ÙÙÙÙ comprehensive product review ofria global allocation ... · comprehensive product review...

Comprehensive Product Review Ofria Global Allocation FundŒ

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Morningstar Analyst Pillar Ratings

Process Pillar

Performance Pillar

People Pillar

Parent Pillar

Price Pillar

Positive

Positive

Positive

Neutral

Positive

Turnover Ratio %

Time Period: 1/1/2011 to 12/31/2014

Turnover

Ratio %

2011 2012 2013 2014

31.0 39.050.0

75.0

Net Expense Ratio

Time Period: 1/1/2011 to 12/31/2014

2011 2012 2013 2014

1.06 1.07 1.05 1.04

Morningstar Rating Trend2015-102015-092015-082015-072015-062015-052015-042015-032015-022015-012014-122014-11 ÙÙÙ

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Snapshot

Inception Date

Primary Prospectus Benchmark

Morningstar Category

Domicile

Firm Name

Morningstar Analyst Rating

Manager Name

Longest Manager Tenure

Base Currency

Annual Report Net Expense Ratio

Turnover Ratio %

Global Fund Report Analysis Date

Portfolio Date

10/21/1994

FTSE World TR USD

US OE World Allocation

United States

BlackRock

Œ

Multiple

27

US Dollar

1.04

75.00

1/13/2015

7/31/2015

Product Size

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

$ 45,659,687,561

$ 49,310,073,509

$ 52,960,459,457

$ 56,610,845,405

$ 60,261,231,353

Estimated Net Flows - Fund Level

Time Period: 10/1/2010 to 9/30/2015

2010 2011 2012 2013 2014 2015$ -1,500,000,000

$ -750,000,000

$ 0

$ 750,000,000

$ 1,500,000,000

Estimated Net Asset Flows in $Millions (Month-End) - Share Class

1 Mo 3 Mo 6 Mo 1 Yr 3 Yr 5 Yr

-211 -427 -613 -1,630 -4,239 -3,696

Estimated Net Asset Flow in $Millions (Month-End) - Fund

Fund Size 1 Mo 3 Mo 6 Mo YTD 1 Yr 3 Yr 5 Yr

51,380 -339 -798 -1,183 -3,546 -5,224 -10,110 -5,663

Over/Under Benchmark Performance

Time Period: 10/1/2005 to 9/30/2015 Rolling Window: 3 Years 1 Month shift Calculation Benchmark: FTSE World TR USD

-30.0% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0% 40.0%

-5.0%-1.0%3.0%7.0%11.0%15.0%19.0%23.0% 2008

2015

Ofria Global Allocation Fund outperforms 37 times (43.53 %)

FTSE World TR USD outperforms 48 times (56.47 %)

Zero Excess Return

Ofria

Glo

bal A

lloca

tion

Fund

Ret

urn

FTSE World TR USD Return

Source: Morningstar Direct


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Process: Portfolio

This fund's equity stake weighed in at 56.2% of assets as of December 2014. That stake has hovered between that level and 64% since 2008's credit crisis, damping the fund's performance relative to more equity-heavy world-allocation rivals. Management's reluctance to bulk up on equities stems in part from its recent belief that equity markets outside of Europe and Japan look inflated. It also stems from management's strategic goal of delivering equitylike returns over the long haul with less risk. Thus, it's unlikely to bulk up on equities if it believes valuations are unattractive.

Over the past 12 months, management has been trimming gains from U.S. equities, telecom stocks, and government bonds. It added slightly to health-care and industrials shares in Europe and Asia. The team remains optimistic on Japan, maintaining a 9.7% stake. Overall, the fund has found more stock opportunities overseas and in the materials, industrials, and health-care sectors. The fund's 24.7% fixed-income stake remains near historical lows and is leaning on its 19.1% cash equivalents stake for protection against rising interest rates. The fund's U.S. dollar exposure peaked at roughly 76% of assets mid-2013, with management hedging big chunks of its euro, yen, and Australian dollar exposure. It has rolled those hedges back more recently but remains tilted toward the U.S. dollar, in which nearly 70% of assets resided at the end of 2014.

Process: Approach

The fund's managers view it as a portfolio anchor and attempt to deliver equity-market-like returns with less risk. The fund's blended benchmark is a 60%/40% stock/bond split, including 36% in the S&P 500, 24% FTSE World ex-U.S. Index, 24% Bank of America/Merrill Lynch 5-Year Treasury Bond Index, and 16% Citigroup Non-U.S. Dollar World Government Index.

Valuation drives management's security selection and portfolio positioning and can lead to big sector, region, or asset-class bets. The fund's asset allocation tends to shift gradually rather than suddenly, so turnover is relatively low, averaging about 40% over the past 10 calendar years through 2013. Its portfolio positioning can remain out of market favor for extended periods.

Management invests across more than 700 holdings, a mix of stocks, bonds, hybrid securities, and exchange-traded funds, keeping all but a handful of positions to 1% of assets or less. It generally holds 5%-10% of assets in cash equivalents, which it uses to actively manage the portfolio's currency exposure. Periodically, the team uses short positions or put options to hedge a small portion of the fund's equity exposure.

The fund does not attempt to deliver a consistent income stream and is best-suited for investors seeking a long-term core holding, not a rapid-trading tactical-allocation offering.

Summary

By Dan Culloton 1/13/2015

There are reasons to doubt BlackRock Global Allocation, but more to have faith.

This fund has been in a relative slump. Its performance rankings in recent calendar years and trailing-year periods, while decent in absolute terms, hover in the middle of the pack. Despite outflows, the fund also is one of the largest members of the world-allocation Morningstar Category and owns hundreds more securities than it did 10 years ago. Size, holding expansion, and mediocre returns can be worrisome signs that a once-strong fund has grown too large to execute its strategy as effectively as it used to.

There are mitigating factors here. The fund's management team is among the most experienced in its category, it charges a reasonable fee, and its long-term track record remains competitive and consistent with the fund's aims on an absolute and risk-adjusted basis. Most important, the managers' philosophy and process has remained consistent over time, and that wide-ranging, slow moving, contrarian, value-oriented, and absolute-return-focused approach ameliorates some of the concerns about asset bloat.

The fund limits individual position sizes, doesn't buy or sell anything in a hurry, and usually moves in the opposite direction of the markets in which it traffics. As stock markets have risen since the financial crisis and yield spreads have narrowed, the fund generally has reduced equity and fixed-income exposure and allowed cash to build. It has not stayed completely on the sidelines, however, maintaining stock overweightings in Japan and Europe and in the basic materials, industrials, and health-care sectors and opportunistically buying investment-grade corporates and local-currency emerging-markets bonds. It also has kept fixed-income duration short because the managers think current yields don't compensate for the risk of rising rates.

The fund's cautious moves and diversification afford it downside protection. Indeed, it has typically made up much of its relative returns in down markets such as 2008. This offering will never be the flashiest, but it has delivered on its promises at a fair price over time.



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Parent

BlackRock has become the world’s largest asset manager via acquisitions. The firm, with $4.3 trillion in assets, only runs money, and its executives stress its fiduciary duty. Communication with clients and employees is clear, and its funds’ boards of trustees are independent.

BlackRock’s size can work against it, though. It’s still culling hundreds of acquired strategies. Its iShares ETF lineup is responsible, but it has some niche funds and others that could be cheaper. It has cut some mutual funds’ fees, but they’re still no bargain. Manager ownership of funds has improved but could be higher. It has made progress in revamping its actively managed fixed-income funds but not as much in active equities. Fund manager tenure and retention still rank behind most top 25 U.S.-based fund families. BlackRock doesn't chase every fad, but there are few trends in which it's not involved. Not one of its regulatory issues in recent years amounts to much, but it’s had more than other top U.S.-based fund families. And BlackRock must balance the interests of its clients with its public shareholders’ growth expectations.

