I

Franklin Regional Retirement System OShaughnessy Market Leaders Value

Franklin Regional Retirement System
JANUARY 11, 2011

I About the Firm

Background (as of 11/30/2011)

Dedicated to alpha generating, quantitative strategies based on our core investment tenets: Quality Companies with Superior Valuation and Yield Committed to ongoing market research: Published four books most notably What Works on Wall Street 16 white papers Approximately $4.5 billion in AUM and 31 employees: Separate account and mutual fund manager for financial advisors Institutional money manager 90 percent employee-owned by nine key contributors Investment advantages: Transparent no black box Backed by eight decades of empirical data, implemented with emotionless discipline Search for improvement ongoing, but underlying approach does not change Process-driven P di approach, h supported t db by a d deep t team

Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

Franklin Regional Retirement System

I Organizational Structure
Jim OShaughnessy* CEO / CIO / Ch Chairman i Senior Portfolio Manager Chris Loveless President / COO Ena Gong Executive Assistant, Assistant Office Management

Chris Meredith, CFA* Senior Portfolio Manager, Director of Research & Portfolio Management Erin Foley Director of Trading Scott Bartone* Assistant Portfolio Manager/Trader Lenny Castagna Trader Ron Schuler Trader Anna Vega Senior Portfolio Analyst Patrick OShaughnessy* Assistant Portfolio Manager Ashvin Viswanathan, CFA* Assistant Portfolio Manager Travis Fairchild* Research Analyst

Frank Fitzgerald Director of Technology

Chris Loveless Institutional Sales & Service

Ari Rosenbaum Director of Financial Advisor Services

Ray Amoroso, III, Esq. CCO Scott E. Loomis Director of Finance Claudia Shi Senior Accountant Elizabeth Cahill Accountant

Victor Bejarano Technology Specialist

Michael Hattrup Client Service Specialist

Claudine Spence Senior Client Service Specialist

Joe Dessalines Senior Developer Beth Ryan Client Service Specialist Ehren Stanhope, CFA Client Service Specialist

Ad i i t ti T Administrative Team

Steve Nemchek Infrastructure Manager

Manson Zhu p Developer

Carla Perl Sales Assistant

Ben Emerson Director of Creative Services

Sandra Hahn-Colbert, CFA Director of Performance, Risk, and Operations Victor Dedaj Performance Analyst

Investment Management Team

Technology Team

Client Service and Sales Team

Michael Knechtel Operations Analyst BNY Mellon 15+ Operations Team

* Members of the Research Team

Franklin Regional Retirement System

Operations Team
3

I Assets Under Management in Core Strategies

Assets in Core Strategies

As of 11/30/11 (mil)

Assets by Client Type

As of 11/30/11 (mil)

OShaughnessy Market Leaders Value O'Shaughnessy Canadian O'Shaughnessy International O'Shaughnessy Enhanced Dividend O'Shaughnessy All Cap Core O'Shaughnessy All-Canadian O'Shaughnessy O Shaughnessy Small Small-Mid Mid Cap Growth O'Shaughnessy Small Cap Growth O'Shaughnessy Global O'Shaughnessy Small Cap Value O'Shaughnessy International ADR

$1,015 $873 $484 $483 $476 $332 $268 $189 $94 $81 $73
Institutional $3 772 $3,772

Intermediary $746

Franklin Regional Retirement System

I What We Do

Core Investment Tenets Factors utilized to identify stocks to select

VALUE
Stocks whose prices relative to underlying fundamentals like earnings earnings, EBITDA/enterprise value, and sales are cheaper than their peers.

Quality Overlay Factors utilized to identify stocks to avoid

FINANCIAL STRENGTH
The direction and overall level of a companys company s debt, debt as well as the companys company s capability to pay it off.

EARNINGS QUALITY YIELD

Stocks with strong dividend yields and corporate buybacks. Ratios within the financial statements can gauge the likelihood that a company is manipulating or overstating its earnings.

EARNINGS GROWTH
Weak or unexpected decrease in a companys earnings.

Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

Franklin Regional Retirement System

I Key Factors from What Works on Wall Street

The S&P 500, which historically outperforms approximately 80% of mutual fund managers,* can be roughly replicated using one simple factormarket capitalization:
Duplicating the S&P 500
Monthly Backtested Results from 1/1/1927 to 7/31/2011 (Logarithmic Scale) 10000

1000

The S&P 500 is more than an indexits a strategydesigned to buy large stocks. It beats most money managers not because of its strategy strategy, but because of its discipline discipline. It never deviates deviates.

100

10

0.1

S&P 500 Index

OShaughnessy Large Stocks Universe

* Malkiel, Burton G. Reflections on the Efficient Market Hypothesis: 30 Years Later. CFA Digest 35.3 (2005): 53-54. Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

Franklin Regional Retirement System

I Key Findings from OSAM Research: Testing Shareholder Yield

Market Leaders Value outperforms the market, with less risk:
BACKTESTED ANNUALIZED RETURN
(1/1/1963 through 9/30/2011)

Russell 1000 Value Index*

10.3%

Shareholder Yield of Large Stocks Best Decile

14.1%

Shareholder Yield of Large, High Quality, Undervalued Stocks

0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0%

15.4%
14.0% 16.0% 18.0%

BACKTESTED BASE RATES

1-Year

(1/1/1963 through 9/30/2011) 5-Year 10-Year

3-Year

OShaughnessy Market Leaders Value vs Russell 1000 Value Index vs.

(Won/Lost)

80%
(459/114)

97%
(531/18)

99%
(524/1)

100%
(465/0)

Shareholder Yield factors: Dividend Yield and Buyback Yield

* Prior to 1979, we use an in-house built proxy for the Russell 1000 Value Index. Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

Franklin Regional Retirement System

I OShaughnessy Market Leaders Value: Portfolio Construction

Stock Screening Process: Portfolio Holdings: g
(as of 11/30/11) ( )

Currently, there are 59 securities in the entire portfolio.

Investable Universe (Approx.16,000 stocks)

Top 25 holdings represent 71% of the portfolio. Our O r strategies are screened for Red Flags dail daily and at o our r discretion discretion,

Market cap > Universe average, excluding Utilities

may cause us to replace a name prior to the rebalance date.

A stocks weight is determined by both the number of months it has

Top half by composited score of Value, Earnings Quality, Earnings Growth, and Financial Strength Composites

qualified for the model over the past year and also by the recency of the months for which it qualified. qualified Stocks that qualify most recently and with greater frequency are given higher weights:
For Illustrative Purposes Only: Examples of Positions & Weights at Inception* Position Ranking 1 Top 5 2 3 4 5 21 Stocks 2125 22 23 24 25 Months qualified for (#1 is most recent month) Name Chubb Corp. Sara Lee Corp. DIRECTV WellPoint Inc. Travelers Cos. Inc. Lib Liberty Global Gl b l I Inc. Philip Morris International Raytheon Company Gilead Sciences Inc. Deutsche Telekom AG Weight 4.19% 4.03% 3.98% 3.96% 3.86% 2 26% 2.26% 2.24% 2.19% 2.04% 2.00% #1 #2 #3 #4 #5 #6 #7 #8 #9 #10 #11 #12

Top securities y shareholder y yield by

* This list does not reflect the strategy's current holdings list. Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

Franklin Regional Retirement System

I OShaughnessy Market Leaders Value: Portfolio Construction

Our screening process selects the top stocks that match all criteria:
Stock Screening Examples
(As of 1/3/12) DIRECTV (DTV) Lockheed Martin Corp. (LMT) The Gap Inc. (GPS) Exxon Mobil Corp. (XOM) Apple Inc. (AAPL)

Investable Universe (Approx.16,000 stocks) Market cap > Universe average

Market cap

$30.2 bil

$21.5 bil

$6.4 bil

$406.3 bil

$376.4 bil

Value*

17 30 12 49

6 9 9 64

4 35 74 22

11 24 10 1

72 95 7 20

Top half by composited score of Value, Earnings Quality, Earnings Growth, and Financial Strength Composites

