oshaughnessy market leaders value

IFranklin Regional Retirement System

Franklin Regional Retirement System OShaughnessy Market Leaders ValueJANUARY 11, 2011

I About the FirmBackground (as of 11/30/2011)

Dedicated to alpha generating, quantitative strategies based on our core investment tenets: Quality Companies with Superior Valuation and Yield

Committed to ongoing market research:

Published four books most notably What Works on Wall Street

16 white papers

Approximately $4.5 billion in AUM and 31 employees:

Separate account and mutual fund manager for financial advisors Separate account and mutual fund manager for financial advisors

Institutional money manager

90 percent employee-owned by nine key contributors

Investment advantages: Investment advantages:

Transparent no black box

Backed by eight decades of empirical data, implemented with emotionless discipline

Search for improvement ongoing, but underlying approach does not change

P d i h t d b d t Process-driven approach, supported by a deep team

Franklin Regional Retirement System 2

Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

I Organizational Structure

Jim OShaughnessy*CEO / CIO / Ch i

Ena GongExecutive AssistantCEO / CIO / Chairman

Senior Portfolio Manager

Chris LovelessPresident / COO

Executive Assistant, Office Management

Ari RosenbaumDirector of Financial

Advisor Services

Frank FitzgeraldDirector of Technology

Chris Meredith, CFA*Senior Portfolio Manager,Director of Research & Portfolio Management

Scott E. LoomisDirector of Finance

Ray Amoroso, III, Esq.CCO

Chris LovelessInstitutional

Sales & Service

Victor BejaranoTechnology Specialist Michael Hattrup

Client Service Specialist

Claudine SpenceSenior Client Service

Specialist

Joe DessalinesSenior Developer

Ehren Stanhope, CFA

Director of Finance

Elizabeth CahillAccountant

Ad i i t ti T

Anna VegaSenior Portfolio Analyst

Erin FoleyDirector of Trading

Scott Bartone*Assistant Portfolio

Manager/Trader

Patrick OShaughnessy*Assistant Portfolio

Manager

Claudia ShiSenior Accountant

Beth Ryan

Steve NemchekInfrastructure Manager


Sandra Hahn-Colbert, CFADirector of Performance,

Risk, and Operations

Administrative Team

Ron SchulerTrader

Ashvin Viswanathan,CFA*Assistant Portfolio

Manager

Manager/Trader Manager

Lenny CastagnaTrader

Manson ZhuDeveloper


Travis Fairchild*Research Analyst

Ben EmersonDirector of

Creative ServicesVictor Dedaj

Carla PerlSales Assistant

Client Service and Sales TeamInvestment Management Team Technology TeamMichael KnechtelOperations Analyst

BNY Mellon15+ Operations Team

p Victor DedajPerformance Analyst


* Members of the Research Team Operations Team

I Assets Under Management in Core Strategies

$1,015 OShaughnessy Market Leaders Value

Assets in Core StrategiesAs of 11/30/11 (mil)

Assets by Client TypeAs of 11/30/11 (mil)

Intermediary

$873

$484

$483

O'Shaughnessy Canadian

O'Shaughnessy International

O'Shaughnessy Enhanced Dividend Institutional$3 772

$746

$476

$332

$268

O'Shaughnessy All Cap Core

O'Shaughnessy All-Canadian

O'Shaughnessy Small-Mid Cap Growth

$3,772

$268

$189

$94

O Shaughnessy Small Mid Cap Growth

O'Shaughnessy Small Cap Growth

O'Shaughnessy Global

$81

$73

O'Shaughnessy Small Cap Value

O'Shaughnessy International ADR


I What We Do

Core Investment Tenets

Factors utilized to identify stocks to select

Quality Overlay

Factors utilized to identify stocks to avoid

VALUEStocks whose prices relative to underlying fundamentals like earnings

FINANCIAL STRENGTHThe direction and overall level of a companys debt as well as the companysunderlying fundamentals like earnings,

EBITDA/enterprise value, and sales are cheaper than their peers.