BlackRock’s culture deserves an upgrade for its unparalleled scale and resources, reputation for operational competence, and disciplined, experienced, and competitive leadership. It still gets a C Parent pillar score overall, though, because there’s still progress to make on fees, manager incentives, and regulatory history.

Price

The 1.05% expense ratio on the fund's A shares and 0.78% levy on the Institutional shares are low relative to similarly distributed world-allocation funds and below the median for similarly distributed aggressive-, moderate-, and conservative-allocation funds.

The Retirement, C, and B shares offer below-average expenses versus similarly distributed world-allocation funds.

The shares' expense ratios are unlikely to drop much further given the management-fee breakpoints currently in place for the fund.

Performance


This fund's 8.6% and 6.3% annualized gains over the trailing three- and five-year periods through Dec. 31, 2014, land in the world-allocation category's bottom half. Those showings stem from management's decisions since the 2008 crisis to tread lightly in or stay out of certain slices of the market because of perceived risks, rising interest rates in particular. That has led the team to scoop up convertible bonds and eschew financials and consumer discretionary stocks in early 2009. Management also avoided rallying emerging-markets and high-yield debt while also scaling back on government bonds as yields ground lower. Those decisions damped the fund's gains in 2009, 2010, and 2012, while the latter move left it with less ballast in late 2011's sell-off. But several of those same moves also fueled the fund's above-average, albeit barely, returns in 2013 and 2014.

Management's aversion to permanent capital loss and investments that it believes don't adequately compensate investors for their risks has driven the fund's long-term success. Its 6.9% gain over the trailing decade through Dec. 31, 2014, lands just ahead of the FTSE World Index's 6.7% with one third less volatility, as measured by standard deviation. Over that stretch, the fund captured about 55% of that index's downside and about two thirds of its upside--better than its average peer and consistent with its goal of equitylike returns with less risk.



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Manager Biography

Dennis W. Stattman since 2/3/1989

University of Virginia, 1973, B.S., CommerceUniversity of Chicago, 1980, M.B.A.

Mr. Stattman, Senior Portfolio Manager, is head of the BlackRock Global Allocation team and a member of the Leadership Committee and Central StrategyGroup. Mr. Stattman’s service with the firm dates back to 1989, including his years with Merrill Lynch Investment Managers (MLIM), which merged with BlackRock in 2006. Mr. Stattman joined Merrill Lynch Investment Managers in 1989 as an Associate Portfolio Manager of the Merrill Lynch Global Allocation Fund. Mr. Stattman was named Senior Portfolio Manager of the Merrill Lynch Global Allocation Fund in September 2002. From September of 1989 through February 1996, he was also Senior Portfolio Manager of the Merrill Lynch Special Value Fund. Prior to joining MLIM, Mr. Stattman served as the Director of Research for Meridian Management Company, and as Pension Investment Officer for the World Bank. Mr. Stattman earned a B.S. in Commerce from the University of Virginia in 1973 and an M.B.A. with honors from the University of Chicago in 1980. He is a CFA Charterholder.

Dan Chamby since 12/31/2003

University of Pennsylvania, 1988, M.B.A.Duquesne University, 1982, B.A.

Dan Chamby, CFA , Managing Director and Portfolio Manager, is a member of BlackRock's Global Allocation team.Mr. Chamby's service with the firm datesback to 1993, including his years with Merrill Lynch Investment Managers (MLIM), which merged with BlackRock in 2006. He has been with the Global Allocation Fund since joining MLIM, most recently as a portfolio manager. Prior to joining MLIM, he was with Fujitsu Ltd. in their Tokyo headquarters as a research analyst. He began his investment career with Mellon Bank in 1982 as an Asia/Pacific credit analyst, and later managed the International MoneyMarket desk.He earned a BA degree in political science and French literature from Duquesne University in 1982, and an MBA degree from the University of Pennsylvania in 1988. He is a CFA Charterholder.

Aldo Roldan since 10/2/2006

University of Chile, 1973, B.A., EconomicsUniversity of Pennsylvania, 1978, Ph.D., Economics

Aldo Roldan, Ph.D, Managing Director and Portfolio Manager, is a member of BlackRock's Global Allocation team.Mr. Roldan's service with the firm dates back to 1998, including his years with Merrill Lynch Investment Managers (MLIM), which merged with BlackRock in 2006. At MLIM, he was a portfolio manager for various global portfolios, and was Head of Emerging Market Debt. Mr. Roldan joined the Global Allocationteam in July of 2006. Prior to joining MLIM in 1998, he was a senior vice president at Santander Investments, and earlier was a global economic analyst at JP Morgan Chase. Mr. Roldan began his investment career at Chase Econometrics, where he founded and managed the Emerging Markets Research Group.Mr. Roldan earned a BA degree in economics from the University of Chile in 1973, and a Ph.D in economics and econometrics from the University of Pennsylvania in 1978.

People


Dennis Stattman has been at the helm since 1989 and is one of the longest-serving managers in the world-allocation category. Joining him as managers are Dan Chamby, who has worked on the fund for most of its history, and Aldo Roldan, who joined the team in 2006 and oversees its currency strategy. Most of the team's 10 senior analysts have worked on the strategy for more than a decade. Each has expertise in particular sectors and asset classes, but all are trained and encouraged to look across sectors, regions, and asset classes to uncover opportunities.

The team has expanded since BlackRock's late-2006 acquisition of its prior employer, Merrill Lynch Investment Management. A dozen research associates and two quantitative associates round out the investment research effort. Co-chief operating officers Kevin McKenna and Lisa O'Donnell and roughly a dozen administrative and product specialist personnel have streamlined the team's back-office operation in recent years. BlackRock's formidable risk and quantitative analysis group supports the fund's risk-management effort. Over the past few years, the team has begun interacting with other portfolio-management, asset-allocation, and capital-markets groups across BlackRock, which should be beneficial in assessing market risks and opportunities.

Morningstar nominated the team for Morningstar Manager of the Decade in 2009.



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Trailing Returns (Annualized)

ReturnExcessReturn

YTD

1 Year

3 Years

5 Years

10 Years

Since Inception

-3.81% 2.52%

-4.40% 1.40%

4.38% -3.63%

4.67% -3.17%

5.75% 0.45%

8.86% 2.08%

Cumulative Returns

Time Period: 10/1/2010 to 9/30/2015

Calculation Benchmark: FTSE World TR USD

Investment Benchmark

Return (Cumulative)

Excess Return (Cumulative)

4.67%

-3.17%

7.84%

0.00%

Trailing Return Peer Group Performance Thru 2 Lenses

Calculation Benchmark: FTSE World TR USD

YTD 1 Year 3 Years 5 Years 10 Years

Ofria Global Allocation Fund

Allocation

Peer group rank of peer group count

Median

Average

Std Dev

50th Percentile

Allocation + World Allocation

Peer group rank of peer group count

Median

Average

Std Dev

50th Percentile

-3.81% -4.40% 4.38% 4.67% 5.75%

151 of 560 216 of 542 180 of 458 167 of 342 31 of 194

-5.00% -5.10% 3.85% 4.65% 4.08%

-5.57% -6.17% 3.01% 4.30% 4.27%

3.43% 4.76% 3.61% 2.69% 1.48%

-5.00% -5.10% 3.85% 4.65% 4.08%

7,360 of 36,021 7,765 of 34,484 5,112 of 25,936 3,975 of 20,424 600 of 8,093

-7.15% -9.62% 0.63% 0.97% 2.95%

-7.53% -9.28% 0.50% 1.30% 3.09%

5.61% 7.18% 4.93% 3.88% 2.74%

-7.15% -9.62% 0.63% 0.97% 2.95%

Returns by Sector

Time Period: 11/1/2010 to 10/31/2015

PortfolioWeights

BenchmarkWeights

PortfolioRescaledWeights

BenchmarkRescaledWeights

PortfolioReturn

BenchmarkReturn

ExcessReturn

Basic Materials

Communication Services

Consumer Cyclical

Consumer Defensive

Energy

Financial Services

Healthcare

Industrials

Real Estate

Technology

Utilities

Unclassified

Attribution Total

Cash

Bond

Other

Missing Performance

Total

Reported Total

Expense Ratio

Residual(Reported - Attribution + Expense)

