PERFORMANCE REVIEW for the month ended 31 Mar 2019

Increasingly dovish commentary from the US Federal Reserve (“Fed”) and the European Central Bank ("ECB"), along with progress on US-China trade negotiations, supported equity markets in March. International smaller capitalization (“cap”) equities, as measured by the MSCI ACWI ex USA Small Cap Index (“Index”), underperformed international large caps in March, however their year-to-date returns are similar. Within international smaller cap equities, emerging markets stocks outperformed developed markets stocks in March, though developed markets small caps outperformed emerging markets small caps in the first quarter of 2019. From a sector perspective, the strongest performers in the Index were the real estate, communication services, and information technology sectors. Materials, financials, and industrials were among the weakest performing sectors.

The Portfolio outperformed 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.

After a strong start to the year, value factors generated negative performance in February and March but they remain the best bottom-up factor group over the last twelve months. Earnings growth factors were the best-performing group in March. Technical factors delivered positive returns in March following sharply negative returns in January and February. Technical factors are the worst-performing factor group year-to-date and over the last twelve months due to the numerous and sharp market reversals that we witnessed in the fourth quarter of 2018 and the first quarter of 2019. The quality factor group posted slightly positive returns in March. All bottom-up factor group returns are positive from the inception of the Portfolio to the end of March. Within our top-down factor groups, our macroeconomic factors posted positive returns in March as countries with superior macroeconomic characteristics outperformed those exhibiting relatively weaker metrics. However, returns to our country aggregate factors were negative. Portfolio holdings in the information technology, consumer discretionary, and health care sectors contributed the most to outperformance relative to the Index. Holdings in the industrials, financials, and real estate sectors offset a portion of the outperformance. Relative performance for the month can be mostly attributed to stock selection.

The largest contributor to performance was apparel company, Adastria Co., Ltd. (Japan). Additional top contributors included lithium battery producer, Simplo Technology Co., Ltd. (Taiwan), steel & iron distribution company, EVRAZ Plc (United Kingdom), apparel manufacturer, Makalot IndustrialCo, Ltd. (Taiwan), and property developer, China Aoyuan Group Ltd. (China). The largest detractor to performance was coal company, New Hope Corp. Ltd. (Australia). Additional top detractors included financial services company, Just Group Plc (United Kingdom), power generation & construction company, Tekfen Holding AS (Turkey), insurance company, ASR Nederland NV (Netherlands), and transportation company, Nobina AB (Sweden).*

*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.