AlphaOne Fundamental Micro Cap Core...

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AlphaOne Fundamental Micro Cap Core Strategy January 2016 ©2016 AlphaOne Capital Partners, LLC. All rights reserved. AlphaOne Capital Partners, LLC 789 E. Lancaster Ave., Suite 120 Villanova, PA 19085 www.alphaonecapital.com Main: (267) 597-3888 [email protected] Institutional Use Only. Not for distribution to the general public.

Transcript of AlphaOne Fundamental Micro Cap Core...

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AlphaOne Fundamental Micro Cap Core Strategy

January 2016

©2016 AlphaOne Capital Partners, LLC. All rights reserved.

AlphaOne Capital Partners, LLC

789 E. Lancaster Ave., Suite 120 Villanova, PA 19085

www.alphaonecapital.com

Main: (267) 597-3888 [email protected]

Institutional Use Only. Not for distribution to the general public.

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TABLE OF CONTENTS

Executive Summary ........................................................................................................................................... 3

Philosophy ………………..………………...................................................................................................................... 4

Growth of Investment ....................................................................................................................................... 5

Performance Summary ………………...................................................................................................................... 6

Risk Return Profile ............................................................................................................................................ 7

Investment Approach ...................................................................................................................................... 8

Investment Process .......................................................................................................................................... 9

Investment Team ............................................................................................................................................. 10

Risk Parameters & Statistics............................................................................................................................... 11

Portfolio Characteristics ..................................................................................................................................... 12

Risk Management ............................................................................................................................................. 14

Competitive Edge ............................................................................................................................................. 15

Appendix .......................................................................................................................................................... 16

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ALPHAONE MICRO CAP CORE – EXECUTIVE SUMMARY

Performance: strong over full market cycles

• Lower volatility compared to peers and low beta relative to the Russell 2000® Index

• Outperformance: 151.58% gross cumulative 10-year return* vs 93.14 for Russell 2000® Index

Strategy: active, fundamental security analysis/conviction weighted portfolio construction

• Quality orientation emphasizes earnings, ROIC, growth, corporate strategy/management strength

• Diversification across high conviction 40-70 positions with targeted holding period of 3-5 years

• Value and growth styles expressed in portfolio

• Average market cap – above $900 million

Portfolio Management: experienced small cap investing professionals

• Analysts and PMs average 20 years of experience in small cap investing through multiple cycles

• Core portfolio management leaders working together over 10 years

• Diverse sector specialists across financials, technology, healthcare, industrials, and chemicals

AlphaOne Capital: independent specialty equity asset management

• Headquartered in suburban Philadelphia with portfolio management offices in Boston & San Francisco

• Firm leadership averages more than 20 years of industry experience

• Diverse, referenceable group of clients including hospitals, pension plans, and foundations

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* As of December 31, 2015. Past performance is not indicative of future results. Performance is shown net of fees. The historical performance of indices shown is for illustrative purposes only, does not reflect any management fees and is not meant to forecast, imply or guarantee future performance.

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PHILOSOPHY

We know that small cap stocks have outperformed large cap stocks since 1925

• Ibbotson shows from 1926 through December 2014, small cap stocks have produced a CAGR 12.2% vs. large cap annualized return of 10.1%. This 2.1% annualized outperformance would reward a $100 investment with an additional $2,210,200 premium.

We believe small cap stocks provide investors multiple paths to investment returns

• Earnings growth drives stock prices

• Merger/Acquisition can provide exit valuations at significant premiums

• Institutional interest can trigger revaluation through higher P/E ratios

We believe thorough company research of small companies uncovers opportunities

• Small companies are covered less than large companies

• Typically they are less complicated

• Research interviews are often with owners/owner management

We believe we can gain an edge through risk mitigation practices

• Buy to hold but track to exit – internal researched companies with long-term focus

• Buy quality – free cash flow generating, profitable, low debt firms

• Diversify holdings and conviction weightings by sector

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GROWTH OF $100,000 – MICRO CAP CORE STRATEGY

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Firm/Product Returns (%) Dollar amount

AlphaOne Fundamental Micro Cap Core (gross) 17.6 $3,332,110

Russell 2000® - Benchmark 8.7 $603,278

Russell 2000® Growth 7.2 $452,149

Russell 2000® Value 9.6 $730,773

As of December 31, 2015. Source: FactSet. Performance data quoted represents past performance and is not indicative of future results. Current performance may be lower or higher than performance data quoted. Please see important disclosures at the end of this presentation.