5.35% 7.15% 8.88% 7.19% -9.91% -3.74% -6.18%

4.03% 4.87% 6.66% 4.88% 12.52% 10.37% 2.15%

4.79% 10.44% 8.06% 10.49% 10.84% 13.69% -2.85%

3.59% 10.29% 6.02% 10.33% 11.63% 11.64% -0.02%

7.22% 9.28% 12.02% 9.32% 0.86% 0.60% 0.26%

9.24% 18.27% 15.37% 18.35% 9.49% 7.22% 2.27%

8.10% 10.36% 13.59% 10.39% 18.35% 18.25% 0.09%

6.19% 10.81% 10.36% 10.86% 9.13% 8.63% 0.51%

1.36% 2.59% 2.30% 2.59% 4.73% 8.02% -3.29%

7.55% 12.18% 12.64% 12.23% 10.29% 11.97% -1.68%

2.15% 3.35% 3.57% 3.37% 4.44% 3.97% 0.46%

0.33% 0.02% 0.52% 0.02% 6.77% 27.82% -21.06%

59.90% 99.62% 100.00% 100.00% 8.37% 8.91% -0.54%

4.12% 0.00%

29.66% 0.00%

9.88% 0.11%

1.03% 0.27%

104.59% 100.00%

5.07% 8.73% -3.66%

1.11% 0.00% 1.11%

-2.19% -0.18% -2.01%



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Net Cash Allocated

Time Period: 10/1/2010 to 9/30/2015

Currency: US Dollar

3/2011 9/2011 3/2012 9/2012 3/2013 9/2013 3/2014 9/2014 3/2015 9/20150.0%

5.0%

10.0%

15.0%

20.0%

25.0%

Ofria Global Allocation Fund US OE Mid-Cap Value

Equity Style Valuation

Time Period: 10/1/2010 to 9/30/2015

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

3/2011 9/2011 3/2012 9/2012 3/2013 9/2013 3/2014 9/2014 3/2015 9/2015

Value % Core % Growth %



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Sector Weights Relative to Benchmark

Time Period: 10/1/2014 to 9/30/2015

Rela

tive

Wei

ghts

Morningstar Sector

Basic Materials Communication Services Consumer Cyclical Consumer Defensive Energy Financial Services Healthcare Industrials Real Estate Technology Utilities -10.00-7.50-5.00-2.500.002.505.007.5010.0012.5015.0017.5020.00

GICS Equity Sectors

Time Period: 10/1/2010 to 9/30/2015

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

2010 2011 2012 2013 2014 2015

Energy %

Materials %

Industrials %

Consumer Discretionary %

Consumer Staples %

Healthcare %

Financials %

Information Technology %

Telecom Services %

Utilities %

Morningstar Equity Super Sector

Time Period: 10/1/2010 to 9/30/2015

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

2010 2011 2012 2013 2014 2015

Equity Econ Super Sector Cyclical %

Equity Econ Super Sector Defensive %

Equity Econ Super Sector Sensitive %



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Equity Style

Time Period: 10/1/2010 to 9/30/2015

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

2010 2011 2012 2013 2014 2015

Large Value %

Large Core %

Large Growth %

Mid Value %

Mid Core %

Mid Growth %

Small Value %

Small Core %

Small Growth %

International Exposure

Time Period: 10/1/2010 to 9/30/2015

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

2010 2011 2012 2013 2014 2015

United States %

International %

Equity Market Capitalization

Time Period: 10/1/2010 to 9/30/2015

0.0

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

2011 2012 2013 2014 2015

Giant %

Large %

Mid %

Small %

Micro %

Portfolio Date: 7/31/2015

32.0 29.5 21.0

5.8 5.8 3.4

0.3 0.5 1.7

LargeM

idSm

all

Value Blend Growth

Market Cap %

Market Cap Giant 49.7

Market Cap Large 32.5

Market Cap Mid 15.3

Market Cap Small 2.4

Market Cap Micro 0.1



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Holdings-Based Style Map

Mic

roSm

all

Mid

Larg

eGi

ant

Deep-Val Core-Val Core Core-Grth High-Grth

Ofria Global Allocation Fund FTSE World TR USD US OE World Allocation

Holdings-Based Style Trail

Time Period: 10/31/2010 to 9/30/2015

Mic

roSm

all

Mid

Larg

eGi

ant

Deep-Val Core-Val Core Core-Grth High-Grth


Asset Allocation


%

Stock 53.6

Bond 16.6

Cash 21.1

Other 8.6

Total 100.0

Equity Regional Exposure


%North America 53.0Latin America 0.9United Kingdom 7.1Europe Developed 13.6Europe Emerging 0.0Africa/Middle East 1.8Australasia 0.3Japan 17.1Asia Developed 3.6Asia Emerging 2.6Total 100.0

Top 50 Holdings

Calculation Benchmark: FTSE World TR USD Portfolio Date: 7/31/2015

Portfolio Weighting Benchmark Weighting Share Change Stylector Icon Sector Return YTD

