter to Date Top Contributors from Return Earnings Quality 2.8% 12.4% Fuji Heavy Industries Ltd. ADS 3.4% 0.80% Financial Strength 0.8% 3.0% Allied World Assurance Company Holdings, AG 4.6% 0.79% Earnings Growth 1.1% 6.5% Quarter to Date Top Detractors to Return Altisource Portfolio Solutions S.A. 1.6% 0.24% Quarter to Date Comments: Hellenic Telecommunications Organization S.A. 1.5% 0.26% What Helped Returns: The Momentum Composite performed well and contributed positively. Our Earnings Quality Composite contributed to strategy returns. Company Name LTM LTM What Did Not: Weight Contribution The Value Composite underperformed and detracted from returns. Quarter to Date Top Contributors from Return Our Financial Strength Composite did not screen out poor performers. Telstra Corp. Ltd. ADS 4.7% 2.03% Last Twelve Month Comments: Fuji Heavy Industries Ltd. ADS 1.6% 1.68% What Helped Returns: Quarter to Date Top Detractors to Return The Momentum Composite significantly outperformed for the period. Companhia Energetica de Minas Gerais CEMIG 1.4% 0.67% Our Earnings Quality Composite contributed positively. Xyratex Ltd. 0.7% 0.85% What Did Not: The Value Composite underperformed and detracted from returns. An overweight to Energy detracted from performance. Factors Used to SELECT Stocks (Quintiles: Positive is Better) Factors Used to AVOID Stocks (Quintiles: Negative is Better) Value Composite Momentum Composite Fin Strength Earnings Quality Earnings Growth Quarter to Date 0.5% 0.5% 1.0% 1.5% 4.0% 3.0% 1.0% -1.0% - 4.0% 3.0% 1.0% 1.0% 3.0% 4.0% Value Composite Momentum Composite Fin Strength Earnings Quality Earnings Growth Last Twelve Month 0.5% 1.0% 1.5% 2.5% 3.0% 3.5% 4.0% 18.0% 16.0% 14.0% % 6.0% 4.0% 4.0% 6.0% 8.0% % osam.com 1

2 1Q13 AND LTM FACTOR PERFORMANCE The goal of this commentary is to walk through the characteristics OSAM uses in its investment process and highlight those characteristics that were rewarded and those that were not during the period (Section I). This section covers the most recent quarter and the last twelve months for the ADR All Stocks universe, which consists of companies included in the COMPUSTAT database and listed on U.S. exchanges meeting our market capitalization requirements. Inference is drawn by looking at how stocks did from different market capitalization ranges and economic sectors, followed by portfolios formed on the top quintiles of factors used in OSAM strategies. includes commentary on our specific strategies. All of the data throughout the commentary is in U.S. dollars. Most equity markets were positive in the first quarter of The MSCI EAFE Index delivered a total return of 5.28% for the quarter. International markets primarily focused on a spirited election contest in Italy before turning to the debt crisis negotiations in Cyprus. Fears that the Cypriot bank recapitalization via deposit haircuts would set precedent for future bailouts have, thus far, proved to be unfounded. Though it received little attention, the Organization for Economic Cooperation and Development raised their estimated growth of the G7 economies to a 2.4% annualized rate for Q despite struggles in the euro area. Concerns around a hard landing for the Chinese economy, which has implications for commodity prices, global exports and ultimately global growth, subsided as reports of economic growth showed improvement for the latter half of OSAM RESEARCH TEAM Jim O Shaughnessy Chris Meredith, CFA Scott Bartone Travis Fairchild, CFA Patrick O Shaughnessy Ashvin Viswanathan, CFA PRODUCT MANAGEMENT Ehren Stanhope, CFA CONTENTS Section I MARKET CAPITALIZATION ECONOMIC SECTORS COUNTRIES INVESTMENT FACTORS Value Composite Price-to-Sales Price-to-Earnings EBITDA-to-Enterprise Value Free Cash Flow-to-Enterprise Value Shareholder Yield Momentum Composite 3-Month Momentum 6-Month Momentum 9-Month Momentum Return Volatility Earnings Growth Composite 1-Year Earnings Growth Unexpected Earnings Return on Equity Financial Strength Composite External Financing Debt-to-Cash Flow Debt-to-Equity 1-Year Change in Debt Earnings Quality Composite Current Accruals-to-Assets Change in Operating Assets Total Accruals Depreciation-to-CapEx O'SHAUGHNESSY INTERNATIONAL ADR MARKET OUTLOOK OSAM CONTACT INFORMATION: Ari Rosenbaum, Director of Financial Advisor Services Tel Ari.Rosenbaum@osam.com O Shaughnessy Asset Management, LLC Six Suburban Avenue Stamford, CT Tel Fax osam.com 2