AlphaOne Fundamental Micro Cap Core Strategy versus Russell 2000 ® From Inception (4/30/1994) through 12/31/2015

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INVESTMENT PERFORMANCE SUMMARY - AS OF DECEMBER 31, 2015

As of December 31, 2015. Past performance is not indicative of future results. The past performance data provided for all periods prior to September 1, 2009, is not the performance data of portfolios managed by AOIS, but the performance data of portfolios managed by OFI Institutional Asset Management (”OFII”) and an affiliate of OFII, Babson Capital Management LLC, which is linked to the performance data. The performance data presented conforms to GIPS® with regard to the portability of investment returns. AlphaOne did not calculate the performance data prior to September 1, 2009, but believes such performance data to be accurate.

Please see important Disclosures related to the Fundamental Micro Cap Core composite at the end of this presentation.

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Fundamental Micro Cap Core Composite Gross Return Russell 2000®

Index Relative Return

Year-to-Date 3.82% -4.41% +8.23%

Cumulative (10 years) 151.58% 93.14% +58.44%

Annualized Returns

Trailing 1-Year 3.82% -4.41% +8.23%

Trailing 3-Year 14.35% 11.65% +2.70%

Trailing 5-Year 12.10% 9.19% +2.91%

Trailing 7- Year 15.15% 14.01% +1.14%

Trailing 10-Year 9.66% 6.80% +2.86%

Since Inception (4/30/1994) 17.57% 8.65% +8.92%

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10 YEAR CONSISTENT NORTHWEST QUADRANT PERFORMANCE

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As of December 31, 2015. Source: eVestment Alliance via Factset. Performance comparison information constitutes supplemental information for purposes of the Global Investment Performance Standards (GIPS®). Statistics are based on monthly gross-of-fees returns. Please see important disclosures at the end of this presentation.

Firm/Product Returns (%) Standard Deviation (%)

AlphaOne Fundamental Micro Cap Core 9.7 17.2

Russell 2000®- Benchmark 6.8 19.7

Russell 2000® Growth 8.0 20.2

Russell 2000® Value 5.6 19.7

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Portfolio Construction • Conviction weighted ideas – no position over 5% • 40-70 Best Ideas Holdings with buy/hold mentality – 3-5 year holding period • Quarterly refresh of target sell price • Position review driven by proprietary analysis process • Disciplined pruning process

Quality Firms • Typically > 10 years of operations • Financial/balance sheet strength • Entry point – price sensitivity • Experienced management teams • Average market cap (10/15) - $900 million

Avoiding Pitfalls • No companies under $50 million • No heavily leveraged companies • No illiquid or thinly traded companies • No penny stock or pink sheet companies

Investable Universe – Small Cap Companies • Valuation inefficiencies - less analyst coverage • Data shows historical outperformance of small cap stocks versus all other asset

classes (Ibbotson SBBI report) • Blend of value and growth

ACTIVE MANAGEMENT & DISCIPLINED INVESTMENT APPROACH

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On-Site Due Diligence

Key site visits: corporate

headquarters, branches,

“manufacturing floor”

Insights into strength, commitment

and motives of management

Confirm - staff quality,

manufacturing prowess, use of

capital, strategy soundness

Reference Check – quality

reference(s) from a customer,

supplier, or consumer are required

before a security is expressed in the

portfolio

OVER 10 YEARS APPLYING A CONSISTENT INVESTMENT PROCESS

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Idea Generation

Sector-specific screens

Sector-specific models

Apply sector knowledge to source

ideas

Some reliance on Wall Street

research, conferences for sector

trends and ideas

Daily PM/analyst meetings &

continual interaction with firm’s

broader technology team

Bench names by sector

Initial Analysis

Extensive modeling, forecasting,

and scenario analysis

Thorough financial analysis

including regulatory filings, financial

statements, balance sheets, cash

flows

Evaluation of business model,

supply chain, competitors, product

lines

Ideas vetted amongst team of sector

specialists

Portfolio Construction & Risk

Management

Top ideas conviction-weighted

Quarterly refresh of target sell price

New positions typically enter at ~1%

weight

Continual evaluation of investment

thesis

Disciplined Sell Decisions

Position size exceeds 5%

Stock achieves peak profitability or

valuation

Fundamentals deteriorate

Proprietary process targets

potential problems

A more attractive opportunity is

identified

Idea Expression

Investment Research Process

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INVESTMENT TEAM

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Each team member:

• Generates approximately 95% of research internally

• Conducts fundamental analysis of companies within their sector specialties

• Has “big firm” experience with significant capital under management

Team Member Years

Experience Years with

Team Sector Specialties

Dan Goldfarb, CFA 29 20 Financials, Transportation, Business Services

Steven Dray, CFA 19 14 Consumer, Energy, Health Care, Technology

Chris Crooks, CFA 20 11 Industrials, Health Care, Technology

Constantine Davides, CFA 11 2 Health Care

Chaim Kurlandski 14 1 Technology

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RISK PARAMETERS & STATISTICS

Diversification

Initial Position Size 1 – 3%

Maximum Position Size 5%

Maximum Russell 2000 Sector Exposure 30%

Portfolio Turnover ~ 30 – 70%

Number of Securities 40 - 70

*As of December 31, 2015. Performance comparison information constitutes supplemental information for purposes of the Global Investment Performance Standards (GIPS®). Past performance is no guarantee of future results.

Risk/Return*

Fundamental Micro Cap Core Composite vs. Russell 2000® Index

Annualized Alpha 3.86

Information Ratio 0.49

Sharpe Ratio 0.81

Beta 0.87

R2 86.15

Standard Deviation 14.88

Tracking Error 5.89

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*based on 5-year, monthly, gross-of-fees returns

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PORTFOLIO CHARACTERISTICS

Fundamental Micro Cap Core Representative Portfolio

Russell 2000Index

Number Stocks 63 1,988

Sectors (Russell) 7 9

Fundamentals Dividend Yield 0.86% 1.53%

P/E Ratio NTM †* 14.3x 14.5x

Price/Book Ratio† 2.1x 1.9x

Annualized Turnover** 34% --

Projected EPS Growth Rate (3- 5 years) †

13.9% 13.0%

Profitability Return on Equity (5 years) † 10.5% 9.1%

Return on Assets (5 years) † 6.9% 5.2%

5 Year EPS Growth† 15.2% 9.0%

Market Cap Weighted Average ($ million) 926 1,856

† Median calculation. * Excludes negative earnings. ** Portfolio turnover is calculated by dividing the lesser of purchases or sales of portfolio securities by the monthly average total value of the portfolio during the reporting period. As of December 31, 2015. Please see important disclosures at the end of this material related to portfolio characteristics.

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As of December 31, 2015. Please see important disclosures at the end of this presentation.

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PORTFOLIO CONSTRUCTION – SECTOR WEIGHTS

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RISK MANAGEMENT

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• Insure portfolio construction is consistent

with stated goals, strategy and philosophy

• Know the companies/sectors

• Narrow names

• Construct portfolio consistent with

documented risk parameters

• Execute sell discipline

Portfolio Manager

• Insure style consistency

• Daily review of exposures vs. guidelines

• Cash management oversight

• Trade execution monitoring

• Liquidity analysis

• Reporting to senior management daily

• Presentation to Independent Risk Committee

• PM discussion as needed

• Client risk reporting

Risk Manager

• Consists of CEO and COO/CCO

• Insure style consistency

• Meets weekly with proprietary reports to:

- Review outlier exposures

- Review watch list positions

- Monitor position level and portfolio liquidity

- Determine appropriate remedies

• Conducts full portfolio and position review

quarterly with each portfolio manager

• Quarterly review minutes documented

Independent Risk Committee

There can be no assurances that the risk management efforts will be successful. Please see the end of this presentation for important disclosures related to performance information and applicable risks.

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COMPETITIVE EDGE

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Targeted Attractive Investment Universe • Small companies have outperformed large companies over long timeframes

• Quality criteria narrows our focus and contributes to the strategy’s performance edge

• Value and growth both work in a well constructed blend portfolio

Time-Tested Consistent Process • Proven, sector-specific fundamental research process

• Long track record of outperformance through security selection

• Systematic portfolio construction focused on high conviction names

Experienced Diverse Investment Team • Average 20 years of small cap investment experience

• Specific key sector research strength

• Long tenure working together

Institutional Risk Management • Quality orientation, diversified portfolio, consistent sell discipline

• Automated exception or watch list reporting

• Established weekly, monthly, and quarterly procedures and process

INVESTMENT RESULTS*

Lower relative beta and volatility vs. peer group Annualized 10-year return of 9.66% (gross)* vs. 6.80% for Russell 2000® Index

*As of December 31, 2015. Performance data quoted represents past performance and is not indicative of future results. Current performance may be lower or higher than performance data quoted.