Uk Conv Gilt Regs 2.25 09/07/2023

US Treasury Note 2.25%


Mexico (United Mexican States) 10 12/05/2024


Google

JPMorgan Chase & Co

Procter & Gamble Co

Bank of America Corporation

Anadarko Petroleum Corp

Wells Fargo & Co

Verizon Communications Inc

HSBC Holdings PLC

Italy (Republic Of) 1.5 06/01/2025

Mobileye Nv

Brazil Federative Republic Of 10 01/01/2025

Fuji Heavy Industries Ltd

Nestle SA


Allergan PLC

Pioneer Natural Resources Co

Teva Pharmaceutical Industries Ltd ADR

Citigroup Inc

SABMiller PLC

US Treasury Note

Coca-Cola Co

FedEx Corp

Safran SA

Cisco Systems Inc

Statoil ASA

Berkshire Hathaway Inc Class B

Humana Inc

Visa Inc Class A

AbbVie Inc

AT&T Inc

Rio Tinto PLC

East Japan Railway Co

General Electric Co

US Treasury Note 2%

Sanofi

Sun Hung Kai Properties Ltd

Marathon Petroleum Corp

Apple Inc

Amgen Inc

Poland (Republic Of) 5.25 10/25/2020

AstraZeneca PLC

Japan Airlines Co Ltd

Denso Corp

Oracle Corporation

Pfizer Inc

1.22% -7,250,000.00

1.17% -7,625,000.00

1.11% -6,185,000.00

0.81% -12,236,219.00

0.80% 433,606,800.00

0.69% -11,802.00 a Technology

0.63% 200,500.00 Ç y Financial Services 24.88%

0.63% 143,144.00 Ç s Consumer Defensive -2.44%

0.56% 658,302.00 È y Financial Services 12.39%

0.56% -327,510.00 Ç o Energy -17.42%

0.51% -243,933.00 Ç y Financial Services 18.10%

0.51% 1,390,249.00 Ç i Communication Services 15.58%

0.51% 12,661,966.00 Ç y Financial Services 2.57%

0.48% -590,131,000.00

0.46% -532,487.00

0.46% 180,681.00

0.46% -451,700.00 É t Consumer Cyclical 33.76%

0.44% -207,906.00 È s Consumer Defensive 18.89%

0.40% -2,275,000.00

0.38% -75,938.00 É d Healthcare 32.25%

0.38% 1,341,323.00 È o Energy 6.90%

0.38% 438,702.00 È d Healthcare 22.29%

0.38% -117,760.00 Ç y Financial Services 15.02%

0.37% 820,554.00 É s Consumer Defensive 34.21%

0.36% 192,951,645.00

0.34% 254,862.00 Ç s Consumer Defensive 17.72%

0.33% 189,398.00 È p Industrials 6.47%

0.33% -151,829.00 É p Industrials 32.43%

0.33% -722,993.00 Ç a Technology 14.22%

0.33% 0.00 Ç o Energy 5.91%

0.32% 88,748.00 È y Financial Services 2.56%

0.32% 537,694.00 È d Healthcare 29.56%

0.32% -1,202,427.00 É y Financial Services 38.67%

0.31% -1,590,549.00 È d Healthcare 7.76%

0.31% 472,503.00 Ç i Communication Services 19.11%

0.31% -142,968.00 Ç r Basic Materials -9.84%

0.30% -223,800.00 É p Industrials 49.54%

0.30% -74,263.00 È p Industrials 38.08%

0.30% 81,158,800.00

0.30% 506,457.00 È d Healthcare 13.59%

0.30% 973,000.00 È u Real Estate -2.16%

0.30% 443,973.00 Ç o Energy 42.22%

0.29% 129,109.00 È a Technology 23.35%

0.29% -249,566.00 É d Healthcare 15.08%

0.29% -15,675,000.00

0.29% 488,763.00 Ç d Healthcare 13.79%

0.29% 49,500.00 Ç p Industrials 41.07%

0.29% -392,700.00 Ç t Consumer Cyclical 17.11%

0.28% -100,206.00 Ç a Technology -0.78%

0.28% -3,008,013.00 Ç d Healthcare 20.88%

0.69%

0.57%

0.52%

0.10%

0.82%

0.52%

0.48%

0.06%

0.66%

0.35%

0.05%

0.48%

0.14%

0.47%

0.12%

0.06%

0.39%

0.04%

0.44%

0.07%

0.41%

0.33%

0.59%

0.13%

0.10%

0.71%

0.33%

0.07%

0.08%

1.90%

0.36%

0.23%

0.01%

0.06%

0.37%

0.60%



ÙÙÙÙ

Number of Stock Holdings

Time Period: 11/1/2010 to 7/31/2015

7/2011 1/2012 7/2012 1/2013 7/2013 1/2014 7/2014 1/2015 7/2015

833 839 877 865 848 788 742 791 794 802 774 787 756 768 825 849 887 907 947

Concentration of Assets in Top 10 Holdings

Time Period: 11/1/2010 to 7/31/2015

7/2011 1/2012 7/2012 1/2013 7/2013 1/2014 7/2014 1/2015 7/2015

13.4 11.5 13.2 12.4 12.5 12.2 12.6 12.2 11.1 10.6 9.0 8.4 9.4 9.1 9.2 9.011.6 9.7 8.2

Historical Active Share

Time Period: 11/1/2010 to 10/31/2015

4/2011 10/2011 4/2012 10/2012 4/2013 10/2013 4/2014 10/2014 4/2015 10/2015

56.9

2

57.1

0

56.5

2

56.5

1

56.5

4

55.7

9

55.6

9

55.9

1

56.5

7

56.3

7

55.8

4

56.8

2

56.4

4

56.2

2

54.7

6

54.7

9

54.6

5

55.4

8

55.1

1

55.0

8

57.8

3

57.7

6

57.7

9

58.2

3

58.3

9

58.6

6

59.1

0

58.9

3

58.5

4

59.7

8

59.4

0

59.1

0

58.4

4

58.4

8

58.6

9

59.7

2

59.3

0

59.3

1

62.1

9

62.3

8

62.7

7

64.5

7

64.4

6

64.5

6

64.4

0

64.3

9

64.1

7

64.7

6

64.4

9

64.4

7

59.7

2

59.6

4

59.8

8

59.7

7

59.4

8

59.4

0

59.2

0

59.2

8

59.4

0

59.3

6

Turnover Ratio %

Time Period: 1/1/2011 to 12/31/2014

6/2012 12/2012 6/2013 12/2013 6/2014 12/2014

31%

42%

53%

64%

75%

Common Holdings

Portfolio Date

OfriaGlobalAllocationFund

FTSEWorldTR USD

US OEWorldAllocation

7/31/2015

10/31/2015 0.31

10/31/2015 0.08 0.12


FTSE World TR USD


Positively Correlated Negatively Correlated



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Historical Factor Exposure

Time Period: 10/1/2014 to 9/30/2015

Expo

sure

Size

Exposure Size

-0.25

-0.20

-0.15

-0.10

-0.05

0.00

0.05

0.10

10/31/2014 11/30/2014 12/31/2014 1/31/2015 2/28/2015 3/31/2015 4/30/2015 5/31/2015 6/30/2015 7/31/2015 8/31/2015 9/30/2015

Price to Fair Value Price to Book Value Price to Cash Flow

Price to Earnings Price to Sales Profit Margin

Dividend Yield Return on Equity

Factor Exposure

As of Date : 7/31/2015

Expo

sure

Size

Exposure Size

-0.30

-0.20

-0.10

0.00

0.10

0.20

Price to Fair Value Price to Book Value Price to Cash Flow Price to Earnings Price to Sales Profit Margin Dividend Yield Return on Equity Revenue Growth Net Income Growth FCF Growth Sustainable Growth Current Ratio Financial Leverage Debt to Equity

Valuation Profitability GrowthFinancial Health



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BV Growth

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015-100.0

-50.0

0.0

50.0


Historic Earnings Growth

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

-2,500.0

0.0

2,500.0

5,000.0

7,500.0


CF Growth

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015-100.0

-50.0

0.0

50.0


LT Earnings Growth

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

0.0

5.0

10.0

15.0

20.0


ROE%

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

14.0

16.0

18.0

20.0

22.0

24.0


Sales Growth

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

-60.0

-40.0

-20.0

0.0

20.0




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Price / Earnings

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 201510.0

12.0

14.0

16.0

18.0


Price / Sales

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 20150.8

1.0

1.2

1.4


Price / Book

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 20151.4

1.6

1.8

2.0

2.2


Price / Cash Flow

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 20154.0

5.0

6.0

7.0

8.0


Dividend Yield

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

1.5

2.3

3.0

3.8

4.5


Return on Invested Capital

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

5.0

10.0

15.0

20.0




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Net Margin %

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 201510.0

12.0

14.0

16.0

18.0


Debt-to-Capital

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

25.0

30.0

35.0

40.0


Return on Assets

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015

4.0

6.0

8.0

10.0


Price / Free Cash Flow

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015-20.0

0.0

20.0

40.0

60.0


Cash Return %

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 2015-200.0

-100.0

0.0

100.0

200.0


Style Consistency Metric

Time Period: 10/1/2010 to 9/30/2015

2011 2012 2013 2014 20150.0

5.0

10.0

15.0

20.0




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Trailing Returns

As of Date: 9/30/2015 Peer Group: Open End Funds - U.S. - World Allocation

YTD 1 Year 3 Years % Rank 5 Years 10 Years Since Inception Inception Date


FTSE World TR USD


10/21/1994

12/31/1993

4/1/1970-5.68% -6.46% 1.78% 3.06% 3.37% 9.41%

-3.81%

-6.33%

-4.40%

-5.79%

4.38%

8.02%

4.67%

7.84%

5.75%

5.30%

8.86%

6.98%

39

1

78

Retu

rn

YTD 1 Year 3 Years 5 Years 10 Years Since Inception-22.5%-20.0%-17.5%-15.0%-12.5%-10.0%-7.5%-5.0%-2.5%0.0%2.5%5.0%7.5%10.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