3 MARKET CAPITALIZATION The market rally in the first quarter was led by small cap stocks, which were up +6.5%. Mid cap and large cap stocks also had positive returns of +3.8% and +, respectively, but lagged the small cap universe. All of the market cap portfolios are constructed by equally weighting names within the specific market cap grouping. QTD Cumulative Return by Market Capitalization - ADR All Stocks Large Cap Mid Cap Small Cap 9.0% 8.0% 7.0% Cumulative Return 6.0% 4.0% 3.0% 1.0% The ADR All Stocks Universe was relatively flat over the last twelve months returning +0.8%. The returns for the market cap universes were mixed and offsetting. The total returns for the last twelve months were +6.0%, +4.6%, and -2.7% for large cap, mid cap, and small cap stocks, respectively. Cumulative Return LTM Cumulative Return by Market Capitalization - ADR All Stocks Large Cap Mid Cap Small Cap osam.com 3

4 ECONOMIC SECTORS There was significant divergence among the economic sectors during the first quarter. Based on market cap weighted returns for each sector in the ADR All Stocks Universe, Health Care performed the best with a return of +10.9%. Consumer Staples also performed well with a return of +9.3%. Materials was the worst performing sector at -11.2%, followed by Energy at -5.4%. QTD Cumulative Return by Economic Sector - ADR All Stocks Energy Materials Industrials Cons Disc Cons Staples Health Care Financials Info Tech Telecom Utilities 1 1 Cumulative Return Over the last twelve months, Energy was the worst performing sector at -8.6%. Materials also lagged other sectors and returned -5.9%. Health Care performed the best at +25.5%, followed by Consumer Staples at +19.9%. YTD Cumulative Return by Economic Sector - ADR All Stocks Energy Materials Industrials Cons Disc Cons Staples Health Care Financials Info Tech Telecom Utilities 3 2 Cumulative Return osam.com 4

5 COUNTRIES Looking at market-cap weighted country returns in the ADR Universe, the country returns were mixed in the first quarter and there was significant deviation in the range of returns. The European countries represented had mixed returns in the quarter, the best performers were Ireland (+27.6%) and Switzerland (+12.5%) while the worst were Spain (-6.3%) and Italy (-9.6%). In addition, Japan (+7.4%) and Australia (+4.1%) performed well relative to other countries while China (-7.0%) and Hong Kong (-7.5%) were some of the worst performers for the quarter. Cumulative Return QTD Cumulative Return by Country - ADR Universe UNITED KINGDOM AUSTRALIA JAPAN BRAZIL FRANCE SWITZERLAND HONG KONG NETHERLANDS CHINA GERMANY SPAIN 3 TAIWAN ITALY IRELAND PORTUGAL Looking at performance over the last twelve months most countries held up well. There was significant deviation in the range of returns. The European countries represented had mixed returns in the period. The best performers were Switzerland (+23.7%) and the Netherlands (+14.3%) while the worst were Italy (-2.6%) and Spain (-3.6%). In addition, Australia (+18.9%) and Portugal (+10.4%) performed well relative to other countries. China (-1.7%) and Brazil (-16.7%) were some of the worst performers over the period. 3 YTD Cumulative Return by Country - ADR Universe UNITED KINGDOM AUSTRALIA JAPAN BRAZIL FRANCE SWITZERLAND HONG KONG NETHERLANDS CHINA GERMANY SPAIN TAIWAN ITALY IRELAND PORTUGAL 2 Cumulative Return osam.com 5