YIELD

company s debt, as well as the company s capability to pay it off.

EARNINGS QUALITYRatios within the financial statements can

Stocks with strong dividend yields and corporate buybacks.

gauge the likelihood that a company is manipulating or overstating its earnings.

EARNINGS GROWTHWeak or unexpected decrease in a companys earnings.



IThe S&P 500, which historically outperforms approximately 80% of mutual fund managers,* can be roughly

Key Factors from What Works on Wall Street

replicated using one simple factormarket capitalization:

Duplicating the S&P 500Monthly Backtested Results from 1/1/1927 to 7/31/2011 (Logarithmic Scale)

10000

1000

10000

The S&P 500 is more than an indexits a strategydesigned to buy large stocks. It beats most money managers not because of its strategy but because of its discipline It never deviates

10

100

of its strategy, but because of its discipline. It never deviates.

1

10

0.1 S&P 500 Index OShaughnessy Large Stocks Universe


* Malkiel, Burton G. Reflections on the Efficient Market Hypothesis: 30 Years Later. CFA Digest 35.3 (2005): 53-54.


I Key Findings from OSAM Research: Testing Shareholder Yield

BACKTESTED ANNUALIZED RETURN (1/1/1963 through 9/30/2011)

Market Leaders Value outperforms the market, with less risk:

14.1%

10.3%

Shareholder Yield of Large Stocks Best Decile

Russell 1000 Value Index*

15.4%

0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0%

Shareholder Yield of Large, High Quality, Undervalued Stocks

BACKTESTED BASE RATES (1/1/1963 through 9/30/2011)

1-Year 3-Year 5-Year 10-Year

OShaughnessy Market Leaders Valuevs Russell 1000 Value Index 80% 97% 99% 100%

Shareholder Yield factors: Dividend Yield and Buyback Yield

vs. Russell 1000 Value Index

(Won/Lost) (459/114) (531/18) (524/1) (465/0)


* Prior to 1979, we use an in-house built proxy for the Russell 1000 Value Index.


I OShaughnessy Market Leaders Value: Portfolio Construction

Portfolio Holdings: (as of 11/30/11)Stock Screening Process: g ( )

Currently, there are 59 securities in the entire portfolio.

Top 25 holdings represent 71% of the portfolio.

O r strategies are screened for Red Flags dail and at o r discretion

Investable Universe (Approx.16,000 stocks)

Stock Screening Process:

Our strategies are screened for Red Flags daily and at our discretion, may cause us to replace a name prior to the rebalance date.

A stocks weight is determined by both the number of months it has qualified for the model over the past year and also by the recency of the months for which it qualified Stocks that qualify most recently and

Market cap > Universe average, excluding Utilities

the months for which it qualified. Stocks that qualify most recently and with greater frequency are given higher weights:Top half by composited score

of Value, Earnings Quality, Earnings Growth, and Financial

Strength CompositesFor Illustrative Purposes Only: Examples of Positions & Weights at Inception*

Position Ranking Name Weight

Months qualified for (#1 is most recent month)

#1 #2 #3 #4 #5 #6 #7 #8 #9 #10 #11 #12

Top securities by shareholder yield

Ranking Name Weight #1 #2 #3 #4 #5 #6 #7 #8 #9 #10 #11 #12T

o

p

5

1 Chubb Corp. 4.19% 2 Sara Lee Corp. 4.03% 3 DIRECTV 3.98% 4 WellPoint Inc. 3.96% 5 Travelers Cos. Inc. 3.86%

21 Lib Gl b l I 2 26% y y

S

t

o

c

k

s

2

1

2

5

21 Liberty Global Inc. 2.26% 22 Philip Morris International 2.24% 23 Raytheon Company 2.19% 24 Gilead Sciences Inc. 2.04% 25 Deutsche Telekom AG 2.00%


* This list does not reflect the strategy's current holdings list.


