Multi-Factor All Cap

Asset Allocation as of 12/31/2018

Asset Allocation weightings are calculated based on total market value of fund investments and may not always total 100%. Other may include cash, money market instruments and notional derivative contracts.

Portfolio Characteristics as of 12/31/2018

• Number of Securities: 195
• Average Market Cap: $22,417 million
• P/E (12 Month)¹: 9.9
• Turnover (12 Month): 195.51%
• Total Fund Net Assets: $6.4 million

Risk Statistics
3 Year period as of 12/31/2018

• Alpha²: -6.45%
• Beta³: 1.02
• Sharpe Ratio⁴: 0.09
• Standard Deviation⁵: 12.21%

¹P/E Ratio - Measure of the price paid for a share relative to the income or profit earned by the firm per share.
²Alpha - Measure of risk-adjusted performance, considering the risk due to the specific security.
³Beta - Quantitative measure of the volatility of a Fund relative to it's benchmark.
⁴Sharpe Ratio - Risk-adjusted measure calculated using standard deviation and excess return to determine reward per unit of risk.
⁵Standard Deviation - Statistical measure of volatility, calculating the average deviation of a return series from its mean.