6 INVESTMENT FACTORS O Shaughnessy Value Composite During the first quarter, the various individual value factors were mixed but the Value Composite underperformed. Price/Earnings was the worst relative performer (-4.0%). EBITDA/Enterprise Value (-) and Price/Sales (-1.6%) also underperformed. The Value Composite was aided by outperformance from Free Cash Flow/Enterprise Value (+3.6%) and Shareholder Yield (+1.4%), but the composite still underperformed by -1.3%. 4.0% 3.0% 1.0% -1.0% % -4.0% - QTD by Value - ADR All Stocks Price/Sales Price/Earnings EBITDA/EV Free Cash Flow/EV Shareholder Yield Value Composite Over the last twelve months, the value factors were very mixed, and the Value Composite underperformed. Price/Earnings (-9.9%), EBITDA/Enterprise Value (-7.7%) and Price/Sales (-4.8%) underperformed relative to the ADR All Stocks Universe. Investing on Shareholder Yield (+8.6%) and Free Cash Flow/Enterprise Value (+2.1%) performed well. Overall, the Value Composite underperformed the ADR All Stocks Universe by -1.9%. 1 YTD by Value - ADR All Stocks Price/Sales Price/Earnings EBITDA/EV Free Cash Flow/EV Shareholder Yield Value Composite osam.com 6

7 O Shaughnessy Momentum Composite 3-Month, 6-Month, and 9-Month Momentum all had strong returns during the first quarter. The total relative performance versus the ADR All Stocks Universe for the quarter was +2.1%, +3.1%, and +4.6% for 3-Month, 6- Month, and 9-Month Momentum, respectively. Stocks with Low Price Volatility outperformed for the quarter with an excess return of +2.2%. Combining momentum and low volatility, the Momentum Composite outperformed by +4.6%. 5% QTD by Momentum - ADR All Stocks 3-Month Mom 6-Month Mom 9-Month Mom Price Volatility Momentum Composite 4% 3% 2% 1% 0% -1% -2% -3% Over the last twelve months, 3-Month, 6-Month, and 9-Month Momentum all had strong returns. The total relative performance versus the ADR All Stocks Universe for the period was +5.3%, +8.7%, and +11.5% for 3-Month, 6- Month, and 9-Month Momentum, respectively. Stocks with Low Price Volatility dramatically outperformed for the period with an excess return of +11.9%. Combining momentum and low volatility, the Momentum Composite outperformed by +15.5%. osam.com 7

8 YTD by Momentum - ADR All Stocks 3-Month Mom 6-Month Mom 9-Month Mom Price Volatility Momentum Composite 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% Our research indicates that stocks with a history of volatility are more likely to continue to be volatile, while stocks with a stable return pattern are more likely to remain stable. Comparing a portfolio of stocks with the lowest monthly return volatility to a portfolio with the highest volatility, the low volatility stocks outperformed for the last twelve months by +11.9%, while the highest volatility underperformed by -16.9%. YTD by Volatility - ADR All Stocks Lowest Volatility Highest Volatility Momentum Composite 20% 15% 10% 5% 0% -5% -10% -15% -20% osam.com 8