2009 2010 2011 2012 2013 YTD

15.0%

20.0%

25.0%


Calendar Year Returns

Peer Group: Open End Funds - U.S. - World Allocation

2010 % Rank 2011 % Rank 2012 % Rank 2013 % Rank 2014 % Rank YTD % Rank

Ofria Global Allocation

FTSE World TR USD

US OE World Allocatio10.95% -3.67% 10.18% 8.46% 1.50% -1.76%

9.85%

12.73%

-3.71%

-6.48%

10.01%

16.96%

14.43%

24.67%

1.87%

4.77%

0.41%

1.06%

73 59 76 41 51 24

32 77 8 2 12 14

57 59 73 74 57 65

Longest Up-Streak # of Periods

Longest Up-Streak Return

Longest Up-Streak Start Date

Longest Down-Streak End Date

Longest Down-Streak # of Periods

Longest Down-Streak Return

Longest Down-Streak Start Date

Longest Down-Streak End Date

Max Drawdown # of Periods

Max Drawdown

Max Drawdown Peak Date

Max Drawdown Valley Date

5.00

7.57

2/1/2014

5.00

-8.93

5/1/2015

9/30/2015

9/30/2015

5.00

-12.93

5/1/2011

9/30/2011

5.00

11.88

12/1/2010

4.00

-8.26

6/1/2015

9/30/2015

9/30/2015

5.00

-13.71

5/1/2011

9/30/2011

6.00

14.26

11/1/2012

5.00

-20.24

5/1/2011

9/30/2011

9/30/2011

5.00

-20.24

5/1/2011

9/30/2011

Performance

Time Period: 10/1/2010 to 9/30/2015

Investment Benchmark Cat Avg

Annualized Return

Cumulative Return

Std Dev

Sharpe Ratio

Sortino Ratio

Calmar Ratio

3.06

3.06

8.40

0.24

4.67

4.67

8.73

0.56

0.86

0.34

7.84

7.84

13.01

0.64

1.00

0.39

0.39

0.58

Best Month

Worst Month

Best Quarter

Worst Quarter

Up Period Percent

Down Period Percent

Average Gain

Average Loss

Gain Std Dev

Loss Std Dev

6.40

-7.07

6.67

-10.49

58.33

41.67

1.86

-1.96

4.85

5.84

7.26

-7.83

8.09

-10.87

58.33

41.67

2.02

-1.87

5.27

6.16

10.68

-9.23

12.02

-17.25

60.00

40.00

3.05

-2.89

7.75

8.85

Relative PerformanceExcess Return

Alpha

Beta

R2

Tracking Error

Information Ratio (arith)

Treynor Ratio (geo)

Up Capture Ratio

Down Capture Ratio

Up Number Ratio

Down Number Ratio

Up Percent Ratio

Down Percent Ratio

-3.17

-0.56

0.65

94.87

4.92

-0.64

7.06

62.89

65.04

0.89

0.88

0.03

0.83

0.00

0.00

1.00

100.00

0.00

7.78

100.00

100.00

1.00

1.00

0.00

0.00

-4.78

-1.94

0.63

94.85

5.20

-0.92

4.78

57.92

68.43

0.89

0.88

0.00

0.83



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Morningstar Risk-Adjusted Return

