O’Shaughnessy
Micro Cap

Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of domestic equities with market capitalizations that are approximately between $50 million and $200 million. The strategy seeks stocks that meet our quality criteria and have attractive combined valuation and momentum characteristics. Qualifying stocks are conviction-weighted and limited by broad sector and industry constraints.

Lipper Best Managers

Periods ending 3/31/17
  U.S Equity — All Styles: 20 Quarters (5 out of 1,450)
  U.S Growth Equity: 20 Quarters (1 out of 460)
  U.S Small-cap Equity: 20 Quarters (3 out of 377), 40 Quarters (40 out of 267)
  U.S Small-cap Growth Equity: 20 Quarters (1 out of 117),
40 Quarters (17 out of 86)

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
Micro Cap
Russell Microcap®
Index

Holdings Based*



Price/Earnings Ratio
16.5×
21.1×

Price/Sales Ratio
0.8×
1.2×

Trailing 9-month Price Appreciation
43.0%
33.9%

Weighted Average Market Capitalization
$227 mil
$547 mil

Median Market Capitalization
$174 mil
$220 mil

Approximate Annual Turnover
93%

Active Share
95%





Returns Based
(Since Inception – August 1, 2006)


Standard Deviation
22.8%
20.6%

Downside Standard Deviation
15.4%
14.5%

Sharpe Ratio
0.49
0.27

Beta
1.03
1.00

Information Ratio
0.68


Tracking Error
8.3%


Downside Capture
96.2%
100.0%

Upside Capture
114.4%
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.


Important Performance Disclosures

Current Sector Weightings


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


Based on a representative account.

Base Rates


As of 3/31/17

Base Rates vs. Russell Microcap® (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
86
31
74%
7.3%

Rolling 3-Year Periods
93
0
100%
6.7%

Rolling 5-Year Periods
69
0
100%
6.3%

Rolling 7-Year Periods
45
0
100%
6.6%

Rolling 10-Year Periods
9
0
100%
5.7%


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.