9 QUALITY FACTORS The previous portfolios were formed on the best quintiles of the factors we use to select stocks. The following portfolios are based on the worst quintiles of our quality factors. We use these factors to filter out stocks that, based on our research, we expect to perform poorly. This is consistent with our investment process and representative of the companies we eliminate prior to security selection. Negative excess returns in the following graphs are a good sign, and demonstrate that we accurately identified and removed underperforming stocks. O Shaughnessy Financial Strength Composite The performance of our Financial Strength factors were mixed in the first quarter and the Financial Strength Composite did not help distinguish winners from losers. The worst quintile of External Financing (-1.8%), Cash Flow to Debt (-1.2%), and Debt / Equity (-0.9%) added value in filtering out poor investments this quarter but was offset by Change in Debt (+0.3%) which did not. Filters based on the Financial Strength Composite did not perform well as the worst quintile outperformed by +0.8% (the more negative the better). 4.0% 3.0% 1.0% -1.0% % QTD Excess Return by Worst Financial Strength - ADR All Stocks External Financing Change in Debt Cash Flow to Debt Debt/Equity Financial Strength Composite Over the last twelve months, the Financial Strength factors had mixed results but the Financial Strength Composite still added value by identifying underperforming stocks. The worst quintile of Cash Flow to Debt (-14.3%), External Financing (-13.9%), and Change in Debt (-4.8%) added value in filtering out poor investments. This was offset by Debt / Equity (+2.9%) which did not. Filters based on the Financial Strength Composite performed well for the year as the worst quintile underperformed by -3.0% (the more negative the better). 1 YTD Excess Return by Worst Financial Strength - ADR All Stocks External Financing Change in Debt Cash Flow to Debt Debt/Equity Financial Strength Composite osam.com 9

10 O Shaughnessy Earnings Quality Composite During the first quarter, the Earnings Quality factors exhibited mixed results but the Earnings Quality Composite still added value. The worst quintile of Total Accruals (-4.2%), Change in Operating Assets (-2.4%), and Current Accruals (-1.5%) added value in filtering out poor investments this quarter. Filters based on the Earnings Quality Composite performed well as the worst quintile underperformed by -2.8% (the more negative the better). QTD Excess Return by Worst Earnings Quality - ADR All Stocks 3.0% Current Accruals Change in Operating Assets Total Accruals Depreciation to CapEx Earnings Quality Composite 1.0% -1.0% % -4.0% - Over the last twelve months, all Earnings Quality factors successfully helped in avoiding poorly performing stocks. The worst quintile of Total Accruals (-21.1%), Depreciation to CapEx (-12.1%), Change in Operating Assets (-11.9%), and Current Accruals (-11.4%) all contributed to help the Earnings Quality Composite flag stocks that underperformed by -12.4% (the more negative the better). YTD Excess Return by Worst Earnings Quality - ADR All Stocks Current Accruals Change in Operating Assets Total Accruals Depreciation to CapEx Earnings Quality Composite osam.com 10

11 O Shaughnessy Earnings Growth Composite All Earnings Growth factors successfully identified poorly performing stocks during the first quarter. The worst quintile of Unexpected Earnings (-2.4%), Return on Equity (-1.6%), and 12-Month EPS Change (-0.7%) all contributed to the Earnings Growth Composite adding value during the period. The worst quintile of the composite returned -1.1% (the more negative the better). QTD Excess Return by Worst Earnings Growth - ADR All Stocks 12-Month EPS Chg Unexpected Earnings ROE Earnings Growth Composite 4.0% 3.0% 1.0% -1.0% % Over the last twelve months, all Earnings Growth factors successfully helped avoid poorly performing stocks. The worst quintile of Return on Equity (-11.3%), 12-Month EPS Change (-7.1%), and Unexpected Earnings (-2.6%) all contributed to help the Earnings Growth Composite flag stocks which returned -6.5% during the period (the more negative the better). YTD Excess Return by Worst Earnings Growth - ADR All Stocks 12-Month EPS Change Unexpected Earnings ROE Earnings Growth Composite % -6.0% -8.0% -1-1 osam.com 11