I OShaughnessy Market Leaders Value: Portfolio Construction

Stock Screening Examples(As of 1/3/12)

Our screening process selects the top stocks that match all criteria:

DIRECTV (DTV) Lockheed Martin Corp. (LMT)

The Gap Inc. (GPS) Exxon Mobil Corp. (XOM) Apple Inc. (AAPL)

Market cap $30.2 bil $21.5 bil $6.4 bil $406.3 bil $376.4 bil

Investable Universe (Approx.16,000 stocks)

Market cap > Universe average

Value* 17 6 4 11 72

Earnings Quality* 30 9 35 24 95

Earnings Growth* 12 9 74 10 7

Top half by composited score of Value,

Earnings Quality, Earnings Growth, and

Financial StrengthFinancial Strength* 49 64 22 1 20

Composited score of composites* 27 22 34 11 49

Financial Strength Composites

T iti bShareholder yield 11.5% 11.4% 23.0% 6.0% -0.9%

Selected? yes yes yes no no

Top securities by shareholder yield

* Th l th b th b tt th

Franklin Regional Retirement System 9Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

Please be advised that the information regarding our models are subject to change and is provided for informational purposes only and should not be deemed as a recommendation to purchase or sell the securities mentioned. Moreover, there can be no assurance, as of the date of publication, that the securities purchased remain in a strategy's portfolio or that securities sold have not been repurchased. Additionally, it is noted that the securities purchased do not represent a strategy's entire portfolio and in the aggregate may represent a small percentage of a strategy's portfolio.

* The lower the number the better the score.

I OShaughnessy Market Leaders Value: Characteristics(As of 11/30/11)II

TOP TEN HOLDINGSPercent of Portfolio Dividend Yield (%) Buyback Yield (%) Shareholder Yield (%)Holdings Based

Chubb Corp. 4.3 2.3 8.8 11.1Travelers Cos. Inc. 4.0 2.9 10.4 13.3DIRECTV 4.0 0.0 15.2 15.2Sara Lee Corp. 3.9 2.4 7.6 10.0Gap Inc. 3.8 2.4 20.6 23.0WellPoint Inc. 3.8 1.4 11.6 13.0Lockheed Martin Corp. 3.6 5.1 10.2 15.3Lowe's Cos. 3.5 2.3 9.6 11.9Aetna Inc. 3.5 1.4 9.5 10.9Royal KPN N.V. ADS 3.1 9.4 6.1 15.5Total 37.5 3.0* 11.0* 13.9*

CURRENT SECTOR WEIGHTINGS (%)

OShaughnessy Market Leaders Value Portfolio** 3.4 6.2 9.6

Russell 1000 Value Index 2.6 -0.6 2.0

* Average of top 10 holdings. ** Based on model portfolio as of 11/30/11.

CURRENT SECTOR WEIGHTINGS (%)

2

4

.

4

1

7

.

9

1

.

8

1

1

.

1

1

4

.

6

1

2

.

0

5

.

0

0

.

1

1

3

.

1

0

.

0

8

.

9

8

.

1

1

2

.

7

2

4

.

3

1

2

.

6

9

.

0

9

.

2

2

.

8

4

.

7

7

.

6

1

5

.

5

9

.

8

2

.

0

3

.

0

8

.

4

10

20

30

0

0

-

1

0

.

9

-

1

3

.

2

-

4

.

2

-

2

.

7

-

7

.