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Appendix

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EXPERIENCED, COHESIVE TEAM WORKING IN A COLLABORATIVE SUPPORT CULTURE

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Previous Experience Years in Industry

Portfolio Management, Research & Trading 20+ year average

Daniel Goldfarb, Senior Portfolio Manager OFII, Babson Capital, Smith Barney, Wilmington Trust 29

Steven Dray, Senior Portfolio Manager OFII, Babson Capital, Strong Capital 18

Christopher Crooks, Senior Portfolio Manager OFII, Babson Capital, Commerce Capital 20

Constantine Davides, Senior Healthcare Analyst BlackRock, JMP Securities, Susquehanna Financial 11

Carlo Fitti, Head Trader Crowell Weedon, Susquehanna 15

Expanded Technology Coverage 17 year average

Dan Niles, Founding Partner & Senior Portfolio Manager Neuberger Berman, Lehman, Robertson Stephens 25

Stewart Stecker, Senior Portfolio Manager Citadel, Vicis Capital, Neuberger Berman, Lehman 14

Chaim Kurlandski, Research Analyst Oakum Bay Capital, Carl Marks, Columbia Mgt. Group 14

Administration, Compliance & Risk Management 22 year average

Paul Hondros, President & CEO Gartmore Group, Fidelity Investments, SEI Investments 30+

Donald O’Hara, Chief Operating & Compliance Officer Reliance International, CMS Companies, Gartmore Group 20

MaryBeth McLallen, Operations Analyst Redstone Investment Management, Morgan Stanley 15

Sales and Marketing 13 year average

James Barton, Director, Sales & Marketing State Street Global Advisors, Horizon Investments, Delaware 13

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TERMS & ADMINISTRATIVE INFORMATION

Separate Account Vehicle

Asset Level

Annual Fee

Market Value of all AUM 1.00%

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TOP TEN HOLDINGS

Fundamental Micro Cap Core Representative Portfolio

Security Name Ticker Portfolio Weighting % Index Weighting %

Natus Medical Inc. BABY 2.49 0.09

Invacare Corporation IVC 2.32 0.03

Vascular Solutions, Inc. VASC 2.31 0.04

On Assignment, Inc. ASGN 2.28 0.14

Inphi Corporation IPHI 2.27 0.06

GSI Group Inc. GSIG 2.24 0.03

Renasant Corporation RNST 2.23 0.08

CalAmp Corporation CAMP 2.21 0.04

AZZ Inc. AZZ 2.18 0.08

Enterprise Financial Services Corporation EFSC 2.15 0.03

Total 22.69 0.63

* As Of December 31, 2015. Portfolio holdings are for a representative composite account and are subject to change without notice. Please see important disclosures at the end of this presentation.

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OPERATIONS & COMPLIANCE RISK MANAGEMENT

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Compliance Transparency &

Recognized Third-Party Service Partners

• SEC registered

• Compliance Manual & Code of Ethics

• Personal trading oversight

• Independent administrators, custodians &

prime brokers

• Independent auditor; GIPS compliance

• Independent legal counsel

• Independent compliance: Foreside, SEI, Cordium

Operational Risk Management

• Segregation of functions internally and across third-

party providers

• Scalability of systems and processes

• Formal Business Continuity Plan

Trading & Systems Level

• Central trading desk

• Pre-trade compliance requirements

• 3rd-party resources provide portfolio optics, seamless

trade flow & reconciliation.

– Eze OMS, FactSet, Omgeo, Advent Geneva

Chief Operating Officer & Chief Compliance Officer

Donald O’Hara

Third-Party

Providers

AlphaOne has a firm-wide commitment to robust

internal controls & a strong culture of compliance.