12 O'SHAUGHNESSY INTERNATIONAL ADR The O Shaughnessy International ADR strategy seeks to provide long-term appreciation through exposure to international equities, primarily using American Depository Receipts (ADRs). Generally, the holdings are selected evenly across a value model, a core model, and a growth model. The submodels narrow the universe of companies to those with superior Financial Strength, faithfully represent earnings in their financial statements, and with attractive valuation. Once the universe is established, the strategy selects the stocks that rank the highest based on our Momentum Composite and/or Value Composite. 1Q 2013 Performance Below are QTD returns for the strategy (Gross of Fees): International ADR: 5.51% MSCI EAFE Index: 5.13% In the first quarter of 2013, International ADR outperformed returning +5.5% while the MSCI EAFE Index returned +5.1%. The strategy had a negative contribution from allocation effects of -1.1% and a positive contribution from stock selection effects of +1.4%. An overweight in Energy and an underweight in Consumer Staples detracted -0.4% and -0.5%, respectively, from excess returns. This was partially offset by underweighting Utilities and Materials which each contributed +0.1%. Stock selection within Energy and Telecommunication Services detracted -0.3% and -0.6% from excess returns, but this was more than offset by selection effects in Consumer Discretionary and Financials which contributed +0.6% and +0.7%. From a country perspective, strategy returns were hurt by allocation effects and benefited by stock selection effects, which detracted -1.9% and added +2.2%, respectively. The strategy benefited from an overweight in Bermuda and Panama which contributed +1.1% and +0.3%. These benefits were offset by an overweight in Mexico and an underweight in Japan which detracted -2.3% and -0.6%, respectively. Stock selection in France and Greece detracted -0.5% and -0.3%. Meanwhile, the strategy s stock picks in Mexico and the United Kingdom added +2.2% and +0.9%, respectively. Overall stock selection effects ended the quarter positive. During the quarter, the factors used in International ADR had mixed performance. The Earnings Quality and Earnings Growth Composites helped screen out underperforming stocks during the period, but Financial Strength was not as effective. Looking at the factors the strategy uses for final ranking and selection, we see the performance was mixed for the quarter. The Value Composite underperformed and likely detracted from performance, however, the Momentum Composite significantly outperformed and contributed positively to the returns of International ADR. Last Twelve Months Performance Below are LTM returns for the strategy (Gross of Fees): International ADR: 12.14% MSCI EAFE Index: 11.25% osam.com 12

13 Looking at the last twelve months, International ADR outperformed returning +12.1% while the MSCI EAFE Index returned +11.3%. The strategy had negative contribution from allocation effects of -1.5% and positive contribution from stock selection effects of +2.7%. An underweight in Health Care and an overweight in Energy detracted -0.7% and -1.0%, respectively, from excess returns. This was partially offset by overweighting Financials and underweighting Materials which contributed +0.2% and +0.5%, respectively. Stock selection within Telecommunication Services and Information Technology detracted -0.6% and -1.1%, respectively, from excess returns. On the positive side, stock selection effects in Materials and Industrials contributed +1.2% and +1.6%. From a country perspective, strategy returns were hurt by allocation effects and benefited from stock selection effects, which detracted -4.5% and added +5.8%, respectively. The strategy benefited from an underweight in Japan and an overweight in Bermuda which contributed +0.9% and +0.5%. These benefits were offset by overweights in Mexico and China which detracted -1.6% and -1.5%, respectively. Stock selection in France and New Zealand detracted -1.0% and -0.8%. The strategy s stock picks in Mexico and China added +2.7% and +. Overall stock selection effects ended the period positive. From a factor perspective, the factors used in International ADR had mostly positive excess performance. The quality characteristics performed well with the Financial Strength, Earnings Quality, and Earnings Growth Composites all screening out underperforming companies. The Value Composite did not perform well and likely detracted from performance. While the Momentum Composite outperformed significantly and added to the returns of International ADR, the interaction with the Value Composite likely tempered the magnitude of outperformance. MARKET OUTLOOK Stock returns during the first quarter of 2013 were strong in most global regions with the exception of emerging markets. Concurrent with this strong quarterly return was a marked shift in the appetite for equities as an asset class. Flows into foreign equity funds were impressive, with year to date net inflows of +$50 billion, dwarfing the +$7 billion inflows to foreign funds in the first quarter of Clearly, investors have grown more comfortable with all of the structural problems facing Europe and with slow global economic growth. As investors continue to rethink their asset allocations, we expect flows into equities to be consistently positive if market volatility remains relatively low. With new market highs, however, have come more expensive valuations for stocks, especially in the U.S. We believe that when the market as a whole becomes more expensive that it is especially important to own high quality stocks that remain very cheap relative to the overall market, but still have strong recent momentum and/or shareholder yields. Right now, international stocks are particularly attractive because they are trading at a significant discount relative to U.S. stocks. The MSCI EAFE Index trades at 14.4x earnings, which compares very favorable to the 15.9x multiple on the Russell 3000 Index. As such, we think investors should have a healthy allocation to international stocks in their equity portfolio in the coming year. Building international portfolios based on quality, valuation and momentum has been a powerful way to beat the market over time. The cheapest stocks by our Value Composite, for example, have outperformed the market by +8.4%, annualized, since Similarly, stocks with the strongest momentum delivered +9% annualized outperformance. We believe that high quality companies with great valuations and strong and consistent recent momentum are poised to do very well in the future. osam.com 13

