O’Shaughnessy
All Cap Core

Investment Strategy

Seeks to provide long-term appreciation by creating a diversified equity portfolio. We select large, mid, and small cap stocks that result in portfolios with exposure to growth and value styles. O’Shaughnessy All Cap Core is our most diversified strategy by selection factor, investment style, and market capitalization.

Stock Screening Process


Composite Performance


Annualized Rates* of Return for Periods Ending 12/31/16 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (%)


Characteristics



Characteristics as of 12/31/16
O'Shaughnessy
All Cap Core
Russell 3000® Index
S&P 500 Index

Holdings Based*




Price/Earnings Ratio
17.8
21.0×
20.7×

Price/Sales Ratio
1.2×
1.9×
2.1×

1-Year Historical Earnings Growth Rate
33.2%
17.4%
9.8%

Trailing 12-month Price Appreciation
27.3%
15.9%
14.4%

Weighted Average Market Capitalization
$47,074 mil

$125,036 mil

$150,329 mil

Median Market Capitalization
$7,815 mil
$1,602 mil
$19,149 mil

Approximate Annual Turnover
84% (institutional)
70% (intermediary)



Active Share
88%







Returns Based
(Since Inception – January 1, 2003)


Standard Deviation
15.1%
14.2%
13.7%

Downside Standard Deviation
4.8%
2.7%
2.6%

Sharpe Ratio
0.68
0.58
0.58

Beta1 1.02 1.00 1.00  
Information Ratio1
0.44



Tracking Error1
4.4%



Downside Capture1
100.4%
100.0%
100.0%

Upside Capture1
131.9%
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 12/31/16 (%)


Based on a group of representative accounts.

Base Rates


As of 12/31/16

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
97
60
62%
1.8%

Rolling 3-Year Periods
103
30
77%
1.6%
Rolling 5-Year Periods
88
21
81%
1.3%

Rolling 7-Year Periods
67
18
79%
1.2%

Rolling 10-Year Periods
49
0
100%
1.4%


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.