Performance

http://www.snl.com/interactive/newlookandfeel/4162576/images/pzenagold.jpg
http://www.snl.com/interactive/newlookandfeel/4162576/dev/images/pzenagold-res.jpg

Performance

Pzena Composite Annualized Performance

Period ending September 30, 2018


Investment Strategy
(Inception Date)

Since-Inception
Return

Five-Year
Return

Three-Year
Return

One-Year
Return

YTD
Return

Large Cap Value
(July 2012)

Gross

14.9%

11.6%

15.3%

9.3%

1.8%

Net

14.7%

11.5%

15.1%

9.1%

1.7%

Russell 1000® Value Index

13.2%

10.7%

13.6%

9.5%

3.9%

International Value
(November 2008)

Gross

10.9%

5.5%

10.8%

4.1%

-2.1%

Net

10.6%

5.1%

10.4%

3.8%

-2.4%

MSCI EAFE Index

7.8%

4.4%

9.2%

2.7%

-1.4%

Large Cap Focused Value
(October 2000)

Gross

7.7%

11.4%

15.5%

7.6%

0.0%

Net

7.2%

10.9%

15.0%

7.2%

-0.3%

Russell 1000® Value Index

7.0%

10.7%

13.6%

9.5%

3.9%

Emerging Markets Focused Value
(January 2008)

Gross

3.5%

4.4%

16.0%

1.6%

-2.9%

Net

2.6%

3.6%

15.2%

0.9%

-3.4%

MSCI Emerging Markets Index

0.8%

3.6%

12.4%

-0.8%

-7.7%

European Focused Value
(August 2008)

Gross

5.9%

4.4%

9.8%

0.3%

-5.8%

Net

5.5%

4.0%

9.4%

-0.1%

-6.1%

MSCI Europe Index Index

2.7%

3.7%

7.7%

-0.3%

-2.5%

Global Value
(January 2010)

Gross

9.2%

8.2%

12.6%

5.5%

-1.4%

Net

8.9%

7.8%

12.2%

5.2%

-1.7%

MSCI World Index

9.6%

9.3%

13.5%

11.2%

5.4%

Global Focused Value
(January 2004)

Gross

6.0%

7.8%

12.6%

4.6%

-2.7%

Net

5.3%

7.1%

11.9%

4.0%

-3.1%

MSCI ACWI Index

7.3%

8.7%

13.4%

9.8%

3.8%

Focused Value
(January 1996)

Gross

10.9%

10.9%

14.4%

4.9%

-2.6%

Net

10.1%

10.3%

13.9%

4.5%

-2.9%

Russell 1000® Value Index

9.0%

10.7%

13.6%

9.5%

3.9%

Small Cap Focused Value
(January 1996)

Gross

14.0%

12.6%

16.6%

9.7%

8.1%

Net

12.8%

11.5%

15.4%

8.6%

7.3%

Russell 2000® Value Index

10.1%

9.9%

16.1%

9.3%

7.1%

International Focused Value
(January 2004)

Gross

6.9%

5.8%

11.9%

4.4%

-2.4%

Net

6.1%

5.2%

11.3%

3.8%

-2.8%

MSCI ACWI ex USA

6.2%

4.1%

10.0%

1.8%

-3.1%


The table above indicates the annualized returns, gross and net (which represents returns prior to and after payment of advisory fees, respectively), of our ten largest investment strategies* from their inception to September 30, 2018 and in the five-year, three-year, one-year and year-to-date periods ended September 30, 2018. All performance numbers are preliminary and subject to change.

Past performance is no guarantee of future results, and the past performance of any account or commingled fund managed by Pzena Investment Management should not be considered indicative of the future performance of any account or commingled fund managed by Pzena Investment Management. Investment return and principal value of an investment will fluctuate over time. The performance information provided is historical in nature; nothing in this report should be construed as an offer to sell (or the solicitation of an offer to buy) any product or service of Pzena Investment Management, LLC. The performance information presented for each investment strategy represents composite performance of separately-managed accounts and/or commingled funds (depending on the particular investment strategy presented).

