SG Piotroski Fundamental Screens

GLOBAL QUANTITATIVE RESEARCH
13 August 2018
Extract from a report
Global Style Counselling

Piotroski+: Introducing our new fundamental quality score
Europe  We suggest an alternative measure of fundamental quality, building on Joseph Piotroski’s

Andrew Lapthorne
(44) 20 7762 5762 F-Score framework. Having used the Piotroski model for many years, we believe it offers a very
andrew.lapthorne@sgcib.com
solid framework to assess the strength of a company’s fundamentals. Therefore, we seek to
Rui Antunes
(44) 20 7762 5875 maintain the principles of the original model whilst tweaking some of the underlying criteria
rui.antunes@sgcib.com
aiming for a better assessment of a company’s fundamental quality.
John Carson
(44) 20 7762 4979
john.carson@sgcib.com  Our changes are twofold: 1) we shift the focus of our model towards more cash-flow reliant
Georgios Oikonomou factors and generally factors that have had more consistent performance historically; and 2) we
(44) 20 7762 5261
georgios.oikonomou@sgcib.com try to extract more from our factors by averaging the factor scores instead of performing the
Yohan Le Jallé binary tests in the original Piotroski model. As ever the main concern when re-designing a model
(33) 1 42 13 71 61
yohan.le-jalle@sgcib.com is data mining. With that in mind we rely on factors that have been around for many years now
Americas and which have been documented by academics and practitioners.
Solomon Tadesse, PhD
(1) 212 278 6484
solomon.tadesse@sgcib.com  Our ex-Financials fundamental quality score includes eight factors: 1) gross profitability on
Hong Kong assets; 2) five-year risk-adjusted trend in gross profitability on assets; 3) free cash flow on
Puneet Singh
(852) 2166 4141 invested capital; 4) five-year risk-adjusted trend in free cash flow on invested capital; 5) total
puneet.singh@sgcib.com
accruals; 6) net operating asset accruals; 7) change in asset turnover; and 8) external financing
on assets.
 We also suggest a set of factors that can be applied for financial stocks. Many models that
seek to quantify the quality of company fundamentals, including the Piotroski model, often fail to
capture financials. Our financials fundamental quality model might not perform as well as the ex-
financials model but we still find it to add some value. For financials we use just four factors:
1) return on equity, 2) five-year risk-adjusted trend in return on equity, 3) asset growth; and
4) external financing on assets.
 We have backtested our quality score over the past 20 years across MSCI World stocks and
in the main investment regions. We find that our score adds value on top of the Piotroski model
as well as our profitability factor portfolio both globally and in all the main regions.
Long-Universe performance of our fundamental quality score (MSCI World)
180
170
160
150
140
130
120
110
100
90
80
Dec-99
Dec-00
Dec-03
Dec-04
Dec-07
Dec-08
Dec-11
Dec-12
Dec-15
Dec-98
Dec-01
Dec-02
Dec-05
Dec-06
Dec-09
Dec-10
Dec-13
Dec-14
Dec-16
Dec-17
Financials Ex financials Combined

This is a backtest. Past performance is no guide to future returns. Returns do not include execution costs.
Source: SG Cross Asset Research/Equity Quant, FactSet, MSCI.
Societe Generale (“SG”) does and seeks to do business with companies covered in its research reports. As a result, investors should be aware
that SG may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in
This document,
making their investment PLEASE SEE
decision. published APPENDIX ATatTHE
on 13-Aug-2018 2:37END
PM OFCET,THIS REPORT
is being FOR THE
provided ANALYST(S)
for the exclusiveCERTIFICATION(S),
use of
IMPORTANT DISCLOSURES AND DISCLAIMERS. ALTERNATIVELY, JUSTIN HARSEL VISIT(RF
OURCapital)
GLOBAL RESEARCH DISCLOSURE WEBSITE
Piotroski’s F-Score
Our team has used the Piotroski model extensively for many years, whether to avoid value
traps, identify shorting candidates, or generally provide a more robust definition of the Quality
factor. The Piotroski F-score is also one of the factors that forms the backbone of our Quality
Income index.
Our experience using the model has been very positive and we have found it to be one of the
most consistent models in our toolkit. This experience is also shared by a number of our
clients who have deployed the model in their investment strategies. The two charts below
show the performance of the model since the original Piotroski note. Since then the Piotroski
score has worked well out-of-sample.
Absolute performance by Piotroski score (MSCI World, 2001-2018)
600
High Score (7+)
500
Mid Score (5-6)
400
Low Score (4-)
300
200
100
0
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Dec-12
Dec-13
Dec-14
Dec-15
Dec-16
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-17
Source: SG Cross Asset Research/Equity Quant, FactSet, MSCI
Relative performance by Piotroski score (MSCI World, 2001-2018)
260
240 High vs Low
220
High vs Universe
200
180
160
140
120
100
80
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Dec-12
Dec-13
Dec-14
Dec-15
Dec-16
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-17
13 August 2018 2
This document, published on 13-Aug-2018 at 2:37 PM CET, is being provided for the exclusive use of
JUSTIN HARSEL (RF Capital)
Piotroski’s methodology
We have covered Joseph Piotroski’s F-Score methodology in detail in two previous
publications1. Essentially, the model assesses a company’s quality based on a set of financial
health checks. One of the main virtues of the model is its simplicity and common sense
approach as it comprises a set of just nine straightforward binary tests. What is more, the
underlying factors were not selected on a backtested performance, but rather on what prior
research identified as the important elements of a company’s financial quality.
A more complete methodology is available in the above notes and in the original Piotroski
paper2, but as a quick refresher we show below the nine criteria included in the F-Score.
i) ROA positive
ii) CFO positive

Profitability factors
iii) ROA positive
iv) Accruals negative
v) Leverage negative
vi) Liquid positive Leverage, liquidity and source of funds
vii) Finance negative
viii) Margin positive

Operating efficiency
ix) Turnover positive
Why change a winning model?

We believe the Piotroski model offers a very solid framework to assess the strength of a
company’s fundamentals. Therefore, while we tweak some of the underlying criteria aiming for
a better assessment of a company’s financial quality, we maintain the principles of the original
model. Our model shifts the focus towards more cash-flow reliant factors and generally
factors that have had more consistent performance historically. Similarly to the Piotroski score
our model looks at the following four areas of company fundamentals:
Profitability
In previous research we have highlighted3 that top-line based definitions of profitability have
been more reliable compared to bottom-line definitions like return on assets. This is
particularly true for a US universe. With that in mind, we suggest replacing return-on-assets
with gross profitability on assets (GPOA).
1
“Piotroski’s F-score-Helps to pick the winners while identifying potential losers”, Global Quant Strategy (2008) <link>
and “Time for a quality check – dusting off Piotroski’s F-score”, Global Style Counselling (2010) <link>
2
Piotroski, J. 2000. Value investing: The use of historical financial statement information to separate winners from losers.
3
“Can profitability be profitable? We take a look at the profitability factor”, Global Style Counselling (2016) <link>
13 August 2018 3
We also use FCFROIC (free cash flow on invested capital) instead of CFO (cash flow on
assets) as we prefer to assess a company’s cash generation post CAPEX requirements. What
is more, FCFROIC individually has been one of the strongest profitability factors.
Long-Short performance of Profitability factors (MSCI World)
300 Return on assets
250 Gross profitability on assets
Free cash flow on invested capital

200
150
100
50
Dec-98
Dec-99
Dec-04
Dec-05
Dec-06
Dec-12
Dec-13
Dec-14
Dec-00
Dec-01
Dec-02
Dec-03
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Dec-15
Dec-16
Dec-17
Operating efficiency and trends in company fundamentals

In line with our definitions of profitability, we include two measures that capture the five year
trends in a company’s gross profits on assets and free cash flow on invested capital. We
calculate the trend on a risk-adjusted basis, which emphasizes more the quality rather than
the magnitude of growth. As in the Piotroski model we also evaluate the change in asset
turnover, so the degree to which sales are growing faster than assets.
Long-Short performance of operating efficiency and growth factors (MSCI World)
220
5-year gross profitability on assets trend (t-stat)
200 5-year free cash flow on invested capital trend (t-stat)
180 Change in asset turnover
160
140
120
100
80
Dec-98
Dec-99
Dec-04
Dec-05
Dec-06
Dec-12
Dec-13
Dec-14
Dec-00
Dec-01
Dec-02
Dec-03
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Dec-15
Dec-16
Dec-17
Accruals/Earnings Quality
It is obviously key to avoid companies whose growth is driven by accounting practices rather
than actual sales. The Piotroski model includes an accruals factor - based on the standard
comparison between operating cash flow and net income - which we also use in our model.
Moreover, we incorporate a second accruals factor defined as the growth in net operating
assets (NOA). The latter extends the standard accruals definition to include non-current
13 August 2018 4
accruals4. Interestingly, NOA accruals individually have performed much better than standard
accruals in recent years as a factor.
Long-Short performance of Accruals factors (MSCI World)
330
Total accruals
280
Net operating asset accruals
230
180
130
80
Dec-98
Dec-99
Dec-04
Dec-05
Dec-06
Dec-12
Dec-13
Dec-14
Dec-00
Dec-01
Dec-02
Dec-03
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Dec-15
Dec-16
Dec-17
Financing
Instead of assessing a company’s debt and stock issuance separately, we opted to include
one factor that combines both external financing demands. This is defined as the sum of the
net debt and net equity issuance scaled by the stock’s total assets.
Long-Short performance of external financing (MSCI World)
240
220
External financing on assets
200
180
160
140
120
100
80
Dec-98
Dec-99
Dec-04
Dec-05
Dec-06
Dec-12
Dec-13
Dec-14
Dec-00
Dec-01
Dec-02
Dec-03
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Dec-15
Dec-16
Dec-17
4
See Richardson S., R. Sloan, M. Soliman and I. Tuna. 2001. Information in Accruals about the Quality of Earnings.
Available at SSRN: https://ssrn.com/abstract=278308
13 August 2018 5
Our fundamental quality score
Our quality score now includes the following eight factors:
1. GPOA: Gross profitability on assets (+)

2. GPTSTAT: 5-year risk-adjusted trend in gross profitability on assets (+)
3. FCFROIC: Free cash flow on invested capital (+)
4. FCFTSTAT: 5-year risk-adjusted trend in free cash flow on invested capital (+)
5. TOTAL ACCRUALS: Net income minus operating cash flow on assets (-)
6. NOA ACCRUALS: Change in net operating assets on assets (-)
7. TUROVER: Change in asset turnover (+)
8. EXTFIN: External financing on assets (-)
Whilst we like the simplicity of the 9-binary tests of the Piotroski model, we think that adding
more granularity to our model can be beneficial. This may also make it easier to incorporate
our quality score into multi-factor models. Hence, instead of using binary factors we choose to
average the scores of the underlying factors. To do so, we first standardize all eight metrics on
a z-score basis and then average all z-scores. As we are dealing with financial accounting
data, we perform the standardization within the relevant industry peer group.
Backtesting the model

We backtested our quality score across MSCI World ex-financial stocks and in the main
investment regions (US, Europe, Asia Pacific ex Japan and Japan). In each case we formed
long and short portfolios that included the top and bottom quintiles of stocks on our scoring.
All portfolios were rebalanced at the end of each month throughout our backtesting period
(1998-2018).
The chart below shows the overall risk-adjusted returns for our quality score as well as the
eight underlying factors. As we saw in the previous section, all eight factors have added value
historically. The combined model adds more value than any of the factors individually.
Return/Risk(IRs) of individual factors vs combined score (MSCI World ex financials, Long-Short)
1.4
1.2
1.0
0.8
0.6
0.4
0.2
0.0
13 August 2018 6
We further evaluate the performance of our fundamental score comparing it against the
Piotroski model. As our model incorporates profitability elements, we also include in the
comparison our ‘Profitability factor’ portfolio, which we define based on sector relative ROA,
ROE, ROIC and GPOA.
The two charts below compare the performance on a long vs universe and long vs short basis.
In both cases, our quality combo comfortably outperforms the original Piotroski model as well
as our Profitability portfolio.
Long-Universe performance (MSCI World ex financials) Long-Short performance (MSCI World ex financials)
180 330
170
160 280
150
140 230
130
120 180
110
100 130
90
80 80
SG Fundamental Quality Piotroski Profitability SG Fundamental Quality Piotroski Profitability
This is a backtest. Past performance is no guide to future returns.

Returns do not include execution costs.
The table below summarizes the performance of the above strategies over the past 20 years.
Compared to the universe, our fundamental quality score produced more than twice the
outperformance of either the Piotroski model or our profitability factor. What is more, it has
achieved those returns whilst maintaining a much lower tracking error versus the universe.
Therefore, risk-adjusted returns are considerably higher. Drawdown risk wa also significantly
less both on a long-short and long-universe basis.
Annualized return and risk statistics (MSCI World ex financials, 1998-2018)

Absolute Performance Long vs Universe Long vs Short
SG Fundamental Piotroski Profitability Universe SG Fundamental Piotroski Profitability SG Fundamental Piotroski Profitability
Quality Quality Quality
Return 11.80 10.37 9.70 8.60 2.87 1.39 0.89 5.87 4.28 1.85
Volatility 13.97 13.06 13.99 14.46 2.27 3.37 3.50 4.79 9.81 8.02
Return/Vol 0.84 0.79 0.69 0.59 1.26 0.41 0.25 1.23 0.44 0.23
Max drawdown 48.30 48.77 48.24 50.91 4.21 9.36 11.94 7.06 22.97 27.39
Beta 0.95 0.88 0.94 1.00 -0.05 -0.12 -0.06 -0.16 -0.38 -0.24
13 August 2018 7
Performance in individual regions

The outperformance of our score is evident in the main investment regions as well. Below we
plot the long versus universe returns for MSCI Europe, MSCI US, MSCI Asia Pac ex Japan
and Japan indices. The model has managed a solid and consistent outperformance in all
regions. Moreover, as was the case for MSCI World stocks it has outperformed the original
Piotroski model and our profitability factor. Japan stands out as Piotroski and profitability have
not added any value historically, but our quality combo managed a good performance.
MSCI Europe ex financials (Long-Universe) MSCI United States ex financials (Long-Universe)
260 160
240 150
220
140
200
130
180
120
160
110
140
120 100
100 90
80 80
MSCI Asia Pacific ex Japan ex financials (Long-Universe) MSCI Japan ex financials (Long-Universe)
220 160
150
200
140
180 130
160 120
110
140 100
120 90
80
100
70
80 60

What about financials?

As in the original Piotroski model, so far in our analysis we have excluded financial stocks
from our universe. Many models that seek to quantify the quality of company fundamentals
often do not include financials. No doubt, the more complicated capital structure of many
financials makes it difficult to assess quality with a quant approach. Moreover, factors based
on cash-flow and accruals cannot be clearly defined for financial firms, whilst even factors that
are more straightforward to define seem to add less value for financials.
In order to apply our model for financial stocks, we had to exclude some of the factors and
adapt others to make them applicable. We still wanted to maintain the same principles
though. So, after some head scratching we decided to include four factors: ROE for
13 August 2018 8
profitability; the trend in company fundamentals based on ROE trend over the last five years;
change in assets (as an alternative factor to change in asset turnover); and external financing.
1. ROE: Return on equity (+)

2. ROETSTAT: 5-year risk-adjusted trend in return on equity (+)
3. ASSET GROWTH: Change in assets (-)
4. EXTFIN: External financing on assets (-)
As before, we average the z-scores across all factors to calculate a combined score. The
performance of our quality combo for financials is shown below. It is clear these results are
less impressive than we saw for the ex-financial stocks. Still our quality model managed to
add some value in financials as well. Compared to a simple profitability based model, the
outperformance has been more consistent as well.
Long-Universe performance (MSCI World Financials) Long-Short performance (MSCI World Financials)
150 260
SG Fundamental Quality 240 SG Fundamental Quality
140
130 220
Profitability Profitability
120 200
180
110
160
100
140
90 120
80 100
70 80
60 60
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-12
Dec-13
Dec-14
Dec-15
Dec-16
Dec-17
Dec-00
Dec-01
Dec-02
Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
Dec-08
Dec-12
Dec-13
Dec-14
Dec-15
Dec-16
Dec-17
Dec-98
Dec-99
Dec-09
Dec-10
Dec-11
Dec-98
Dec-99
Dec-09
Dec-10
Dec-11
As the charts below show, the lower performance of our quality score within Financials results
in only a small performance drag for the combined Financials and ex-Financials model.
Long-Universe performance of our fundamental quality score Long-Short performance of our fundamental quality score
(MSCI World) (MSCI World)
180 330
170
160 280
150
140 230
130
120 180
110
100 130
90
80 80
Dec-99
Dec-01
Dec-03
Dec-05
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Dec-12
Dec-13
Dec-14
Dec-15
Dec-16
Dec-99
Dec-01
Dec-03
Dec-05
Dec-07
Dec-08
Dec-09
Dec-10
Dec-11
Dec-12
Dec-13
Dec-14
Dec-15
Dec-16
Dec-98
Dec-00
Dec-02
Dec-04
Dec-06
Dec-17
Dec-98
Dec-00
Dec-02
Dec-04
Dec-06
Dec-17
Financials Ex financials Combined Financials Ex financials Combined

13 August 2018 9
Conclusion
Piotroski’s F-Score continues to stand the test of time, having performed well since the
original paper was published now almost 20 years ago. In this note, we discussed some
potential changes to the model which we feel can help us gain better insights into a
company’s fundamental quality. Our changes are twofold: 1) we shift the focus of the model
towards more cash-flow reliant factors, and generally factors that have had more consistent
performance historically; and 2) we try to extract more from our factors by averaging the factor
scores instead of performing the binary tests in the original Piotroski model. We also suggest
a set of factors that can be applied for financial stocks.
Clearly, whenever you change a model the concern is over fitting and data mining. It’s true
that quants rarely produce bad backtests! But our main goal was to bring out those factors
that we believe can add value in quality investing. Reassuringly, these factors that are similar
to those in the Piotroski model have also been around for many years now, and they too are
documented by academics and practitioners.
13 August 2018 10
Investment Style Performance

Value stocks showed some signs of recovery in July, outperforming in most regions. Their
performance was highest in Japan where our long-short Value portfolio was up 4.4% last
month. US Value was also up strongly ending the month up 2.8%. Still Value is down c. -6%
ytd in most developed regions.
On the flipside, growth and momentum factors underperformed last month. Our Momentum
portfolio was down -1.7% globally and as much as -3.2% in Japan, whilst growth was down -
0.9% globally and -2.9% in Japan.
Long-short style performance per region (Q1-Q5)

Month-to-date Last-12-months
World Europe Japan UK US EM World Europe Japan UK US EM
Greenblatt 2.7 -0.2 2.8 -0.5 3.1 -1.1 -2.9 -5.1 -6.4 -0.6 -2.0 5.3
FY1 PE 2.3 0.8 4.0 -0.3 2.8 -2.2 -6.0 -6.8 -5.7 -5.0 -4.6 2.7
Value 2.3 0.8 4.4 -0.8 2.8 -1.5 -5.9 -4.2 -8.5 -0.8 -3.9 0.0
R1m 1.9 2.3 1.6 1.0 3.3 1.5 3.1 2.2 0.1 -3.1 -2.9 7.6
PE 1.8 0.5 3.5 1.4 2.0 -2.1 -0.7 6.4 -6.6 7.8 -3.4 -0.2
ROE 1.5 0.1 -0.2 0.8 1.2 -1.5 5.2 2.0 0.2 5.1 8.9 7.7
IREV1m 1.3 0.9 0.0 1.1 3.9 0.6 1.1 -2.3 -1.9 -1.4 -0.7 5.9
Volatility 1.3 -1.0 -0.8 -0.2 2.7 -0.4 -4.9 -2.1 -3.3 -0.6 -8.0 -1.8
ROIC 1.2 0.3 -0.8 -1.5 1.1 -1.6 5.5 3.9 0.4 4.0 10.2 9.6
DY+BB 1.2 0.2 1.9 1.1 0.5 -1.0 -3.5 -2.4 -3.9 -6.7 -3.1 4.2
PB 1.1 1.7 3.7 -1.1 1.1 -1.0 -4.4 -1.4 -5.5 -2.3 -7.4 0.4
Yield 1.1 1.1 4.5 1.9 0.5 1.3 -6.5 -8.0 -4.5 -9.2 -5.2 9.0
EVEBITDA 1.0 -0.5 2.8 -0.4 1.7 1.4 -6.0 -7.0 -14.2 -0.5 -4.1 1.3
ROA 1.0 -0.2 -0.9 -1.1 1.6 -1.3 4.9 5.0 3.5 4.5 11.3 6.4
DY+BB+DEBT 0.8 0.2 0.4 0.6 1.1 2.2 3.4 9.3 -1.6 -1.1 -1.2 10.9
PFCF 0.7 -0.9 0.1 -0.5 0.9 0.9 0.7 -0.8 -4.0 -1.5 1.7 10.4
Profitability 0.6 0.0 -1.3 -1.0 1.4 -1.1 6.4 5.9 2.0 5.5 11.5 10.4
BB 0.6 -2.0 -0.8 0.2 1.7 -1.1 2.4 2.7 -3.9 6.5 -0.3 10.4
Graham & Rea 0.3 -0.2 1.3 2.6 -0.1 -1.4 -6.0 -3.6 -10.0 4.4 -6.8 1.4
Merton 0.2 -0.7 -4.0 -0.5 2.2 -1.3 3.3 2.8 2.5 8.4 0.1 1.5
Value+Momentum 0.1 0.0 1.1 -0.4 0.5 -2.9 -3.8 -6.9 -7.9 0.9 -4.8 7.8
Earnings Quality 0.1 0.1 0.5 0.7 -0.6 0.7 -0.5 0.0 -4.4 -4.3 1.7 4.8
FY1 Growth 0.0 0.6 -1.0 1.0 -1.1 1.1 5.7 8.2 -3.6 8.5 10.7 9.0
Piotroski -0.1 -1.1 1.3 -1.5 0.4 -2.3 3.6 5.1 -7.2 19.3 5.6 16.1
GPOA -0.1 1.4 -2.4 0.8 1.2 -0.3 7.8 -1.2 5.3 0.8 15.0 7.3
EPS3Yr Growth -0.4 -1.6 -1.0 -1.7 0.3 -1.6 -0.2 3.5 5.3 2.9 -5.6 7.2
Quality -0.4 -0.1 -3.8 2.0 0.1 -1.8 1.0 4.7 3.2 3.4 -4.0 2.4
FY2 Growth -0.5 1.2 -2.5 -0.3 0.0 -1.1 5.1 -2.2 9.6 -5.5 3.7 -7.9
Growth -0.9 -0.9 -2.9 -0.4 -0.3 -1.3 6.3 5.9 8.2 2.9 6.8 0.2
SAL3Yr Growth -1.3 -2.8 -1.5 -1.9 -1.1 -1.9 -1.1 -0.7 3.6 -5.8 -6.1 -6.4
Beta -1.7 0.6 -3.9 3.0 -1.1 -2.5 -1.5 1.3 4.5 -4.0 -3.5 1.9
EPS MOM -1.7 -1.1 -1.5 -0.5 -1.6 1.5 4.9 6.7 0.0 4.4 8.2 7.0
IMOM12m-1m -1.7 -0.7 -3.2 0.3 -1.6 -2.3 1.9 -2.9 -3.0 2.7 2.6 9.9
Momentum -1.7 -0.7 -3.2 0.3 -1.6 -2.3 1.9 -2.9 -3.0 2.7 2.6 9.9
Quality Income -1.8 -2.3 0.0 -0.6 -0.6 -1.2 -4.8 -5.7 -5.4 6.0 3.0 3.6
R12m-1m -2.1 -1.2 -4.3 0.8 -1.1 -2.3 2.9 -0.9 -0.3 2.9 4.8 8.7
IMOM3m-1m -2.1 -1.5 -2.7 0.6 -2.3 -1.1 4.1 -1.1 9.9 3.4 3.8 2.5
R3m-1m -2.8 -2.8 -3.0 0.0 -1.7 -2.5 3.0 -0.5 14.3 3.9 6.5 3.1
Source: SG Cross Asset Research/Equity Quant, FactSet, FTSE, I/B/E/S *For our Quality Income and Graham & Rea screen, the Q5 portfolio contains all stocks that do not pass the screen
13 August 2018 11
List of factors included in our Style Counselling report