6

-20

-10

0

Consumer Consumer Energy Financials Health Care Industrials Information Materials Telecom- UtilitiesDiscretionary Staples Technology munications

S i

Franklin Regional Retirement System

Services OShaughnessy Market Leaders Value Russell 1000 Value Index Difference

10


III

OShaughnessy Market Leaders Value: Returns-Based StatisticsIGross of Fees, Since Inception (12/1/01) through 11/30/11 vs. Russell 1000 Value Index

Excess ReturnPERFORMANCEPortfolio Benchmark vs. Benchmark

3-Month 4.3% 2.5% 1.9%

YTD 6.2% -1.6% 7.8%

1-Year 10.3% 6.2% 4.2%

3-Year 29.4% 11.3% 18.1%

5-Year 5.2% -2.6% 7.8%

7-Year 8.6% 2.1% 6.5%

10-Year 9 9% 3 9% 6 0%

200%

CUMULATIVE RETURNS

10-Year 9.9% 3.9% 6.0%

Inception 9.9% 3.9% 6.0%

Excess Return: 111 1%

50%

100%

150%

200% Excess Return: 111.1%

158.1%

47.0%

-50%

0%


Portfolio Benchmark

11


I OShaughnessy Market Leaders Value

PROPOSED FEE SCHEDULE:


$5 Million 0.55%


I OShaughnessy Market Leaders Value

Composite Performance SummaryPrimary Index Wrap Accounts Total

Time Period

BlendedGross Rate

of Return (%)Net Rate

of Return (%)*

yReturn (%)

(Russell 1000Value Index)

Number of Portfolios

Internal Dispersion

Composite Assets ($mil)

3 -Yr Annual Std Dev

3 -Yr Annual Std Dev

Primary Index

Composite Assets as a % of

Firms Assets

Wrap Accounts as a % of

Composite Accounts

TotalMarket Leaders

Value Assets ($mil)

YTD (9/30/11) -4.05 -4.44 -11.24 8 1.16 84.2 29.31 22.69 2.04 8.07 908.52010 16.53 13.58 15.51 11 0.76 89.0 30.36 23.18 1.76 9.31 1,012.72009 60.90 56.44 19.69 10 12.03 7.6 30.18 21.10 0.15 98.63 854.12008 -37.95 -39.60 -36.85 30 2.27 8.9 20.37 15.36 0.21 99.33 527.62008 3 95 39 60 36 85 30 8 9 0 3 5 36 0 99 33 5 62007 3.04 0.73 -0.17 33 6.28 17.2 10.11 8.06 0.16 100.00 1,457.42006 23.91 21.80 22.25 14 2.40 7.9 7.68 6.68 N/A 98.44 1,002.92005 7.75 7.11 7.05 10 2.51 3.3 9.16 9.46 N/A 70.84 652.42004 20.26 17.87 16.49 10 3.92 2.2 12.14 14.76 N/A 50.94 354.72003 32.83 29.53 30.03 8 4.90 1.3 N/A N/A N/A 55.43 149.62002 -7.80 -9.89 -15.52 13 N/A 2.5 N/A N/A N/A 32.37 65.612/1/01 - 12/31/01 3.07 2.91 2.36 5 N/A 1.4 N/A N/A N/A N/A 28.0