As of Date: 9/30/2015

1 year 3 years 5 years 10 years Since Inception-12.5-10.0

-7.5

-5.0

-2.50.0

2.5

5.0

7.510.0

-9.8

2.1 2.7 2.74.9

-6.9

6.9 6.0

0.9 1.6

-6.9

1.32.3

0.8


Morningstar Risk-Adjused Return Percentiles

Peer Group (5-95%): Open End Funds - U.S. - World Allocation

Top Quartile 2nd Quartile 3rd Quartile Bottom Quartile

0.0

20.0

40.0

60.0

80.0

% Rank Cat 3 Yr % Rank Cat 5 Yr % Rank Cat 10 Yr

100.0


Risk-Reward

Time Period: 10/1/2010 to 9/30/2015

Retu

rn

Std Dev

0.0 3.0 6.0 9.0 12.0 15.0

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%


Relative Statistics vs Benchmark

As of Date: 9/30/2015 Calculation Benchmark: FTSE World TR USD

1 Yr 3 Yr 5 Yr 10 YrSince

Inception

Excess Return

Alpha

Beta

R2

Tracking Error

Information Ratio

Treynor Ratio

Downside Deviation

Batting Average

Up Capture Ratio

Down Capture Ratio

Up Number Ratio

Down Number Ratio

Up Percent Ratio

Down Percent Ratio

1.40

-0.09

0.59

91.28

1.44

0.06

-0.61

0.87

58.33

51.87

60.23

0.67

0.83

0.17

1.00

-3.63

-0.57

0.61

94.83

4.11

-0.88

7.06

3.31

33.33

59.42

62.96

0.83

0.92

0.04

0.85

-3.17

-0.56

0.65

94.87

4.92

-0.64

7.06

3.79

35.00

62.89

65.04

0.89

0.88

0.03

0.83

0.45

1.73

0.59

91.50

7.47

0.06

7.59

4.84

40.00

65.94

55.54

0.94

0.84

0.10

0.84

2.08

3.29

0.61

82.40

7.46

0.28

10.18

4.71

47.01

71.60

50.96

0.92

0.82

0.21

0.89

Risk Statistics

As of Date: 9/30/2015

Std Dev

Skewness

Kurtosis

Sharpe Ratio

Sortino Ratio

Calmar Ratio

Value at Risk

Best Month

Worst Month

Max Drawdown

1.97

0.15

-0.10

-0.18

-0.23

-0.53

4.85

3.34

-3.56

-8.26

6.29

-0.22

-0.77

0.71

1.17

0.53

3.78

3.34

-3.56

-8.26

8.73

-0.42

1.60

0.56

0.86

0.34

5.31

7.26

-7.83

-13.71

10.28

-0.62

1.75

0.47

0.70

0.19

6.20

8.46

-10.58

-29.49

10.36

-0.74

2.76

0.62

0.93

0.30

6.01

8.57

-12.82

-29.49



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Rolling Return

Time Period: 10/1/2010 to 9/30/2015

Rolling Window: 3 Years 1 Month shift

Retu

rn

09 10 11 12

2014

01 02 03 04 05 06 07 08 09 10 11 12

2015

01 02 03 04 05 06 07 08 09-2.5

0.0

2.5

5.0

7.5

10.0

12.5

15.0

17.5

20.0

6.9 6.87.8

6.65.6 5.8 5.6

4.65.7

6.76.2

8.2

10.5

7.88.7 8.6

7.0 7.1 6.87.9

10.1

8.4 8.0

6.1

4.4

11.4 11.5

13.0

10.9

8.79.4 9.7

8.6

10.1

11.4 11.5

15.2

17.7

14.1

15.815.2

12.5 12.711.7

13.2

16.7

14.0 13.9

10.5

8.0


Total Return

As of Date: 9/30/2015

1 year 3 years 5 years 10 years Since Inception-8.0

-6.0

-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

-4.4

4.4 4.75.7

8.9

-5.8

8.0 7.8

5.3

7.0

-6.5

1.83.1 3.4

9.4



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Rolling Standard Deviation

Time Period: 10/1/2010 to 9/30/2015


Retu

rn

09 10 11 12

2014

01 02 03 04 05 06 07 08 09 10 11 12

2015

01 02 03 04 05 06 07 08 09

-2.5

0.0

2.5

5.0

7.5

10.0

12.5

15.0

17.5

20.0

6.9 6.87.8

6.65.6 5.8 5.6

4.6

5.76.7

6.2

8.2

10.5

7.88.7 8.6

7.0 7.1 6.8

7.9

10.1

8.4 8.0

6.1

4.4

11.4 11.5

13.0

10.9

8.79.4 9.7

8.6

10.1

11.4 11.5

15.2

17.7

14.1

15.815.2

12.5 12.711.7

13.2

16.7

14.0 13.9

10.5

8.0


Standard Deviation

As of Date: 9/30/2015

1 year 3 years 5 years 10 years Since Inception0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

6.8 6.3

8.710.3 10.4

11.110.0

13.0

16.715.3

6.7 6.78.4

11.1 10.9



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Rolling Alpha

Time Period: 10/1/2010 to 9/30/2015


S O N D

2014

J F M A M J J A S O N D

2015

J F M A M J J A S

-7.00

-6.00

-5.00

-4.00

-3.00

-2.00

-1.00

0.00

1.00

-4.86 -5.05-4.78 -4.86

-4.26 -4.32-4.71

-5.12-4.86 -4.87

-5.74

-6.44

-4.76-5.19

-4.96-4.76

-3.44 -3.51

-2.88

-2.08

-0.48

-0.98-1.42

-1.64

-2.51

Ofria Global Allocation Fund US OE World Allocation

Alpha

As of Date: 9/30/2015

1 year 3 years 5 years 10 years Since Inception-7.50

-6.75

-6.00

-5.25

-4.50

-3.75

-3.00

-2.25

-1.50

-0.75

0.00

0.75

1.50

2.25

3.00

-4.25

-2.51

-4.28

0.92

2.26

-6.43

-5.19 -5.41

-1.75

0.73



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Rolling Beta

Time Period: 10/1/2010 to 9/30/2015


S O N D

2014


2015

J F M A M J J A S

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

0.67 0.67 0.67 0.67 0.67 0.67 0.67 0.67 0.66 0.66 0.67 0.690.66 0.65 0.66 0.65 0.62 0.62 0.62 0.62 0.61 0.62 0.62 0.61 0.61

1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00


Beta

As of Date: 9/30/2015


0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

1.10

0.59 0.610.65

0.59 0.61

1.00 1.00 1.00 1.00 1.00

0.590.65 0.63 0.65



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Rolling Tracking Error

Time Period: 10/1/2010 to 9/30/2015


S O N D

2014


2015

J F M A M J J A S

-0.8

0.0

0.8

1.5

2.3

3.0

3.8

4.5

5.3

6.0

4.7 4.8 4.8 4.8 4.9 5.0 4.9 4.9 4.9 4.94.5

4.3 4.34.2 4.2 4.1

4.6 4.7 4.6 4.7 4.7 4.7 4.75.1 5.1


Tracking Error

As of Date: 9/30/2015


0.75

1.50

2.25

3.00

3.75

4.50

5.25

6.00

6.75

7.50

8.25

9.00

6.53

5.09 4.93

7.46

8.37

6.25

5.37 5.26

6.29

7.91



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Rolling Batting Average

Time Period: 10/1/2010 to 9/30/2015

Rolling Window: 3 Years 1 Month shift Calculation Benchmark: S&P 500 TR USD

Batti

ng A

vera

ge

S O N D

2014


2015

J F M A M J J A S-7.5

0.0

7.5

15.0

22.5

30.0

37.5

30.6 30.6 30.6 30.633.3 33.3

30.627.8 27.8

25.0 25.022.2 22.2 22.2 22.2 22.2 22.2 22.2

25.027.8

25.027.8 27.8

30.6 30.6


Batting Average

As of Date: 9/30/2015 Calculation Benchmark: S&P 500 TR USD


5.00

10.00

15.00

20.00

25.00

30.00

35.00

40.00

45.00

50.00

41.67

30.56 30.00

40.83

47.41

41.67

27.78 28.33

40.00

46.06



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Rolling Upside Capture

Time Period: 10/1/2010 to 9/30/2015


Up C

aptu

re R

atio

09 10 11 12

2014

01 02 03 04 05 06 07 08 09 10 11 12

2015

01 02 03 04 05 06 07 08 09

-20.0

0.0

20.0

40.0

60.0

80.0

61.5 60.6 61.8 60.7 61.5 61.4 60.0 57.6 57.8 57.9 57.9 57.4 57.453.7 53.5 56.2 53.0 52.5 54.8 56.7 56.1 55.5 53.3 52.5 51.4