Below is the list of factors included in the document along with links to previous research
documents covering the factors.
For more details on the factor construction and analysis section of the report, see our
September-2014 edition of Global Style Counselling (link).
Factor list
Factor Definition Relative to Sector Financials Direction Link to SG
Research
PE Price to 12-month trailing earnings Yes Included Descending link
FY1 PE Price to FY1 earnings Yes Included Descending link
PB Price to last reported book value Yes Included Descending link
PFCF Price to 12-month trailing free cash flow Yes Excluded Descending link
EVEBITDA EV to 12-month trailing EBITDA Yes Excluded Descending link
Yield Next 12-month dividend yield (or 12-month No Included Ascending link
trailing when not available)
BB Annual net share repurchases to market cap No Included Ascending
DY+BB Annual net share repurchases + annual dividend No Included Ascending
to market cap
DY+BB+DEBT Annual net share repurchases + annual dividend No Included Ascending
+ annual debt reduction to market cap
R12m-1m 12-month total return lagged by 1-month No Included Ascending link
R3m-1m 3-month total return lagged by 1-month No Included Ascending link
IMOM12m-1m 12-month residual return lagged by 1-month No Included Ascending link
IMOM3m-1m 3-month residual return lagged by 1-month No Included Ascending link
EPS MOM 1-month FY1 EPS revisions No Included Ascending
R1m 1-month total return No Included Descending link
IREV1m 1-month residual return No Included Descending link
Volatility 6-month daily price volatility No Included Descending
Beta 5-year monthly beta versus local index No Included Descending
Merton Merton's distance-to-default No Excluded Ascending link
Piotroski Piotroski's financial quality score No Excluded Ascending link
Earnings Quality 10-factor earnings quality score No Excluded Ascending link
FY1 Growth Estimated FY1 EPS growth No Included Ascending
FY2 Growth Estimated FY2 EPS growth No Included Ascending
EPS3Yr Growth Hitorical 3-year EPS growth No Included Ascending
SAL3Yr Growth Hitorical 3-year Sales growth No Included Ascending
ROA 12-month trailing return-on-assets Yes Included Ascending
ROE 12-month trailing return-on-equity Yes Included Ascending
ROIC 12-month trailing return-on-invested capital Yes Included Ascending
GPOA 12-month trailing gross profitability to assets Yes Included Ascending
Value PE+FY1 PE+PB+PFCF+EVEBITDA Yes Included link
Momentum IMOM12m-1m No Included link
Quality Volatility+Beta+Merton+Piotroski No Included
Growth FY1 Growth+FY2 Growth+EPS3Yr No Included
Growth+SAL3Yr Growth
Profitability ROA+ROE+ROIC+GPOA Yes Included
Value+Momentum Value+Momentum No Included
Quality Income Merton + Piotroski + Yield No Excluded link
Graham & Rea Graham & Rea 10 factor screen No Excluded link
Greenblatt Greenblatt's return-on-capital + earnings yield No Excluded link
Source: SG Cross Asset Research/Equity Quant
13 August 2018 12
Global styles
13 August 2018 13
Global Style Performance

Last month & annualized return Top versus Bottom Quintile Performance
Last Last Since
Style
Month 5 years 1990 140
Return
Value 2.3 2.5 12.2
130
Momentum -1.7 2.4 6.5
Quality -0.4 2.4 -0.9
120
Growth -0.9 1.5 0.3
Profitability 0.6 0.5 4.4
110
Value+Momentum 0.1 2.9 12.7
% positive months
100
Value 50.0 62.7
Momentum 56.7 62.7
90
Quality 60.0 54.5
Apr-14
Apr-15
Oct-15
Oct-16
Apr-18
Oct-13
Oct-14
Apr-16
Apr-17
Oct-17
Jul-13
Jan-14
Jan-15
Jan-16
Jan-17
Jul-17
Jan-18
Jul-18
Jul-14
Jul-15
Jul-16
Growth 58.3 53.1
Profitability 48.3 56.3 Value Momentum Quality
Value+Momentum 53.3 65.0
Growth Profitability Value+Momentum
Last month & annualized return Top Quintile versus Universe Performance
Last Last Since 120
Style
Month 5 years 1990
Return
115
Value 1.0 1.7 5.8
Momentum -1.0 0.6 2.6
Quality -0.3 0.9 0.5 110
Growth -0.5 1.5 0.1
Profitability 0.3 0.5 2.4 105
% positive months 100
Value 51.7 62.7
Momentum 50.0 59.8 95
Oct-16
Oct-17
Oct-13
Oct-14
Oct-15
Apr-14
Apr-15
Apr-16
Apr-17
Apr-18
Jul-13
Jul-17
Jul-18
Jul-14
Jul-15
Jul-16
Jan-14
Jan-15
Jan-16
Jan-17
Jan-18
Quality 51.7 52.2
Growth 53.3 52.2
Value+Momentum 51.7 65.0 Growth Profitability Value+Momentum
Last month & annualized return Popular Investments Screens – Top Quintile versus Universe ex Financials
Last Last Since 115
Style
Month 5 years 1990
Return 110
Quality Income -1.7 -1.0 3.3
Graham & Rea 0.2 0.8 6.7 105
Greenblatt 1.2 0.6 4.4
Quality Income 51.7 56.0
95
Graham & Rea 46.7 55.4
Greenblatt 56.7 63.3
90
Top Quintile volatility
Quality Income 8.1 10.2 85
Oct-13
Apr-14
Oct-14
Apr-15
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Apr-18
Jan-14
Jan-15
Jan-16
Jul-16
Jan-17
Jul-17
Jan-18
Jul-18
Jul-13
Jul-14
Jul-15

Greenblatt 9.7 14.7
Quality Income Graham & Rea Greenblatt
Source: SG Cross Asset Research/Equity Source: SG Cross Asset Research/Equity Quant, FactSet, FTSE, I/B/E/S
Quant, FactSet, FTSE, I/B/E/S
13 August 2018 14
Global Style Performance – annualized return and risk stats (1990-last month)
Long-Short Turnover Max Loss Worst Best Hit% IC T-Stat Sharpe Absolute Performance Return/Risk
Q1-Q5 Q1-U Q1 Q1 Q1-Q5 Q1-Q5 Q1-Q5 Q1-Q5 Q1-Q5 Q1-Q5 Q1-Q5 Q1 Q2 Q3 Q4 Q5 Q1 Q2 Q3 Q4 Q5
PE 7.7 4.5 24.6 60.6 15.2 -11.2 13.7 59.5 3.7 4.3 0.78 13.0 10.2 8.5 4.8 4.3 0.73 0.76 0.68 0.34 0.23
FY1 PE 9.1 4.9 26.7 63.7 22.1 -12.0 13.1 59.5 4.3 4.3 0.79 13.3 11.4 9.5 5.9 3.3 0.72 0.83 0.76 0.44 0.18
PB 5.7 3.5 18.0 59.4 32.6 -13.0 19.1 56.6 1.2 2.8 0.48 11.8 8.9 7.5 6.7 5.9 0.61 0.62 0.54 0.48 0.41
PFCF 7.2 5.6 22.5 50.9 15.6 -5.4 6.9 65.3 3.1 6.7 1.27 14.5 11.7 9.2 7.2 6.4 0.94 0.89 0.72 0.54 0.37
EVEBITDA 9.8 5.2 21.9 53.5 15.6 -11.1 12.4 60.1 3.6 5.9 1.10 13.9 10.7 9.1 6.1 3.5 0.83 0.77 0.68 0.46 0.22
Yield 5.4 3.3 14.9 59.3 35.9 -10.7 17.5 53.4 3.4 2.6 0.45 12.1 11.5 8.9 4.1 4.9 0.80 0.81 0.64 0.26 0.26
BB 4.2 3.8 10.6 55.8 25.7 -7.8 7.8 56.3 1.7 3.0 0.52 12.8 8.4 8.9 8.9 7.5 0.88 0.61 0.61 0.60 0.43
DY+BB 6.0 4.9 17.1 57.5 31.3 -9.9 14.0 58.0 3.1 3.5 0.62 13.7 11.5 9.3 5.3 6.3 0.87 0.87 0.69 0.36 0.34
DY+BB+DEBT 4.9 3.6 17.9 55.2 8.8 -5.6 6.3 60.1 2.0 4.7 0.87 12.3 11.2 8.4 7.6 6.5 0.81 0.88 0.62 0.53 0.36
R12m-1m 3.5 2.5 48.8 49.3 62.0 -35.0 15.7 58.6 3.0 1.5 0.18 11.6 10.0 8.8 6.6 4.0 0.81 0.80 0.67 0.43 0.17
R3m-1m 0.7 0.9 113.7 51.4 35.4 -19.2 15.3 54.2 0.9 0.7 0.05 9.7 8.9 8.2 8.2 6.4 0.67 0.69 0.62 0.55 0.30
IMOM12m-1m 6.5 2.6 64.4 53.3 31.4 -17.1 12.7 62.7 2.6 3.3 0.59 11.4 10.0 9.3 7.6 3.1 0.80 0.77 0.70 0.52 0.16
IMOM3m-1m 2.1 0.9 117.8 52.7 26.5 -10.3 13.6 51.9 0.6 1.4 0.23 9.4 8.3 8.8 8.8 6.1 0.63 0.63 0.67 0.62 0.32
EPS MOM 3.3 1.3 96.6 51.6 26.3 -12.4 9.9 58.3 1.9 2.1 0.34 9.8 10.9 9.2 8.3 5.2 0.65 0.85 0.71 0.57 0.27
R1m 4.2 2.5 152.9 63.9 32.0 -11.0 16.7 52.8 2.1 2.1 0.35 10.5 8.9 8.2 8.0 6.1 0.53 0.61 0.62 0.61 0.41
IREV1m 7.4 3.6 155.7 61.5 16.6 -7.4 12.2 57.4 3.1 4.7 0.87 11.8 10.3 8.6 6.8 4.3 0.63 0.73 0.65 0.52 0.28
Volatility -1.2 0.2 24.5 35.8 63.2 -25.4 16.5 51.6 2.7 0.2 -0.06 9.8 9.3 8.4 7.3 6.2 1.05 0.77 0.59 0.43 0.25
Beta -1.9 -1.2 12.1 41.8 64.3 -29.1 16.4 50.7 1.3 -0.1 -0.11 8.2 9.5 8.6 8.4 6.3 0.81 0.78 0.60 0.50 0.28
Merton -1.7 0.5 22.0 33.6 67.4 -26.5 16.6 53.1 2.2 0.0 -0.09 9.9 8.8 8.0 6.7 7.1 1.06 0.77 0.57 0.40 0.30
Piotroski 3.4 1.2 14.9 47.2 30.4 -17.5 10.3 59.8 2.2 0.36 9.9 8.2 4.8 0.76 0.59 0.25
Earnings Quality 3.8 1.8 19.9 48.1 10.1 -2.9 3.9 65.0 1.2 5.5 1.02 10.4 9.0 8.4 8.0 6.1 0.74 0.63 0.59 0.55 0.40
FY1 Growth -1.7 -0.9 23.4 56.7 55.8 -11.2 5.7 49.3 -0.2 -1.0 -0.23 7.3 9.1 9.6 8.6 8.7 0.43 0.66 0.75 0.63 0.49
FY2 Growth -0.4 -0.6 26.1 59.8 50.4 -9.3 10.2 50.1 -0.8 0.0 -0.05 7.2 8.8 9.8 9.2 8.1 0.38 0.57 0.74 0.73 0.56
EPS3Yr Growth 1.3 0.1 15.2 58.0 29.6 -11.9 8.1 56.3 1.5 1.0 0.15 8.6 9.9 10.2 8.7 6.3 0.56 0.72 0.81 0.63 0.34
SAL3Yr Growth -1.3 -1.0 9.3 62.6 53.8 -8.3 9.0 46.9 0.3 -0.5 -0.14 7.0 9.4 9.5 7.9 8.3 0.40 0.65 0.70 0.57 0.53
ROA 3.0 1.8 8.0 50.2 28.9 -14.1 11.5 56.0 2.5 1.9 0.30 10.6 9.8 8.9 6.3 6.1 0.76 0.71 0.62 0.41 0.33
ROE 3.4 1.9 9.4 52.1 27.9 -11.9 8.6 55.1 2.8 2.1 0.35 10.7 10.1 8.5 6.4 6.0 0.75 0.71 0.61 0.43 0.33
ROIC 4.2 2.4 8.8 49.3 27.0 -13.1 9.8 57.1 2.9 2.5 0.42 11.2 10.0 8.3 6.8 5.5 0.80 0.72 0.60 0.45 0.30
GPOA 3.3 2.2 6.1 43.6 23.9 -6.0 7.9 55.4 1.9 2.9 0.51 11.2 9.1 8.3 6.7 7.0 0.86 0.62 0.56 0.44 0.43
Value 12.2 5.8 27.0 60.2 21.1 -16.2 15.7 62.7 4.6 5.9 1.11 14.5 11.1 8.9 6.3 1.5 0.84 0.76 0.66 0.44 0.10
Momentum 6.5 2.6 64.4 53.3 31.4 -17.1 12.7 62.7 2.5 3.3 0.59 11.4 10.0 9.3 7.6 3.1 0.80 0.77 0.70 0.52 0.16
Quality -0.9 0.5 22.1 34.6 62.7 -28.0 17.9 54.5 2.6 0.3 -0.05 10.2 9.2 8.1 7.4 6.2 1.16 0.80 0.57 0.42 0.26
Growth 0.3 0.1 25.2 58.7 48.6 -10.4 8.6 53.1 0.4 0.4 0.03 8.3 8.7 8.2 8.9 8.0 0.49 0.60 0.56 0.64 0.53
Profitability 4.4 2.4 8.7 48.7 25.0 -12.5 10.5 56.3 3.0 2.6 0.46 11.3 9.9 8.4 7.2 5.4 0.81 0.70 0.60 0.47 0.30
Value+Momentum 12.7 5.6 56.1 56.1 11.4 -11.4 12.8 65.0 5.2 7.0 1.34 14.6 11.6 9.4 5.7 0.7 1.01 0.83 0.66 0.40 0.04
Quality Income 3.2 3.3 39.8 31.7 24.8 -10.0 8.6 55.7 2.1 0.35 13.0 8.5 1.28 0.59
Graham & Rea 7.1 6.7 49.5 56.0 40.2 -12.6 19.9 56.0 3.1 0.53 15.3 8.0 0.72 0.57
Greenblatt 7.8 4.4 19.4 50.1 25.9 -10.4 11.7 61.2 4.3 0.78 13.3 10.3 8.5 5.4 4.0 0.90 0.78 0.62 0.37 0.22
Source: SG Cross Asset Research/Equity Quant, FactSet, FTSE, I/B/E/S *excludes financials
13 August 2018 15
Global Style Performance per period (Q1-Q5, 5-year returns shown annualized)
1990-1994 1995-1999 2000-2004 2005-2009 2010 2011 2012 2013 2014 2015 2016 2017 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
PE 11.2 15.0 13.0 4.8 -2.6 1.8 5.8 -2.8 2.4 -1.0 -0.7 4.0 -0.1 0.7 -0.9 1.0 -2.5 -2.3 1.8
FY1 PE 12.3 16.3 16.8 2.6 1.0 1.0 7.9 8.1 5.2 0.5 4.2 4.6 -1.2 -0.3 -2.4 0.4 -3.5 -2.8 2.3
PB 16.7 -5.0 15.8 6.0 -2.6 -13.5 6.1 10.9 1.3 3.2 6.8 -0.4 -0.4 -0.2 -1.7 3.2 -5.3 -2.0 1.1
PFCF 4.2 9.5 15.0 4.9 5.1 5.9 2.9 9.6 8.1 3.5 4.0 0.6 -0.2 0.7 -0.4 0.8 -0.7 -0.1 0.7
EVEBITDA 14.9 14.6 18.2 7.4 -1.0 -3.2 2.2 9.3 2.3 -2.5 12.2 1.0 -2.9 -0.7 -1.8 1.4 -3.9 -1.4 1.0
Yield 11.2 2.9 20.1 0.3 -7.7 3.5 1.2 -9.6 2.3 -0.8 10.0 -3.7 -3.5 0.9 -0.4 2.0 -3.0 -1.3 1.1
BB 4.4 4.4 9.4 -0.2 0.4 10.2 0.4 12.7 3.1 -2.3 4.0 2.5 1.6 0.5 -0.7 -1.2 -0.6 0.7 0.6
DY+BB 9.5 1.8 14.9 3.6 -0.6 12.8 3.0 0.7 4.1 -6.0 17.0 -2.9 -1.0 1.0 -0.7 0.1 -2.0 0.5 1.2
DY+BB+DEBT 7.1 0.4 9.2 5.2 1.1 7.1 0.6 11.0 -0.5 0.9 3.9 3.3 1.4 0.7 -1.0 0.2 0.4 0.5 0.8
R12m-1m 2.9 15.9 -2.0 -3.7 14.1 14.7 -4.3 18.9 -2.9 22.6 -20.8 6.9 2.7 0.8 -0.3 -2.3 3.1 -2.5 -2.1
R3m-1m -3.9 6.3 -1.9 -0.5 7.3 10.8 -6.1 8.7 6.2 2.5 -8.6 5.6 -0.1 -1.2 -2.2 -2.4 4.5 1.3 -2.8
IMOM12m-1m 9.4 9.5 10.4 0.2 5.2 16.2 -2.8 13.6 -1.6 11.6 -2.8 1.5 1.5 0.8 0.7 -1.4 2.0 -0.8 -1.7
IMOM3m-1m -0.3 3.7 6.7 0.5 -0.4 5.9 0.3 -1.5 2.4 -2.3 -0.6 6.1 -1.0 -1.0 -2.0 -0.7 2.8 1.8 -2.1
EPS MOM 0.8 9.9 -2.5 5.1 1.5 20.5 -12.4 5.8 15.6 11.2 -12.5 6.8 1.0 -1.2 0.1 -1.9 2.8 -0.3 -1.7
R1m 8.8 3.1 13.0 -4.0 8.3 -1.3 -0.7 0.5 1.1 5.2 2.2 2.0 0.7 0.1 -0.3 0.4 1.8 -0.7 1.9
IREV1m 8.0 11.3 11.2 2.3 12.7 4.2 10.4 6.2 -1.9 12.0 1.3 5.3 -0.2 -0.9 0.8 -0.6 0.6 -0.2 1.3
Volatility -1.4 -4.2 5.2 -3.9 -12.8 14.3 -12.7 -7.6 14.2 8.6 -9.9 -1.6 -2.1 0.0 1.4 0.6 -2.0 1.4 1.3
Beta -4.1 -5.6 6.5 -8.6 -13.0 26.8 -12.2 -7.5 17.5 18.6 -11.5 -3.2 -3.5 1.2 2.8 0.2 0.3 2.6 -1.7
Merton -1.2 5.2 -4.1 -6.9 -12.6 11.8 -7.6 -10.0 8.0 11.2 -15.7 2.1 0.4 0.9 2.5 -2.1 2.6 1.6 0.2
Piotroski 0.7 4.5 7.7 -0.8 1.6 10.1 5.7 11.8 6.2 14.4 -15.3 7.1 0.5 -0.4 0.9 1.2 0.0 -1.8 -0.1
Earnings Quality 4.4 8.5 6.6 2.6 -2.9 3.2 0.1 -2.7 3.7 -0.9 -2.5 0.5 0.4 -0.8 0.7 1.1 1.1 -0.8 0.1
FY1 Growth 0.1 -3.8 -4.3 -4.5 6.6 -6.3 1.0 13.4 -4.1 13.1 -14.9 6.9 2.2 -1.2 1.0 -0.4 1.2 -0.9 0.0
FY2 Growth 6.2 1.8 -4.1 -3.5 1.5 -16.0 -3.3 6.6 -4.8 -2.4 3.5 2.5 2.6 -0.4 -0.3 -1.2 1.8 0.3 -0.5
EPS3Yr Growth -4.3 8.2 -1.9 0.0 -1.8 17.1 5.3 3.9 5.7 12.2 -14.1 5.2 0.5 0.5 -0.2 -0.9 1.4 -0.7 -0.4
SAL3Yr Growth -3.8 8.9 -10.2 1.3 -2.1 9.8 -1.4 -10.2 -1.9 3.5 -12.1 2.5 0.3 1.6 0.4 -2.8 2.5 -0.2 -1.3
ROA 6.6 9.7 1.6 -0.1 2.5 9.8 1.1 -10.1 0.2 -2.2 -9.5 5.7 0.9 1.1 1.2 -2.0 2.5 -0.5 1.0
ROE 4.7 14.2 -0.8 1.0 0.5 12.2 2.2 -8.5 0.9 -3.7 -7.1 5.8 1.5 0.7 0.3 -2.6 2.4 -0.1 1.5
ROIC 6.9 13.5 0.7 2.6 2.1 12.2 -0.1 -8.4 -1.0 0.1 -7.9 6.5 1.0 1.4 0.9 -2.1 2.2 -0.8 1.2
GPOA 2.4 6.8 6.0 -0.9 1.7 14.2 -0.4 1.5 1.9 1.0 -4.3 4.5 0.3 1.4 2.3 -0.9 1.6 0.4 -0.1
Value 18.4 15.5 26.1 7.4 -0.6 -2.4 6.5 10.1 5.5 2.1 8.0 2.0 -1.0 -0.7 -2.4 1.8 -5.1 -2.7 2.3
Momentum 9.4 9.5 10.4 0.2 5.2 16.2 -2.8 13.6 -1.6 11.6 -2.8 1.5 1.5 0.8 0.7 -1.4 2.0 -0.8 -1.7
Quality -1.9 -2.6 4.0 -5.7 -9.9 24.6 -16.3 -7.7 17.3 17.0 -12.8 -1.8 -2.9 1.2 3.4 -0.4 1.6 2.5 -0.4
Growth -1.2 11.0 -8.7 -2.2 6.0 0.6 4.1 5.1 -2.3 11.2 -15.9 8.2 2.9 0.4 0.3 -2.3 3.8 -0.7 -0.9
Profitability 6.3 14.2 2.0 1.2 2.5 13.3 0.1 -8.9 1.5 -0.7 -6.1 7.2 1.4 1.5 1.0 -2.5 2.7 -0.4 0.6
Value+Momentum 19.2 20.0 21.6 5.3 4.5 8.9 2.1 15.1 1.5 10.2 2.8 2.3 0.1 0.2 -1.6 0.0 -1.9 -2.1 0.1
Quality Income 4.1 0.2 13.9 1.3 -5.6 13.1 -1.5 -6.9 5.7 4.7 -4.5 -7.3 -1.6 -1.0 0.6 2.5 1.4 0.7 -1.8
Graham & Rea 12.6 5.5 17.9 7.9 -7.1 -7.0 2.9 -1.1 -1.2 -6.2 8.3 6.8 -0.8 0.6 -1.1 2.5 -2.4 -3.3 0.3
Greenblatt 7.9 12.9 15.7 1.3 3.0 17.5 8.6 5.4 6.7 1.4 -5.2 4.3 0.5 1.0 -1.8 -2.8 -0.8 -1.2 2.7
Source: SG Cross Asset Research/Equity Quant, FactSet, FTSE, I/B/E/S
13 August 2018 16
Global Styles current sector exposures (sector weight in Q1 minus sector weight in Universe)
Basic Consumer Consumer Financials Health Care Industrials Oil & Gas Technology Telecoms Utilities
Materials Goods Services
PE 1.8 3.5 -0.4 2.9 -2.5 -2.0 -0.1 -1.7 -0.2 -1.3
FY1 PE 2.6 3.4 -0.7 -1.2 -1.7 0.3 -0.8 0.2 -0.2 -1.8
PB 1.8 0.0 -2.4 6.4 -2.8 1.3 -1.1 -2.4 -0.2 -0.5
PFCF 4.8 3.0 5.2 -21.2 -1.2 2.1 2.3 -1.9 1.9 5.0
EVEBITDA 2.0 10.5 2.1 -21.2 -2.5 6.0 0.7 2.6 0.0 -0.1
Yield -2.0 -4.1 -2.4 18.4 -6.1 -10.6 1.6 -5.0 4.8 5.5
BB -4.0 0.2 8.3 1.8 1.3 -4.5 -2.6 3.6 -0.7 -3.3
DY+BB -4.8 1.3 8.2 10.4 -2.9 -9.3 -2.6 -3.4 2.7 0.3
DY+BB+DEBT 3.8 -1.2 1.0 5.8 -4.0 -6.2 0.0 -3.1 2.2 1.7
R12m-1m -0.7 1.0 5.0 -13.8 1.8 -1.7 6.5 6.5 -2.3 -2.3
R3m-1m -1.3 1.9 3.2 -12.1 3.8 -2.8 4.9 5.1 -1.3 -1.5
IMOM12m-1m -2.3 1.8 6.8 -10.0 2.8 -5.0 6.2 2.4 -2.0 -0.8
IMOM3m-1m -1.5 3.2 4.2 -12.6 5.0 -1.5 3.7 1.9 -1.5 -0.8
EPS MOM 3.2 -0.6 -2.2 -4.7 -0.4 -0.6 9.5 -0.8 -1.2 -2.0
R1m -0.8 4.7 3.9 -4.3 1.5 -1.8 -1.1 -0.2 -1.8 0.0
IREV1m -1.8 6.5 3.7 -5.3 -1.3 -2.8 0.9 1.1 -1.5 0.5
Volatility -4.3 -3.4 -4.5 17.0 -3.1 -0.6 -3.2 -4.2 1.0 5.2
Beta -4.1 6.9 1.3 -5.1 0.2 -4.1 -3.2 -0.9 2.3 6.5
Merton -1.9 6.9 1.1 -21.2 10.1 4.7 -3.8 4.9 0.6 -1.4
Piotroski 4.5 0.9 0.9 -21.2 0.3 6.5 3.4 2.1 0.6 1.9
Earnings Quality 7.1 3.1 1.1 -21.2 4.0 -1.1 4.2 2.9 -1.0 0.8
FY1 Growth 0.4 -4.7 -2.2 3.0 -3.5 -2.1 10.0 2.5 -1.2 -2.3
FY2 Growth -0.4 -2.7 3.1 -7.4 0.6 0.5 6.3 1.5 0.3 -1.8
EPS3Yr Growth 4.2 2.1 -0.7 -6.9 0.9 -1.5 1.7 0.9 0.0 -0.7
SAL3Yr Growth -2.5 -2.8 0.2 -0.1 6.2 -1.9 -1.4 6.2 -0.7 -3.3
ROA -1.0 1.4 1.9 -1.2 1.3 -1.3 -1.1 1.9 0.8 -2.6
ROE -0.7 -0.9 6.0 -6.1 0.9 0.8 0.7 0.2 -0.2 -0.7
ROIC -1.8 -0.8 4.9 -1.5 1.8 0.3 -0.6 0.8 0.0 -3.1
GPOA -2.2 6.6 11.9 -12.3 1.5 1.3 -3.0 0.1 -0.8 -3.2
Value 1.3 4.0 -1.0 1.8 -1.8 1.0 -1.6 -0.5 -1.0 -2.2
Momentum -2.3 1.8 6.8 -10.0 2.8 -5.0 6.2 2.4 -2.0 -0.8
Quality -3.5 2.8 -2.8 0.2 0.8 1.2 -3.2 -2.4 1.3 5.6
Growth -2.1 -0.9 1.8 -3.0 3.4 1.3 -0.4 5.8 -1.6 -4.3
Profitability -0.8 0.1 3.5 -3.9 1.7 0.4 -0.2 1.5 0.2 -2.6
Value+Momentum -2.0 -0.4 3.4 -2.7 3.2 -3.3 4.0 -1.3 -1.5 0.6
Quality Income 10.0 -6.4 -0.6 -21.2 -7.3 -3.4 10.5 -6.7 7.5 17.6
Graham & Rea 13.7 7.0 -3.3 -21.2 -5.4 7.9 -0.4 0.8 -0.4 1.3
Greenblatt 0.6 10.6 6.9 -21.2 0.7 2.9 -2.2 3.6 2.1 -4.0
Source: SG Cross Asset Research/Equity Quant, FactSet, FTSE, I/B/E/S. Note we assume equal weights for both the Q1 portfolio and market.
13 August 2018 17
Global Styles current country exposures (country weight in Q1 minus country weight in Universe)
Australia Canada France Germany Japan Netherlands Spain Switzerland United Kingdom United States
PE -0.7 -1.4 -0.8 1.6 7.3 0.4 0.0 -2.3 0.6 -9.5
FY1 PE -2.7 -1.1 0.5 -0.9 8.2 0.1 0.2 -2.0 3.0 -3.6
PB -2.4 -1.6 -0.6 -0.2 25.3 -0.4 0.2 -1.5 -1.4 -22.9
PFCF 0.4 0.1 0.5 -1.1 7.6 -0.1 0.7 -2.2 1.3 -10.7
EVEBITDA -2.1 -1.9 0.5 0.8 23.5 0.2 -0.3 -2.2 -0.6 -14.5
Yield 7.6 1.9 1.7 1.3 -21.3 0.9 3.2 0.0 7.6 -17.6
BB -2.2 0.4 -2.3 -3.5 -10.9 0.9 -0.5 -1.2 -1.9 32.0
DY+BB 2.0 -0.1 -1.3 -1.7 -15.2 0.4 0.0 -0.7 3.9 9.7
DY+BB+DEBT 2.0 0.2 0.3 -0.6 -5.6 1.7 0.8 -0.4 2.1 -5.5
R12m-1m 1.9 -1.1 0.2 -1.5 1.6 -0.4 -1.3 -1.2 -0.1 5.3
R3m-1m 1.6 0.6 -0.8 -0.5 -6.4 -0.1 0.0 -0.7 2.9 10.4
IMOM12m-1m -1.9 -0.9 -0.1 -1.7 2.4 -0.1 -1.0 -0.2 0.6 3.5
IMOM3m-1m -1.2 -0.6 0.2 -0.5 3.0 -1.2 0.0 -1.0 1.4 0.1
EPS MOM -0.1 0.2 -1.5 -2.7 11.2 -0.4 -1.0 -0.7 1.0 -6.1
R1m -0.2 0.1 -0.6 -2.0 5.2 -0.7 0.0 -0.2 2.8 -6.3
IREV1m -1.4 -1.1 0.9 -2.3 0.2 -0.6 0.7 1.0 -0.7 3.6
Volatility 3.6 6.1 3.2 0.3 -14.5 1.4 1.7 3.5 2.3 -8.9
Beta -2.2 1.6 -0.3 1.5 3.9 -0.7 0.0 -1.0 -1.7 -3.3
Merton 2.1 2.3 -0.2 1.5 -10.1 0.2 -0.3 4.3 0.4 1.3
Piotroski -1.0 -0.1 0.7 -0.2 4.7 -0.4 -0.2 0.4 -0.9 -0.2
Earnings Quality 0.8 -0.9 0.8 0.2 0.2 -0.1 -0.3 0.7 1.0 -2.3
FY1 Growth -1.1 -0.8 -1.8 -1.2 -6.8 -0.6 -1.3 -0.4 -2.9 16.7
FY2 Growth 1.2 0.2 0.0 1.1 -7.2 0.4 -0.5 0.0 -2.4 4.3
EPS3Yr Growth 1.4 0.4 1.3 1.1 -2.3 0.6 -0.5 -2.0 1.7 -3.4
SAL3Yr Growth 1.1 0.7 1.5 0.1 -11.1 -0.1 0.2 -0.7 2.4 6.9
ROA 1.3 -1.4 -2.6 -0.7 -11.4 -0.4 -0.3 1.0 2.9 6.9
ROE 0.9 -1.1 -2.8 0.3 -18.9 -0.1 0.8 0.8 3.8 17.0
ROIC 0.6 -1.1 -2.1 -0.2 -13.2 -0.1 0.0 0.8 3.9 9.7
GPOA -1.0 -2.6 -1.8 0.3 6.5 0.3 -1.0 0.4 -2.1 4.0
Value -2.6 -1.9 0.9 -0.6 21.7 0.4 0.0 -2.0 -0.7 -16.4
Momentum -1.9 -0.9 -0.1 -1.7 2.4 -0.1 -1.0 -0.2 0.6 3.5
Quality 0.9 3.5 2.8 0.8 -13.1 1.4 1.5 3.9 0.1 -2.0
Growth 0.4 -0.5 -0.1 0.7 -9.0 -0.5 -0.9 -0.9 -0.7 13.2
Profitability 0.5 -1.7 -2.1 -1.3 -11.3 -0.2 0.2 1.5 2.0 11.1
Value+Momentum -1.9 -0.6 -1.5 -0.2 13.4 -0.1 0.0 -1.5 2.2 -9.7
Quality Income 12.4 9.0 -1.9 0.9 -23.1 -1.4 10.6 -2.5 3.0 -21.2
Graham & Rea -2.8 -1.3 -2.5 7.3 10.3 0.5 -1.6 -2.5 4.6 -15.9
Greenblatt -0.4 -2.2 1.3 0.3 -6.9 -0.1 -0.9 -1.5 2.6 8.3
13 August 2018 18
European Styles
13 August 2018 19
Europe Style Performance