* For composite presentation, the net fee is being calculated using the maximum bundled fee of each participating sponsor with whom OSAM has wrap accounts, in some instances as high as 3% annually. Actual fees may vary account by account.Blended gross returns are a combination of true gross and pure gross and are presented as supplemental information.Basis of Presentation:OShaughnessy Asset Management, LLC (OSAM), founded in 2007, is a Stamford, CT based quantitative money management firm and an SEC Registered Investment Advisor. We deliver a broad range of equity strategies, from micro cap to largecap, and growth to value. Our clients are individual investors, institutional investors, and the high-net-worth clients of financial advisors. James OShaughnessy and his team left Bear Stearns to form OSAM in July 2007. All the GIPS rules ofportability were met. Jim maintained continuous management of all accounts during the transition from BSAM to OSAM, which was completed in March 2008.OSAM claims compliance with the Global Investment Performance Standards (GIPS) and has prepared and presented this report in compliance with the GIPS standards. OSAM has been independently verified for the periods of 2007-2010. Thep ( ) p p p p p p y pverification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures aredesigned to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.A complete list and description of OSAMs composites is available upon request.The O'Shaughnessy Market Leaders Value strategy (the Composite) generally seeks to provide long-term growth and some current income by investing in market-leading companies with attractive valuations. First, we screen for stocks with greaterthan average market capitalizations and exclude Utilities. We then screen for securities with Value, Earnings Quality, Earnings Growth, and Financial Strength Composite scores greater than average. The strategy then selects stocks with the highestshareholder yieldwhich combines a company's annual dividend and its annual rate of stock buybacks. This strategy is periodically rebalanced.Selection Criteria and Valuation Procedures:The Composite was created in August 2008 to include both wrap fee and non wrap fee accounts, and represents the performance of every fee paying account managed in the Market Leaders Value strategy, regardless of asset size. The investmentp g p p , p p y p y g g gy, gadvisory fee charged for the management of accounts in the strategy varies. Institutional separate accounts are charged an annual investment advisory fee of 0.55% on the first $25 million, 0.45% on the next $75 million, and 0.35% on assets over$100 million. Wrap clients are charged the wrap fee set by the sponsor, and fees can vary by sponsor platform. Wrap fees include charges for trading costs, portfolio management, custody, and other administrative fees. For composite performancepresentation purposes, returns are net at 3% annually, which reflects the highest applicable wrap fee charged by any sponsor across our distribution channel. Additionally, gross-of-fees returns for wrap fee accounts are pure gross returns. "Pure"gross-of-fees returns do not reflect the deduction of any expenses, including transaction costs. "Pure" gross-of-fees returns are supplemental to net returns. A traditional (or "true") gross-of-fees return reflects performance after the reduction oftransaction costs but before the reduction of the investment advisory fee. Since wrap fee accounts experience bundled pricing, it is often impossible to unbundle the transaction portion to calculate a gross-of-fees return and hence "pure" gross-of-fees returns are made available. The gross-of-fee return presented for this composite is a blend of "true" gross-of-fees returns for non wrap clients (where the actual fee paid is identifiable) and "pure" gross-of-fees returns for wrap clients (for thereasons stated above).The internal dispersion of annual returns is measured by the equal weighted standard deviation of portfolio returns represented within the Composite for the full year. Data related to assets under management is presented from December 31, 2007forward consistent with the inception of our firm and N/A is shown for prior periods All investments are in U S equities and all returns are stated in U S Dollars Additional information regarding policies for calculating and reporting returns is


forward, consistent with the inception of our firm, and N/A is shown for prior periods. All investments are in U.S. equities and all returns are stated in U.S. Dollars. Additional information regarding policies for calculating and reporting returns isavailable upon requestComposite Benchmark(s):The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

I Biographies of Key ProfessionalsJames P. OShaughnessyChairman, CEO, CIOJim O'Shaughnessy is the Chairman and CEO of O'Shaughnessy Asset Management (OSAM). Also serving as the Chief Investment Officer of the firm, Jim is ultimately responsible for OSAMs investment strategies. He directs the Senior PortfolioManager Director of Research and the Portfolio Management Team and helps to set the agenda for the team He is also responsible for the development of OSAMs existing strategies and directs the team on idea generation and specific initiativesManager, Director of Research and the Portfolio Management Team and helps to set the agenda for the team. He is also responsible for the development of OSAM s existing strategies and directs the team on idea generation and specific initiativesto improve the models and develop new factors and products.Prior to founding OSAM, Jim was the Director of Systematic Equity at Bear Stearns Asset Management and a Senior Managing Director of the firm. Prior to Bear Stearns, he was the CEO and Chairman of OShaughnessy Capital Management (Netfolio).Long recognized as one of America's leading financial experts and a pioneer in quantitative equity analysis, he has been called a "world beater," a "statistical guru" and a "legendary investor" by Barron's. In February 2009, Forbes included Mr.OShaughnessy in a series on Legendary Investors along with Benjamin Graham, Warren Buffet and Peter Lynch.Jim is the author of four books on investing. Forbes pronounced his first book Invest Like the Best "awesome" and named it one of the best financial books of the year. His next book, What Works on Wall Street, was a BusinessWeek and New YorkTimes Business bestseller and called "An indisputable classic...downright momentous" by TheStreet.com. The Financial Analysts' Journal said it was "indisputably a major contribution to empirical research on the behavior of common stocks in theUnited States...conceivably, the influence of What Works on Wall Street will prove immense."y, pJims third book, How to Retire Rich, was a New York Times Business and BusinessWeek bestseller. Mr. OShaughnessy's most recent book, Predicting the Markets of Tomorrow, was published in 2006. Mr. OShaughnessy was named "manager ofthe year" in Gordon Pape's 2004 Buyers Guide to Mutual Funds for his management of the Royal Bank (RBC) of Canada's O'Shaughnessy Funds, and the Canadian Investment Awards named the RBC O'Shaughnessy US Value Fund "US EquityFund of the Year" in 2004 and 2005. Mr. OShaughnessy has a BA in Economics from the University of Minnesota.