Earnings Quality* Earnings Growth* Financial Strength* Composited score of composites*

27

22

34

11

49

T securities Top iti by b shareholder yield

Shareholder yield

11.5%

11.4%

23.0%

6.0%

-0.9%

Selected? * The Th lower l the th number b th the b better tt th the score.

yes

yes

yes

no

no

Please be advised that the information regarding our models are subject to change and is provided for informational purposes only and should not be deemed as a recommendation to purchase or sell the securities mentioned. Moreover, there can be no assurance, as of the date of publication, that the securities purchased remain in a strategy's portfolio or that securities sold have not been repurchased. Additionally, it is noted that the securities purchased do not represent a strategy's entire portfolio and in the aggregate may represent a small percentage of a strategy's portfolio. Franklin Regional System Past performance is noRetirement guarantee of future results. Please see important disclosure information at the end of this presentation.

I I OShaughnessy Market Leaders Value: Characteristics I (As of 11/30/11)

TOP TEN HOLDINGS
Holdings Based Chubb Corp. Travelers Cos. Inc. DIRECTV Sara Lee Corp. Gap Inc. WellPoint Inc. Lockheed Martin Corp. Lowe's Cos. Aetna Inc. Royal KPN N.V. ADS Total Percent of Portfolio 4.3 4.0 4.0 3.9 3.8 3.8 3.6 3.5 3.5 3.1 37.5 Dividend Yield (%) 2.3 2.9 0.0 2.4 2.4 1.4 5.1 2.3 1.4 9.4 3.0* 3.4 2.6
* Average of top 10 holdings.

Buyback Yield (%) 8.8 10.4 15.2 7.6 20.6 11.6 10.2 9.6 9.5 6.1 11.0* 6.2 -0.6
** Based on model portfolio as of 11/30/11.

Shareholder Yield (%) 11.1 13.3 15.2 10.0 23.0 13.0 15.3 11.9 10.9 15.5 13.9* 9.6 2.0

OShaughnessy Market Leaders Value Portfolio** Russell 1000 Value Index

CURRENT SECTOR WEIGHTINGS (%)

30

15.5

17.9

14.6

12.7

24.4

24.3

9.8

11.1

12.0

20 10 0

12.6

8.9

9.0

9.2

13.1

8.1

8.4

5.0

3.0

1.8

2.0

0.1 0

2.8

4.7

-10.9

-13.2

-20

Consumer Discretionary

Consumer Staples

Energy

Financials

Health Care

Industrials

Information Technology

Materials

OShaughnessy Market Leaders Value Russell 1000 Value Index

Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

Difference

Telecommunications S i Services

Utilities

Franklin Regional Retirement System

-7.6

-10

-4.2

-2.7

0.0 0

7.6

10

I I OShaughnessy Market Leaders Value: Returns-Based Statistics I Gross of Fees, Since Inception (12/1/01) through 11/30/11 vs. Russell 1000 Value Index

PERFORMANCE Portfolio 3-Month YTD 1-Year 3-Year 5-Year 7-Year 10-Year Inception CUMULATIVE RETURNS
200% 150% 100% 50% 0% -50%

Benchmark 2.5% -1.6% 6.2% 11.3% -2.6% 2.1% 3 9% 3.9% 3.9%

Excess Return vs. Benchmark 1.9% 7.8% 4.2% 18.1% 7.8% 6.5% 6 0% 6.0% 6.0%

4.3% 6.2% 10.3% 29.4% 5.2% 8.6% 9 9% 9.9% 9.9%

Excess Return: 111.1% 111 1% 158.1%

47.0%

Portfolio
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.