*We launched the Pzena Mid Cap Value strategy and the Pzena Global Value All Country strategy in April 1, 2014 and December 1, 2016, respectively. In terms of asset size, both strategies would now be two of our largest investment strategies with total assets of $2,355.9 and $1,273.3 million, respectively. However, given limited performance data, we have excluded both strategies from the chart at this time. The monthly performance for Pzena Mid Cap Value is -1.0% gross and -1.0% net, and inception to date annualized performance is 9.0% gross and 8.7% net. The monthly performance for Pzena Global Value All Country is 0.4% gross and 0.4% net, and inception to date annualized performance is 13.5% gross and 13.2% net.

Performance Notes Specific to Domestic Products

The domestic product returns presented are for Pzena Large Cap Focused Value, Pzena Large Cap Value (formerly known as Pzena Large Cap Expanded Value), Pzena Focused Value, Pzena Small Cap Focused Value, and Pzena Mid Cap Value (formerly known as Pzena Mid Cap Expanded Value) composites. Pzena Large Cap Focused Value is a portfolio generally consisting of 30-40 stocks generally taken from a universe of the largest 500 U.S.-traded companies at time of initial purchase; Pzena Large Cap Value is a portfolio generally consisting of 50-80 stocks generally taken from a universe of the largest 500 U.S.-traded companies at time of initial purchase; Pzena Focused Value is a portfolio generally consisting of 30-40 stocks generally taken from a universe of the largest 1,000 U.S.-traded companies at time of initial purchase; Pzena Small Cap Focused Value is a portfolio generally consisting of 40-50 stocks generally taken from a universe of 2,000 U.S.-traded companies ranked 1,001 – 3,000 in terms of market capitalization at time of initial purchase; Pzena Mid Cap Value is a portfolio generally consisting of 50-80 stocks generally taken from a universe of 1,000 U.S.-traded companies ranked 201-1,200 in terms of market capitalization at the time of initial purchase.

As of December 31, 2017, the Pzena Large Cap Focused Value composite included 20 accounts with total assets of $4,177.6 million and represented 100% of our assets in this product. As of December 31, 2017, the Pzena Large Cap Value Composite included 3 accounts with total assets of $6,119.6 million and represented 100% of our assets in this product. As of December 31, 2017, the Pzena Focused Value Composite included 56 accounts with total assets of $2,195.4 million and represented 100% of our assets in this product. As of December 31, 2017, the Pzena Small Cap Focused Value Composite included 53 accounts with total assets of $1,533.0 million and represented 98.6% of our assets in this product. As of December 31, 2017, the Pzena Mid Cap Value Composite included 1 account with total assets of $2,396.9 million and represented 100% of our assets in this product.

As of December 31, 2017, 0.04% of the Pzena Large Cap Focused Value Composite assets, 0.0% of the Pzena Large Cap Value Composite assets, 0.5% of the Pzena Focused Value Composite assets, 0.1% of the Pzena Small Cap Focused Value Composite assets, and 0.0% of the Pzena Mid Cap Value Composite assets were represented by non fee-paying accounts. No leverage was employed in the accounts in any of the domestic product composites. Eligible new portfolios enter the relevant Composite at the beginning of the first full month under management. Terminated portfolios are removed from the Composite after the last full month under management.

The Pzena Focused Value and Pzena Small Cap Focused Value Composites were created on January 1, 1996. The Pzena Large Cap Focused Value Composite was created on October 1, 2000. The Pzena Large Cap Value Composite was created on July 1, 2012. The Pzena Mid Cap Value Composite was created on April 1, 2014. No accounts with any significant client-imposed investment restrictions are included in the Composites.

Each Composite includes all fee-paying, non fee-paying, and non-wrap fee accounts since inception date, and mutual fund portfolios since April 2011 that are managed on a fully discretionary basis in the particular product represented by such composite. The rates of returns are calculated on a time-weighted, total return basis and include all dividends, interest, accrued income, and realized and unrealized gains or losses. Returns are calculated in U.S. dollars.

The gross rates of return are presented gross of investment management fees, and net of the deduction of brokerage commissions and transaction costs. The net rates of return are presented net of investment management fees, the deduction of brokerage commissions and transaction costs.