Christopher LovelessPartner, President & Chief Operating OfficerChris Loveless serves as the President and Chief Operating Officer of OSAM. In this role, Mr. Loveless is responsible for driving the firms initiatives, as well as overseeing the Technology, Performance, Operations and Administrative teams. Healso serves as the Director of Sales and leads the Institutional sales and service efforts including managing the relationship with our largest client the Royal Bank of Canada Prior to joining the firm Mr Loveless was a Managing Director/Principalalso serves as the Director of Sales, and leads the Institutional sales and service efforts, including managing the relationship with our largest client the Royal Bank of Canada. Prior to joining the firm, Mr. Loveless was a Managing Director/Principalat Bear Stearns Asset Management (BSAM) where he was responsible for the Third-party Platform business. Mr. Loveless joined BSAM along with Jim OShaughnessy in 2001 and grew Platform assets from $500 million to over $25 billion duringhis tenure. Prior to joining BSAM, Mr. Loveless was a Vice President and National Sales Manager for Mutual Funds and Separate Accounts with Netfolio, Inc., formerly known as OShaughnessy Capital Management. From 1994 to 1997, he was aMarketing Manager specializing in retirement plans for Merrill Lynch & Co. Mr. Loveless joined Merrill Lynch as a member of the JET program in 1994. He holds a B.A. from Texas Tech University. He is a Past President of the Texas Tech AlumniAssociation National Board, a member of Young Presidents Organization (YPO) and lives in Greenwich, Connecticut with his wife and four daughters.

Christopher Meredith, CFAPartner, Senior Portfolio Manager, Director of Research & Portfolio ManagementChris Meredith is a Senior Portfolio Manager at OSAM. He is responsible for portfolio management, investment strategy research and the overseeing the firms trading efforts. His responsibilities include daily model generation and strategyChris Meredith is a Senior Portfolio Manager at OSAM. He is responsible for portfolio management, investment strategy research and the overseeing the firm s trading efforts. His responsibilities include daily model generation and strategyoptimization, reviewing account rebalances and trade analysis. On the research side, Chris leads a team of analysts conducting research on new and existing strategies and evaluating the efficacy of new factors. Prior to joining the firm, Chris was aSenior Research Analyst on the Systematic Equity team at BSAM. He was a Director at Oracle Corporation and spent eight years as a technology professional before attending the Johnson School at Cornell University. Chris holds a B.A. in Englishfrom Colgate University, an M.B.A. from Cornell University and an M.A. of Financial Mathematics from Columbia University. He is also a CFA Level III candidate. He lives in Chappaqua, New York with his wife and three children.

