O’Shaughnessy
Market Leaders Value

Investment Strategy

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 typically holds stocks with the highest “shareholder yield”—which combines a company's annual dividend and its annual rate of stock buybacks. 

Lipper Best Managers

Periods ending 9/30/16
U.S. Large-Cap Value Equity
(40 Quarters: 7 out of 119, 1 Quarter: 29 out of 209)

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
Market Leaders Value
Russell 1000®
Value Index

Holdings Based*



Price/Earnings Ratio
14.3×
18.9×

Price/Sales Ratio
1.0×
1.8×

Weighted Average Market Capitalization
$32,131 mil
$119,735 mil

Median Market Capitalization
$25,500 mil
$8,166 mil

Dividend Yield**
2.3%
2.4%

Shareholder Yield
9.5%
3.0%

Foreign Exposure
2.6%
0.0%

Approximate Annual Turnover
65%

Active Share
91.5%





Returns Based
(Since Inception – December 1, 2001)


Standard Deviation
17.3%
14.9%

Downside Standard Deviation
5.1%
3.0%

Sharpe Ratio
0.59
0.42

Beta
1.05
1.00

Information Ratio
0.53


Tracking Error
7.5%


Downside Capture
97.9%
100.0%

Upside Capture
142.6%
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.
** 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. OSAM utilizes the services of Factset, a third party data provider vendor, to calculate portfolio characteristics and metrics. 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.


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 1000® Value (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
104
66
61%
4.4%

Rolling 3-Year Periods
134
12
92%
4.3%

Rolling 5-Year Periods
114
8
93%
4.8%

Rolling 7-Year Periods
98
0
100%
5.4%

Rolling 10-Year Periods
62
0
100%
4.8%

Rolling 15-Year Periods
2
0
100%
4.0%


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.