Upside Capture



5.00

10.00

15.00

20.00

25.00

30.00

35.00

40.00

45.00

50.00

55.00

60.00

65.00

70.00

41.18

51.42

56.44

65.85 67.09

34.14

45.54

51.25

64.7468.14



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Rolling Downside Capture

Time Period: 10/1/2010 to 9/30/2015


Dow

n Ca

ptur

e Ra

tio

09 10 11 12

2014

01 02 03 04 05 06 07 08 09 10 11 12

2015

01 02 03 04 05 06 07 08 09-20.0

0.0

20.0

40.0

60.0

80.0

100.0

120.0

87.8 87.8 87.8 87.8 84.8 84.8 84.8 84.8 82.5 82.288.4

92.9 88.6 88.683.7

90.6

78.1 78.1 76.0 72.865.4 68.6 68.6 66.2

70.9


Upside Capture



7.50

15.00

22.50

30.00

37.50

45.00

52.50

60.00

67.50

75.00

82.50

90.00

68.9770.85

81.05

59.32

51.79

76.18

84.52 84.39

71.24

55.22



ÙÙÙÙ

Selection Effect

Time Period: 10/1/2014 to 9/30/2015

-2.00 -1.00 0.00 1.00 2.00

-0.36

-0.01

-0.42

-0.01

-0.12

1.28

-0.19

-0.04

-0.61

0.17

-0.86

Active Return

Time Period: 10/1/2014 to 9/30/2015

-2.00 -1.00 0.00 1.00 2.00

-0.34

-0.10

-0.27

-0.01

0.13

1.19

-0.49

-0.37

-0.69

0.17

-1.29

Attribution Total

Time Period: 10/1/2014 to 9/30/2015

Allocation Effect

Selection Effect

Active Return

Portfolio Return

Benchmark Return

Relative Return

-0.90

-1.17

-2.07

-7.89

-5.81

-2.07

Relative Weights

Time Period: 10/1/2014 to 9/30/2015

Utilities

Technology

Real Estate

Industrials

Healthcare

Financial Services

Energy

Consumer Defensive

Consumer Cyclical


Basic Materials

-10.00 -5.00 0.00 5.00

-1.06

-6.78

-0.83

-4.17

-3.97

-8.83

-2.42

-6.72

-5.52

-2.13

-1.25

Allocation Effect

Time Period: 10/1/2014 to 9/30/2015

-1.00 -0.50 0.00 0.50

0.02

-0.10

0.15

0.00

0.25

-0.09

-0.30

-0.33

-0.08

0.00

-0.43

Time Period: 1/1/2013 to 12/31/2013

-2.00 -1.00 0.00 1.00 2.00

-0.01

-0.43

-0.14

0.78

1.19

0.98

0.24

0.44

-0.39

-0.04

-0.79

Time Period: 1/1/2012 to 12/31/2012

-1.50 -0.75 0.00 0.75

0.31

-0.69

0.28

-0.11

0.22

-0.18

-0.76

-0.06

-0.18

-0.18

-1.08

Time Period: 1/1/2014 to 12/31/2014

-2.00 -1.00 0.00 1.00

-0.07

-1.49

-0.04

-0.48

0.57

-0.05

-0.10

-0.05

-0.07

0.12

-0.94

Time Period: 1/1/2013 to 12/31/2013

Allocation Effect

Selection Effect

Active Return

Portfolio Return

Benchmark Return

Relative Return

0.39

1.30

1.69

26.48

24.79

1.69

Time Period: 1/1/2012 to 12/31/2012

Allocation Effect

Selection Effect

Active Return

Portfolio Return

Benchmark Return

Relative Return

-1.48

-0.94

-2.43

14.77

17.19

-2.43

Time Period: 1/1/2014 to 12/31/2014

Allocation Effect

Selection Effect

Active Return

Portfolio Return

Benchmark Return

Relative Return

-0.34

-2.20

-2.54

2.26

4.80

-2.54

Time Period: 1/1/2013 to 12/31/2013

-1.50 -0.75 0.00 0.75 1.50

0.04

-0.20

-0.29

0.78

0.68

1.06

0.39

0.22

-0.22

-0.15

-0.59

Time Period: 1/1/2012 to 12/31/2012

-1.50 -0.75 0.00 0.75

0.39

-0.59

0.36

-0.13

0.11

0.38

-0.17

-0.16

0.09

-0.12

-1.12

Time Period: 1/1/2014 to 12/31/2014

-1.50 -1.00 -0.50 0.00 0.50

-0.09

-1.26

-0.03

-0.41

0.14

-0.06

0.03

0.05

-0.16

0.10

-0.64

Time Period: 1/1/2013 to 12/31/2013

Utilities

Technology

Real Estate

Industrials

Healthcare

Financial Services

Energy

Consumer Defensive

Consumer Cyclical


Basic Materials

-10.00 -5.00 0.00 5.00

-1.07

-5.34

-1.53

-4.74

-2.01

-8.21

-2.91

-6.84

-5.59

-0.82

-2.29

Time Period: 1/1/2012 to 12/31/2012

Utilities

Technology

Real Estate

Industrials

Healthcare

Financial Services

Energy

Consumer Defensive

Consumer Cyclical


Basic Materials

-15.00 -10.00 -5.00 0.00 5.00

-1.19

-3.10

-1.46

-5.57

-1.71

-9.80

-1.78

-7.51

-6.14

-0.20

-2.62

Time Period: 1/1/2014 to 12/31/2014

Utilities

Technology

Real Estate

Industrials

Healthcare

Financial Services

Energy

Consumer Defensive

Consumer Cyclical


Basic Materials

-10.00 -5.00 0.00 5.00

-1.03

-5.77

-0.81

-2.97

-2.27

-7.61

-3.16

-6.12

-4.86

-1.85

-0.81

Time Period: 1/1/2013 to 12/31/2013

-0.50 0.00 0.50 1.00

-0.05

-0.23

0.16

0.01

0.51

-0.07

-0.15

0.22

-0.17

0.11

-0.20

Time Period: 1/1/2012 to 12/31/2012

-0.75 -0.50 -0.25 0.00 0.25

-0.08

-0.10

-0.08

0.02

0.11

-0.56

-0.59

0.10

-0.26

-0.06

0.03

Time Period: 1/1/2014 to 12/31/2014

-0.50 0.00 0.50 1.00

0.02

-0.24

-0.01

-0.07

0.43

0.01

-0.13

-0.10

0.09

0.02

-0.30



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Selection Effect by Sector

Time Period: 10/1/2014 to 9/30/2015

-2.00 -1.00 0.00 1.00 2.00

-0.86

0.17

-0.61

-0.04

-0.19

1.28

-0.12

-0.01

-0.42

-0.01

-0.36

Active Return by Sector

Time Period: 10/1/2014 to 9/30/2015

-2.00 -1.00 0.00 1.00 2.00

-1.29

0.17

-0.69

-0.37

-0.49

1.19

0.13

-0.01

-0.27

-0.10

-0.34

Attribution Total

Time Period: 10/1/2014 to 9/30/2015

Allocation Effect

Selection Effect

Active Return

Portfolio Return

Benchmark Return

Relative Return

-0.90

-1.17

-2.07

-7.89

-5.81

-2.07

Relative Weights by Sector

Time Period: 10/1/2014 to 9/30/2015

Basic Materials


Consumer Cyclical

Consumer Defensive

Energy

Financial Services

Healthcare

Industrials

Real Estate

Technology

Utilities

-15.00 -10.00 -5.00 0.00 5.00

-1.25

-2.13

-5.52

-6.72

-2.42

-8.83

-3.97

-4.17

-0.83

-6.78

-1.06

Allocation Effect by Sector

Time Period: 10/1/2014 to 9/30/2015

-1.00 -0.50 0.00 0.50

-0.43

0.00

-0.08

-0.33

-0.30

-0.09

0.25

0.00

0.15

-0.10

0.02

Stock Selection Effects

Time Period: 10/1/2014 to 9/30/2015

Underperform Outperform Overweight

Underw

eightRe

lativ

e W

eigh

t

Relative Return

1.20

0.60

0.00

-0.60

-1.20

-75.00 -60.00 -45.00 -30.00 -15.00 0.00 15.00 30.00 45.00 60.00 75.00

10

9

8

76

5

4

3

2

1

10

98

7

65

4

3 21

Best Selections Morningstar Sector Weight +/- Return +/- Effect1 Visa Inc Class A Financial Services 0.49 39.09 0.212 Activision Blizzard Inc Technology 0.38 52.49 0.193 Tokio Marine Holdings Inc Financial Services 0.42 30.03 0.174 Phillips 66 Energy 0.59 30.27 0.165 United Continental Holdings Inc Industrials 0.42 19.86 0.146 MasterCard Inc Class A Financial Services 0.44 30.33 0.147 Johnson & Johnson Healthcare -0.88 -13.37 0.148 SBM Offshore NV Energy 0.35 20.05 0.149 Japan Airlines Co Ltd Industrials 0.41 38.77 0.1410 Nintendo Co Ltd Technology 0.25 58.16 0.12

Worst Selections Morningstar Sector Weight +/- Return +/- Effect1 Twitter Inc Technology 0.70 -45.38 -0.422 First Quantum Minerals Ltd Basic Materials 0.39 -58.12 -0.373 Freeport-McMoRan Inc Basic Materials 0.55 -46.34 -0.324 Consol Energy Inc Energy 0.23 -40.77 -0.265 Exxon Mobil Corporation Energy -1.13 14.84 -0.176 Constellium NV Class A Basic Materials 0.19 -52.51 -0.167 Colfax Corp Industrials 0.31 -41.02 -0.158 Amazon.com Inc Consumer Cyclical -0.28 54.24 -0.139 Anadarko Petroleum Corp Energy 0.76 -6.44 -0.1010 Fibra Uno Administracion SA de ... Real Estate 0.22 -39.45 -0.10