Benchmark

Franklin Regional Retirement System

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I OShaughnessy Market Leaders Value

PROPOSED FEE SCHEDULE: Franklin Regional Retirement System

$5 Million

0.55%

Franklin Regional Retirement System

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I OShaughnessy Market Leaders Value

Composite Performance Summary
Blended Gross Rate of Return (%) -4.05 16.53 60.90 -37.95 3 95 3.04 23.91 7.75 20.26 32.83 -7.80 3.07 Primary y Index Return (%) (Russell 1000 Value Index) -11.24 15.51 19.69 -36.85 36 85 -0.17 22.25 7.05 16.49 30.03 -15.52 2.36 3 -Yr Annual Std Dev Primary Index 22.69 23.18 21.10 15.36 5 36 8.06 6.68 9.46 14.76 N/A N/A N/A Composite Assets as a % of Firms Assets 2.04 1.76 0.15 0.21 0 0.16 N/A N/A N/A N/A N/A N/A Wrap Accounts as a % of Composite Accounts 8.07 9.31 98.63 99.33 99 33 100.00 98.44 70.84 50.94 55.43 32.37 N/A Total Market Leaders Value Assets ($mil) 908.5 1,012.7 854.1 527.6 5 6 1,457.4 1,002.9 652.4 354.7 149.6 65.6 28.0

Time Period YTD (9/30/11) 2010 2009 2008 2007 2006 2005 2004 2003 2002
12/1/01 - 12/31/01

Net Rate of Return (%)* -4.44 13.58 56.44 -39.60 39 60 0.73 21.80 7.11 17.87 29.53 -9.89 2.91

Number of Portfolios 8 11 10 30 33 14 10 10 8 13 5

Internal Dispersion 1.16 0.76 12.03 2.27 6.28 2.40 2.51 3.92 4.90 N/A N/A

Composite Assets ($mil) 84.2 89.0 7.6 8.9 8 9 17.2 7.9 3.3 2.2 1.3 2.5 1.4

3 -Yr Annual Std Dev 29.31 30.36 30.18 20.37 03 10.11 7.68 9.16 12.14 N/A N/A N/A

* For composite presentation, the net fee is being calculated using the maximum bundled fee of each participating sponsor with whom OSAM has wrap accounts, in some instances as high as 3% annually. Actual fees may vary account by account. Blended gross returns are a combination of true gross and pure gross and are presented as supplemental information. Basis of Presentation: OShaughnessy Asset Management, LLC (OSAM), founded in 2007, is a Stamford, CT based quantitative money management firm and an SEC Registered Investment Advisor. We deliver a broad range of equity strategies, from micro cap to large cap, and growth to value. Our clients are individual investors, institutional investors, and the high-net-worth clients of financial advisors. James OShaughnessy and his team left Bear Stearns to form OSAM in July 2007. All the GIPS rules of portability were met. Jim maintained continuous management of all accounts during the transition from BSAM to OSAM, which was completed in March 2008. OSAM claims compliance p with the Global Investment Performance Standards ( (GIPS) ) and has p prepared p and p presented this report p in compliance p with the GIPS standards. OSAM has been independently p y verified for the p periods of 2007-2010. The verification reports are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. A complete list and description of OSAMs composites is available upon request. The O'Shaughnessy Market Leaders Value strategy (the Composite) generally seeks to provide long-term growth and some current income by investing in market-leading companies with attractive valuations. First, we screen for stocks with greater than average market capitalizations and exclude Utilities. We then screen for securities with Value, Earnings Quality, Earnings Growth, and Financial Strength Composite scores greater than average. The strategy then selects stocks with the highest shareholder yieldwhich combines a company's annual dividend and its annual rate of stock buybacks. This strategy is periodically rebalanced. Selection Criteria and Valuation Procedures: The Composite p was created in August g 2008 to include both wrap p fee and non wrap p fee accounts, , and represents p the p performance of every y fee p paying y g account managed g in the Market Leaders Value strategy, gy, regardless g of asset size. The investment advisory fee charged for the management of accounts in the strategy varies. Institutional separate accounts are charged an annual investment advisory fee of 0.55% on the first $25 million, 0.45% on the next $75 million, and 0.35% on assets over $100 million. Wrap clients are charged the wrap fee set by the sponsor, and fees can vary by sponsor platform. Wrap fees include charges for trading costs, portfolio management, custody, and other administrative fees. For composite performance presentation purposes, returns are net at 3% annually, which reflects the highest applicable wrap fee charged by any sponsor across our distribution channel. Additionally, gross-of-fees returns for wrap fee accounts are pure gross returns. "Pure" gross-of-fees returns do not reflect the deduction of any expenses, including transaction costs. "Pure" gross-of-fees returns are supplemental to net returns. A traditional (or "true") gross-of-fees return reflects performance after the reduction of transaction costs but before the reduction of the investment advisory fee. Since wrap fee accounts experience bundled pricing, it is often impossible to unbundle the transaction portion to calculate a gross-of-fees return and hence "pure" gross-offees returns are made available. The gross-of-fee return presented for this composite is a blend of "true" gross-of-fees returns for non wrap clients (where the actual fee paid is identifiable) and "pure" gross-of-fees returns for wrap clients (for the reasons stated above). The internal dispersion of annual returns is measured by the equal weighted standard deviation of portfolio returns represented within the Composite for the full year. Data related to assets under management is presented from December 31, 2007 forward consistent with the inception of our firm, forward, firm and N/A is shown for prior periods. periods All investments are in U.S. U S equities and all returns are stated in U.S. U S Dollars. Dollars Additional information regarding policies for calculating and reporting returns is available upon request Composite Benchmark(s): The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