Last Last Since 135
Style
Return
125
Value 0.8 2.5 8.6
120
Momentum -0.7 2.5 7.0
115
Quality -0.1 1.5 1.2
110
Growth -0.9 -0.1 -1.3
105
Value+Momentum 0.0 1.8 10.5 100

Value 55.0 61.2 90
Momentum 50.0 60.1 85
Apr-14
Apr-15
Oct-15
Apr-18
Oct-13
Oct-14
Apr-16
Oct-16
Apr-17
Oct-17
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Jan-15
Jan-16
Jan-14
Jan-17
Jan-18
Quality 53.3 54.5
Growth 46.7 51.3
Last Last Since 120
Style
Month 5 years 1990
Return 115
Value 0.8 2.4 4.5
Momentum -0.4 0.7 2.6 110
Quality -0.1 0.9 1.2
Growth -0.3 1.3 -0.8
105

100
Value 61.7 63.3
Momentum 48.3 57.7 90
Apr-14
Apr-15
Oct-13
Oct-14
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Apr-18
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Jan-15
Jan-16
Jan-14
Jan-17
Jan-18
Quality 53.3 53.9
Growth 55.0 51.3
Last Last Since
Style 102
Month 5 years 1990
Return 100
Quality Income -0.1 -0.3 0.0 98
Graham & Rea 0.1 -0.2 0.2 96
Greenblatt -0.4 -3.4 1.8 94
Graham & Rea 48.3 52.8 88
Greenblatt 45.0 52.2 86
Top Quintile volatility 84
Oct-13
Apr-14
Oct-14
Apr-15
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Apr-18
Jul-16
Jul-17
Jul-18
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16
Jan-17
Jan-18

