O’Shaughnessy
All Cap Core

Investment Strategy

Seeks to provide long-term appreciation through exposure to domestic equities that the manager believes have better quality, valuation, momentum, and Shareholder Yield* across market capitalization ranges. Stocks are strategically-weighted and broadly constrained by market capitalization, sector, and industry. O’Shaughnessy All Cap Core is our most diversified domestic strategy by selection factor, investment style, and market capitalization.

Stock Screening Process


Composite Performance


Annualized Rates* of Return for Periods Ending 3/31/17 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (%)


Characteristics



Characteristics as of 3/31/17
O'Shaughnessy
All Cap Core
Russell 3000® Index
S&P 500 Index

Holdings Based*




Price/Earnings Ratio
16.2
21.1×
21.1×

Price/Sales Ratio
1.3×
1.9×
2.1×

1-Year Historical Earnings Growth Rate
52.4%
24.7%
17.2%

Trailing 12-month Price Appreciation
29.8%
20.9%
19.4%

Weighted Average Market Capitalization
$48,889 mil

$137,891 mil

$164,247 mil

Median Market Capitalization
$7,370 mil
$1,661 mil
$20,317 mil

Approximate Annual Turnover
87% (institutional)
68% (intermediary)



Active Share
87%







Returns Based
(Since Inception – January 1, 2003)


Standard Deviation
14.9%
14.1%
13.6%

Downside Standard Deviation
9.8%
9.4%
9.1%

Sharpe Ratio
0.69
0.61
0.60

Beta1 1.01 1.00 1.00  
Information Ratio1
0.39



Tracking Error1
4.4%



Downside Capture1
100.4%
100.0%
100.0%

Upside Capture1
129.0%
100.0%
100.0%

Gross of Fees

* Based on a group of representative accounts. Each client account will differ based on start date and regeneration dates. Turnover is last 12 months.

1 Strategy statistics based on comparison to the Russell 3000® Index.


Important Performance Disclosures

Current Sector Weightings


Sector Distribution as of 3/31/17 (%)


Based on a group of representative accounts.

Base Rates


As of 3/31/17

Base Rates vs. Russell 3000® (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
Average Excess Return

Rolling 1-Year Periods
99
61
62%
1.8%

Rolling 3-Year Periods
103
33
76%
1.5%
Rolling 5-Year Periods
91
21
81%
1.3%

Rolling 7-Year Periods
70
18
80%
1.1%

Rolling 10-Year Periods
52
0
100%
1.4%


* Shareholder Yield is the sum of a company’s Dividend Yield plus its buyback yield (the percentage of shares outstanding that have been repurchased or issued over the last year). The Dividend Yield is the annual percentage of return earned by an investor on a common or preferred stock. The yield is calculated by dividing the amount of dividends paid per share over the past twelve months by the current market price per share of the stock. The dividend yield is a gross indicated yield. There is no guarantee that the rate of dividend payment will continue and the income derived is subject to taxes and expenses which will impact the actual yield experience of each investor.
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 comprise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than the regularly scheduled rebalance without prior notice. Stocks with small and mid–sized market capitalizations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitalizations.

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