Operations

Team

Central Trading

Desk

Compliance

Team

Third-Party

Providers

• Trade affirmation

• Trade clearing

• Account reconciliation

• Review of transactions

• Independent valuations

• Performance reporting

• Attribution/analytics

• Maintain share registry

• AML review

• Redemption payments

• Financial statements

• Tax reporting

• Proxy voting

• Broker selection

• Counterparty

monitoring

• Monitor account

mandates

• Execution for all equity

& options trades

• SEC/regulatory filings

• Employee trading

monitoring

• Employee compliance

trading

• Identify and manage

conflicts of interest

• Review of marketing

materials

• ERISA monitoring

Oversight Oversight

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Steven Dray – Sr. Portfolio Manager Steven Dray is a Senior Portfolio Manager for the Fundamental Small and Micro Cap Strategies. Mr. Dray also serves as an Equity Analyst for these strategies. Prior to joining AlphaOne Capital Partners in 2009, he worked for the OFI Institutional/Babson Capital organization since 2001, serving as Managing Director/Portfolio Manager. Previously, Mr. Dray spent five years at Strong Capital Management as an Associate Portfolio Manager/Analyst and also was an Engineer at Lockheed Martin Aeronautics Company. He holds a BS in Electrical Engineering from Tufts University and a MBA from Indiana University. Mr. Dray is a CFA charterholder and member of the Boston Security Analysts Society.

BIOGRAPHIES - INVESTMENT TEAM

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Christopher Crooks – Sr. Portfolio Manager Chris Crooks is a Senior Portfolio Manager for the Fundamental Small and Micro Cap Strategies. Mr. Crooks also serves as an Equity Analyst for these strategies. Prior to joining AlphaOne Capital Partners in 2009, he worked for the OFI Institutional/Babson Capital organization since 2003, serving as Managing Director/Portfolio Manager. Previously, Mr. Crooks was a Managing Director/Analyst at Commerce Capital Markets covering the specialty chemicals and materials sectors. He also was a Senior Research Analyst at Janney Montgomery Scott, LLC. Mr. Crooks received five awards in the Wall Street Journal's "Best on the Street" survey, including awards for earnings estimate accuracy and stock picking in chemicals/specialty chemicals & materials. He holds a BS in Chemical Engineering from Drexel University and an MBA from Villanova University. Mr. Crooks is a CFA charterholder and member of the American Chemical Society.

Daniel Goldfarb – Sr. Portfolio Manager Dan Goldfarb joined AlphaOne Capital Partners in 2009 when the investment team transitioned over from OFI Institutional Asset Management. He is a Senior Portfolio Manager managing the Fundamental Small and Micro Cap Strategies. He has also served as an Equity Analyst for these strategies since their inception in 2000. Mr. Goldfarb served as a Managing Director/Portfolio Manager with the OFI Institutional/Babson Capital organization from 1995 - 2009. Previously, Mr. Goldfarb held positions at Drexel Burnham Lambert, Smith Barney, and Wilmington Trust. Mr. Goldfarb has covered financial institutions during his entire career as well as several other industries including telecom, electric utilities, and REITs. He holds a BA from Hobart College and a MBA from Vanderbilt University. Mr. Goldfarb is a CFA charterholder and Treasurer of the Bank Analyst Association of Boston.

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Constantine Davides – Sr. Healthcare Analyst Constantine Davides serves as an Equity Research Analyst covering the healthcare industry for the Micro Cap and Small Cap Strategies. Prior to joining AlphaOne Capital Partners in 2013, Constantine served as the Healthcare Analyst for BlackRock’s Small and Mid-Cap Growth Strategies. Prior to joining BlackRock, Constantine was a Senior Research Analyst at both JMP Securities and Susquehanna Financial Group focusing on healthcare services. He previously served as an Equity Research Associate covering the healthcare services sector at Leerink Swann. Constantine also served as Director of Operations at Brandwise, a business process management technology provider, and as Manager of Implementation Services for CareTools, a healthcare software vendor. Constantine began his career as an Analyst at Mercer Consulting. He holds a MBA from Carnegie Mellon University and a BA from Wesleyan University, and is a CFA charterholder and member of the Boston Security Analysts Society.

Chaim Kurlandski– Research Analyst Chaim Kurlandski joined AlphaOne Capital Partners in 2014, bringing with him 13 years of investment experience. Prior to joining the firm, Mr. Kurlandski served as the Senior Analyst at Oakum Bay Capital, where he led research efforts under a short-bias strategy. Earlier in his career, he served as the Senior Analyst at Carl Marks Management Company, the longest continually running distressed fund in the United States. Before Carl Marks, Mr. Kurlandski covered equities as an Analyst with Columbia Management Group. From 2001 - 2002 and 2003 - 2004, he served as a Long/Short Equity Analyst for Sage Asset Management and Clipper Capital Management, respectively. He holds a MA of Finance and a BA of Economics both from Brandeis University.