13 August 2018 20
Europe Style Performance – annualized return and risk stats (1990-last month)
PE 5.2 2.8 26.5 67.7 28.7 -6.3 11.9 59.2 2.6 3.5 0.63 11.1 9.2 8.2 6.7 5.2 0.56 0.58 0.56 0.44 0.26
FY1 PE 6.6 3.4 28.9 71.1 33.5 -8.1 9.8 57.4 3.1 3.7 0.66 11.7 9.9 8.6 6.4 4.5 0.58 0.61 0.58 0.43 0.23
PB 3.3 1.6 18.6 68.2 38.6 -9.1 20.8 52.8 0.8 1.8 0.28 9.4 8.8 7.8 7.5 6.6 0.42 0.52 0.49 0.52 0.44
PFCF 6.3 3.8 23.9 52.5 23.3 -6.7 7.6 62.4 2.8 5.2 0.96 12.6 10.7 10.1 6.6 5.3 0.71 0.71 0.69 0.44 0.27
EVEBITDA 8.0 5.0 21.5 55.6 24.6 -7.4 18.4 60.6 2.6 4.4 0.80 13.4 9.6 8.0 8.1 5.2 0.68 0.59 0.52 0.54 0.32
Yield 4.8 2.8 20.4 66.4 43.0 -9.6 15.4 54.8 2.0 2.5 0.42 11.4 8.3 9.1 7.4 5.6 0.61 0.50 0.56 0.46 0.30
BB 4.0 2.1 19.7 52.3 25.1 -7.8 8.6 58.0 1.6 2.8 0.50 11.0 9.8 8.8 8.1 5.8 0.68 0.62 0.52 0.50 0.29
DY+BB 4.8 2.7 18.6 59.1 42.6 -8.3 13.1 56.3 1.9 2.9 0.51 11.3 9.8 9.1 7.2 5.5 0.61 0.62 0.59 0.45 0.28
DY+BB+DEBT 3.8 2.1 18.3 59.8 17.7 -5.8 8.7 55.4 1.7 3.1 0.56 10.6 10.6 8.9 7.0 5.8 0.58 0.70 0.57 0.44 0.28
R12m-1m 6.7 3.3 49.4 43.5 64.8 -36.4 19.7 60.3 3.8 2.3 0.34 12.8 10.9 8.6 7.4 1.6 0.85 0.75 0.56 0.40 0.06
R3m-1m 2.4 0.9 115.3 47.3 38.5 -23.9 15.2 52.8 0.4 1.2 0.16 9.8 8.3 8.7 9.8 4.8 0.61 0.56 0.56 0.57 0.21
IMOM12m-1m 7.0 2.6 64.0 54.3 38.1 -23.3 13.0 60.1 3.2 3.5 0.62 11.6 10.4 9.8 7.4 2.5 0.73 0.68 0.63 0.44 0.12
IMOM3m-1m 2.5 1.1 118.4 53.1 34.2 -11.9 12.2 53.9 0.4 1.6 0.26 9.7 7.9 8.5 9.8 5.7 0.56 0.53 0.56 0.60 0.28
EPS MOM 4.4 1.2 97.4 52.6 41.8 -24.0 9.7 63.0 2.5 2.4 0.39 10.0 10.8 9.4 7.3 3.6 0.60 0.74 0.62 0.43 0.16
R1m 5.0 2.3 154.4 67.0 30.4 -13.4 15.6 53.6 2.8 2.6 0.44 10.3 10.0 9.3 7.0 5.3 0.48 0.60 0.60 0.45 0.31
IREV1m 3.5 1.1 156.3 67.5 32.9 -8.3 10.2 55.1 2.2 2.3 0.40 9.1 9.9 9.7 7.7 5.6 0.45 0.61 0.63 0.50 0.32
Volatility 0.1 0.8 27.8 37.2 60.3 -28.0 19.2 52.5 2.6 0.6 0.00 10.5 9.7 8.2 7.5 5.3 0.95 0.71 0.50 0.39 0.20
Beta 0.0 0.2 12.9 45.5 58.6 -27.8 15.5 51.6 1.8 0.5 0.00 9.8 10.0 8.0 7.8 5.8 0.86 0.71 0.48 0.40 0.24
Merton -1.1 0.5 22.0 33.3 66.5 -29.2 17.5 52.8 1.7 0.2 -0.06 10.6 9.2 9.3 6.9 7.3 0.96 0.70 0.60 0.37 0.29
Piotroski 3.9 1.8 14.7 46.2 26.9 -17.8 11.9 57.7 2.2 0.37 11.2 8.1 5.1 0.78 0.51 0.24
FY1 Growth 0.3 -0.4 24.8 62.9 34.8 -13.7 7.6 53.1 0.5 0.4 0.04 7.6 9.5 9.2 7.8 6.9 0.39 0.63 0.64 0.49 0.34
FY2 Growth -2.7 -1.9 26.6 69.6 65.5 -11.2 9.2 47.2 -1.5 -1.2 -0.27 5.5 8.0 9.7 8.7 9.2 0.25 0.47 0.65 0.59 0.56
EPS3Yr Growth 1.1 -0.8 16.0 58.1 43.3 -11.7 9.1 55.7 1.7 0.8 0.11 7.7 9.5 9.5 7.6 5.2 0.46 0.61 0.64 0.45 0.24
SAL3Yr Growth -4.2 -2.7 10.7 69.9 74.4 -8.5 10.1 41.7 -0.8 -2.5 -0.51 5.2 8.6 10.1 8.9 9.6 0.27 0.53 0.65 0.57 0.53
ROA 1.6 1.1 9.1 47.9 28.0 -10.1 9.0 53.6 1.4 1.2 0.18 10.1 8.8 8.0 7.8 7.1 0.68 0.59 0.45 0.43 0.35
ROE 2.4 1.1 10.6 49.2 31.5 -12.1 8.4 59.2 1.9 1.6 0.26 10.1 9.2 8.4 7.8 6.1 0.66 0.58 0.52 0.44 0.30
ROIC 2.5 1.5 10.2 49.1 31.4 -10.5 9.1 57.7 1.9 1.7 0.28 10.5 9.3 8.3 7.3 6.5 0.68 0.61 0.51 0.41 0.32
GPOA 3.4 2.0 7.5 43.3 23.8 -6.8 9.3 53.4 1.4 2.6 0.45 11.1 8.9 8.5 9.1 6.7 0.75 0.55 0.53 0.55 0.37
Value 8.6 4.5 28.2 65.9 28.0 -9.7 14.4 61.2 3.5 4.9 0.90 13.0 9.5 8.7 6.6 4.1 0.67 0.55 0.55 0.41 0.24
Momentum 7.0 2.6 64.0 54.3 38.1 -23.3 13.0 60.1 3.0 3.5 0.62 11.6 10.4 9.8 7.4 2.5 0.73 0.68 0.63 0.44 0.12
Quality 1.2 1.2 24.6 39.7 61.4 -30.5 20.2 54.5 2.8 0.9 0.06 11.2 9.5 8.0 7.7 4.5 1.07 0.71 0.49 0.39 0.17
Growth -1.3 -0.8 27.4 63.3 58.3 -12.4 6.0 51.3 0.1 -0.6 -0.16 7.5 8.7 8.7 8.4 8.8 0.41 0.52 0.52 0.52 0.51
Profitability 2.9 1.7 10.5 47.6 30.7 -11.3 8.8 57.7 1.9 1.9 0.31 10.7 8.6 8.5 7.7 6.1 0.71 0.56 0.51 0.44 0.30
Value+Momentum 10.5 4.5 57.2 59.6 18.1 -5.2 12.2 67.1 4.7 7.2 1.38 13.5 11.7 8.8 5.6 2.1 0.82 0.71 0.53 0.34 0.11
Quality Income 1.9 1.9 45.1 35.3 30.4 -11.3 9.2 49.9 1.3 0.19 12.0 8.9 0.92 0.55
Graham & Rea 5.0 4.8 50.3 49.2 52.7 -11.9 14.3 56.0 2.5 0.42 13.7 8.7 0.64 0.56
Greenblatt 5.2 3.5 20.8 47.4 36.0 -9.6 11.0 55.1 2.9 0.49 12.8 9.8 9.1 6.2 6.1 0.79 0.63 0.60 0.39 0.31
13 August 2018 21
Europe Style Performance per period (Q1-Q5, 5-year returns shown annualized)
PE 4.5 4.5 20.3 -1.9 -6.4 10.9 -0.9 0.4 2.8 3.2 -1.7 7.4 1.8 1.5 1.5 -0.4 -1.1 -1.6 0.5
FY1 PE 6.5 4.0 30.8 -5.5 1.7 -2.6 11.0 7.9 4.5 0.5 8.1 3.0 -0.4 0.6 -1.4 -0.2 -4.3 -3.0 0.8
PB 5.4 -1.0 16.1 4.8 -8.0 -25.2 9.8 7.5 -4.6 -1.7 4.0 1.8 1.9 -0.3 -0.1 1.4 -5.7 -2.5 1.7
PFCF -0.4 6.9 17.6 4.5 17.3 3.2 -0.3 6.9 5.5 3.5 6.7 1.8 -3.9 1.0 0.3 1.1 0.5 0.0 -0.9
EVEBITDA 12.6 1.6 25.9 9.3 11.2 -11.1 1.5 -2.1 -2.2 -5.6 6.4 5.0 0.0 -0.9 -1.0 -0.5 -2.9 -2.9 -0.5
Yield 6.4 -1.4 35.4 -8.9 -5.2 7.1 -5.1 5.9 9.7 -4.9 7.4 -3.5 -3.1 1.6 0.2 0.8 -4.8 -1.4 1.1
BB 4.1 0.0 9.5 5.3 8.8 -1.0 -3.0 -0.2 6.6 0.2 6.6 1.6 -0.4 -0.4 -0.3 0.3 2.0 1.4 -2.0
DY+BB 9.6 -5.4 14.6 6.7 2.4 6.0 -5.6 -3.7 8.6 -8.4 21.9 0.0 -4.6 2.6 0.5 0.6 -2.7 1.0 0.2
DY+BB+DEBT 4.6 -1.2 10.5 6.3 4.3 7.9 -3.3 3.7 -7.8 0.7 -5.1 6.1 1.7 0.5 -1.0 2.8 0.3 1.2 0.2
R12m-1m 3.3 19.8 4.1 -4.6 36.0 26.0 -2.9 16.8 7.7 16.0 -7.9 2.1 3.3 -2.2 -0.5 -0.6 2.6 -1.3 -1.2
R3m-1m -0.3 5.8 5.7 -1.4 13.4 6.8 -4.8 4.8 5.5 -3.0 -5.7 4.7 -0.7 -0.7 -3.8 0.2 3.5 3.6 -2.8
IMOM12m-1m 9.0 8.7 15.4 -2.3 12.9 17.7 -4.1 18.3 -4.4 6.2 6.6 2.9 1.8 -1.5 0.4 -0.4 -1.6 -0.8 -0.7
IMOM3m-1m 4.3 3.4 9.9 -1.4 0.9 -0.8 -10.7 5.8 -3.6 -4.2 5.0 8.1 -1.4 -1.2 -2.3 0.1 -2.2 3.8 -1.5
EPS MOM 3.2 7.1 1.1 1.7 18.7 10.7 -9.8 8.8 15.6 14.6 -3.8 6.7 1.5 -0.2 -0.5 -1.4 1.9 1.4 -1.1
R1m 9.0 11.7 11.7 -3.6 0.4 -7.3 10.9 -4.0 -4.3 2.9 2.3 3.7 2.8 -1.0 -0.4 1.3 -1.9 -1.0 2.3
IREV1m 5.9 10.3 3.7 -5.2 3.2 1.0 11.4 -0.6 -5.3 14.3 0.8 9.0 0.5 -1.3 1.3 -0.7 -1.1 -1.1 0.9
Volatility -0.7 -8.7 11.9 -5.2 0.5 45.8 -13.0 -0.5 14.7 2.2 -14.2 -0.5 0.4 -0.8 1.9 -2.5 -1.5 1.9 -1.0
Beta 0.7 -2.8 7.8 -7.6 -8.1 48.6 -18.1 -5.5 8.7 7.7 -9.9 -0.5 -3.6 1.1 1.5 -0.6 2.2 2.0 0.6
Merton -0.6 -0.9 2.3 -8.1 -4.0 32.9 -10.1 -2.7 5.1 5.9 -17.2 -0.5 0.3 -0.9 0.6 -1.7 3.8 2.3 -0.7
Piotroski 1.9 3.3 11.0 0.8 2.1 19.3 0.2 10.0 4.9 6.4 -18.9 6.6 5.3 -1.0 1.5 -1.7 2.5 -2.7 -1.1
Earnings Quality 6.3 7.0 8.5 5.1 4.9 13.5 1.1 0.7 12.9 8.8 -5.5 2.2 -0.1 -0.4 -0.1 0.3 1.7 -0.6 0.1
FY1 Growth -1.8 3.6 -3.1 -2.3 21.8 -5.8 4.0 2.4 -1.8 16.0 -12.9 4.7 3.5 -1.4 1.2 0.8 0.7 -1.7 0.6
FY2 Growth 3.8 1.3 -12.1 1.6 0.8 -26.6 -1.8 0.7 -10.0 -0.5 -2.7 -0.6 1.4 -1.2 -2.7 0.5 0.3 -0.3 1.2
EPS3Yr Growth -4.0 5.2 1.1 -4.7 3.3 41.3 3.2 -1.7 2.8 10.3 -16.7 10.1 3.5 -0.3 -0.4 -1.3 2.9 -1.6 -1.6
SAL3Yr Growth -7.2 2.8 -13.8 -5.2 -9.7 25.4 2.2 -10.0 3.6 7.7 -11.3 -2.7 0.0 0.7 0.0 -1.5 5.6 0.0 -2.8
ROA 2.0 0.9 4.9 0.5 1.1 12.3 -5.8 -6.8 3.7 6.4 -14.1 4.7 0.3 1.4 0.3 -0.2 1.7 2.1 -0.2
ROE 3.0 3.4 1.0 0.9 4.8 25.4 -0.9 -5.6 5.4 6.8 -12.4 4.3 -0.4 0.1 0.7 -1.5 2.4 1.4 0.1
ROIC 3.8 3.2 3.2 0.1 1.3 14.6 -1.6 -1.8 6.0 6.3 -12.8 5.4 0.4 1.6 1.0 -1.7 1.9 1.1 0.3
GPOA 3.8 2.1 9.6 2.8 8.1 10.4 -3.9 -6.1 0.0 2.0 -5.9 2.1 -1.2 1.2 0.5 -2.5 0.9 0.5 1.4
Value 7.5 5.8 33.3 2.7 -2.3 -6.0 8.5 8.8 1.2 1.4 5.5 4.5 0.8 0.5 -1.2 1.2 -4.8 -2.7 0.8
Momentum 9.0 8.7 15.4 -2.3 12.9 17.7 -4.1 18.3 -4.4 6.2 6.6 2.9 1.8 -1.5 0.4 -0.4 -1.6 -0.8 -0.7
Quality 1.0 -7.0 11.5 -5.5 0.3 51.5 -15.2 -4.3 12.2 10.1 -8.3 1.5 -1.8 -1.1 2.6 -1.4 3.5 1.7 -0.1
Growth -3.1 7.5 -10.9 -4.2 9.6 11.5 3.7 -5.0 -0.6 13.9 -17.2 5.2 4.7 -0.7 -0.6 -0.7 4.2 -1.7 -0.9
Profitability 3.4 1.8 5.0 0.7 6.4 26.1 -6.7 -5.0 4.1 6.7 -10.8 5.4 0.6 1.1 1.0 -1.4 3.1 1.6 0.0
Value+Momentum 13.6 10.1 31.2 0.7 11.4 6.1 -0.8 16.0 -3.0 2.4 10.6 0.8 1.8 -0.8 -1.2 0.2 -3.7 -1.8 0.0
Quality Income 3.5 -2.0 15.8 -2.6 -3.8 18.3 -8.9 -3.1 5.5 -0.8 -11.1 -4.1 -0.4 -2.2 -1.3 2.1 1.3 0.0 -2.3
Graham & Rea 5.7 5.6 23.3 6.5 -10.7 -1.0 -4.5 -4.6 -21.6 -15.1 4.5 18.2 -3.3 -0.8 1.8 0.9 -4.7 -3.7 -0.2
Greenblatt 6.6 -2.4 22.2 0.8 1.5 20.6 11.1 -1.7 2.3 4.5 -12.3 0.6 -0.2 0.4 -1.0 -0.8 0.4 -1.6 -0.2
13 August 2018 22
Europe Styles current sector exposures (sector weight in Q1 minus sector weight in Universe)
PE 1.5 8.2 -2.3 3.7 -3.6 -3.1 -0.5 -2.1 -1.2 -0.6
FY1 PE 2.5 5.7 1.3 -0.6 -2.7 -2.9 0.4 -2.1 0.6 -2.4
PB -1.1 -0.7 -4.1 6.3 -3.6 2.3 -0.5 -0.3 0.6 1.1
PFCF 5.4 7.6 8.1 -22.0 -3.7 -4.6 1.4 -3.8 4.1 7.4
EVEBITDA 3.2 14.4 8.1 -22.0 -7.2 -2.3 3.7 -2.7 -0.4 5.2
Yield -4.7 -5.2 1.1 17.5 -6.3 -16.4 3.9 -3.0 5.8 7.2
BB -4.6 0.3 4.9 -1.5 -1.8 0.7 -1.4 5.1 -0.3 -1.5
DY+BB -5.5 1.4 9.6 4.1 -4.5 -10.8 -0.4 -2.0 3.4 4.8
DY+BB+DEBT 2.6 -3.2 1.4 5.9 -2.7 -9.9 2.3 -3.8 5.2 2.1
R12m-1m 3.3 -2.5 3.9 -15.8 0.8 0.5 6.6 6.8 -3.8 0.2
R3m-1m 0.6 -2.5 3.0 -18.4 11.4 0.5 3.1 4.1 -1.2 -0.6
IMOM12m-1m 0.6 2.9 3.0 -5.2 0.8 -8.4 7.5 3.2 -3.0 -1.5
IMOM3m-1m -2.0 -0.7 2.1 -16.7 11.4 2.3 2.2 3.2 -1.2 -0.6
EPS MOM 11.6 -3.2 -4.9 -8.5 -0.8 -1.8 9.5 -0.2 -2.0 0.3
R1m -2.1 2.7 0.2 -0.1 1.6 0.3 -2.3 -0.3 -2.1 2.0
IREV1m -1.1 2.9 -2.3 -2.5 -0.1 0.5 -1.4 3.2 -2.1 2.9
Volatility -5.6 3.6 -4.2 14.9 -1.9 -1.5 -1.4 -2.1 -0.3 -1.6
Beta -3.8 4.6 0.3 -3.4 2.6 -3.1 -2.3 0.6 3.2 1.1
Merton -0.2 21.7 -2.0 -22.0 11.2 0.2 -3.1 3.1 -3.8 -5.1
Piotroski 5.7 3.6 0.2 -22.0 0.6 5.7 2.5 -1.3 1.8 3.2
Earnings Quality 9.9 2.9 -0.3 -22.0 3.7 0.0 7.7 -0.2 -1.4 -0.2
FY1 Growth 2.6 -0.4 -2.2 1.4 -1.7 -1.8 4.1 0.7 0.7 -3.3
FY2 Growth -1.1 -4.1 2.2 -3.2 0.9 4.3 -0.5 4.2 0.6 -3.3
EPS3Yr Growth 4.4 -0.4 -0.4 -4.9 -0.8 0.9 4.1 -0.2 -1.1 -1.5
SAL3Yr Growth -2.8 -0.6 3.1 0.3 4.5 -3.8 -1.4 6.0 -1.2 -4.2
ROA 0.6 1.8 -1.5 -1.8 3.4 2.0 -0.5 1.4 -2.1 -3.3
ROE -2.0 -2.4 2.2 -4.1 2.7 5.1 -0.5 -1.2 -0.3 0.3
ROIC -2.1 1.0 2.0 -1.8 4.2 2.0 -0.5 -0.3 -1.2 -3.3
GPOA -0.8 6.0 6.7 -17.8 5.5 5.7 -2.1 1.4 -1.7 -3.0
Value 1.4 10.5 -0.5 -0.7 -4.0 -1.4 0.1 -0.6 -0.6 -4.0
Momentum 0.6 2.9 3.0 -5.2 0.8 -8.4 7.5 3.2 -3.0 -1.5
Quality -5.3 9.8 -3.6 0.9 1.4 3.1 -3.1 0.0 -1.9 -1.3
Growth -1.1 0.3 0.7 -6.1 4.7 1.4 -0.8 5.7 -0.7 -4.3
Profitability 0.5 -0.9 -0.7 -2.9 3.3 3.6 0.3 1.4 -1.2 -3.3
Value+Momentum 2.6 1.4 4.1 -2.2 1.0 -5.4 3.2 -0.2 -3.8 -0.6
Quality Income 19.1 4.2 -2.1 -22.0 -7.2 -12.5 5.9 -3.8 5.3 13.1
Graham & Rea 8.5 24.9 5.5 -22.0 -1.6 -16.1 2.4 -3.8 1.7 0.5
Greenblatt -2.2 8.9 10.5 -22.0 2.5 3.7 0.5 -0.2 3.4 -5.1
13 August 2018 23
Europe Styles current country exposures (country weight in Q1 minus country weight in Universe)
Austria Denmark France Germany Italy Netherlands Spain Sweden Switzerland United
Kingdom
PE 0.5 0.2 -1.0 6.4 4.9 2.2 -0.1 -2.6 -7.8 3.2
FY1 PE 1.5 -0.6 0.0 -2.4 3.2 0.5 1.7 -4.3 -6.9 12.3
PB 0.5 -1.5 1.6 3.7 4.0 0.4 1.7 -6.1 -5.2 -0.4
PFCF -0.1 0.1 0.7 -2.6 7.0 -1.5 2.5 -2.4 -5.3 5.0
EVEBITDA 1.1 0.1 3.0 5.4 2.5 0.8 0.3 -4.7 -7.6 0.5
Yield -1.2 -2.4 -0.3 -7.8 3.0 1.3 4.2 1.8 -7.0 5.6
BB -1.2 3.8 0.0 -9.5 -2.2 8.5 -0.1 -4.3 2.0 6.1
DY+BB -1.2 0.3 -4.4 -6.8 -2.1 -0.4 0.0 1.1 -2.4 10.8
DY+BB+DEBT -0.3 -2.4 -3.5 -3.2 2.4 3.2 1.8 -1.6 -1.5 0.9
R12m-1m -1.2 0.2 4.3 -1.6 -2.2 -1.3 -3.6 1.9 -1.6 4.0
R3m-1m -1.2 1.1 -0.1 -0.7 -2.2 -0.5 -0.1 -5.2 -2.5 12.9
IMOM12m-1m -1.2 1.1 -0.1 -4.2 -0.4 -0.5 -2.8 -0.8 0.1 4.0
IMOM3m-1m -0.3 1.1 0.7 -1.6 -0.4 -2.2 -0.1 -5.2 -2.5 5.8
EPS MOM 2.4 -0.6 -1.7 -6.8 -2.1 -1.3 -1.8 3.8 -0.6 5.4
R1m -1.2 -2.4 -3.8 -6.1 -1.4 -2.3 2.5 -0.8 -1.7 12.6
IREV1m -0.3 -1.5 3.4 -6.9 0.4 -2.2 2.6 1.0 4.5 -1.3
Volatility -1.2 -1.6 5.9 -4.3 -4.9 4.8 3.4 -5.2 9.7 -2.3
Beta -1.2 2.9 -1.0 7.3 3.1 -2.2 -0.1 -2.6 -1.6 -3.0
Merton -1.2 4.7 -2.5 3.3 -2.0 -1.4 -2.0 -5.8 13.1 0.8
Piotroski -0.2 -1.3 3.9 0.5 0.6 -1.3 -0.3 0.2 2.1 -1.7
Earnings Quality 1.2 0.3 0.5 -0.7 -4.2 -1.3 -1.8 0.2 2.1 1.9
FY1 Growth -1.2 -0.6 0.1 1.4 5.1 -1.3 -2.7 -1.6 1.2 -7.2
FY2 Growth -0.3 -0.6 -1.8 3.9 6.8 1.4 -1.8 -0.7 -0.7 -10.0
EPS3Yr Growth 1.5 3.0 0.1 -0.4 6.0 0.5 -2.7 -3.4 -6.9 0.9
SAL3Yr Growth -1.2 0.3 5.4 -1.5 -3.1 -0.4 0.8 -3.4 -2.5 8.8
ROA -1.2 6.3 -9.0 -2.6 -4.0 -2.3 -1.0 5.3 2.7 7.3
ROE -1.2 4.7 -8.9 -2.4 -1.3 0.5 -0.9 1.1 2.0 9.7
ROIC -1.2 5.5 -10.8 -0.8 -2.2 -0.5 -1.0 2.7 2.7 7.3
GPOA -1.2 4.1 -2.6 2.9 -2.4 1.4 -3.3 3.5 2.9 -2.3
Value 2.0 -0.1 6.1 -1.2 7.2 0.4 1.0 -3.8 -6.6 0.0
Momentum -1.2 1.1 -0.1 -4.2 -0.4 -0.5 -2.8 -0.8 0.1 4.0
Quality -1.2 1.4 4.8 -1.6 -2.8 0.8 3.2 -4.1 8.4 -5.3
Growth -0.4 1.4 4.7 1.9 2.1 -2.5 -2.2 -1.4 -2.4 -2.0
Profitability -1.2 6.2 -9.1 -3.5 -3.2 -1.4 -0.2 3.5 3.4 6.2
Value+Momentum 2.4 -2.4 -3.5 2.3 1.5 0.5 0.9 -1.6 -6.9 8.1
Quality Income -1.2 -3.3 -6.1 4.2 -6.6 -4.9 31.0 -7.0 -8.7 3.9
Graham & Rea -1.2 7.8 -9.6 19.4 -6.6 0.7 -5.4 -1.4 -8.7 9.9
Greenblatt 0.0 2.7 0.5 -1.9 0.6 -1.3 -3.0 -1.0 -5.1 7.9
13 August 2018 24
US Styles
13 August 2018 25
US Style Performance
Last Last Since
Style
Return
145
Value 2.8 0.6 5.0
Momentum -1.6 1.3 6.2 135
Quality 0.1 3.9 -4.6 125
Growth -0.3 4.0 -1.5
115
Value+Momentum 0.5 1.6 7.8 105
% positive months
95
Value 41.7 51.0
Momentum 50.0 58.3
85
Apr-14
Apr-15
Oct-15
Apr-18
Oct-13
Oct-14
Apr-16
Oct-16
Apr-17
Oct-17
Jul-13
Jan-14
Jan-15
Jan-16
Jan-17
Jul-17
Jan-18
Jul-18
Jul-14
Jul-15
Jul-16
Quality 55.0 48.1
Growth 55.0 50.4
Last Last Since
Style
Return
Value 0.8 0.6 2.8 115
Momentum -0.9 -0.3 3.1
110
Quality -0.1 1.4 -1.8
Growth -0.7 2.1 -1.1 105
Value+Momentum 0.5 -0.7 2.7
100
% positive months
95
Value 45.0 53.9
Momentum 50.0 55.7 90
Apr-14
Apr-15
Oct-16
Oct-13
Oct-14
Oct-15
Apr-16
Apr-17
Oct-17
Apr-18
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Jan-15
Jan-16
Jan-14
Jan-17
Jan-18
Quality 51.7 48.1
Growth 50.0 50.1
Last Last Since
Style 135
Month 5 years 1990
Return 130
Quality Income -0.6 4.1 -1.2 125
Graham & Rea -0.2 -1.3 4.3 120
Greenblatt 0.9 0.7 2.1 115
Graham & Rea 48.3 51.6 100
Oct-13
Apr-14
Oct-14
Apr-15
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Apr-18
Jul-16
Jul-17
Jul-18
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16
Jan-17
Jan-18

13 August 2018 26
US Style Performance – annualized return and risk stats (1990-last month)

PE 1.4 1.7 25.9 63.6 34.4 -12.8 15.3 51.3 1.2 1.0 0.15 13.1 12.7 11.0 10.3 10.5 0.68 0.84 0.81 0.69 0.49
FY1 PE 2.0 1.5 27.8 65.2 41.8 -10.1 14.3 53.6 1.7 1.3 0.20 12.8 13.0 12.7 9.7 9.8 0.64 0.83 0.90 0.67 0.48
PB 2.8 1.5 18.3 70.0 36.3 -9.6 24.7 50.1 0.3 1.6 0.24 12.4 12.2 11.4 11.6 9.9 0.54 0.76 0.79 0.80 0.61
PFCF 5.1 3.2 23.4 56.4 27.5 -10.0 11.2 57.1 2.3 3.2 0.57 15.1 13.4 10.5 10.0 8.6 0.86 0.88 0.72 0.69 0.42
EVEBITDA 5.4 3.0 22.6 53.3 23.4 -8.7 11.8 54.8 1.9 3.1 0.55 14.5 13.2 11.9 9.2 8.5 0.73 0.84 0.79 0.60 0.48
Yield -2.2 -0.2 13.1 63.4 66.9 -20.2 21.5 49.0 0.7 -0.2 -0.12 11.9 13.3 10.9 9.9 11.1 0.75 0.88 0.71 0.59 0.48
BB 3.1 2.6 15.9 60.8 38.4 -19.2 16.2 52.2 1.5 1.7 0.27 14.5 11.7 11.5 10.4 9.5 0.84 0.79 0.77 0.62 0.45
DY+BB 1.9 1.9 18.0 64.8 52.5 -18.5 19.7 50.4 1.6 1.1 0.13 13.7 13.5 11.0 9.7 9.0 0.78 0.92 0.75 0.60 0.39
DY+BB+DEBT 3.5 1.9 18.2 60.3 18.5 -7.6 9.2 57.7 1.3 2.9 0.51 13.6 13.4 10.4 10.7 9.1 0.77 0.92 0.67 0.64 0.46
R12m-1m 1.9 2.0 49.9 51.0 71.1 -41.8 19.8 54.8 2.1 1.1 0.09 14.4 12.1 11.4 11.1 7.0 0.89 0.89 0.78 0.65 0.26
R3m-1m -1.9 -0.6 114.8 56.6 63.2 -31.3 24.9 48.7 -0.1 -0.1 -0.11 11.3 11.2 11.7 12.7 9.9 0.70 0.79 0.79 0.78 0.40
IMOM12m-1m 6.2 3.1 63.5 54.9 37.0 -24.7 24.9 58.3 2.2 2.4 0.37 15.3 12.8 12.2 11.2 5.3 0.95 0.90 0.84 0.68 0.21
IMOM3m-1m 1.1 0.5 117.7 56.0 38.4 -17.7 22.6 47.8 0.0 0.8 0.08 12.3 11.3 12.2 12.4 8.8 0.73 0.80 0.82 0.78 0.38
EPS MOM 3.4 2.4 93.3 52.6 42.7 -26.8 16.5 55.1 2.1 1.7 0.26 14.3 12.3 11.9 10.7 8.2 0.83 0.87 0.84 0.65 0.35
R1m 2.7 1.1 151.8 69.2 42.3 -12.0 13.7 55.4 1.7 1.6 0.25 11.9 13.0 12.1 10.8 9.7 0.53 0.81 0.82 0.75 0.59
IREV1m 4.6 1.8 154.9 67.1 29.4 -11.0 15.2 53.1 2.4 2.4 0.39 12.8 14.3 12.6 9.6 8.2 0.57 0.90 0.86 0.66 0.47
Volatility -4.7 -1.5 23.9 35.8 85.1 -35.0 31.3 50.1 0.8 -0.3 -0.18 11.4 12.0 12.0 11.6 8.8 1.07 0.87 0.75 0.62 0.30
Beta -6.1 -2.6 13.3 46.7 90.3 -37.9 31.0 49.0 -0.1 -0.8 -0.26 10.0 12.2 12.2 11.5 10.0 0.88 0.93 0.79 0.60 0.35
Merton -4.4 -1.5 22.8 36.2 85.2 -36.3 25.0 50.4 0.6 -0.4 -0.20 11.2 11.7 11.8 11.8 9.6 1.04 0.93 0.76 0.63 0.34
Piotroski 0.9 0.7 16.7 47.7 48.1 -26.4 11.1 53.9 0.7 0.08 12.7 11.4 9.2 0.86 0.71 0.41
FY1 Growth 1.0 0.4 23.0 58.3 43.2 -19.4 12.1 53.4 1.0 0.8 0.08 11.6 11.6 12.7 12.1 9.5 0.57 0.77 0.92 0.80 0.44
FY2 Growth -1.2 -1.1 23.3 67.9 65.1 -16.6 19.4 51.3 -0.6 0.0 -0.08 9.4 11.8 12.8 12.1 11.3 0.39 0.68 0.85 0.85 0.74
EPS3Yr Growth -1.5 -0.7 15.6 55.1 56.4 -21.9 11.8 50.7 0.5 -0.3 -0.12 10.8 11.2 12.8 12.4 10.6 0.62 0.73 0.92 0.79 0.48
SAL3Yr Growth -2.7 -2.2 8.9 62.0 59.4 -14.0 12.1 51.0 -0.4 -1.2 -0.27 8.7 11.7 12.9 13.1 11.7 0.44 0.73 0.86 0.87 0.67
ROA -0.7 0.4 8.9 48.4 55.6 -18.7 8.7 50.1 0.5 -0.1 -0.07 12.3 11.6 11.8 10.7 11.2 0.78 0.80 0.77 0.63 0.51
ROE 0.6 1.0 10.4 50.3 46.1 -18.4 8.6 51.9 0.9 0.6 0.06 12.9 12.2 11.1 11.3 10.4 0.82 0.81 0.75 0.69 0.48
ROIC 0.3 1.1 9.5 48.5 50.1 -18.8 9.2 51.3 0.9 0.5 0.03 13.1 12.5 10.9 10.3 10.9 0.84 0.83 0.75 0.60 0.50
GPOA 2.2 1.6 7.4 46.6 32.8 -12.4 9.9 54.2 1.0 1.5 0.24 13.7 11.5 11.2 10.7 9.9 0.90 0.72 0.72 0.61 0.49
Value 5.0 2.8 29.7 62.0 35.0 -9.9 15.8 51.0 1.9 2.8 0.49 14.5 12.8 11.7 10.2 8.7 0.77 0.76 0.77 0.65 0.50
Momentum 6.2 3.1 63.5 54.9 37.0 -24.7 24.9 58.3 2.0 2.4 0.37 15.3 12.8 12.2 11.2 5.3 0.95 0.90 0.84 0.68 0.21
Quality -4.6 -1.8 22.6 35.1 86.9 -36.9 26.6 48.1 0.5 -0.3 -0.19 11.1 11.9 11.9 11.6 8.7 1.08 0.91 0.77 0.59 0.30
Growth -1.5 -1.1 25.7 64.0 64.0 -21.3 13.9 50.4 0.1 -0.3 -0.12 10.1 11.4 11.5 12.7 11.4 0.51 0.71 0.67 0.79 0.68
Profitability 1.0 1.0 12.1 48.1 47.8 -17.9 9.0 54.5 0.9 0.8 0.10 13.1 12.0 10.9 11.4 10.1 0.86 0.80 0.71 0.68 0.47
Value+Momentum 7.8 2.7 58.9 57.1 22.0 -14.4 21.1 56.9 2.8 3.6 0.65 14.9 13.8 13.3 9.9 4.8 0.93 0.90 0.84 0.61 0.23
Quality Income -1.4 -1.2 45.3 26.1 58.9 -17.1 18.1 50.4 -0.1 -0.09 12.0 11.7 0.93 0.71
Graham & Rea 4.3 4.3 54.5 55.0 32.7 -13.3 35.8 51.3 1.9 0.28 16.0 11.6 0.68 0.75
Greenblatt 2.8 2.1 20.6 50.5 52.6 -24.3 18.8 54.2 1.4 0.20 14.0 12.5 11.6 10.5 8.3 0.83 0.83 0.79 0.67 0.36
13 August 2018 27
US Style Performance per period (Q1-Q5, 5-year returns shown annualized)