14 Given the historical efficacy of using value and momentum to select stocks, we believe that the International ADR portfolio is very well positioned. Its Price/Earnings ratio is 9.1x, a discount from the 14.4 multiple for the MSCI EAFE Index. The portfolio is also cheaper based on Price/Sales, with a 0.7x multiple compared to a 0.9x multiple for the MSCI EAFE Index while its dividend yield is 4.2%, compared to 3.3% for benchmark. Finally, stocks in the portfolio have very strong momentum, with an average 6- month return of 15.6% vs. 9.9% for the benchmark. We continue to believe that these characteristics will drive returns over time, and that the International ADR portfolio offers an excellent opportunity for investors looking to diversify their portfolio with international stocks. osam.com 14

15 SUMMARY OF EXCESS RETURNS Excess Factor Returns vs. ADR All Stocks: 1st Quarter 2013 Factors Used to Select Stocks (higher return is better) QTD LTM Factors Used to Avoid Stocks (lower return is better) QTD LTM VALUE EARNINGS GROWTH Best Price to Sales -1.56% -4.85% Worst Unexpected Earnings -2.42% -2.57% Best Price to Earnings -4.01% -9.91% Worst 1 Year EPS Growth -0.68% -7.13% Best EBITDA/ Enterprise Value -1.96% -7.66% Worst Return on Equity -1.62% % Best Free Cash Flow to EV 3.63% 2.07% Worst of Earnings Growth Composite -1.08% -6.49% Best Shareholder Yield 1.45% 8.59% FINANCIAL STRENGTH Best of Value Composite -1.28% -1.88% Worst Debt Change 0.31% -4.80% MOMENTUM & VOLATILITY Worst Cash Flow to Debt -1.23% % Best 3 Month Momentum 2.05% 5.31% Worst Debt to Equity -0.86% 2.90% Best 6 Month Momentum 3.10% 8.72% Worst External Financing -1.81% % Best 9 Month Momentum 4.58% 11.47% Worst of Financial Strength Composite 0.80% -3.04% Lowest Return Volatility 2.25% 11.88% EARNINGS QUALITY Best of Momentum Composite 4.57% 15.49% Worst Change in Operating Assets -2.43% % Worst Total Accruals -1.47% % Worst Current Accruals to Assets -4.21% % Worst Depreciation to Capex 0.04% % Worst of Earnings Quality Composite -2.82% % osam.com 15