Generally, investment management fees are charged based upon the size of the portfolio, and are applied quarterly. The current standard fee schedule for Pzena Large Cap Focused Value is as follows: for accounts of $10 million or more, the fees are 0.70% per annum on the first $25 million of assets, 0.50% per annum on the next $75 million of assets, 0.40% per annum on the next $200 million of assets, and 0.35% thereafter; for accounts under $10 million, the fees are 1.00% per annum with a maximum annual fee of $70,000. The current standard fee schedule for Pzena Large Cap Value is as follows: 0.50% per annum on the first $25 million of assets, 0.35% per annum on the next $75 million of assets, 0.30% per annum on the next $200 million of assets, and 0.28% thereafter. The current standard fee schedule for Pzena Focused Value is as follows: for accounts of $10 million or more, the fees are 1.0% per annum on the first $10 million; 0.75% per annum on the next $40 million; 0.60% per annum on the next $50 million; and 0.50% per annum thereafter; for accounts under $10 million, the fees are 1.5% per annum, with a maximum annual fee of $100,000. The current standard fee schedule for Pzena Small Cap Focused Value is as follows: for accounts of $10 million or more the fees are 1.0% per annum; for accounts under $10 million, the fees are 1.5% per annum with a maximum annual fee of $100,000. The current standard fee schedule for Pzena Mid Cap Value is as follows: 0.50% per annum on the first $100 million, 0.45% per annum on the next $100 million, and 0.40% per annum thereafter. Further discussion regarding our advisory fees is contained in our Form ADV, Part 2A.

The Russell 2000® Value Index is used as a benchmark for the Pzena Small Cap Focused Value strategy; and the Russell 1000® Value Index is used as a benchmark for the Pzena Focused Value, Pzena Large Cap Focused Value and Pzena Large Cap Value strategies. Each of these benchmarks is used to indicate the investment environment existing during the time periods shown in this report. Each Russell Index is a registered trademark or trade name of The Frank Russell Company. The Frank Russell Company is the owner of all copyrights relating to the Russell Indexes and is the source of certain performance statistics cited herein. The Russell Indexes are unmanaged and cannot be invested in directly.

Performance Notes Specific to International and Global Products

Pzena International Value (formerly known as Pzena International Value EAFE and previously Pzena International (ex-U.S.) Expanded Value) is a portfolio generally consisting of 60-80 stocks generally taken from the largest 1,500 non-U.S.-traded companies at time of initial purchase. Pzena International Focused Value (formerly known as Pzena International (ex-U.S.) Focused Value) is a portfolio generally consisting of 30-50 stocks generally taken from the largest 1,500 non-U.S.-traded companies at time of initial purchase. Pzena Global Focused Value is a portfolio generally consisting of 40-60 stocks generally taken from the 2,000 largest companies worldwide at time of initial purchase. Pzena Global Value (formerly known as Pzena Global Value World and previously Pzena Global Expanded Value) is a portfolio generally consisting of 60-95 stocks generally taken from the 2,000 largest companies worldwide at time of initial purchase. Pzena Emerging Markets Focused Value is a portfolio generally consisting of 40-80 stocks generally taken from the largest 1,500 companies in the non-developed markets at time of initial purchase. Pzena European Focused Value is a portfolio generally consisting of 40-60 stocks generally taken from the 750 largest European companies at the time of initial purchase. Pzena Global Value All Country (formerly known as Pzena Global Expanded Value ACWI) is a portfolio generally consisting of 60-95 stocks generally taken from the 2,000 largest companies worldwide at the time of initial purchase.

As of December 31, 2017, the Pzena International Value Composite included 13 accounts with total assets of $4,430.2 million and represented 93.5% of our assets in this product. As of December 31, 2017, the Pzena International Focused Value Composite included 6 accounts with total assets of 689.0 million and represented 73.4% of our assets in this product. As of December 31, 2017, the Pzena Global Focused Value Composite included 11 accounts with total assets of $2,403.0 million and represented 100% of our assets in this product. As of December 31, 2017, the Pzena Global Value Composite included 8 accounts with total assets of $2,145.0 million and represented 72.0% of our assets in this product. As of December 31, 2017, the Pzena Emerging Markets Focused Value Composite included 13 accounts with total assets of $2,577.5 million and represented 73.8% of our assets in this product. As of December 31, 2017, the Pzena European Focused Value Composite included 10 accounts with total assets of $3,094.8 million and represented 100% of our assets in this product. As of December 31, 2016, the Pzena Global Value All Country Composite included 1 account with total assets of $119.9 million and represented 9.2% of our assets in this product.