PE -1.1 -2.4 15.9 -2.6 -4.9 5.3 -4.2 -0.5 -1.3 1.2 10.1 -1.0 0.4 0.2 -2.6 -2.1 -1.8 -2.2 2.0
FY1 PE 2.2 -3.6 13.4 0.7 -11.3 -2.4 -2.9 16.2 2.8 -2.1 6.4 2.7 -2.1 -1.9 -1.3 -0.1 -3.3 -3.0 2.8
PB 6.0 -3.5 11.8 3.0 6.4 -8.1 4.6 10.8 -6.3 -9.1 13.2 -4.6 -0.9 -1.4 -1.5 -0.6 -2.3 0.2 1.1
PFCF 6.4 3.0 18.4 1.1 -4.0 5.0 -2.5 7.6 6.0 -0.3 -2.1 -2.6 1.4 -0.5 -0.4 0.0 -1.6 -0.5 0.9
EVEBITDA 2.1 3.9 17.1 9.6 -6.0 7.3 0.3 10.8 -0.3 -12.2 16.1 -6.7 -2.3 -2.1 -1.2 -1.2 -2.7 -1.1 1.7
Yield -3.6 -11.6 9.4 -5.2 -1.8 19.1 -7.5 -12.8 5.8 -2.4 19.4 -7.2 -7.1 -2.6 2.3 0.7 -1.3 -0.1 0.5
BB 0.4 -0.1 12.9 1.0 -2.3 8.3 0.2 19.2 -3.1 -3.8 3.9 3.3 2.5 -0.5 -3.1 0.3 -1.9 -0.9 1.7
DY+BB -0.7 -7.3 14.9 1.4 -5.5 15.9 -2.8 7.8 2.4 -3.6 14.7 -3.6 0.2 -0.2 -1.3 1.1 -3.0 -0.2 0.5
DY+BB+DEBT 6.0 -2.1 8.9 4.5 -0.5 3.2 2.7 13.7 0.9 -3.3 2.2 -0.3 1.9 -0.7 -1.6 -1.4 -1.3 -0.4 1.1
R12m-1m 4.7 14.0 -2.5 -9.4 2.4 2.0 -0.3 12.8 -0.3 28.5 -20.9 7.2 3.7 3.2 -0.6 -2.1 3.6 -3.9 -1.1
R3m-1m -0.9 1.5 -1.7 -10.7 -3.6 2.8 -3.3 -0.8 10.2 8.4 -15.2 15.3 0.4 -1.5 -2.4 -1.9 3.1 0.3 -1.7
IMOM12m-1m 10.0 10.0 14.2 -1.0 -4.6 14.5 -6.1 8.9 -1.9 17.3 -10.9 -0.5 1.4 1.9 0.0 -0.9 3.3 -2.4 -1.6
IMOM3m-1m -0.8 -0.9 11.1 -4.7 -2.6 7.5 -4.6 0.1 6.6 6.2 -6.6 11.6 -1.5 -2.1 -2.7 -2.0 4.5 0.0 -2.3
EPS MOM 4.7 9.6 -5.5 4.2 7.0 4.3 -5.1 -2.8 11.6 19.3 -4.1 7.5 1.0 0.0 -0.4 1.4 1.6 -1.2 -1.6
R1m 7.1 8.8 4.3 -5.2 8.8 -1.5 6.9 -3.6 -4.9 -2.6 1.3 0.5 -0.6 -1.6 -1.5 -0.4 1.6 0.5 3.3
IREV1m -1.8 9.4 11.7 0.4 18.4 -5.9 13.8 -5.3 -1.3 15.1 1.1 1.3 -0.8 -2.6 0.8 -0.8 0.3 1.0 3.9
Volatility -6.9 -14.4 1.2 -4.8 -17.5 24.4 -12.7 -11.2 11.5 21.4 -7.3 -1.8 -3.8 -0.1 3.0 -1.3 -3.4 0.1 2.7
Beta -8.8 -17.2 3.8 -11.4 -17.8 20.3 -11.1 -8.9 22.1 22.6 -8.9 -6.4 -4.4 -0.2 3.0 1.1 -2.6 4.9 -1.1
Merton -4.9 -6.8 -4.3 -9.1 -15.8 17.5 -7.1 -10.1 8.1 27.0 -18.8 10.4 0.9 1.4 1.1 -4.0 0.6 -1.3 2.2
Piotroski -4.6 1.7 12.3 -7.0 1.0 8.2 1.8 -3.9 1.3 11.8 -9.8 10.7 1.1 1.2 1.1 0.4 -0.5 -2.6 0.4
Earnings Quality 3.9 7.8 3.3 2.7 -4.1 0.6 -5.0 -1.7 -5.7 -3.9 -2.1 1.7 2.8 -0.4 0.5 1.9 1.9 -1.4 -0.6
FY1 Growth 2.2 2.2 -7.1 1.7 6.5 -8.6 10.7 5.4 2.8 15.5 -13.7 15.7 2.6 -1.0 3.0 2.1 1.6 -2.7 -1.1
FY2 Growth 2.0 6.8 -10.4 -1.5 5.9 -16.0 0.0 6.5 -7.5 -1.7 -2.0 -0.8 2.9 -1.3 -0.7 1.4 1.5 -0.2 0.0
EPS3Yr Growth -7.1 1.2 -3.2 -1.6 -7.9 7.9 3.4 -1.9 1.5 12.4 -5.2 5.1 1.7 1.5 -1.8 -1.7 0.3 -0.8 0.3
SAL3Yr Growth -2.5 -0.1 -9.3 0.9 -3.4 -1.9 -2.8 -2.1 -7.4 8.8 -16.1 4.3 1.3 3.9 -0.8 -4.0 0.8 0.7 -1.1
ROA -3.0 1.7 4.6 -4.8 -7.2 9.9 -7.1 -12.0 -3.0 2.7 -6.6 10.6 0.7 1.3 0.4 -1.5 0.5 -0.2 1.6
ROE -3.1 6.7 2.3 -1.1 -9.7 10.7 -8.4 -9.4 0.2 6.1 -1.3 8.7 1.2 1.0 -0.5 -1.5 0.0 -0.6 1.2
ROIC -2.4 3.6 3.5 -2.8 -6.7 13.2 -7.6 -9.0 -3.2 8.8 -2.7 9.7 1.1 1.2 -0.6 -1.2 0.5 -0.5 1.1
GPOA 0.2 4.2 8.4 -0.2 -2.5 13.3 -5.5 -7.3 -0.1 -2.1 -5.7 4.4 -0.1 0.8 1.7 0.9 2.7 0.9 1.2
Value 4.4 -1.4 22.0 3.9 -4.0 1.2 -3.4 14.5 0.6 -5.8 14.4 -1.8 -0.6 -1.5 -2.1 -0.7 -3.3 -1.8 2.8
Momentum 10.0 10.0 14.2 -1.0 -4.6 14.5 -6.1 8.9 -1.9 17.3 -10.9 -0.5 1.4 1.9 0.0 -0.9 3.3 -2.4 -1.6
Quality -7.1 -12.5 0.4 -6.8 -16.6 24.0 -14.5 -11.6 19.1 27.2 -13.7 -2.2 -3.7 0.4 3.7 -0.3 -0.7 2.9 0.1
Growth -0.6 5.2 -13.7 -1.2 2.3 -8.1 5.1 4.4 -5.4 15.6 -15.6 13.8 5.3 1.4 -0.7 -0.9 3.0 -1.8 -0.3
Profitability -1.7 4.3 6.2 -2.5 -6.8 12.0 -7.4 -9.9 -2.4 6.9 -4.2 9.3 0.6 1.6 0.0 -1.2 1.6 -0.2 1.4
Value+Momentum 7.7 8.9 24.8 1.8 -5.7 9.6 -5.0 16.5 -3.2 13.3 0.3 0.6 0.0 -0.3 -2.1 -1.6 -0.7 -3.3 0.5
Quality Income -6.6 -7.6 3.5 -0.5 -7.4 22.0 -7.9 -11.4 11.5 11.3 7.1 -2.4 -1.9 -3.3 3.1 2.5 1.5 0.8 -0.6
Graham & Rea 5.7 -3.8 20.2 7.9 -27.8 15.7 15.7 0.3 -7.9 2.1 -3.9 -3.2 -1.6 -1.7 -2.5 3.6 1.0 0.1 -0.1
Greenblatt 0.7 -3.5 14.0 -0.5 -8.5 18.0 1.6 7.8 6.2 15.8 -5.1 3.2 1.2 1.1 -2.5 -4.3 -2.7 0.4 3.1
13 August 2018 28
US Styles current sector exposures (sector weight in Q1 minus sector weight in Universe)
PE 1.5 -1.7 0.5 3.4 0.4 -4.4 4.2 -2.0 -0.3 -1.6
FY1 PE 2.3 -0.9 2.1 5.0 -1.2 -6.1 -4.0 2.9 0.5 -0.8
PB -0.1 5.0 0.6 2.7 -2.8 -5.2 1.0 -1.1 0.5 -0.7
PFCF 3.9 1.0 9.7 -21.2 2.3 -6.7 6.0 1.7 0.9 2.4
EVEBITDA 4.0 2.2 9.9 -21.2 0.3 -2.4 0.9 5.0 -0.1 1.5
Yield -2.6 2.3 -3.7 13.7 -7.8 -9.4 0.0 -6.1 1.3 12.2
BB -3.4 -0.1 12.6 11.3 -1.3 -5.3 -4.9 -2.9 -1.1 -4.9
DY+BB -3.4 3.9 8.8 15.5 -3.4 -5.7 -5.6 -5.8 -0.3 -4.0
DY+BB+DEBT 2.6 0.6 3.8 9.8 -5.0 -3.9 -2.2 -2.3 -1.1 -2.3
R12m-1m -1.8 -2.5 8.7 -15.5 -2.8 1.3 7.5 11.1 -1.1 -4.9
R3m-1m 0.7 2.4 4.6 -9.8 0.4 -3.6 5.8 4.6 -1.1 -4.0
IMOM12m-1m 1.5 -2.5 12.0 -13.9 -2.0 -3.6 6.6 5.4 -1.1 -2.4
IMOM3m-1m -0.1 4.1 5.4 -9.8 0.4 -4.4 6.6 1.3 -1.1 -2.4
EPS MOM 0.7 -2.5 -1.1 -4.8 -4.5 -5.2 18.9 2.9 -1.1 -3.2
R1m 0.7 6.4 2.8 -8.2 0.4 5.3 -2.4 -0.4 -1.1 -3.2
IREV1m -1.8 5.6 4.4 -3.3 -4.5 -2.9 4.1 2.0 -1.1 -2.4
Volatility -1.8 -4.2 -8.6 19.4 -2.9 -1.3 -5.7 -8.6 -1.1 14.6
Beta -1.0 8.0 -4.5 4.0 -6.1 -9.4 -4.0 -5.3 1.3 17.1
Merton -1.3 2.0 1.4 -21.2 10.6 4.7 -5.4 11.1 0.9 -2.8
Piotroski 3.3 -2.1 3.2 -21.2 -0.3 4.7 5.6 7.9 -0.2 -0.8
Earnings Quality 2.7 0.6 2.9 -21.2 0.9 -3.0 5.6 8.4 -1.1 4.2
FY1 Growth 1.6 -6.5 -8.5 11.0 -6.9 -4.3 18.3 0.6 -1.1 -4.0
FY2 Growth -0.1 -2.5 0.5 -8.1 -1.2 -2.8 17.3 -0.4 2.1 -4.9
EPS3Yr Growth 0.7 -0.8 0.6 -0.6 -0.3 -1.8 -1.5 2.2 3.8 -2.4
SAL3Yr Growth -1.8 0.1 -2.7 -2.2 7.1 -3.5 -1.5 8.8 -1.1 -3.2
ROA -0.2 1.5 2.8 -6.6 1.2 0.4 -0.8 4.4 0.5 -3.2
ROE 1.6 5.3 0.9 -12.8 -0.1 3.4 1.9 3.3 -0.3 -3.2
ROIC -0.2 1.5 3.6 -6.6 1.2 1.2 -1.6 2.8 1.3 -3.2
GPOA -0.7 9.4 17.6 -13.0 -0.2 1.3 -5.6 -2.7 -1.1 -4.9
Value 1.2 -1.4 1.3 4.5 2.6 -4.1 -2.8 2.8 -1.1 -3.0
Momentum 1.5 -2.5 12.0 -13.9 -2.0 -3.6 6.6 5.4 -1.1 -2.4
Quality -1.2 0.8 -8.5 8.5 1.4 -2.0 -4.3 -5.3 -1.1 11.8
Growth -1.1 -4.7 4.7 -2.3 1.9 0.1 2.6 4.1 -0.4 -4.9
Profitability 1.0 2.6 2.8 -6.4 1.6 0.5 -0.6 2.2 -0.4 -3.4
Value+Momentum 0.9 -1.2 5.6 -8.3 6.2 -8.2 7.3 1.1 -1.1 -2.3
Quality Income -3.4 -1.5 -4.3 -21.2 -0.2 -15.1 23.5 -11.8 -1.1 35.1
Graham & Rea 6.6 -1.5 15.7 -21.2 -10.2 -5.1 3.5 -1.8 -1.1 15.1
Greenblatt -2.3 14.3 11.5 -21.2 -0.5 3.2 -6.5 7.5 -1.1 -4.9
13 August 2018 29
UK Styles
13 August 2018 30
UK Style Performance
Last Last Since 178
Style
Month 5 years 1990
Return 168
Value -0.8 4.1 8.3 158
Momentum 0.3 6.3 9.9 148
Quality 2.0 3.7 5.5
138
Growth -0.4 1.3 -1.6
128
Profitability -1.0 5.5 6.8
Value+Momentum -0.4 10.6 14.3 118
Value 58.3 57.4 98
Momentum 53.3 61.8
88
Quality 58.3 57.4
Apr-14
Apr-15
Oct-15
Oct-16
Apr-18
Oct-13
Oct-14
Apr-16
Apr-17
Oct-17
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Jan-15
Jan-16
Jan-14
Jan-17
Jan-18
Growth 60.0 49.9
Last Last Since
Style 120
Month 5 years 1990
Return
Value 0.2 2.6 5.0 115
Momentum -0.1 3.0 3.2
Quality 0.5 1.8 1.8 110
Growth -0.7 1.0 -0.3
Profitability -0.3 2.6 2.9 105
Value+Momentum -0.4 2.9 6.2
Value 56.7 58.6
Momentum 55.0 58.3 95
Apr-14
Apr-15
Oct-17
Oct-13
Oct-14
Oct-15
Apr-16
Oct-16
Apr-17
Apr-18
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Jan-15
Jan-16
Jan-14
Jan-17
Jan-18
Quality 65.0 57.7
Growth 56.7 54.2
Last Last Since 130
Style
Month 5 years 1990
125
Return
120
Quality Income -0.3 3.9 5.7
Graham & Rea 2.4 3.5 5.4 115
Greenblatt -0.3 2.3 5.3 110
Graham & Rea 61.7 56.0 95
Oct-13
Apr-14
Oct-14
Apr-15
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Apr-18
Jul-16
Jul-17
Jul-18
Jul-13
Jan-14
Jul-14
Jan-15
Jul-15
Jan-16
Jan-17
Jan-18

13 August 2018 31
UK Style Performance – annualized return and risk stats (1990-last month)

PE 7.4 4.2 27.9 58.8 31.4 -9.4 18.9 56.9 2.5 3.6 0.64 13.5 10.8 8.2 8.0 5.0 0.69 0.68 0.52 0.51 0.25
FY1 PE 6.7 3.1 31.3 69.0 41.7 -13.8 18.0 56.0 2.8 3.0 0.52 12.1 11.1 9.7 8.6 4.6 0.58 0.66 0.63 0.57 0.25
PB -0.3 -0.2 18.2 72.2 59.4 -13.5 22.8 50.1 -0.2 0.2 -0.03 8.5 9.1 8.9 9.5 9.2 0.40 0.53 0.53 0.61 0.57
PFCF 10.7 4.9 24.8 52.2 14.8 -9.0 18.2 65.6 3.5 6.2 1.17 14.4 11.9 9.0 7.4 2.8 0.76 0.73 0.54 0.46 0.14
EVEBITDA 7.8 4.6 27.0 55.3 45.3 -15.9 22.1 59.2 2.4 3.2 0.54 13.8 10.6 7.4 8.8 5.1 0.66 0.61 0.45 0.55 0.29
Yield 4.3 2.1 23.8 66.1 72.5 -26.3 33.7 52.8 2.5 1.7 0.23 11.5 11.2 10.4 7.7 4.4 0.60 0.69 0.65 0.47 0.20
BB 5.7 2.6 14.4 49.8 36.1 -16.2 20.5 57.4 1.7 2.7 0.46 12.5 9.6 9.6 9.4 4.7 0.78 0.59 0.59 0.56 0.23
DY+BB 4.5 3.0 20.8 55.2 66.4 -22.9 29.2 52.8 1.8 1.9 0.28 12.4 10.5 9.6 7.0 5.7 0.65 0.66 0.62 0.42 0.26
DY+BB+DEBT 5.6 3.2 20.6 55.0 25.1 -9.0 8.0 58.9 1.8 3.8 0.69 12.8 10.1 8.4 8.6 6.0 0.72 0.67 0.50 0.51 0.30
R12m-1m 10.3 5.0 50.0 49.2 64.8 -32.4 24.1 62.7 4.2 3.0 0.48 15.2 12.4 11.1 7.2 0.4 0.86 0.86 0.71 0.41 0.02
R3m-1m 4.8 1.7 117.0 64.9 58.9 -18.4 26.5 55.4 0.7 1.9 0.28 11.3 9.3 10.6 10.8 3.6 0.64 0.60 0.69 0.66 0.16
IMOM12m-1m 9.9 3.2 64.1 45.8 45.9 -19.4 19.4 61.8 3.5 3.6 0.63 13.0 13.4 12.3 7.7 0.5 0.77 0.87 0.81 0.45 0.02
IMOM3m-1m 5.5 1.7 120.6 58.8 40.5 -18.6 22.2 55.1 0.7 2.4 0.39 11.3 9.6 10.8 10.4 3.8 0.62 0.61 0.71 0.63 0.18
EPS MOM 6.0 1.5 98.3 54.9 37.2 -19.1 10.7 62.1 2.5 2.9 0.50 11.0 12.0 11.8 9.0 3.0 0.64 0.80 0.77 0.54 0.14
R1m 4.4 0.6 154.6 65.0 40.8 -14.2 14.5 57.1 3.6 2.3 0.38 9.1 13.3 11.7 7.1 4.8 0.42 0.80 0.78 0.46 0.28
IREV1m 3.6 -0.1 156.0 66.2 50.9 -23.9 13.7 56.0 3.4 1.8 0.27 8.5 12.9 10.9 8.7 4.8 0.39 0.78 0.71 0.55 0.28
Volatility 4.6 1.5 27.9 35.4 56.0 -29.5 31.7 55.4 2.5 1.7 0.23 12.0 11.6 11.1 8.5 1.9 0.99 0.80 0.69 0.45 0.07
Beta 1.5 0.4 16.2 37.1 56.2 -26.9 18.1 53.6 1.2 0.9 0.09 10.8 10.5 9.8 9.4 4.8 0.89 0.73 0.59 0.50 0.19
Merton 2.7 1.5 26.5 34.1 57.9 -33.7 17.5 56.6 2.0 1.3 0.15 11.7 11.7 9.5 8.4 4.5 0.90 0.82 0.57 0.47 0.18
Piotroski 7.3 3.3 14.1 43.0 34.2 -12.6 20.4 58.9 3.3 0.58 13.2 9.0 3.2 0.87 0.56 0.15
FY1 Growth 1.3 0.6 25.9 70.2 50.7 -16.6 12.2 54.5 1.2 1.0 0.13 9.6 10.4 10.0 8.4 7.5 0.49 0.65 0.68 0.52 0.37
FY2 Growth -7.2 -4.1 29.3 81.1 89.1 -19.9 14.5 42.9 -1.9 -2.5 -0.52 4.2 8.4 10.1 11.1 12.3 0.19 0.50 0.66 0.71 0.71
EPS3Yr Growth 4.8 1.2 17.2 47.5 30.0 -18.5 10.2 57.4 2.3 2.5 0.42 10.6 11.8 10.8 8.0 4.1 0.63 0.73 0.70 0.49 0.19
SAL3Yr Growth -6.4 -3.3 10.8 72.9 84.9 -18.7 18.7 45.2 -0.9 -2.6 -0.53 5.5 8.7 10.1 10.1 12.2 0.29 0.51 0.63 0.62 0.70
ROA 6.7 2.7 12.1 44.3 31.4 -7.6 11.2 58.6 2.5 3.9 0.70 12.5 10.4 8.8 10.4 3.9 0.79 0.66 0.57 0.61 0.19
ROE 6.1 3.2 11.8 39.9 32.8 -9.7 12.0 57.4 2.5 3.6 0.64 13.1 10.0 9.0 8.4 5.2 0.83 0.64 0.55 0.50 0.25
ROIC 6.4 2.7 12.2 42.6 36.0 -8.2 11.0 58.3 2.7 3.7 0.66 12.5 11.2 9.7 8.0 4.3 0.79 0.73 0.61 0.47 0.20
GPOA 3.9 1.9 9.5 46.9 32.7 -6.6 11.3 57.1 1.4 2.8 0.50 11.5 8.9 9.8 8.3 6.7 0.69 0.54 0.61 0.49 0.36
Value 8.3 5.0 32.5 59.9 38.2 -13.2 23.5 57.4 3.0 3.6 0.64 14.4 11.4 8.5 6.4 5.2 0.74 0.66 0.51 0.41 0.30
Momentum 9.9 3.2 64.1 45.8 45.9 -19.4 19.4 61.8 3.4 3.6 0.63 13.0 13.4 12.3 7.7 0.5 0.77 0.87 0.81 0.45 0.02
Quality 5.5 1.8 28.1 31.3 53.1 -31.5 25.0 57.4 2.6 2.0 0.28 12.5 11.5 9.6 9.5 1.7 1.09 0.81 0.60 0.49 0.07
Growth -1.6 -0.3 27.0 70.3 66.1 -19.0 16.7 49.9 0.2 -0.3 -0.12 8.9 8.5 8.2 10.5 10.0 0.47 0.50 0.49 0.65 0.55
Profitability 6.8 2.9 13.1 42.2 34.5 -8.9 10.2 61.2 2.5 4.1 0.75 12.7 10.7 9.8 9.1 4.2 0.81 0.68 0.60 0.56 0.20
Value+Momentum 14.3 6.2 63.1 52.4 20.6 -10.7 17.0 64.7 4.4 6.7 1.27 16.1 13.0 9.3 8.3 0.7 0.95 0.81 0.54 0.49 0.04
Quality Income 5.6 5.7 53.4 29.1 27.5 -9.2 11.9 53.9 2.9 0.49 16.5 9.3 1.14 0.56
Graham & Rea 5.4 5.4 53.0 59.0 55.7 -20.1 20.4 56.9 2.2 0.35 14.7 9.3 0.61 0.58
Greenblatt 10.4 5.3 24.2 48.9 42.7 -16.7 31.6 60.9 3.8 0.66 14.9 10.6 9.6 9.2 2.2 0.81 0.65 0.59 0.59 0.10
13 August 2018 32
UK Style Performance per period (Q1-Q5, 5-year returns shown annualized)