BIOGRAPHIES - INVESTMENT TEAM

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BIOGRAPHIES

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Paul Hondros – President & CEO Paul Hondros has more than 30 years of investment industry experience. Mr. Hondros founded AlphaOne Capital Partners in 2009 to provide specialty small cap and sector specific long/short investing solutions for institutions, advisors, and individuals. Mr. Hondros has a long tenure in the asset management industry. He started his career with SEI Investments in 1975 and later worked with Fidelity Investments as the President and Chief Executive Officer of its Institutional Services Company and as CEO of Fidelity’s individual investor groups. Prior to founding AlphaOne, Mr. Hondros served as Non-Executive Chairman of Gartmore Investment Management (London) through 2003 and Chairman, CEO of the Gartmore Group (London/Philadelphia) through 2007. During his tenure, Gartmore was recognized through numerous industry awards for excellence in global hedge fund management and U.S. mutual fund management. He holds a BA in History from St. Joseph's University and served as Chairman of the University's Board of Trustees from 2007-2011. He is engaged in various philanthropic endeavors.

Donald O’Hara – COO/CCO Donald O’Hara has more than 20 years of investment industry experience supporting the operations and accounting of hedge funds, fund of hedge funds, institutional separate accounts, SMA wrap products, and mutual funds. Prior to joining AlphaOne, Mr. O’Hara was the Controller for Reliance International Research, the investment advisor to the Reliance Management family of alternative investment vehicles. While at Reliance International Research, he helped develop an international, institutional operating structure which supported the accounting, performance reporting, and investor servicing for various hedge fund strategies. Before joining Reliance International Research, Mr. O’Hara was Senior Performance Analyst for CMS Companies, where he managed performance reporting and operations for various private equity and hedge fund of fund products. Preceding CMS Companies, Mr. O’Hara assisted in establishing the operations structure for Gartmore Global Investments. He has also spent many years in back office operations and accounting at Brinker Capital and SEI Investments. He holds a MBA in Finance from Villanova University and a BS in Economics from Pennsylvania State University. He holds FINRA licenses: Series 7, 24, and 63.

Carlo Fitti – Trader Carlo has more than 15 years of investment industry experience. Prior to joining AlphaOne in 2010 as Trader and Options Strategist, Carlo Fitti was a Proprietary Trader for Crowell Weedon and Company. Previously, he spent eight years at Susquehanna International Group, L.L.P. (SIG) as a Market Maker and Proprietary Trader. Mr. Fitti is a specialist in pair-trading strategies across numerous sectors and market capitalizations and has extensive experience in option trading. His sell-side background allows for efficient interaction with sales coverage. He holds a BA in Economics from Swarthmore College, with concentrations in statistics, psychology and game theory. He holds FINRA licenses: Series 7, 55, and 66 (63 and 65).

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DISCLOSURE NOTICE

AlphaOne Investment Services, LLC (“AOIS”) is an SEC-registered investment advisor and a wholly-owned subsidiary of AlphaOne Capital Partners (“AOCP”). AOCP is a wholly-owned subsidiary of AlphaOne Holdings, LLC (“AOH”), a private company owned by Paul J. Hondros, the President and Chief Executive of AOH and affiliated companies, including AOIS. AOIS serves tax-exempt and taxable clients, offering a broad array of investment management services. Professionals that provide portfolio management, analysis, trading and other services for AOIS may be employed by AOIS or its affiliates.

The past performance data provided for all periods prior to September 1, 2009, is not the performance data of portfolios managed by AOIS, but the performance data of portfolios managed by OFI Institutional Asset Management, Inc. (“OFII”) and an affiliate of OFII, Babson Capital Management LLC, which is linked to the performance data. The performance data presented conforms to GIPS® with regard to the portability of investment returns and has been GIPS verified by Ernst & Young, LLP as of December 31, 2012. AlphaOne did not calculate the performance data prior to September 1, 2009, but believes such performance data to be accurate.