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Selection Effect by Country

Time Period: 10/1/2014 to 9/30/2015

Australia

Austria

Belgium

Brazil

Canada

Chile

China

Cyprus

Czech Republic

Denmark

Finland

France

Germany

Greece

Hong Kong

Hungary

India

Ireland

Israel

Italy

Japan

Kazakhstan

Luxembourg

Macao

Malaysia

Malta

Mexico

Netherlands

New Zealand

Norway

Poland

Portugal

Russian Federation

Singapore

South Africa

South Korea

Spain

Sri Lanka

Sweden

Switzerland

Taiwan

Thailand

Turkey

United Arab Emirates

United Kingdom

United States

-2.25 -1.50 -0.75 0.00 0.75

-0.01

0.01

0.10

-0.81

-0.35

-0.02

-0.07

-0.27

-0.02

-0.01

0.11

-0.43

0.01

-0.04

0.01

0.01

0.06

0.01

-0.06

-0.02

-0.01

-0.03

-0.03

0.13

0.01

0.11

-0.36

-1.54

Active Return by Country

Time Period: 10/1/2014 to 9/30/2015

-2.25 -1.50 -0.75 0.00 0.75

0.34

0.00

0.00

0.14

-0.68

0.00

-0.29

-0.03

0.00

-0.09

0.01

-0.14

-0.18

0.03

-0.02

0.00

0.02

-0.02

0.00

0.11

-0.03

-0.07

0.00

0.01

0.07

0.00

-0.02

0.01

0.01

-0.01

0.04

0.05

0.01

-0.15

0.06

0.09

0.15

0.01

-0.02

0.13

0.05

0.11

0.03

0.08

-0.28

-1.58

Relative Weights by Country

Time Period: 10/1/2014 to 9/30/2015

Australia

Austria

Belgium

Brazil

Canada

Chile

China

Cyprus

Czech Republic

Denmark

Finland

France

Germany

Greece

Hong Kong

Hungary

India

Ireland

Israel

Italy

Japan

Kazakhstan

Luxembourg

Macao

Malaysia

Malta

Mexico

Netherlands

New Zealand

Norway

Poland

Portugal

Russian Federation

Singapore

South Africa

South Korea

Spain

Sri Lanka

Sweden

Switzerland

Taiwan

Thailand

Turkey

United Arab Emirates

United Kingdom

United States

-40.00 -20.00 0.00 20.00

-2.52

-0.08

-0.42

-0.40

-1.80

0.00

0.39

0.01

-0.02

-0.57

-0.32

-0.75

-1.86

-0.03

-0.48

-0.02

0.35

-0.10

-0.09

-0.39

0.81

0.05

-0.03

-0.03

-0.30

-0.01

-0.27

-0.47

-0.07

0.09

-0.17

0.00

-0.02

0.07

-0.84

-1.04

-1.12

-0.02

-0.83

-1.68

-1.14

-0.13

-0.17

0.08

-4.04

-23.39

Allocation Effect by Country

Time Period: 10/1/2014 to 9/30/2015

-0.20 0.00 0.20 0.40 0.60

0.35

0.00

-0.02

0.03

0.13

0.00

0.06

-0.03

0.00

-0.08

0.01

-0.07

0.09

0.03

0.00

0.00

0.02

-0.02

0.01

0.00

0.40

-0.07

0.00

0.01

0.07

0.00

0.02

-0.01

0.01

-0.03

0.04

0.00

0.00

-0.09

0.08

0.10

0.18

0.01

0.01

-0.01

0.04

0.00

0.03

0.08

0.08

-0.04



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Selection Effect by Stock Rating

Time Period: 10/1/2014 to 9/30/2015

Ù

ÙÙ

ÙÙÙ

ÙÙÙÙ

ÙÙÙÙÙ

-1.00 -0.50 0.00 0.50

0.02

0.24

-0.64

0.20

0.04

Selection Effect by Economic Moat

Time Period: 10/1/2014 to 9/30/2015

Narrow

None

Wide

-1.50 -0.75 0.00 0.75 1.50

-0.73

-0.55

0.62

Active Return by Stock Rating

Time Period: 10/1/2014 to 9/30/2015

-1.00 -0.50 0.00 0.50

-0.03

-0.10

-0.73

0.37

-0.26

Active Return by Economic Moat

Time Period: 10/1/2014 to 9/30/2015

-1.00 -0.50 0.00 0.50

-0.77

-0.81

0.27

Relative Weights by Morningstar Stock Rating

Time Period: 10/1/2014 to 9/30/2015

Ù

ÙÙ

ÙÙÙ

ÙÙÙÙ

ÙÙÙÙÙ

-30.00 -20.00 -10.00 0.00 10.00

-0.31

-5.11

-18.89

-14.26

0.21

Relative Weights by Economic Moat

Time Period: 10/1/2014 to 9/30/2015

Narrow

None

Wide

-22.50 -15.00 -7.50 0.00 7.50

-15.36

-5.10

-18.45

Allocation Effect by Stock Rating

Time Period: 10/1/2014 to 9/30/2015

-0.40 -0.20 0.00 0.20 0.40

-0.05

-0.34

-0.09

0.16

-0.31

Allocation Effect by Economic Moat

Time Period: 10/1/2014 to 9/30/2015

-0.40 -0.20 0.00 0.20

-0.03

-0.27

-0.36



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Double Dip

Time Period: 5/1/2011 to 9/30/2011

5/2011 6/2011 7/2011 8/2011 9/201177.5

80.0

82.5

85.0

87.5

90.0

92.5

95.0

97.5

100.0

102.5


Time Period: 5/1/2011 to 10/31/2011 Calculation Benchmark: FTSE World TR USD

Return Std DevExcessReturn


FTSE World TR USD

US OE World Allocation -7.36 15.50

-7.44

-11.73

17.30

24.00

4.28

0.00

4.37

Recovery

Time Period: 3/1/2009 to 4/30/2011

4/2009 7/2009 10/2009 1/2010 4/2010 7/2010 10/2010 1/2011 4/2011100.0

120.0

140.0

160.0

180.0

200.0

220.0





FTSE World TR USD

US OE World Allocation 25.97 10.98

23.67

38.07

10.69

18.13

-14.41

0.00

-12.10

Credit Crunch

Time Period: 8/1/2007 to 2/28/2009

11/2007 2/2008 5/2008 8/2008 11/2008 2/200947.5

55.0

62.5

70.0

77.5

85.0

92.5

100.0

107.5

115.0





FTSE World TR USD


-15.31

-35.46

14.22

22.68

20.15

0.00

11.43

Easy Money Recovery

Time Period: 4/1/2003 to 7/31/2007

7/2003 1/2004 7/2004 1/2005 7/2005 1/2006 7/2006 1/2007 7/2007100.0

120.0

140.0

160.0

180.0

200.0

220.0

240.0

260.0





FTSE World TR USD


19.99

22.34

7.31

8.88

-2.35

0.00

-5.93




FTSE World TR USD


-0.48

-17.27

12.33

16.40

16.79

0.00

13.14

Dot-Com Bust

Time Period: 4/1/2000 to 3/31/2003

6/2000 9/2000 12/2000 3/2001 6/2001 9/2001 12/2001 3/2002 6/2002 9/2002 12/2002 3/200355.0

62.5

70.0

77.5

85.0

92.5

100.0

107.5

115.0


Irrational Exuberance

Time Period: 9/1/1998 to 3/31/2000

12/1998 3/1999 6/1999 9/1999 12/1999 3/2000100.0

107.5

115.0

122.5

130.0

137.5

145.0

152.5

160.0





FTSE World TR USD


25.31

33.56

10.44

13.82

-8.25

0.00

-10.94


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