PE 4.2 0.9 28.1 1.0 10.1 18.9 0.0 9.9 5.7 14.3 -13.2 4.2 0.3 1.1 2.2 3.1 -1.9 -0.2 1.4
FY1 PE 3.7 2.4 38.8 -3.6 -8.2 -3.1 15.0 7.4 6.1 4.1 -6.8 3.9 -0.7 0.1 -1.6 4.4 -3.9 -3.2 -0.3
PB 0.9 -6.3 17.1 -5.1 -12.6 -12.3 7.8 -5.7 -5.7 -13.7 16.9 -1.3 -0.3 -1.6 2.4 2.2 -3.6 -0.7 -1.1
PFCF 11.3 6.1 25.2 2.5 5.1 11.3 23.9 13.5 10.5 5.4 22.5 -1.7 -0.8 0.7 3.1 3.1 -2.1 -3.1 -0.5
EVEBITDA 12.6 -3.1 41.9 5.7 0.7 -8.7 -0.4 -15.5 -3.6 -10.1 6.3 6.1 -0.7 -1.4 0.7 3.2 -3.0 -1.6 -0.4
Yield 4.8 -13.9 50.5 -13.7 1.4 12.2 15.0 9.5 4.8 11.0 1.8 -7.0 -3.9 -0.6 0.7 3.1 -4.2 -1.2 1.9
BB 3.1 0.9 19.3 6.7 10.4 0.9 9.6 0.3 -4.1 -9.7 5.8 6.2 2.2 -4.7 0.2 1.2 0.6 1.0 0.2
DY+BB 4.4 -10.6 28.1 4.1 1.4 6.0 13.7 -6.2 -1.2 -2.1 17.4 -6.6 -3.3 -0.2 -0.3 2.6 -3.4 0.6 1.1
DY+BB+DEBT 7.7 0.9 13.3 1.2 0.3 -0.4 18.1 16.7 6.8 2.1 6.3 -0.5 1.9 -0.6 -1.1 2.9 -3.8 -0.4 0.6
R12m-1m 11.8 23.5 -1.0 -1.3 28.5 19.4 2.6 55.1 13.2 36.7 -9.6 7.7 3.9 2.0 -0.7 -4.4 2.1 -2.7 0.8
R3m-1m 9.6 9.6 -5.4 8.4 1.8 3.1 0.8 11.0 1.4 9.4 4.1 -1.6 3.9 0.8 -0.6 -3.0 1.1 -0.5 0.0
IMOM12m-1m 13.9 14.5 11.7 -1.6 4.6 18.4 13.3 31.2 1.3 16.3 8.7 -0.3 3.6 -0.8 1.3 -1.5 1.7 -0.8 0.3
IMOM3m-1m 11.4 9.1 3.4 5.5 1.2 0.2 -1.0 5.9 -3.9 0.6 9.9 -4.9 2.9 0.4 1.4 -2.0 0.0 0.5 0.6
EPS MOM 7.3 10.4 2.8 1.2 7.5 15.5 -2.5 24.7 18.4 23.3 -15.5 1.4 0.5 1.7 0.9 -2.9 -0.1 -1.7 -0.5
R1m 4.9 7.4 13.2 -5.8 9.8 -5.4 7.1 -6.9 6.7 4.1 22.0 -3.9 1.8 -2.9 2.7 2.6 0.9 -3.6 1.0
IREV1m 7.4 5.1 0.0 -5.3 15.9 4.6 7.8 -8.6 7.9 20.0 24.4 -2.4 2.2 -3.0 2.9 2.2 1.5 -3.1 1.1
Volatility 6.2 -5.3 29.1 -6.1 -4.2 34.1 -4.0 8.3 10.2 22.6 -26.1 -0.1 3.3 -1.4 1.9 -4.1 -0.5 2.2 -0.2
Beta 2.3 -5.3 23.5 -5.9 -15.9 11.5 -11.5 -7.2 9.9 20.7 -11.0 -6.0 -2.3 2.6 -2.3 -1.4 -1.8 3.0 3.0
Merton 4.6 2.5 2.6 -5.3 7.6 26.7 -2.9 11.5 8.5 33.0 -26.2 7.5 4.1 2.9 0.7 -6.1 2.6 1.1 -0.5
Piotroski 8.0 3.3 19.8 -2.1 4.7 12.3 4.2 20.6 21.6 34.4 -29.6 5.0 4.1 4.0 3.2 -0.8 0.9 0.3 -1.5
Earnings Quality 3.4 6.3 5.1 8.0 6.7 4.5 -2.6 6.3 14.9 16.7 -6.4 0.8 0.6 -0.8 -0.6 -0.5 2.1 -1.2 0.7
FY1 Growth 0.8 6.7 -8.4 -0.3 -0.3 -10.2 10.4 16.1 15.6 17.7 -10.9 14.3 2.3 1.8 0.8 -3.3 0.6 -2.0 1.0
FY2 Growth -6.7 3.7 -22.0 -4.5 0.0 -15.5 -10.7 -10.8 -1.2 -7.2 -1.7 3.4 0.8 -0.9 0.1 -2.7 0.0 -1.4 -0.3
EPS3Yr Growth 3.5 6.4 3.2 5.1 13.1 10.6 2.6 14.4 1.9 27.3 -29.8 16.0 0.9 2.4 -0.8 0.1 -0.8 0.3 -1.7
SAL3Yr Growth -12.5 1.0 -19.2 6.3 -1.0 1.1 -12.7 -7.9 1.4 11.3 -30.8 2.2 0.1 1.5 -3.4 -2.5 1.2 -2.3 -1.9
ROA 6.4 5.5 11.4 3.7 11.3 29.5 1.7 2.0 -0.9 19.8 -13.2 11.5 0.9 1.7 1.6 -2.0 -1.2 1.0 -1.1
ROE 3.9 6.5 9.2 6.4 6.7 29.9 -1.6 -3.6 -0.9 23.7 -13.6 5.0 1.4 2.8 0.8 -2.5 0.9 1.1 0.8
ROIC 5.0 6.0 9.0 7.3 3.8 21.9 -3.3 2.7 0.9 23.3 -13.5 13.0 1.9 2.5 1.9 -2.2 -1.2 0.3 -1.5
GPOA 0.0 0.9 7.0 2.9 19.8 7.4 4.4 6.5 1.0 10.5 -2.6 16.4 -0.8 2.2 -0.3 -4.8 0.9 -1.6 0.8
Value 10.9 -0.9 40.1 -1.8 -6.4 4.3 6.1 1.0 6.7 4.7 6.0 1.0 -1.6 0.7 1.7 3.9 -3.0 -2.3 -0.8
Momentum 13.9 14.5 11.7 -1.6 4.6 18.4 13.3 31.2 1.3 16.3 8.7 -0.3 3.6 -0.8 1.3 -1.5 1.7 -0.8 0.3
Quality 6.5 -2.6 27.1 -2.9 -8.5 27.1 -10.0 3.9 12.0 30.6 -19.9 1.9 2.0 0.8 0.2 -4.6 0.6 3.8 2.0
Growth -6.5 11.0 -14.8 2.1 9.2 -8.1 -3.8 4.4 8.6 17.5 -26.0 11.4 3.0 2.0 -1.3 -3.0 0.8 -2.5 -0.4
Profitability 6.3 2.8 10.0 6.5 11.9 24.6 1.8 2.3 2.2 22.0 -9.7 12.2 1.7 3.8 0.6 -2.9 0.5 0.4 -1.0
Value+Momentum 18.8 12.5 33.1 0.3 7.1 8.4 15.5 19.7 6.8 12.8 23.9 2.8 2.3 0.6 1.0 2.2 -1.8 -1.8 -0.4
Quality Income 8.8 3.3 16.8 -1.9 -11.3 18.9 1.4 -1.3 16.8 10.1 -3.1 -2.9 -0.4 3.5 -0.3 0.5 3.2 -1.2 -0.6
Graham & Rea 3.8 6.0 28.2 -3.4 -4.6 2.7 -1.8 -8.4 -21.3 9.5 0.2 29.8 -4.2 -2.1 4.0 1.1 -0.6 -3.8 2.6
Greenblatt 11.6 -2.7 50.3 1.3 -3.3 16.5 18.6 9.9 1.7 16.1 -24.2 7.3 -0.4 1.8 -0.6 -2.0 -0.9 0.3 -0.5
13 August 2018 33
UK Styles current sector exposures (sector weight in Q1 minus sector weight in Universe)
PE 1.1 8.2 -5.2 1.9 -2.6 -5.7 3.7 -0.2 0.1 -1.3
FY1 PE 5.8 4.2 -2.2 4.3 -2.7 -2.8 -3.4 -0.3 0.0 -3.0
PB -0.7 -4.1 0.1 7.2 0.9 -3.9 -1.6 1.6 0.1 0.5
PFCF 16.1 3.2 8.7 -26.2 0.4 -4.8 1.4 -1.3 0.7 1.7
EVEBITDA 6.6 12.7 6.4 -26.2 -2.0 -2.4 1.4 1.1 0.7 1.7
Yield -0.9 4.2 -5.6 7.7 -4.4 -11.3 1.7 -0.3 3.4 5.5
BB -4.1 -0.4 11.1 2.4 -4.4 -5.4 -1.6 -1.9 3.7 0.6
DY+BB -2.4 5.0 11.1 -3.0 -4.4 -12.5 -1.6 -1.9 5.5 4.1
DY+BB+DEBT 8.4 3.2 2.2 -8.3 -2.6 -7.2 3.8 -3.7 1.9 2.3
R12m-1m 2.6 -4.2 8.4 -10.7 -0.9 -7.7 10.4 6.7 -1.7 -3.0
R3m-1m -0.9 -0.9 -2.2 -17.7 0.7 15.8 1.7 4.8 0.0 -1.3
IMOM12m-1m -4.3 -5.9 13.6 -3.8 -2.6 -7.7 8.7 6.7 -1.7 -3.0
IMOM3m-1m -2.6 4.2 4.6 -21.1 0.7 12.4 0.0 3.1 0.0 -1.3
EPS MOM 2.6 -5.9 -3.7 -7.2 -2.6 -0.8 8.7 3.2 1.8 3.9
R1m -0.9 -2.6 4.6 -12.6 2.4 12.4 -1.7 1.4 0.0 -3.0
IREV1m -0.9 -4.3 2.9 -2.4 -1.0 -1.1 0.0 3.1 0.0 3.8
Volatility -2.6 -4.3 -5.6 23.0 0.7 -2.8 -3.4 -2.0 -1.7 -1.3
Beta -7.7 -2.6 8.0 4.3 -1.0 2.3 -3.4 1.4 0.0 -1.3
Merton 1.8 12.7 6.4 -26.2 5.2 7.1 -3.4 1.1 -1.7 -3.0
Piotroski 8.4 2.7 5.5 -26.2 1.4 8.4 2.4 -2.5 0.6 -0.7
Earnings Quality 16.2 -2.4 -4.4 -26.2 4.3 4.6 7.5 0.7 0.5 -0.8
FY1 Growth 4.4 -4.2 -7.1 -0.3 0.8 -2.5 8.7 -0.2 0.0 0.4
FY2 Growth 2.5 -7.7 -0.5 -2.4 0.7 3.9 5.1 -0.3 0.0 -1.3
EPS3Yr Growth 7.8 2.7 -1.9 -5.5 0.8 0.9 -1.6 -0.2 -1.7 -1.3
SAL3Yr Growth 0.9 1.0 5.0 1.4 6.0 -14.6 -3.4 8.4 -1.7 -3.0
ROA -0.9 -2.6 4.6 -0.8 -2.7 5.6 -1.7 3.1 -1.7 -3.0
ROE 2.6 2.7 6.7 -8.9 -2.6 2.7 -1.6 3.2 -1.7 -3.0
ROIC -0.9 -2.6 8.0 -4.1 -2.7 5.6 -1.7 3.1 -1.7 -3.0
GPOA -3.8 2.7 17.8 -14.4 -0.4 2.1 -3.4 0.2 0.3 -1.1
Value 4.8 6.1 -0.3 3.5 -2.8 -5.9 -3.4 -0.6 1.4 -3.0
Momentum -4.3 -5.9 13.6 -3.8 -2.6 -7.7 8.7 6.7 -1.7 -3.0
Quality -1.6 3.2 -1.1 4.4 1.8 5.1 -3.4 -3.7 -1.7 -3.0
Growth 3.7 -1.1 2.6 -6.2 -0.1 -1.5 -0.5 6.3 -1.7 -1.6
Profitability 0.0 -3.4 7.6 -6.9 -0.5 7.4 -3.4 4.0 -1.7 -3.0
Value+Momentum -3.2 -6.6 10.9 -0.8 -1.4 0.9 5.6 -0.7 -1.7 -3.0
Quality Income 12.3 48.9 -7.4 -26.2 -4.4 -21.5 6.6 -3.7 -1.7 -3.0
Graham & Rea 12.3 58.9 -17.4 -26.2 -4.4 -11.5 -3.4 -3.7 -1.7 -3.0
Greenblatt 2.5 12.0 23.6 -26.2 -1.8 -6.1 -0.8 -1.1 0.9 -3.0
13 August 2018 34
Japan Styles
13 August 2018 35
Japan Style Performance

Last Last Since 140
Style
Month 5 years 1990
Return 130
Value 4.4 -1.1 10.0
Momentum -3.2 -0.3 1.9 120
Quality -3.8 1.1 -1.9
110
Growth -2.9 2.4 -0.9
Profitability -1.3 -1.3 -1.2
100
Value 51.7 63.6
Momentum 51.7 54.5 80
Apr-14
Apr-15
Apr-18
Oct-13
Oct-14
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Jul-13
Jan-14
Jan-15
Jan-16
Jan-17
Jul-17
Jan-18
Jul-18
Jul-14
Jul-15
Jul-16
Quality 55.0 51.6
Growth 50.0 50.4
Last Last Since 120
Style
Month 5 years 1990
Return 115
Value 2.5 0.3 5.0
Momentum -1.5 0.6 1.1 110
Quality -2.0 0.4 -0.1
Growth -1.5 2.1 -0.2
105
Profitability -1.3 0.9 0.3

