Investment Strategy

Seeks to provide long-term appreciation through exposure to a portfolio of domestic, aggressive growth equities with market capitalizations between $200 million and $10 billion. The strategy seeks stocks that meet our quality and valuation criteria and have what we believe to be exceptional momentum. Qualifying stocks are conviction-weighted and limited by broad sector and industry constraints.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 3/31/2018

O’Shaughnessy Small-Mid Cap Growth (Gross)
O’Shaughnessy Small-Mid Cap Growth (Net) **
Russell 2500® Growth
1Q2018
1.7%
1.4%
2.4%
1 Year
14.0%
12.8%
19.9%
3 Year
9.4%
8.1%
9.1%
5 Year
11.9%
10.1%
13.4%
7 Year
9.6%
7.7%
11.8%
10 Year
6.3%
4.2%
11.2%
15 Year
11.5%
9.6%
12.6%
Since Inception
11/1/1996
10.5%
8.8%
8.6%

* Any time period longer than one year is annualized.
** For composite performance presentation purposes, wrap fee account returns are net at 3% annually, which reflects the highest applicable “wrap” fee charged by any sponsor across our distribution channel. Non-wrap fee account returns are net of the actual advisory fees.

Important Performance Disclosures
ANNUAL RETURN

Annual Rates of Return (%)

O’Shaughnessy Small-Mid Cap Growth (Gross)
O’Shaughnessy Small-Mid Cap Growth (Net) *
Russell 2500® Growth
2018 YTD
1.7%
1.4%
2.4%
2017
15.1%
13.9%
24.5%
2016
15.7%
14.3%
9.7%
1.5%
0.0%
-0.2%
2015
0.5%
-1.6%
7.1%
2014
2013
44.5%
41.4%
40.7%
2012
19.4%
16.7%
16.1%
-10.9%
-13.1%
-1.6%
2011
2010
30.1%
26.6%
28.9%
2009
9.7%
7.4%
41.7%
-46.9%
-48.0%
-41.5%
2008
2007
19.2%
17.3%
9.7%
2006
12.0%
10.1%
12.3%
2005
26.5%
25.1%
8.2%
2004
20.3%
19.6%
14.6%
2003
45.7%
45.2%
46.3%
-19.8%
-20.6%
-29.1%
2002
0.4%
-0.5%
-10.8%
2001
4.7%
3.7%
-16.1%
2000
1999
40.7%
38.7%
55.5%
1998
13.2%
11.4%
3.1%
1997
26.5%
24.1%
14.8%
11/1/1996
-12/31/1996
4.5%
4.0%
4.2%

* For composite performance presentation purposes, wrap fee account returns are net at 3% annually, which reflects the highest applicable “wrap” fee charged by any sponsor across our distribution channel. Non-wrap fee account returns are net of the actual advisory fees.

Important Performance Disclosures
CHARACTERISTICS

Characteristics as of 3/31/2018
Holdings Based * O'Shaughnessy
Small-Mid Cap Growth
Russell 2500® Growth
Price/Earnings Ratio 22.9x 25.3x
Price/Sales Ratio 1.6x 2.0x
Trailing 12-month Price Appreciation 43.3% 30.9%
Weighted Average Market Capitalization $5,672 Mil $5,992 Mil
Median Market Capitalization $3,391 Mil $1,373 Mil
Approximate Annual Turnover 81% (institutional)
98% (intermediary)
Active Share 84%
 
Returns Based
(since inception - 11/1/1996)
Standard Deviation 19.9% 22.1%
Downside Standard Deviation 13.6% 14.9%
Sharpe Ratio 0.42 0.29
Beta 0.78 1.00
Information Ratio 0.17
Tracking Error 11.2%

Gross of Fees
* Based on a group of represntative accounts. Each client account will differ based on start date and regenerations dates.
Turnover is last 12 months.


Important Performance Disclosures
SECTORS

Sector Distribution as of 3/31/2018 (%)

O’Shaughnessy Small-Mid Cap Growth
Russell 2500® Growth
Difference
Consumer
Discretionary
18.9%
14.3%
4.6%
Consumer
Staples
3.0%
2.2%
0.7%
Energy
2.8%
1.4%
1.4%
Financials
8.9%
7.7%
1.3%
Health
Care
14.5%
18.2%
-3.7%
Industrials
18.3%
19.7%
-1.4%
Information
Technology
25.6%
26.3%
-0.6%
Materials
6.1%
5.9%
0.2%
Real
Estate
1.2%
3.3%
-2.0%
Telecommunication
Services
0.7%
0.6%
0.1%
Utilities
0.0%
0.4%
-0.4%

Based on a group of representative accounts.

BASE RATES

As of 3/31/2018

Base Rates vs. Russell 2500® Growth (Gross of Fees)

Base Rates are batting averages for how often a strategy beats the benchmark over certain rolling time periods.
Won Lost Base
Rate
Avg.
Excess
Return
Avg.
Excess
Return
1-Year 137 109 56% 1.6%
3-Year 124 98 56% 1.7%
5-Year 99 99 50% 1.5%
7-Year 68 106 39% 1.1%
10-Year 58 80 42% 0.7%
15-Year 58 20 74% 1.0%

Important Performance Disclosures

Performance returns are preliminary. Past performance is no guarantee of future results.
Due to ongoing research, the manager may from time to time adjust the model by changing certain factors or screens which compromise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than regularly scheduled rebalance without prior notice. Stocks with small and mid-sized market capitilazations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitilizations.

Style allocations are approximate. They may change over time and vary by account.