PERFORMANCE REVIEW for the month ended 30 Nov 2018

Equity markets fluctuated in November as geopolitical events influenced market movements. International smaller capitalization (“cap”) equities, as measured by the MSCI ACWI ex USA Small Cap Index (“Index”), slightly underperformed international large caps in November. Within international smaller cap equities, emerging markets stocks significantly outperformed developed markets stocks, meaningfully reducing their year-to-date underperformance. Emerging markets have thus far proven relatively resilient to the elevated market volatility recently. The strongest performing sectors within the Index during the month were the more economically defensive sectors including utilities, consumer staples, and health care. Energy, information technology, and financials were among the weakest performing sectors, although energy was the weakest by a wide margin.

The Portfolio underperformed the Index during the month. To evaluate stocks in our investable universe, our multi-factor quantitative model employs four bottom-up factor categories – valuation, earnings growth, technical indicators, and quality – and two top-down factor categories assessing macroeconomic and country aggregate characteristics.

In November, value factors were slightly negative after their strong performance in October. Earnings growth and technical factors both posted large negative returns in November as we witnessed a reversal in market sentiment away from many of the stocks that previously led the market. Some of the best-performing stocks year-to-date with strong technical characteristics have been hardest hit in the recent market sell-off. The notably poor performance of earnings growth and technical factors was a key driver of the Portfolio's underperformance in November. The quality factor group posted positive returns in November, and given the poor performance of earnings growth and momentum in November, quality factors are now the best-performing bottom-up factor group on a year-to-date basis. All bottom-up factor group returns are positive from the inception of the Portfolio to the end of November. Within our top-down factor groups, our macroeconomic factors posted strong returns in November as countries with superior macroeconomic metrics outperformed those exhibiting relatively weaker metrics. However, returns to our country aggregate factors were negative. Portfolio holdings in the materials, energy, and consumer staples sectors contributed the most to relative underperformance. Holdings in the utilities sector were the only group to offset a portion of the underperformance. Relative performance for the month can be mostly attributed to stock selection.

The largest detractor from performance was oil refiner, Cosmo Energy Holdings Co., Ltd. (Japan). Additional top detractors included steel & iron distribution company, EVRAZ Plc (United Kingdom), gold miner, Harmony Gold Mining Co. Ltd. (South Africa), integrated oil refiner & producer, Esso Thailand Public Co. Ltd. (Thailand), and construction materials company, Huaxin Cement Co., Ltd. (China). The largest contributor to performance was property developer, Yuexiu Property Co., Ltd. (China). Additional top contributors included natural gas & electric utility, Just Energy Group (Canada), electronics manufacturer, Radiant Opto-Electronics Corp. (Taiwan), engineering and construction company, Daiho Corp. (Japan), and energy and chemical trading company, Sojitz Corp. (Japan).*

*The market commentary expresses the portfolio managers’ views as of the date of this report and should not be relied on as research or investment advice regarding any stock. These views and the fund holdings and characteristics are subject to change. There is no guarantee that any forecasts made will come to pass. Any securities identified and described in this report do not represent all of the securities purchased, sold or recommended for client accounts. The reader should not assume that an investment in the securities identified was or will be profitable. Diversification does not protect against market loss.