100
Value 46.7 62.4
Momentum 53.3 52.5 90
Apr-14
Apr-15
Oct-17
Oct-13
Oct-14
Oct-15
Apr-16
Oct-16
Apr-17
Apr-18
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Jan-15
Jan-16
Jan-14
Jan-17
Jan-18
Quality 53.3 51.0
Growth 51.7 49.0
Last Last Since
Style
Return
Quality Income 0.0 -1.3 3.3
Graham & Rea 1.2 -0.2 5.2 105
Greenblatt 1.4 0.8 2.8
% positive months
100
Top Quintile volatility
Graham & Rea 19.0 24.5 90
Oct-13
Apr-14
Oct-14
Apr-15
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Apr-18
Jan-14
Jan-15
Jan-16
Jul-16
Jan-17
Jul-17
Jan-18
Jul-18
Jul-13
Jul-14
Jul-15
13 August 2018 36
Japan Style Performance – annualized return and risk stats (1990-last month)
PE 4.0 4.0 25.7 60.4 31.4 -12.1 9.0 53.4 3.2 2.3 0.38 5.5 2.5 0.5 -0.9 0.2 0.25 0.13 0.03 -0.04 0.01
FY1 PE 3.0 3.5 28.9 64.8 49.0 -14.2 8.5 54.2 3.1 1.7 0.27 5.1 2.3 0.9 -0.6 0.8 0.23 0.12 0.05 -0.03 0.03
PB 8.2 4.9 20.6 61.6 42.8 -17.9 34.2 61.8 3.5 3.5 0.61 6.1 3.4 1.2 -0.8 -2.0 0.25 0.16 0.06 -0.04 -0.10
PFCF 6.8 7.3 25.9 48.8 20.9 -17.1 14.0 58.0 3.7 3.3 0.58 9.1 4.0 3.4 0.9 0.7 0.42 0.22 0.18 0.04 0.03
EVEBITDA 8.9 5.9 22.5 55.1 26.2 -10.5 11.8 59.5 4.1 4.2 0.76 7.9 4.0 1.8 1.1 -2.3 0.39 0.20 0.09 0.05 -0.10
Yield 7.4 4.8 21.3 53.6 39.6 -12.2 18.8 59.2 4.0 3.6 0.65 6.4 3.2 1.2 -1.5 -1.5 0.28 0.15 0.06 -0.08 -0.07
BB 0.1 1.5 19.4 57.7 39.1 -15.1 18.5 51.3 0.7 0.3 0.00 3.7 1.6 2.6 1.8 2.7 0.18 0.08 0.12 0.08 0.12
DY+BB 5.0 3.6 19.1 56.5 35.5 -10.6 15.7 57.7 3.0 2.6 0.45 5.1 5.3 2.1 0.3 -0.5 0.23 0.25 0.10 0.02 -0.02
DY+BB+DEBT 2.6 3.3 17.1 56.1 28.0 -6.0 7.5 58.3 1.5 2.1 0.36 4.6 3.4 2.2 0.8 1.4 0.20 0.18 0.12 0.04 0.06
R12m-1m -3.1 -0.6 52.6 59.1 71.9 -38.7 21.8 53.6 0.6 -0.2 -0.15 1.7 1.4 0.9 2.0 0.8 0.09 0.08 0.04 0.09 0.03
R3m-1m -3.1 0.1 114.5 66.4 68.7 -25.5 16.0 55.4 -0.2 -0.5 -0.18 2.2 0.5 0.6 1.6 2.4 0.11 0.03 0.03 0.07 0.09
IMOM12m-1m 1.9 1.1 68.8 56.9 49.2 -33.1 21.6 54.5 1.8 1.1 0.13 3.1 2.0 2.5 0.9 -1.2 0.15 0.10 0.13 0.04 -0.05
IMOM3m-1m 1.1 1.3 120.3 60.7 41.8 -18.9 15.7 54.8 0.7 0.8 0.08 3.2 0.6 2.0 1.8 0.2 0.16 0.03 0.10 0.08 0.01
EPS MOM 0.8 1.7 94.9 57.5 53.6 -21.1 11.1 55.1 0.6 0.7 0.07 3.3 1.9 0.4 2.7 1.3 0.15 0.10 0.02 0.13 0.05
R1m 10.5 5.7 158.5 63.0 34.4 -13.5 28.9 60.9 5.3 4.0 0.71 6.8 3.5 1.8 -1.0 -3.4 0.27 0.16 0.09 -0.05 -0.17
IREV1m 13.0 6.5 159.2 59.7 25.9 -14.7 21.7 60.9 5.8 5.2 0.96 7.7 4.5 1.7 -0.9 -4.9 0.32 0.21 0.08 -0.04 -0.24
Volatility -2.0 -1.2 26.4 55.0 64.3 -35.4 17.7 50.7 2.8 0.1 -0.09 2.0 1.9 2.3 2.1 -1.5 0.14 0.10 0.11 0.09 -0.05
Beta -0.3 -1.1 9.6 55.1 55.6 -22.4 15.9 51.3 3.1 0.5 -0.01 2.0 3.3 2.8 1.5 -2.6 0.13 0.18 0.13 0.06 -0.09
Merton -4.1 -0.9 19.6 53.6 83.0 -39.8 19.0 51.0 1.9 -0.4 -0.19 2.8 1.9 1.9 2.1 1.2 0.19 0.11 0.09 0.09 0.04
Piotroski -1.3 -0.4 14.1 54.6 61.3 -27.2 11.5 52.8 -0.2 -0.10 2.1 2.7 1.2 0.11 0.13 0.05
FY1 Growth -3.8 -0.9 26.1 71.9 72.4 -19.3 10.0 44.9 -1.4 -2.0 -0.41 0.2 0.5 1.5 2.4 3.9 0.01 0.03 0.08 0.12 0.17
FY2 Growth 1.0 1.2 33.8 74.3 46.8 -8.4 12.4 49.0 -0.2 0.8 0.09 2.1 3.5 0.2 1.6 1.5 0.08 0.17 0.01 0.08 0.07
EPS3Yr Growth -0.7 -0.6 16.2 65.5 40.3 -12.8 9.9 50.4 0.3 -0.1 -0.07 0.8 1.7 1.3 2.8 0.5 0.04 0.08 0.06 0.13 0.02
SAL3Yr Growth 0.1 0.4 9.6 63.6 50.3 -14.4 12.2 51.0 0.3 0.3 0.01 2.2 1.7 1.2 1.8 1.0 0.10 0.09 0.06 0.08 0.04
ROA -1.4 0.0 8.2 60.7 72.5 -21.8 14.4 51.0 1.4 -0.2 -0.11 2.2 2.3 0.3 1.3 1.6 0.11 0.11 0.02 0.06 0.06
ROE -2.1 -0.3 10.8 64.6 71.4 -19.7 12.3 45.8 0.8 -0.6 -0.18 1.4 2.1 1.6 0.9 1.8 0.07 0.11 0.08 0.04 0.07
ROIC -1.8 -0.2 9.7 62.6 74.5 -21.9 14.0 47.8 1.2 -0.4 -0.14 1.8 2.6 0.8 1.1 1.6 0.09 0.14 0.04 0.05 0.06
GPOA 1.7 1.4 5.3 51.1 37.7 -16.1 9.0 52.5 1.5 1.2 0.19 3.7 3.1 1.5 1.4 1.1 0.20 0.15 0.07 0.06 0.05
Value 10.0 5.0 32.3 55.5 21.9 -8.2 11.8 63.6 4.8 5.2 0.97 6.8 2.6 2.3 0.1 -3.8 0.33 0.13 0.11 0.00 -0.17
Momentum 1.9 1.1 68.8 56.9 49.2 -33.1 21.6 54.5 1.7 1.1 0.13 3.1 2.0 2.5 0.9 -1.2 0.15 0.10 0.13 0.04 -0.05
Quality -1.9 -0.1 22.4 48.8 72.5 -35.0 16.6 51.6 3.2 0.2 -0.08 3.3 2.3 1.4 1.1 -1.1 0.23 0.13 0.07 0.04 -0.04
Growth -0.9 -0.2 31.3 67.4 54.2 -14.6 10.6 50.4 -0.3 -0.2 -0.08 1.5 1.6 1.5 1.6 1.7 0.07 0.08 0.07 0.08 0.08
Profitability -1.2 0.3 10.3 61.3 67.9 -23.7 15.0 48.1 1.4 -0.2 -0.10 2.4 1.8 0.9 0.7 1.5 0.12 0.09 0.05 0.03 0.06
Value+Momentum 7.8 3.4 61.4 56.7 23.9 -15.6 16.5 60.1 4.5 3.7 0.66 5.5 3.6 1.8 0.4 -3.8 0.28 0.18 0.09 0.02 -0.16
Quality Income 3.1 3.3 36.5 35.9 34.8 -9.3 10.6 54.5 1.8 0.28 6.9 2.4 0.40 0.12
Graham & Rea 5.6 5.2 51.1 55.3 24.3 -9.7 21.9 51.9 2.7 0.45 7.4 1.9 0.30 0.09
Greenblatt 3.2 2.8 18.2 54.3 42.3 -13.0 10.2 53.4 1.7 0.26 5.5 2.9 1.0 0.9 0.6 0.28 0.15 0.05 0.04 0.03
13 August 2018 37
Japan Style Performance per period (Q1-Q5, 5-year returns shown annualized)
PE 7.1 9.5 4.1 4.1 -3.0 11.5 4.1 -5.4 -1.1 -6.6 3.3 -2.1 -3.0 -0.5 -1.9 2.0 -3.6 -2.2 3.5
FY1 PE 7.9 11.8 2.8 -6.7 2.5 12.2 1.0 3.5 1.1 -4.5 1.5 2.8 -3.1 -0.7 -2.8 1.4 -2.8 -3.1 4.0
PB 16.7 -3.8 21.5 12.4 9.4 -2.4 -3.2 2.5 2.4 7.7 11.5 -11.0 -2.9 1.2 -4.2 3.7 -3.9 -0.4 3.7
PFCF 10.3 16.3 3.5 5.7 4.6 8.7 8.6 -3.5 9.7 -6.5 3.7 -4.0 -1.2 -0.5 0.5 2.0 -0.8 -0.5 0.1
EVEBITDA 11.4 15.3 16.0 6.8 4.0 5.2 0.2 6.8 6.2 -3.2 10.4 -6.1 -3.9 0.0 -2.7 1.0 -5.0 -1.3 2.8
Yield 11.7 -3.7 24.8 5.4 18.5 6.2 -0.5 -4.9 -0.9 4.1 15.7 -0.8 -0.2 -0.8 -1.9 1.5 -3.6 -3.1 4.5
BB 0.3 -2.7 4.2 0.9 -8.2 10.4 1.2 -3.9 -0.4 0.9 1.1 -10.3 -0.6 0.6 0.1 1.0 -1.1 0.8 -0.8
DY+BB 9.1 -6.0 18.0 6.6 -0.4 8.8 -0.1 -9.1 2.8 7.7 11.0 -7.5 -0.4 1.1 -1.5 1.9 -3.4 -0.2 1.9
DY+BB+DEBT 5.0 -4.4 5.4 2.5 -3.8 3.4 0.6 2.8 7.6 5.0 12.7 4.4 -1.1 0.0 0.3 -0.2 1.6 0.0 0.4
R12m-1m -3.4 5.3 -11.7 -3.9 -1.8 4.3 0.0 6.6 -3.2 -3.0 -17.2 5.6 0.0 -1.0 0.5 -4.1 5.6 -1.8 -4.3
R3m-1m -9.1 -0.5 -3.1 -0.4 -9.7 9.6 2.1 -18.1 1.9 -8.1 -5.1 7.3 0.5 1.1 -1.0 -4.3 7.4 2.6 -3.0
IMOM12m-1m 5.2 2.1 -1.1 -0.9 6.1 13.7 2.6 4.0 4.0 -2.6 3.0 -1.0 1.1 -0.3 0.7 -4.0 4.2 0.0 -3.2
IMOM3m-1m -3.0 3.2 3.4 2.2 -1.7 14.5 13.1 -16.1 1.5 -9.9 2.7 1.7 0.8 0.8 -2.4 -2.8 5.7 2.4 -2.7
EPS MOM 1.2 10.8 1.0 -2.4 -6.5 13.7 -23.1 2.4 5.4 -4.7 -12.5 9.9 1.0 -3.0 -1.9 -2.5 2.0 -0.3 -1.5
R1m 33.2 14.8 12.7 -1.1 0.2 3.9 -14.3 22.3 5.1 3.8 1.5 -2.5 1.4 -0.5 -1.3 0.0 3.2 -2.5 1.6
IREV1m 25.3 19.8 17.2 2.4 16.0 12.0 -5.5 21.0 7.1 0.4 3.7 3.7 0.4 0.4 -0.5 -0.6 2.9 -1.8 0.0
Volatility -3.7 -3.9 -2.3 3.4 -9.4 10.7 -11.3 -11.2 15.0 8.0 -17.2 -5.4 -1.5 -0.1 0.7 4.4 -2.3 2.6 -0.8
Beta -0.9 -1.4 2.8 -1.8 -13.1 27.3 -14.7 -17.1 9.2 19.2 -9.0 -0.9 -2.2 2.6 5.9 -0.3 2.4 2.8 -3.9
Merton -5.0 8.8 -14.9 -6.9 -16.5 10.1 -3.2 -14.1 11.9 9.6 -15.9 -1.4 -0.2 3.0 4.9 -1.4 2.9 1.6 -4.0
Piotroski 1.0 -0.1 -8.8 3.1 -4.7 -13.6 6.1 -6.2 19.5 6.9 -12.1 2.4 -7.3 -5.3 0.4 6.3 -0.1 -0.3 1.3
Earnings Quality -1.1 10.1 0.4 -0.1 -7.0 -4.5 0.2 -10.2 12.4 -8.2 3.1 -5.2 -1.2 -2.2 2.7 1.8 -0.8 0.0 0.5
FY1 Growth 0.4 -4.9 -6.7 -8.6 1.5 -4.0 -5.1 8.1 1.2 -2.6 -6.3 4.7 2.2 -2.6 -2.2 -0.6 1.0 -0.8 -1.0
FY2 Growth 1.4 -1.1 7.6 -3.6 -0.6 -12.3 -3.4 7.0 2.0 -2.1 5.6 11.9 3.3 0.8 -0.1 -2.2 1.5 1.3 -2.5
EPS3Yr Growth -6.8 9.3 -3.6 -1.7 -8.8 15.2 -0.1 -4.3 3.2 -2.4 -11.8 7.8 -1.0 -0.6 2.6 -1.8 3.6 -0.1 -1.0
SAL3Yr Growth -2.5 15.0 -5.6 -6.5 -1.8 18.4 2.2 3.9 -6.0 -2.9 -8.8 4.2 1.5 0.7 3.9 -2.8 2.6 -2.5 -1.5
ROA 0.9 13.3 -10.7 -7.6 -1.9 4.7 1.2 -3.6 -0.2 -3.7 -15.9 5.1 0.5 1.0 4.3 -3.8 4.2 -1.3 -0.9
ROE -2.7 10.4 -8.7 -5.6 -0.4 8.3 -1.0 -5.7 -4.0 -7.9 -15.2 5.7 0.3 -0.2 1.9 -3.0 2.7 -1.6 -0.2
ROIC 0.1 11.8 -10.3 -7.0 -1.8 7.9 -1.8 -5.0 -2.5 -4.7 -16.2 6.0 0.2 0.4 2.9 -2.4 2.7 -1.5 -0.8
GPOA 1.8 9.9 -4.1 -3.8 1.6 6.2 7.1 1.7 2.1 4.8 -3.7 6.7 0.0 1.3 4.3 -1.6 4.1 0.4 -2.4
Value 15.0 16.6 16.1 8.1 7.7 12.5 -2.7 1.3 1.8 -3.3 9.7 -5.3 -4.0 0.2 -3.3 3.0 -5.3 -1.7 4.4
Momentum 5.2 2.1 -1.1 -0.9 6.1 13.7 2.6 4.0 4.0 -2.6 3.0 -1.0 1.1 -0.3 0.7 -4.0 4.2 0.0 -3.2
Quality -3.7 1.6 -5.0 0.5 -14.9 18.7 -16.8 -20.2 16.3 14.4 -15.1 -0.8 -2.6 3.1 3.9 0.9 2.4 3.2 -3.8
Growth -5.6 12.3 -1.1 -11.3 -4.3 8.8 -4.9 5.2 -1.2 -0.9 -7.2 15.6 2.2 0.4 2.1 -3.3 4.7 -1.2 -2.9
Profitability -0.4 10.5 -9.8 -6.0 -1.9 8.7 1.4 -5.2 1.9 -3.3 -10.7 8.0 0.6 0.6 3.1 -3.8 4.3 -1.5 -1.3
Value+Momentum 11.6 13.5 12.8 2.8 8.0 16.7 0.6 2.1 3.8 -1.8 8.1 -4.9 -2.5 -0.8 -2.5 -1.2 -0.5 -0.6 1.1
Quality Income 5.5 -1.1 3.0 7.3 2.6 23.8 -4.2 0.1 2.3 7.5 -5.3 -8.5 0.3 1.5 1.4 -0.4 -1.8 0.6 0.0
Graham & Rea -2.0 25.1 0.8 5.4 2.6 15.2 2.0 -0.7 5.7 -4.5 14.1 -7.9 -0.4 2.1 -1.1 2.7 -4.8 -1.2 1.3
Greenblatt 4.6 11.7 0.5 -4.3 0.2 17.7 4.8 0.7 3.8 0.4 5.8 7.8 -2.5 -0.1 -0.3 -3.0 -1.2 -2.7 2.8
13 August 2018 38
Japan Styles current sector exposures (sector weight in Q1 minus sector weight in Universe)
PE 2.5 5.3 0.5 -5.2 -3.7 2.0 1.8 -4.7 -0.8 2.4
FY1 PE 4.7 4.8 -0.3 -6.0 -4.7 2.6 -0.2 -0.6 -0.8 0.5
PB -3.5 -5.6 3.5 10.6 -2.7 -1.0 0.8 -0.7 0.2 -1.6
PFCF 4.5 -2.0 2.6 -15.1 0.3 10.7 1.1 -3.4 -0.8 2.1
EVEBITDA -2.5 11.9 2.6 -15.1 0.3 3.7 0.0 1.3 -0.8 -1.4
Yield 6.4 -1.6 -6.4 15.6 -3.7 -6.9 -1.2 -4.7 2.2 0.4
BB 0.5 0.4 -0.5 15.6 1.2 -10.9 -1.2 -4.7 2.2 -2.6
DY+BB 0.5 0.4 1.5 15.6 1.2 -14.8 -1.2 -3.7 2.2 -1.6
DY+BB+DEBT 5.6 1.6 -7.4 2.9 -3.7 -1.7 -0.2 -2.7 2.2 3.4
R12m-1m -5.5 4.3 7.4 -8.2 5.2 -2.9 2.8 0.2 -0.8 -2.6
R3m-1m -3.5 8.3 3.5 -9.2 4.2 -3.9 1.8 -0.7 -0.8 0.4
IMOM12m-1m -9.4 3.3 6.4 -7.2 6.2 -1.0 2.8 -2.7 -0.8 2.4
IMOM3m-1m -4.5 9.3 1.5 -10.2 3.2 -2.0 1.8 -0.7 -0.8 2.4
EPS MOM -2.4 -2.3 1.7 4.1 0.4 -0.4 -0.2 0.4 0.2 -1.5
R1m 0.5 4.3 0.5 -1.3 4.2 -8.9 0.8 -0.7 -0.8 1.4
IREV1m -6.5 13.2 8.4 -1.3 -0.7 -7.9 -0.2 -4.7 -0.8 0.4
Volatility -6.5 -3.6 8.4 4.7 -2.7 4.0 -1.2 -5.7 2.2 0.4
Beta -8.4 11.2 8.4 -10.2 5.2 -5.9 -1.2 -0.7 1.2 0.4
Merton -5.9 9.6 7.2 -15.1 13.1 -5.6 -1.2 -1.0 1.5 -2.6
Piotroski 4.3 0.2 -1.8 -15.1 0.6 8.8 0.6 -0.2 0.6 2.0
Earnings Quality 5.6 0.6 -0.1 -15.1 7.1 1.0 -1.2 1.8 0.5 -0.1
FY1 Growth -0.3 -4.3 -1.3 -8.1 0.4 11.7 0.8 1.4 -0.8 0.5
FY2 Growth -4.4 -5.3 7.8 -9.1 3.4 3.6 -0.2 0.4 0.2 3.5
EPS3Yr Growth 1.5 10.3 -3.5 -6.2 2.2 -7.9 2.8 1.2 -0.8 0.4
SAL3Yr Growth -6.5 -3.6 11.4 0.7 4.2 -5.9 -1.2 4.2 -0.8 -2.6
ROA -2.5 2.3 5.4 -2.3 1.2 -1.0 -1.2 0.2 0.2 -2.6
ROE 0.5 -2.6 4.4 1.7 2.2 -8.9 -0.2 2.2 0.2 0.4
ROIC -1.5 2.3 5.4 -1.3 0.3 -2.0 -0.2 0.2 -0.8 -2.6
GPOA -8.4 7.4 9.0 -6.5 -0.2 0.3 -1.2 -0.3 -0.8 0.7
Value -0.9 2.9 3.5 1.9 -2.4 1.0 -1.2 -2.5 -0.8 -1.5
Momentum -9.4 3.3 6.4 -7.2 6.2 -1.0 2.8 -2.7 -0.8 2.4
Quality -6.1 5.0 9.7 -10.7 4.4 0.1 -1.2 -4.6 2.5 0.8
Growth -3.2 3.6 4.5 -4.5 1.3 -1.2 -1.2 3.2 -0.8 -1.7
Profitability -1.9 1.3 3.7 -1.9 0.9 -0.3 -0.2 1.8 -0.8 -2.6
Value+Momentum -9.4 -3.5 11.3 1.9 2.4 -2.7 1.1 -3.4 -0.8 3.1
Quality Income -9.4 20.6 -1.4 -15.1 -6.7 2.3 -1.2 4.3 9.2 -2.6
Graham & Rea 11.6 -8.9 -11.4 -15.1 -6.7 30.2 -1.2 4.8 -0.8 -2.6
Greenblatt 5.5 4.7 -2.2 -15.1 -0.9 2.2 2.3 3.5 2.7 -2.6
13 August 2018 39
EM Styles
13 August 2018 40
EM Style Performance
Last Last Since 145
Style
Month 5 years 2001
Return 135
Value -1.5 4.6 15.6 125
Momentum -2.3 4.0 9.6
115
Quality -1.8 -5.2 -2.0
105
Growth -1.3 1.0 0.1
Value+Momentum -2.9 5.9 15.4 85
% positive months
75
Value 56.7 67.8
Momentum 66.7 70.1 65
Apr-14
Apr-15
Apr-18
Oct-13
Oct-14
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Jul-13
Jan-14
Jan-15
Jan-16
Jan-17
Jul-17
Jan-18
Jul-18
Jul-14
Jul-15
Jul-16
Quality 43.3 54.0
Growth 55.0 52.6
Last Last Since 125
Style
Month 5 years 2001
Return 120
Value -0.8 3.8 8.9 115
Momentum -0.4 3.6 5.7
110
Quality -0.6 -1.6 -0.2
Growth -1.5 0.8 0.1 105
Value+Momentum -1.2 2.7 7.6
95
% positive months
90
Value 56.7 65.9
Momentum 65.0 64.0 85
Apr-14
Apr-15
Oct-13
Oct-14
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Apr-18
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Jan-15
Jan-16
Jan-14
Jan-17
Jan-18
Quality 43.3 53.1
Growth 55.0 49.8
Last Last Since 125
Style
Month 5 years 2001
Return 120
Quality Income -0.9 -1.3 3.8 115
Graham & Rea -1.0 3.7 6.8
110
Greenblatt -0.5 2.1 5.5
95
Oct-13
Apr-14
Oct-14
Apr-15
Oct-15
Apr-16
Oct-16
Apr-17
Oct-17
Apr-18
Jul-13
Jul-14
Jul-15
Jul-16
Jul-17
Jul-18
Jan-14
Jan-15
Jan-16
Jan-17
Jan-18

13 August 2018 41
EM Style Performance – annualized return and risk stats (2001-last month)

PE 12.0 7.3 26.2 47.5 9.0 -4.0 9.3 63.5 3.8 6.1 1.50 21.8 16.0 12.7 11.2 8.6 1.06 1.03 0.87 0.73 0.43
FY1 PE 13.7 8.0 30.0 47.9 7.7 -5.8 10.3 64.9 3.9 6.2 1.51 22.5 16.8 13.4 11.7 7.9 1.07 1.02 0.87 0.77 0.43
PB 8.1 5.5 20.5 46.5 24.1 -6.7 15.4 53.6 0.1 3.0 0.68 19.7 13.2 13.4 12.2 11.1 0.92 0.75 0.84 0.80 0.71
PFCF 10.5 6.5 24.0 45.6 10.9 -7.5 7.2 66.4 4.3 5.3 1.30 21.5 17.0 12.9 10.0 9.0 1.21 1.20 0.87 0.58 0.42
EVEBITDA 10.5 5.7 23.3 47.3 18.0 -4.5 8.9 57.3 3.0 4.6 1.11 20.3 15.4 13.8 11.0 8.9 1.03 0.91 0.90 0.70 0.51
Yield 12.7 6.8 22.3 36.5 18.7 -11.3 11.2 62.1 5.0 5.0 1.20 22.5 16.1 12.9 12.6 6.9 1.54 1.04 0.78 0.70 0.33
BB 2.4 0.8 10.6 37.5 20.8 -11.5 10.2 54.5 1.1 1.3 0.28 15.4 17.2 17.3 13.8 11.5 0.98 0.79 1.08 0.84 0.58
DY+BB 6.9 2.6 18.5 36.9 16.4 -11.9 12.0 58.3 3.4 3.1 0.71 17.6 16.8 15.0 12.7 8.3 1.17 1.14 0.94 0.68 0.39
DY+BB+DEBT 3.4 2.9 18.6 40.9 22.7 -8.3 10.7 58.8 1.9 1.8 0.38 17.7 15.8 12.9 11.6 12.3 1.09 1.12 0.81 0.65 0.57
R12m-1m 7.2 5.0 46.8 56.6 64.8 -22.9 15.2 64.5 4.2 2.1 0.41 19.9 16.8 13.7 10.5 9.1 1.10 1.14 0.92 0.61 0.39
R3m-1m -3.2 -1.1 111.4 49.3 56.8 -13.7 12.5 53.1 0.0 -0.7 -0.23 13.1 13.9 15.6 12.9 14.5 0.74 0.93 1.03 0.75 0.64
IMOM12m-1m 9.6 5.7 60.9 50.7 25.1 -8.6 15.1 70.1 3.6 4.1 0.96 20.5 15.2 13.2 13.2 8.8 1.14 1.02 0.87 0.79 0.41
IMOM3m-1m 2.3 1.4 115.1 45.2 27.5 -7.5 11.8 57.3 1.1 1.2 0.25 15.8 15.4 13.4 13.7 12.1 0.90 1.02 0.87 0.80 0.59
EPS MOM 7.1 4.3 99.7 48.5 22.6 -10.3 7.1 66.4 3.3 3.2 0.73 19.0 17.4 13.7 12.0 10.0 1.09 1.08 0.84 0.72 0.48
R1m 1.7 2.4 153.6 50.5 37.6 -10.9 18.4 48.8 1.2 0.8 0.13 16.2 12.2 13.0 14.6 14.1 0.76 0.73 0.85 0.94 0.78
IREV1m 1.2 1.5 153.2 52.3 28.9 -13.2 11.3 49.8 0.7 0.7 0.12 15.1 13.0 14.2 14.0 14.0 0.72 0.77 0.94 0.92 0.79
Volatility -3.6 -1.2 27.1 30.5 59.4 -21.1 17.3 53.1 3.0 -0.4 -0.18 14.3 14.4 15.6 12.4 12.7 1.47 1.08 0.93 0.62 0.48
Beta 1.0 -0.1 12.3 37.2 46.7 -18.6 16.7 53.1 3.1 0.6 0.06 15.2 17.0 14.0 13.3 10.4 1.31 1.17 0.82 0.69 0.44
Merton* -6.4 -1.8 23.0 32.1 73.8 -18.8 13.7 51.7 2.5 -1.0 -0.33 13.3 14.5 13.1 12.0 15.3 1.29 1.06 0.83 0.61 0.58
Piotroski* 8.2 2.5 17.7 45.3 13.3 -8.5 7.5 64.9 4.0 0.95 17.0 13.6 7.0 1.10 0.82 0.35
Earnings Quality* 4.1 1.7 21.6 43.0 12.2 -6.9 4.7 60.7 1.6 3.2 0.74 16.1 14.6 14.4 13.7 11.0 1.03 0.89 0.83 0.80 0.63
FY1 Growth 2.3 0.2 26.9 57.2 31.6 -7.5 5.5 53.1 0.9 1.4 0.29 13.8 15.6 15.3 15.8 11.2 0.68 0.92 1.04 1.03 0.58
FY2 Growth -4.0 -2.0 32.5 57.6 55.7 -7.8 6.6 43.1 -1.5 -2.1 -0.52 11.2 14.4 15.0 15.2 16.3 0.53 0.83 0.98 1.03 0.92
EPS3Yr Growth 5.7 1.4 16.0 55.1 19.4 -9.5 9.5 61.1 2.6 3.1 0.72 15.5 15.3 16.6 14.9 8.8 0.83 0.93 1.11 0.95 0.45
SAL3Yr Growth -1.8 -1.2 11.2 59.5 31.2 -12.3 12.5 46.4 -0.2 -0.5 -0.17 12.1 14.8 15.6 15.6 14.4 0.57 0.88 1.00 1.04 0.84
ROA 3.4 1.2 9.6 45.4 19.8 -9.3 9.0 60.7 3.2 1.7 0.38 15.9 16.1 15.4 12.8 10.7 1.04 1.02 0.95 0.72 0.53
ROE 3.7 1.6 11.3 47.9 16.4 -13.4 7.2 57.3 3.5 1.8 0.39 16.2 16.6 14.2 13.0 10.8 0.99 1.02 0.89 0.77 0.53
ROIC 4.8 2.2 10.7 43.8 17.1 -14.3 8.2 62.6 3.7 2.3 0.50 16.9 16.4 14.9 12.5 10.2 1.08 1.06 0.90 0.72 0.49
GPOA 7.3 2.7 9.9 39.6 19.6 -8.3 8.8 64.9 3.7 3.5 0.82 17.8 14.8 15.0 12.8 8.5 1.22 0.93 0.89 0.69 0.44
Value 15.6 8.9 29.2 44.4 13.3 -5.2 10.8 67.8 4.0 6.9 1.71 23.7 16.5 13.5 10.8 7.1 1.20 0.98 0.85 0.69 0.41
Momentum 9.6 5.7 60.9 50.7 25.1 -8.6 15.1 70.1 3.5 4.1 0.96 20.5 15.2 13.2 13.2 8.8 1.14 1.02 0.87 0.79 0.41
Quality -2.0 -0.2 22.8 28.0 51.2 -20.4 16.3 54.0 3.6 0.0 -0.10 15.5 15.8 13.1 12.5 12.2 1.63 1.19 0.80 0.59 0.46
Growth 0.1 0.1 29.1 60.2 32.5 -9.9 9.2 52.6 0.9 0.3 0.02 13.8 15.4 13.8 14.1 14.0 0.69 0.89 0.84 0.90 0.86
Profitability 5.3 1.9 13.0 43.0 14.5 -12.2 8.9 59.7 3.8 2.4 0.53 16.6 16.7 14.7 13.3 9.3 1.07 1.05 0.89 0.76 0.45
Value+Momentum 15.4 7.6 52.5 44.3 8.4 -5.7 8.4 73.9 5.3 8.3 2.09 22.7 19.6 14.3 8.8 6.0 1.29 1.22 0.84 0.55 0.33
Quality Income* 3.8 3.8 36.9 31.1 31.1 -9.8 7.9 57.8 1.8 0.40 19.5 13.7 1.73 0.80
Graham & Rea* 7.7 6.8 36.3 40.2 14.4 -5.4 9.6 59.7 4.3 1.03 21.6 13.0 1.17 0.81
Greenblatt* 11.9 5.5 19.9 43.5 11.3 -5.3 9.4 67.3 5.7 1.38 20.2 16.6 13.6 12.5 6.5 1.22 1.07 0.87 0.75 0.32
13 August 2018 42
EM Style Performance per period (Q1-Q5, 5-year returns shown annualized)