Franklin Regional Retirement System

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I Biographies of Key Professionals

James P. OShaughnessy Chairman, CEO, CIO
Jim O'Shaughnessy is the Chairman and CEO of O'Shaughnessy Asset Management (OSAM). Also serving as the Chief Investment Officer of the firm, Jim is ultimately responsible for OSAMs investment strategies. He directs the Senior Portfolio Manager Director of Research and the Portfolio Management Team and helps to set the agenda for the team. Manager, team He is also responsible for the development of OSAM OSAMs s existing strategies and directs the team on idea generation and specific initiatives to improve the models and develop new factors and products. Prior to founding OSAM, Jim was the Director of Systematic Equity at Bear Stearns Asset Management and a Senior Managing Director of the firm. Prior to Bear Stearns, he was the CEO and Chairman of OShaughnessy Capital Management (Netfolio). Long recognized as one of America's leading financial experts and a pioneer in quantitative equity analysis, he has been called a "world beater," a "statistical guru" and a "legendary investor" by Barron's. In February 2009, Forbes included Mr. OShaughnessy in a series on Legendary Investors along with Benjamin Graham, Warren Buffet and Peter Lynch. Jim is the author of four books on investing. Forbes pronounced his first book Invest Like the Best "awesome" and named it one of the best financial books of the year. His next book, What Works on Wall Street, was a BusinessWeek and New York Times Business bestseller and called "An indisputable classic...downright momentous" by TheStreet.com. The Financial Analysts' Journal said it was "indisputably a major contribution to empirical research on the behavior of common stocks in the United States...conceivably, y, the influence of What Works on Wall Street will p prove immense." Jims third book, How to Retire Rich, was a New York Times Business and BusinessWeek bestseller. Mr. OShaughnessy's most recent book, Predicting the Markets of Tomorrow, was published in 2006. Mr. OShaughnessy was named "manager of the year" in Gordon Pape's 2004 Buyers Guide to Mutual Funds for his management of the Royal Bank (RBC) of Canada's O'Shaughnessy Funds, and the Canadian Investment Awards named the RBC O'Shaughnessy US Value Fund "US Equity Fund of the Year" in 2004 and 2005. Mr. OShaughnessy has a BA in Economics from the University of Minnesota.