Erin FoleyPartner, Director of TradingErin Foley is the Director of Trading at OShaughnessy Asset Management (OSAM). Erin is responsible for the execution of trades related to our institutional and sub-advised accounts using brokers, algorithms, and direct access. On a monthly,quarterly and annual basis, she reviews all trades for best execution analysis. Prior to joining OSAM, Erin was Vice President and Institutional Sales Trader at Canaccord Adams where she performed trade activity in Listed, OTC and Internationalq y , y j g , p y ,markets with a focus on small cap equities. While at Canaccord Adams, Erin was a part of the team responsible for opening the firm's first regional sales and trading office. Prior to joining Canaccord Adams, Erin spent four years as a Vice Presidentand Institutional Sales Trader for Deutsche Bank Securities, where she executed trades, enhanced cross-selling opportunities through the use of derivatives and provided access to syndicate deals. Prior to that, Erin was an OperationsManager/Junior Sales Trader for Morgan Stanley where she began her career in 1995. She holds a B.A. in Economics from the University of New Hampshire.

Sandra Hahn-Colbert, CFAPartner, Director of Performance, Risk, and OperationsSandra Hahn-Colbert is Director of Performance, Risk, and Operations at OShaughnessy Asset Management (OSAM). In this role she is responsible for maintaining the firms GIPS compliance and ensuring the integrity of all data and metrics thataccompany the presentation of our strategy performance. Operationally, she is responsible for managing the relationship with the firms back office support structure, which is outsourced, and managing the internal team that supports the portfolio


management and trading functions. Prior to joining OSAM, Sandra worked for Neuberger Berman, spending the last seven years leading the Performance Measurement & Analytics department. Sandra was also responsible for the preparation of thefirm's performance composites and for maintaining the GIPS compliance. From 1993 to 2000, Sandra had a number of responsibilities at Neuberger including serving as the product manager for the International Equity team and managingInstitutional Sales & Service support. Before this, Sandra was a Vice President at Gabelli Asset Management Company from 1986 to 1993 and performed a variety of performance, client service, and marketing support roles. Sandra is active in theperformance industry and sits on a number of committees including the NAIPC (North American Investment Performance Committee), the GIPS Investment Manager Subcommittee (of the GIPS Executive Committee), and the GIPS Liaisoncommittee of the Money Management Institute. She is also an adviser to the CFA Institute serving on the CIPM Examination Review Panel and a member of the Spaulding Performance Forum. Sandra earned her B.A. in International Studies fromSiena College and an M.B.A. from Fordham University. She is a Chartered Financial Analyst and member of the New York Society of Security Analysts.

I General Legal Disclosure/Disclaimer and Backtested ResultsIt 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 theaccounts in the composite for the full measurement period). This is due a variety of factors, including but not limited to, the investment approach that OSAM employs and the fact that each account has its own customized rebalance frequency. Overtime, dispersion should stabilize and track more closely to the composite level dispersion. Gross of fee performance computations are reflected prior to OSAMs investment advisory fee (as described in OSAMs written disclosure statement), the

f ff f f (f f f % % % ) fapplication 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 atarget 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 calculatinghistorical 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 withregulatory 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 clients portfolio. OSAM is a registered investment adviser with the SEC and a copy ofour current written disclosure statement discussing our advisory services and fees continues to remain available for your review upon request.

The risk-free rate used in the calculation of Sortino, Sharpe, and Treynor ratios is 5%, consistently applied across time.

The universe of All Stocks consists of all securities in the Chicago Research in Security Prices (CRSP) dataset or S&P Compustat Database (as noted) with inflation-adjusted market capitalization greater than $200 million as of most recent year-endThe universe of All Stocks consists of all securities in the Chicago Research in Security Prices (CRSP) dataset or S&P Compustat Database (as noted) with inflation-adjusted market capitalization greater than $200 million as of most recent year-end.The stocks are equally weighted and generally rebalanced annually.

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 previouslyreferenced 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 anyaccount 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 orinvestment 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 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 notedherein 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 cashposition, 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 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), custodyand 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 markets 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.


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