The Fundamental Micro Cap Core Composite includes every fully representative Fundamental Micro Cap Core portfolio managed in the Fundamental Micro Cap Core strategy. Prior to July 2008, portfolios had to be at least $3,000,000 in value to be eligible for inclusion in the Composite. Effective July 2008, the minimum portfolio size requirement was eliminated for performance periods after June 2008. The strategy uses solid fundamental research and a bottom-up stock picking approach to seek attractively valued companies. “Micro-cap” is understood as, at time of initial purchase, one-half of the average dollar-weighted market capitalization of the Russell 2000® Index as determined on the re-constitution date of the index (annually in late June). Prior to June 2000, the purchase maximum limit was set at a constant $250 million and was not adjusted annually. Composite performance begins April 30, 1994. The Composite was created in June 1998.

The Composite gross-of-fees returns shown include the reinvestment of income and the impact of transaction costs, but do not include the deduction of investment advisory fees or any other account expenses, such as custodial fees. Composite net-of-fee returns reflect the deduction of the maximum investment advisory fee as determined by the fee schedule. While actual portfolios incur transaction expenses, pay investment advisory fees, and may incur other account expenses, the benchmark index is shown without the impact of such charges. Annual fees for the Fundamental Micro Cap Core product are 1.00% of the market value of the assets under management. Actual fees may vary depending on, among other things, the applicable fee schedule and portfolio size.

The sector weights shown are derived from a representative account deemed to appropriately represent this management style. Each investor’s portfolio is individually managed and may vary from the information shown.

Available upon request: list and description of all of AlphaOne’s composites; additional information regarding AlphaOne’s policies and procedures for calculating and reporting performance results. All data are in U.S. dollars. Realized performance results vary substantially based on the period measured.

Performance data quoted represents past performance and is not indicative of future results.

The Wall Street Journal's "Best on the Street" analyst awards were based on the performance of stock recommendations and accuracy of earnings forecasts as measured using quantitative measurements developed by First Call Corp., a Thompson Financial company. The top five stock pickers and earnings forecasters within each of the over 50 industries were honored. From 1997-2000, Christopher Crooks received the following survey awards: Earnings Estimate Accuracy: 2000 -#5; Earnings Estimate Accuracy: 1999 - #4; Stock Picking: 1999 - #3; Stock Picking: 1998 - #2; and Chemicals/Specialty Chemicals & Materials: 1997- #5 (stock picking).

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DISCLOSURE NOTICE (Continued)

The Russell 2000® Index is a trademark/service mark of the Frank Russell Company. The Russell 2000® Index represents the smallest 2,000 companies within

the Russell 3000® Index of the 3,000 largest U.S. companies. The index is unmanaged; includes only U.S. companies; is market-value weighted; includes

reinvestment of dividends; is shown for illustration only; and cannot be purchased directly by investors.

Further information on AOIS is set forth in Part 2A of its Form ADV, which is available upon request.

Additional Disclosures:

Information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. All information is current as of the date of this material and is subject to change without notice. Any view or opinions expressed may not reflect those of AOIS as a whole. Readers should not assume that any investments in securities, companies, sectors or markets identified and described were or will be profitable. Investing entails risks, including possible loss of principal.

Sector weights, portfolio characteristics, ten largest holdings, and performance attribution information constitutes supplemental information. The representative portfolio information shown is derived from a representative account deemed to appropriately represent this management style. Each investor’s portfolio is individually managed and may vary from the information shown. Investors may obtain a complete list of holdings for their respective account by contacting a client services representative by email at [email protected]. Additionally, the holdings of AlphaOne Investment Services, LLC, are available to the public through required filings with the SEC no later than 45 days following the calendar quarter-end by visiting www.sec.gov.

A description of the methodology used to calculate the performance attribution and a full list showing the contribution of all securities to the overall performance of the representative account during the indicated time period are available upon request.

Frank Russell Company (“FRC”) is the source and owner of the Russell Sector Classifications contained or reflected in this material and all trademarks and copyrights related thereto. The Russell Sector Classifications may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is an AlphaOne presentation of the Russell Sector Classifications. Frank Russell Company is not responsible for the formatting or configuration of this material or for any inaccuracy in the presentation thereof.

The specific securities identified are not representative of all of the securities purchased, sold or recommended for advisory clients. It should not be assumed that an investment in the securities identified was or will be profitable. Actual holdings will vary for each client and there is no guarantee that a particular client’s account will hold any or all of the securities listed.

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