Christopher Loveless Partner, President & Chief Operating Officer

Chris Loveless serves as the President and Chief Operating Officer of OSAM. In this role, Mr. Loveless is responsible for driving the firms initiatives, as well as overseeing the Technology, Performance, Operations and Administrative teams. He also serves as the Director of Sales, Sales and leads the Institutional sales and service efforts, efforts including managing the relationship with our largest client the Royal Bank of Canada. Canada Prior to joining the firm, firm Mr. Mr Loveless was a Managing Director/Principal at Bear Stearns Asset Management (BSAM) where he was responsible for the Third-party Platform business. Mr. Loveless joined BSAM along with Jim OShaughnessy in 2001 and grew Platform assets from $500 million to over $25 billion during his tenure. Prior to joining BSAM, Mr. Loveless was a Vice President and National Sales Manager for Mutual Funds and Separate Accounts with Netfolio, Inc., formerly known as OShaughnessy Capital Management. From 1994 to 1997, he was a Marketing Manager specializing in retirement plans for Merrill Lynch & Co. Mr. Loveless joined Merrill Lynch as a member of the JET program in 1994. He holds a B.A. from Texas Tech University. He is a Past President of the Texas Tech Alumni Association National Board, a member of Young Presidents Organization (YPO) and lives in Greenwich, Connecticut with his wife and four daughters.

Christopher Meredith, CFA Partner, Senior Portfolio Manager, Director of Research & Portfolio Management
Chris Meredith is a Senior Portfolio Manager at OSAM. He is responsible for portfolio management, investment strategy research and the overseeing the firm firms s trading efforts. His responsibilities include daily model generation and strategy optimization, reviewing account rebalances and trade analysis. On the research side, Chris leads a team of analysts conducting research on new and existing strategies and evaluating the efficacy of new factors. Prior to joining the firm, Chris was a Senior Research Analyst on the Systematic Equity team at BSAM. He was a Director at Oracle Corporation and spent eight years as a technology professional before attending the Johnson School at Cornell University. Chris holds a B.A. in English from Colgate University, an M.B.A. from Cornell University and an M.A. of Financial Mathematics from Columbia University. He is also a CFA Level III candidate. He lives in Chappaqua, New York with his wife and three children.

Erin Foley Partner, Director of Trading

Erin Foley is the Director of Trading at OShaughnessy Asset Management (OSAM). Erin is responsible for the execution of trades related to our institutional and sub-advised accounts using brokers, algorithms, and direct access. On a monthly, quarterly q y and annual basis, , she reviews all trades for best execution analysis. y Prior to jjoining g OSAM, , Erin was Vice President and Institutional Sales Trader at Canaccord Adams where she p performed trade activity y in Listed, , OTC and International markets with a focus on small cap equities. While at Canaccord Adams, Erin was a part of the team responsible for opening the firm's first regional sales and trading office. Prior to joining Canaccord Adams, Erin spent four years as a Vice President and Institutional Sales Trader for Deutsche Bank Securities, where she executed trades, enhanced cross-selling opportunities through the use of derivatives and provided access to syndicate deals. Prior to that, Erin was an Operations Manager/Junior Sales Trader for Morgan Stanley where she began her career in 1995. She holds a B.A. in Economics from the University of New Hampshire.

Sandra Hahn-Colbert, CFA Partner, Director of Performance, Risk, and Operations

Sandra Hahn-Colbert is Director of Performance, Risk, and Operations at OShaughnessy Asset Management (OSAM). In this role she is responsible for maintaining the firms GIPS compliance and ensuring the integrity of all data and metrics that accompany the presentation of our strategy performance. Operationally, she is responsible for managing the relationship with the firms back office support structure, which is outsourced, and managing the internal team that supports the portfolio management and trading functions. Prior to joining OSAM, Sandra worked for Neuberger Berman, spending the last seven years leading the Performance Measurement & Analytics department. Sandra was also responsible for the preparation of the firm's performance composites and for maintaining the GIPS compliance. From 1993 to 2000, Sandra had a number of responsibilities at Neuberger including serving as the product manager for the International Equity team and managing Institutional Sales & Service support. Before this, Sandra was a Vice President at Gabelli Asset Management Company from 1986 to 1993 and performed a variety of performance, client service, and marketing support roles. Sandra is active in the performance industry and sits on a number of committees including the NAIPC (North American Investment Performance Committee), the GIPS Investment Manager Subcommittee (of the GIPS Executive Committee), and the GIPS Liaison committee of the Money Management Institute. She is also an adviser to the CFA Institute serving on the CIPM Examination Review Panel and a member of the Spaulding Performance Forum. Sandra earned her B.A. in International Studies from Franklin Regional Retirement System Siena College and an M.B.A. from Fordham University. She is a Chartered Financial Analyst and member of the New York Society of Security Analysts.