16 International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations. Investments in emerging markets can be more volatile. Notes All factor portfolios cited in this attribution report are calculated using a compositing methodology. Monthly portfolios are created with a 12-month holding period based on a single characteristic within a universe of stocks. The 12 monthly portfolios are then combined together to create the composite portfolio. Universes 1. The All Stocks Universe includes all stock included in the Compustat Database listed on a U.S. exchange with a market value greater than $200mm and a price per share greater than $1. 2. The Large Stocks Universe consists of all the stocks in the All Stocks Universe where the market capitalization is greater than the universe average. 3. The ADR All Stocks Universe consists of all the stocks where the headquarters are domiciled outside of the United States and Canada. 4. The ADR Large Stocks Universe consists of all the stocks in the ADR All Stocks Universe where the market capitalization is greater than the universe average. Characteristics 1. Market Capitalization Ranges are defined follows: Small Cap stocks range from $200m to $2bn, Mid Cap from $2bn to $10bn, Large Cap stocks greater than $10bn. Market capitalizations are inflation-adjusted to December Universes are equally weighted 2. Dividend Yield is calculated by the indicated annual dividends in IDC ex-share divided by the current market capitalization. 3. Price to Sales is calculated by the trailing 12-month revenues from Compustat divided by the current market capitalization. 4. Momentum is the total return of the stock over the period indicated, including price appreciation and dividends. 5. Earnings Growth is a one-year calculation, looking at the percentage change in Earnings per Share in the last twelve months versus the twelve months before. To account for negative earnings, the scalar is taken as an absolute value. General Legal Disclosure/Disclaimer and Backtested Results It should not be assumed that your account holdings correspond directly to any comparative indices. Individual accounts may experience greater dispersion than the composite level dispersion (which is an asset weighted standard deviation of the accounts in the composite for the full measurement period). This is due a variety of factors, including but not limited to, the fresh start investment approach that OSAM employs and the fact that each account has its own customized re-balance frequency. Over time, dispersion should stabilize and track more closely to the composite level dispersion. Gross of fee performance computations are reflected prior to OSAM s investment advisory fee (as described in OSAM s written disclosure statement), the application of which will have the effect of decreasing the composite performance results (for example: an advisory fee of 1% compounded over a 10 year period would reduce a 10% return to an 8.9% annual return). Portfolios are managed to a target weight of 3% cash. Account information has been compiled by OSAM derived from information provided by the portfolio account systems maintained by the account custodian(s), and has not been independently verified. In calculating historical asset class performance, OSAM has relied upon information provided by the account custodian or other sources which OSAM believes to be reliable. OSAM maintains information supporting the performance results in accordance with regulatory requirements. Please remember that different types of investments involve varying degrees of risk, that past performance is no guarantee of future results, and there can be no assurance that any specific investment or investment strategy (including the investments purchased and/or investment strategies devised and/or implemented by OSAM) will be either suitable or profitable for a prospective client s portfolio. OSAM is a registered investment adviser with the SEC and a copy of our current written disclosure statement discussing our advisory services and fees continues to remain available for your review upon request. Hypothetical performance results shown on the preceding pages are backtested and do not represent the performance of any account managed by OSAM, but were achieved by means of the retroactive application of each of the previously referenced models, certain aspects of which may have been designed with the benefit of hindsight. The hypothetical backtested performance does not represent the results of actual trading using client assets nor decision-making during the period and does not and is not intended to indicate the past performance or future performance of any account or investment strategy managed by OSAM. If actual accounts had been managed throughout the period, ongoing research might have resulted in changes to the strategy which might have altered returns. The performance of any account or investment strategy managed by OSAM will differ from the hypothetical backtested performance results for each factor shown herein for a number of reasons, including without limitation the following: Although OSAM may consider from time to time one or more of the factors noted herein in managing any account, it may not consider all or any of such factors. OSAM may (and will) from time to time consider factors in addition to those noted herein in managing any account. OSAM may rebalance an account more frequently or less frequently than annually and at times other than presented herein. OSAM may from time to time manage an account by using non-quantitative, subjective investment management methodologies in conjunction with the application of factors. The hypothetical backtested performance results assume full investment, whereas an account managed by OSAM may have a positive cash position upon rebalance. Had the hypothetical backtested performance results included a positive cash position, the results would have been different and generally would have been lower. The hypothetical backtested performance results for each factor do not reflect any transaction costs of buying and selling securities, investment management fees (including without limitation management fees and performance fees), custody and other costs, or taxes all of which would be incurred by an investor in any account managed by OSAM. If such costs and fees were reflected, the hypothetical backtested performance results would be lower. The hypothetical performance does not reflect the reinvestment of dividends and distributions therefrom, interest, capital gains and withholding taxes. Accounts managed by OSAM are subject to additions and redemptions of assets under management, which may positively or negatively affect performance depending generally upon the timing of such events in relation to the market s direction. Simulated returns may be dependent on the market and economic conditions that existed during the period. Future market or economic conditions can adversely affect the returns. osam.com 16