2000-2004 2005-2009 2010 2011 2012 2013 2014 2015 2016 2017 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
PE 26.7 11.0 16.8 10.3 12.9 -0.1 8.6 4.9 2.9 -1.0 4.0 -0.3 0.5 -1.8 -0.1 0.8 -2.1
FY1 PE 33.4 11.3 19.7 3.0 12.8 4.8 3.6 6.2 7.0 0.9 5.9 0.4 0.9 -2.8 0.6 -0.3 -2.2
PB 25.9 7.3 3.0 -17.7 11.0 5.3 -2.6 -3.8 15.8 3.2 5.4 -2.0 -1.1 -0.1 -0.2 -1.4 -1.0
PFCF 20.4 4.3 10.4 22.1 3.3 25.8 -0.7 4.4 8.6 2.3 2.7 1.9 0.8 -1.2 1.6 2.7 0.9
EVEBITDA 36.7 8.4 6.3 -0.7 -5.4 -2.6 -2.6 -2.4 19.2 -2.4 2.5 -0.8 1.4 -0.8 -3.1 2.7 1.4
Yield 24.4 5.4 15.1 46.1 3.8 12.3 0.0 5.8 19.1 -3.4 3.3 1.6 3.5 -1.3 0.0 1.5 1.3
BB 0.8 1.6 7.8 19.4 3.4 0.2 -11.3 0.7 7.8 -2.9 2.0 2.1 1.7 -0.8 0.4 3.3 -1.1
DY+BB 16.2 2.2 12.9 34.7 -5.0 3.1 -7.1 -3.1 19.1 -8.3 0.4 1.6 4.1 -0.8 0.9 3.7 -1.0
DY+BB+DEBT 6.7 0.4 5.3 18.1 -8.5 9.9 -5.7 3.6 3.5 -0.9 1.4 1.6 -0.3 0.2 0.2 3.2 2.2
R12m-1m 14.5 -0.7 12.0 24.9 -1.1 20.3 10.1 6.4 -11.9 15.8 2.2 0.4 0.8 0.4 3.2 -2.1 -2.3
R3m-1m -6.5 -1.8 5.6 13.0 -7.8 1.1 0.0 -19.1 -12.1 -1.2 -0.7 2.8 1.9 -1.5 2.2 1.3 -2.5
IMOM12m-1m 9.5 9.7 19.9 19.8 7.9 17.4 -0.8 4.8 -1.1 8.5 0.8 0.5 2.7 2.0 3.1 0.9 -2.3
IMOM3m-1m -0.6 8.9 6.3 9.1 -2.4 9.7 -5.4 -16.7 -3.0 -0.4 -0.6 2.9 1.6 -1.4 3.5 -0.4 -1.1
EPS MOM 6.5 9.2 11.4 17.6 -2.0 6.9 11.8 7.4 -8.0 4.3 2.2 2.0 2.4 -2.9 4.1 -3.4 1.5
R1m 8.6 -0.5 1.5 7.2 26.7 -11.6 -10.2 -18.5 2.6 0.0 1.5 0.8 -1.6 0.8 0.9 3.1 1.5
IREV1m -0.4 4.4 2.4 2.6 17.0 -2.8 -3.4 -15.6 -4.5 2.0 3.8 -0.1 0.7 -0.8 -0.4 2.1 0.6
Volatility -4.7 -12.8 10.1 26.6 -4.4 14.6 -0.2 8.2 -12.2 -18.1 -3.4 1.9 4.0 0.1 0.8 4.1 -0.4
Beta 7.0 -7.1 10.0 40.7 -6.8 3.5 0.4 10.7 -7.1 -20.0 -4.8 3.3 2.9 -0.2 2.1 5.5 -2.5
Merton -13.7 -13.9 5.9 41.7 -4.1 5.2 3.0 6.6 -21.7 -15.5 -5.0 1.3 3.9 1.3 3.4 4.0 -1.3
Piotroski 16.2 4.8 11.5 10.8 0.3 12.3 2.8 12.3 -7.0 4.5 3.9 2.6 0.4 2.7 2.2 1.7 -2.3
Earnings Quality 11.5 1.1 2.6 4.6 1.6 12.2 -2.9 -0.9 -2.0 1.7 1.2 0.9 0.3 2.6 -0.8 1.4 0.7
FY1 Growth 5.7 -0.9 4.0 -5.9 -3.3 14.7 2.7 7.5 -8.9 10.0 4.7 0.9 -1.2 1.2 -0.5 -2.0 1.1
FY2 Growth -7.2 -3.0 -8.8 -18.6 6.9 1.9 -0.8 -2.3 -0.5 5.2 -0.1 -1.3 -1.0 0.5 -1.9 -1.9 -1.1
EPS3Yr Growth 12.4 2.4 10.3 12.1 6.3 1.0 11.0 12.5 -15.1 2.4 -0.1 2.2 0.7 -0.4 1.5 0.7 -1.6
SAL3Yr Growth -1.7 1.0 -5.6 -3.5 3.9 -16.1 4.4 10.6 -15.0 -2.3 -1.3 0.4 0.6 -1.3 0.9 -0.4 -1.9
ROA 2.0 0.6 8.9 30.5 5.8 -3.5 9.6 0.7 -4.1 -1.5 -2.0 2.1 1.6 1.0 1.8 3.3 -1.3
ROE 3.6 1.5 7.0 28.2 3.5 -4.3 9.9 0.4 -4.2 1.4 -1.1 2.8 2.8 0.0 0.5 1.7 -1.5
ROIC 3.5 2.9 13.8 30.2 1.4 0.3 11.4 0.5 -6.2 1.2 -1.5 2.9 2.7 0.3 1.8 2.7 -1.6
GPOA 8.5 2.7 13.1 31.8 11.4 -0.8 5.1 7.1 8.3 2.4 -1.0 1.8 0.6 2.2 -1.0 3.7 -0.3
Value 42.8 12.9 15.1 3.5 11.8 7.9 1.1 -0.2 12.6 0.0 6.6 -1.0 0.0 -1.9 -0.7 0.8 -1.5
Momentum 9.5 9.7 19.9 19.8 7.9 17.4 -0.8 4.8 -1.1 8.5 0.8 0.5 2.7 2.0 3.1 0.9 -2.3
Quality -0.9 -11.2 11.6 36.9 -8.6 13.2 -1.9 11.5 -11.0 -20.8 -6.1 3.7 4.2 0.1 2.2 5.2 -1.8
Growth 0.7 -0.4 0.8 -6.5 5.5 -3.5 6.1 9.9 -14.1 8.1 -0.2 0.9 0.4 0.2 -0.8 -1.4 -1.3
Profitability 4.7 2.7 10.1 34.2 4.1 -0.9 10.3 1.9 -4.5 2.5 -1.2 3.5 2.6 0.7 0.5 3.0 -1.1
Value+Momentum 31.0 14.5 16.6 12.4 13.2 13.4 -1.7 5.4 9.0 6.2 4.2 0.4 2.2 -0.1 2.5 0.4 -2.9
Quality Income 11.7 -4.8 10.7 28.4 3.2 7.7 2.9 -7.0 4.5 -2.4 0.0 1.3 0.8 -0.7 0.3 2.9 -1.2
Graham & Rea 16.5 11.0 1.5 5.1 2.4 -6.4 5.3 -8.7 16.7 1.0 1.7 1.0 -0.8 -0.5 1.0 2.2 -1.4
Greenblatt 25.2 7.2 13.1 30.8 3.7 3.7 7.6 7.2 5.7 0.9 0.2 3.1 1.6 -0.1 -1.5 3.8 -1.1
13 August 2018 43
EM Styles current sector exposures (sector weight in Q1 minus sector weight in Universe)
PE 3.1 -4.2 -1.1 2.8 -1.9 3.8 1.1 -2.0 -2.6 1.1
FY1 PE 0.5 -2.5 -3.4 5.2 -2.4 1.9 -0.3 -2.4 1.0 2.4
PB -0.8 -0.8 -0.6 2.8 -3.4 1.8 -1.9 -1.0 1.3 2.6
PFCF 6.1 -0.8 3.7 -26.0 -2.6 9.3 2.6 -1.0 0.7 7.9
EVEBITDA 4.8 3.8 2.3 -26.0 -1.9 3.3 5.3 1.0 4.1 3.2
Yield 1.4 -5.4 -5.1 9.8 -3.4 -3.9 1.4 0.3 1.2 3.8
BB 3.5 -2.4 2.2 -0.8 0.3 -4.1 -1.9 2.0 5.9 -4.7
DY+BB -1.0 -3.0 -3.6 -2.8 -3.4 -3.1 2.2 2.0 7.2 5.6
DY+BB+DEBT 2.8 -6.3 -2.6 2.0 -3.4 1.2 4.3 -0.1 1.9 0.2
R12m-1m 6.4 4.5 0.3 -10.3 2.0 -5.2 3.9 3.8 -3.1 -2.4
R3m-1m 5.2 3.8 -0.3 -10.0 1.4 -2.0 2.4 2.7 -2.7 -0.5
IMOM12m-1m -1.9 5.0 -1.7 -6.4 3.4 -3.3 5.9 3.4 -2.1 -2.4
IMOM3m-1m -0.1 3.3 -0.3 -3.3 2.4 -3.4 2.8 -0.1 -2.2 0.9
EPS MOM 9.7 -5.4 -1.7 -12.9 2.4 -0.3 6.2 1.3 -0.9 1.6
R1m -1.6 -0.1 1.6 -0.5 0.4 0.8 -0.6 1.7 0.2 -2.0
IREV1m -4.0 -0.1 5.0 -1.8 1.9 -2.5 -1.5 -0.1 2.6 0.4
Volatility -3.5 6.1 -2.8 6.3 -3.0 -3.5 -2.0 -0.2 2.1 0.4
Beta 1.3 5.6 1.1 -12.5 4.7 -4.0 3.3 -2.6 1.7 1.4
Merton 0.5 19.6 -0.7 -26.0 2.3 -0.8 0.8 1.9 3.0 -0.6
Piotroski 9.0 3.4 2.3 -26.0 0.4 6.5 2.2 -0.6 1.2 1.6
Earnings Quality 7.7 0.4 6.7 -26.0 -2.0 1.6 5.3 0.1 4.2 2.0
FY1 Growth 6.1 -2.7 0.4 -8.7 -1.8 0.2 4.1 -0.3 2.7 0.0
FY2 Growth -2.4 -0.3 7.5 -5.3 1.7 -1.6 -3.3 3.3 1.6 -1.1
EPS3Yr Growth 13.7 -1.4 3.7 -12.8 -0.5 -3.3 4.9 -2.1 -3.1 1.0
SAL3Yr Growth -5.4 0.0 6.1 9.2 -0.5 -0.9 -3.9 1.8 -4.1 -2.4
ROA 2.8 4.7 2.1 -12.9 -0.1 1.9 0.9 3.2 0.2 -2.9
ROE 1.8 2.8 4.5 -9.5 -0.1 -2.5 -1.0 2.3 1.7 0.0
ROIC 0.9 5.3 3.1 -9.5 0.0 -0.5 0.0 2.8 0.3 -2.4
GPOA 1.9 9.0 6.4 -23.7 3.5 1.7 0.9 3.0 1.1 -3.9
Value -2.2 -0.9 1.2 9.6 -2.2 -2.4 -0.8 -2.7 -0.1 0.5
Momentum -1.9 5.0 -1.7 -6.4 3.4 -3.3 5.9 3.4 -2.1 -2.4
Quality -0.5 7.8 -0.6 -9.7 0.7 -4.4 1.6 -1.3 2.8 3.4
Growth 0.2 4.3 5.3 -1.9 3.2 -3.3 -3.7 0.5 -2.9 -1.7
Profitability 1.4 3.6 3.1 -11.2 0.3 1.9 0.4 2.9 0.1 -2.6
Value+Momentum -4.8 0.2 0.1 3.7 -0.3 -0.5 2.4 1.4 0.4 -2.7
Quality Income 16.1 1.5 -9.0 -26.0 -3.9 -2.4 3.7 1.8 9.0 9.1
Graham & Rea 15.6 2.5 -5.3 -26.0 -1.5 10.8 3.2 -1.3 -4.6 6.6
Greenblatt 9.2 -1.6 0.9 -26.0 -0.4 8.7 4.5 -2.9 3.1 4.5
13 August 2018 44
EM Styles current country exposures (country weight in Q1 minus country weight in Universe)
Brazil China India Indonesia Malaysia Mexico Russia South Africa Taiwan Thailand
PE -4.6 20.4 -6.9 -0.8 -2.8 -2.6 -1.6 5.1 -3.0 -1.5
FY1 PE -1.4 22.3 -8.2 -1.8 -3.8 -3.6 -1.6 6.9 -3.9 -4.3
PB -3.6 20.8 -4.9 -2.3 -0.8 -2.6 -0.1 0.6 -3.0 -1.0
PFCF 1.8 5.5 -7.3 0.6 -1.0 -0.8 -0.3 6.2 -4.0 -1.8
EVEBITDA 0.4 -6.5 -8.0 -0.1 -2.3 -0.8 -1.0 8.2 0.7 4.9
Yield 3.1 1.4 -11.4 -2.3 -3.3 -3.2 1.3 8.2 1.2 0.3
BB 5.7 -4.9 -6.3 -1.4 0.6 7.8 -1.6 2.5 10.2 -6.3
DY+BB 1.6 -4.8 -10.1 -1.2 -0.5 -2.5 2.7 6.4 -0.4 2.3
DY+BB+DEBT 2.1 -8.0 -9.6 -1.7 2.1 -1.4 2.7 5.3 -0.4 5.5
R12m-1m 4.2 5.7 -0.1 -1.3 -2.3 -2.2 -0.6 3.5 -1.6 0.4
R3m-1m -2.7 -0.1 -1.2 0.6 -0.9 2.6 0.8 3.9 -2.2 6.5
IMOM12m-1m -2.2 2.7 -2.0 -1.3 -0.9 -1.2 1.3 1.6 -3.5 4.8
IMOM3m-1m 4.0 4.8 -7.5 -0.4 2.9 0.2 0.8 -0.9 -5.1 -4.6
EPS MOM -1.3 -13.1 16.5 -1.7 -2.2 -2.0 -0.6 1.4 2.0 -1.1
R1m -3.7 22.4 -4.2 0.1 -3.3 -0.8 -0.7 0.0 -1.7 -6.0
IREV1m 3.5 5.2 1.7 0.6 -0.9 -0.3 0.8 2.4 -5.5 -3.6
Volatility -5.2 -9.3 -4.2 -2.8 2.4 4.5 0.3 -0.5 -4.1 12.7
Beta 6.4 -15.6 1.1 -1.3 0.0 0.7 -1.1 10.6 2.6 2.6
Merton -4.1 -17.6 15.0 0.0 4.0 3.5 -0.2 -0.4 -4.5 6.1
Piotroski -0.3 2.6 1.1 -0.2 -2.0 -0.4 0.1 0.8 -3.0 2.3
Earnings Quality -3.2 -0.7 4.9 -1.5 1.4 0.3 -1.0 0.6 -2.3 -0.3
FY1 Growth 3.4 -2.2 3.4 -0.7 -1.2 0.1 -0.6 1.4 -0.6 -1.1
FY2 Growth 2.2 6.3 9.4 -1.7 -1.7 -1.0 -1.1 -3.3 -3.3 -5.3
EPS3Yr Growth 2.7 3.6 -4.0 -1.3 -3.3 0.8 -1.6 4.9 -2.6 -1.6
SAL3Yr Growth -2.7 8.0 -0.6 -1.3 -1.9 2.2 -1.1 -2.9 -0.6 -4.0
ROA -1.3 -8.3 7.0 2.5 0.5 -0.7 -0.7 2.9 1.2 -0.2
ROE 0.2 -8.8 5.5 0.6 0.0 -1.2 -0.7 2.4 2.2 -3.1
ROIC -0.3 -8.2 7.1 2.6 -0.9 -2.2 -1.1 3.0 3.7 -0.2
GPOA 2.7 -11.5 10.1 1.2 -1.5 -0.7 -1.6 7.0 4.6 -3.3
Value -1.4 18.3 -6.5 -0.5 -3.7 -1.9 -0.5 5.8 -4.6 -2.2
Momentum -2.2 2.7 -2.0 -1.3 -0.9 -1.2 1.3 1.6 -3.5 4.8
Quality -2.9 -17.7 5.8 -2.3 1.3 5.2 -0.7 4.5 -1.0 7.4
Growth 0.4 7.3 6.5 -1.9 -3.0 1.8 -1.6 -1.7 -2.5 -5.1
Profitability -0.2 -9.9 8.3 3.0 -0.1 -2.0 -1.1 3.0 3.1 -1.1
Value+Momentum -2.5 12.7 -10.6 -1.0 -3.4 -0.9 0.7 1.6 -4.3 7.1
Quality Income -3.0 -16.1 -8.8 -2.8 -4.3 0.4 2.9 12.1 -5.7 18.8
Graham & Rea -2.7 9.0 -9.7 -0.3 -3.1 -2.9 -1.6 10.8 -3.1 6.2
Greenblatt 5.1 -7.6 -1.3 1.4 -2.9 -1.3 -1.6 7.4 4.7 -5.6
13 August 2018 45
Global Head of Research

Brigitte Richard-Hidden
(33) 1 42 13 78 46
brigitte.richard-hidden@sgcib.com
Head Deputy Head

Andrew Lapthorne SOCIETE GENERALE Sandrine Ungari
GLOBAL QUANTITATIVE, INDEX AND ETF RESEARCH
X ASSET QUANT EQUITY QUANT INDEX RESEARCH ETF RESEARCH

London London London Paris
Head of Cross Asset Quant Head of Equity Quant Head of Index Research Head of ETF Research
Sandrine Ungari Andrew Lapthorne John Carson Sébastien Lemaire
(44) 20 7762 5214 (44) 20 7762 5762 (44) 20 7762 4979 (33) 1 42 13 43 46
sandrine.ungari@sgcib.com andrew.lapthorne@sgcib.com john.carson@sgcib.com sebastien.lemaire@sgcib.com
Hong Kong London Paris Bangalore

Raphael Dando Georgios Oikonomou Yohan Le Jallé Lalatendu Khandagiri
(852) 2166 5896 (44) 20 7762 5261 (33) 1 42 13 71 61 (91) 80 6731 9333
raphael.dando@sgcib.com georgios.oikonomou@sgcib.com yohan.le-jalle@sgcib.com lalatendu.khandagiri@sgcib.com
Paris London Bangalore

Gilles Drigout Rui Antunes Sunil Vaderahalli Dayananda
(33) 1 42 13 74 50 (44) 20 7762 5875 (91) 80 6731 6861
gilles.drigout@sgcib.com rui.antunes@sgcib.com sunil.vaderahalli-dayananda@sgcib.com
Paris New York

Paris
Thomas Kovarcik Solomon Tadesse
Luca Ramotti
(33) 1 42 13 94 75 (1) 2122786484
solomon.tadesse@sgcib.com
(33) 1 42 13 62 04
thomas.kovarcik@sgcib.com luca.ramotti@sgcib.com
Paris Hong Kong

Marwen Nefati Puneet Singh
(33) 1 58 98 15 06 (852) 21664141
marwen.nefati@sgcib.com puneet.singh@sgcib.com
13 August 2018 46
Report completed on 13 Aug. 2018 13:39 CET

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SG Piotroski Fundamental Screens

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GLOBAL QUANTITATIVE RESEARCH

Extract from a report

Global Style Counselling

Europe  We suggest an alternative measure of fundamental quality, building on Joseph Piotroski’s

Long-Universe performance of our fundamental quality score (MSCI World)

Financials Ex financials Combined

Absolute performance by Piotroski score (MSCI World, 2001-2018)

Relative performance by Piotroski score (MSCI World, 2001-2018)

ii) CFO positive

iv) Accruals negative

vi) Liquid positive Leverage, liquidity and source of funds

vii) Finance negative

viii) Margin positive

Why change a winning model?

Long-Short performance of Profitability factors (MSCI World)

300 Return on assets

250 Gross profitability on assets

Free cash flow on invested capital

Operating efficiency and trends in company fundamentals

Long-Short performance of operating efficiency and growth factors (MSCI World)

180 Change in asset turnover

Long-Short performance of Accruals factors (MSCI World)

Long-Short performance of external financing (MSCI World)

Our fundamental quality score

Our quality score now includes the following eight factors:

1. GPOA: Gross profitability on assets (+)

Backtesting the model

Return/Risk(IRs) of individual factors vs combined score (MSCI World ex financials, Long-Short)

SG Fundamental Quality Piotroski Profitability SG Fundamental Quality Piotroski Profitability

This is a backtest. Past performance is no guide to future returns.

Annualized return and risk statistics (MSCI World ex financials, 1998-2018)

Performance in individual regions

MSCI Europe ex financials (Long-Universe) MSCI United States ex financials (Long-Universe)

SG Fundamental Quality Piotroski Profitability SG Fundamental Quality Piotroski Profitability

SG Fundamental Quality Piotroski Profitability SG Fundamental Quality Piotroski Profitability

This is a backtest. Past performance is no guide to future returns.

What about financials?

1. ROE: Return on equity (+)

Financials Ex financials Combined Financials Ex financials Combined

This is a backtest. Past performance is no guide to future returns.

Investment Style Performance

Long-short style performance per region (Q1-Q5)

List of factors included in our Style Counselling report

Global Style Performance

Graham & Rea 14.7 21.1

Quality Income Graham & Rea Greenblatt

Europe Style Performance

Value+Momentum 0.0 1.8 10.5 100

Profitability 0.2 0.9 1.7

Graham & Rea 15.4 21.5

Quality Income Graham & Rea Greenblatt

Graham & Rea 16.5 23.5

Quality Income Graham & Rea Greenblatt

US Style Performance – annualized return and risk stats (1990-last month)

US Style Performance per period (Q1-Q5, 5-year returns shown annualized)

Graham & Rea 19.3 24.0

Quality Income Graham & Rea Greenblatt

UK Style Performance – annualized return and risk stats (1990-last month)

UK Style Performance per period (Q1-Q5, 5-year returns shown annualized)

Japan Style Performance

Profitability -1.3 0.9 0.3

Greenblatt 14.9 19.7

Quality Income Graham & Rea Greenblatt

Graham & Rea 13.9 18.4

Quality Income Graham & Rea Greenblatt

EM Style Performance – annualized return and risk stats (2001-last month)

EM Style Performance per period (Q1-Q5, 5-year returns shown annualized)