14

I General Legal Disclosure/Disclaimer and Backtested Results

It should not be assumed that your account holdings correspond directly to any comparative indices. Individual accounts may experience greater dispersion than the composite level dispersion (which is an asset weighted standard deviation of the accounts in the composite for the full measurement period). This is due a variety of factors, including but not limited to, the investment approach that OSAM employs and the fact that each account has its own customized rebalance frequency. Over time, dispersion should stabilize and track more closely to the composite level dispersion. Gross of fee performance computations are reflected prior to OSAMs investment advisory fee (as described in OSAMs written disclosure statement), the application of f which will have the effect ff of f decreasing the composite performance f results (for (f example: an advisory fee f of f 1% % compounded over a 10-year period would reduce a 10% % return to an 8.9% % annual return). ) Portfolios f are managed to a target weight of 3% cash. Account information has been compiled by OSAM derived from information provided by the portfolio account systems maintained by the account custodian(s), and has not been independently verified. In calculating historical asset class performance, OSAM has relied upon information provided by the account custodian or other sources which OSAM believes to be reliable. OSAM maintains information supporting the performance results in accordance with regulatory requirements. Please remember that different types of investments involve varying degrees of risk, that past performance is no guarantee of future results, and there can be no assurance that any specific investment or investment strategy (including the investments purchased and/or investment strategies devised and/or implemented by OSAM) will be either suitable or profitable for a prospective clients portfolio. OSAM is a registered investment adviser with the SEC and a copy of our current written disclosure statement discussing our advisory services and fees continues to remain available for your review upon request. The risk-free rate used in the calculation of Sortino, Sharpe, and Treynor ratios is 5%, consistently applied across time. The universe of All Stocks consists of all securities in the Chicago Research in Security Prices (CRSP) dataset or S&P Compustat Database (as noted) with inflation-adjusted market capitalization greater than $200 million as of most recent year-end. year-end The stocks are equally weighted and generally rebalanced annually. Hypothetical performance results shown on the preceding pages are backtested and do not represent the performance of any account managed by OSAM, but were achieved by means of the retroactive application of each of the previously referenced models, certain aspects of which may have been designed with the benefit of hindsight. The hypothetical backtested performance does not represent the results of actual trading using client assets nor decision-making during the period and does not and is not intended to indicate the past performance or future performance of any account or investment strategy managed by OSAM. If actual accounts had been managed throughout the period, ongoing research might have resulted in changes to the strategy which might have altered returns. The performance of any account or investment strategy managed by OSAM will differ from the hypothetical backtested performance results for each factor shown herein for a number of reasons, including without limitation the following:

Although OSAM may consider from time to time one or more of the factors noted herein in managing any account, account it may not consider all or any of such factors. factors OSAM may (and will) from time to time consider factors in addition to those noted herein in managing any account. OSAM may rebalance an account more frequently or less frequently than annually and at times other than presented herein. OSAM may from time to time manage an account by using non-quantitative, subjective investment management methodologies in conjunction with the application of factors. The hypothetical backtested performance results assume full investment, whereas an account managed by OSAM may have a positive cash position upon rebalance. Had the hypothetical backtested performance results included a positive cash position, the results would have been different and generally would have been lower. The hypothetical backtested performance results for each factor do not reflect any transaction costs of buying and selling securities, securities investment management fees (including without limitation management fees and performance fees), fees) custody and other costs, or taxes all of which would be incurred by an investor in any account managed by OSAM. If such costs and fees were reflected, the hypothetical backtested performance results would be lower. The hypothetical performance does not reflect the reinvestment of dividends and distributions therefrom, interest, capital gains and withholding taxes. Accounts managed by OSAM are subject to additions and redemptions of assets under management, which may positively or negatively affect performance depending generally upon the timing of such events in relation to the markets direction. Simulated returns may be dependent on the market and economic conditions that existed during the period. Future market or economic conditions can adversely affect the returns.

Franklin Regional Retirement System

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