As of December 31, 2016, 0.0% of the Pzena International Value Composite, 0.0% of the Pzena International Focused Value Composite, 0.3% of the Pzena Global Focused Value Composite, 0.0% of the Pzena Global Value Composite, 0.0% of the Pzena Emerging Markets Focused Value Composite, 0.1% of the Pzena European Focused Value Composite, and 0.0% of the Pzena Global Value All Country Composite were represented by non-fee paying accounts. No leverage was employed in the accounts in the Composites. FX currency transactions were used to transact in equity securities only, where applicable. Eligible new portfolios are added to the Composites at the beginning of the first full month under management. Terminated portfolios are removed from the Composites after the last full month that the portfolio is under firm management.

The Pzena International Value Composite was created on November 1, 2008. The Pzena International Focused Value Composite was created on January 1, 2004. The Pzena Global Value Composite was created on January 1, 2010. The Pzena Global Focused Value Composite was created on June 1, 2008 and represents returns for clients invested in the strategy since the inception date of January 1, 2004. The Pzena Emerging Markets Focused Value Composite was created on January 1, 2008. The Pzena European Focused Value Composite was created on August 1, 2008. The Pzena Global Value All Country Composite was created on December 1, 2016. No accounts with any significant client imposed investment restrictions are included in the Composite.

Each Composite includes all fee-paying, non fee-paying, and non-wrap fee accounts since inception date, and mutual fund portfolios since April 2011 that are managed on a fully discretionary basis in the particular style represented by such composite.

All International and Global product returns in this report have been presented both gross and net of investment management fees. The returns are calculated using the same methodology as the Domestic Products referenced herein. Returns are calculated in U.S. dollars (“USD”).

Generally, investment management fees are charged based upon the size of the portfolio, and are applied quarterly. The standard fee schedule for Pzena International Value is currently: 0.55% per annum on the first $100 million, 0.45% per annum on the next $200 million, million and 0.35% per annum on assets above $300 million. The standard fee schedule for Pzena International Focused Value is currently: 0.75% per annum on the first $50 million, 0.65% per annum on the next $50 million, 0.50% per annum on assets above $100 million. The standard fee schedule for Pzena Global Focused Value is currently: 1.00% per annum on the first $10 million, 0.80% per annum on the next $40 million, 0.70% per annum on the next $50 million, 0.60% on the next $200 million and 0.55% per annum on assets above $300 million. The standard fee schedule for Pzena Global Value is currently: 0.55% per annum on the first $100 million, 0.45% per annum on the next $200 million, and 0.35% per annum on assets above $300 million. The standard fee schedule for Pzena Emerging Markets Focused Value is currently: 1.00% per annum on the first $50 million and 0.70% per annum on assets above $50 million. The standard fee schedule for Pzena European Focused Value is currently: 0.75% per annum on the first €20 million, 0.55% per annum on the next €80 million, 0.45% per annum on the next €150 million, and 0.40% on assets above €250 million. Further discussion regarding our advisory fees is contained in our Form ADV, Part 2A.

The MSCI ACWI ex USA Index is used as a benchmark for the Pzena International Focused Value strategy. The MSCI EAFE Index is used as a benchmark for the Pzena International Value strategy. The MSCI ACWI Index is used as a benchmark for the Pzena Global Focused Value strategy. The MSCI World Index is used as a benchmark for the Pzena Global Value strategy. The MSCI Europe is used as a benchmark for the Pzena European Focused Value strategy. The MSCI Emerging Markets Index is used as a benchmark for the Pzena Emerging Markets Focused Value strategy.

The MSCI ACWI ex USA and the MSCI EAFE Index are free float-adjusted market capitalization indexes designed to measure developed market equity performance, excluding the U.S. and Canada. The MSCI ACWI and the MSCI World Index are free float-adjusted market capitalization indexes designed to measure developed market equity performance, including the U.S. and Canada. The MSCI Europe Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of the developed markets in Europe. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. Each of these MSCI Indexes provides equity returns including dividends net of withholding tax rates as calculated by MSCI.

Benchmarks are used for comparative purposes only and generally reflect the risk or investment style of the investments reported on the schedule of investment performance. MSCI Indexes cannot be invested in directly. Investments made by the Firm for the portfolios it manages in the Pzena International Focused Value, Pzena International Value, Pzena Global Focused Value, Pzena Global Value, Pzena European Focused Value and Pzena Emerging Markets Focused Value composites may differ from their respective Indexes. Accordingly, investment results will differ from those of the respective benchmark.

The MSCI information may only be used for internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the MSCI Parties) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)