O’Shaughnessy
Micro Cap

Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of undervalued, microcap companies with solid growth metrics. The strategy identifies companies with market capitalizations that are approximately between $50 million and $200 million. We then limit the universe to the highest-scoring stocks by each of the following multi-factor composites: Value, Momentum, Earnings Quality, and Financial Strength. From the remaining securities, we select stocks with the highest combined Value and Momentum composite scores. The strategy is periodically rebalanced. Sector weights are a byproduct of the investment process.

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
Micro Cap
Russell Microcap®
Index

Holdings Based*



Price/Earnings Ratio
18.3×
21.4×

Price/Sales Ratio
0.8×
1.2×

Trailing 9-month Price Appreciation
47.1%
36.2%

Weighted Average Market Capitalization
$236 mil
$532 mil

Median Market Capitalization
$184 mil
$226 mil

Approximate Annual Turnover
89%

Active Share
95%





Returns Based
(Since Inception – August 1, 2006)


Standard Deviation
23.0%
20.8%

Downside Standard Deviation
7.6%
4.2%

Sharpe Ratio
0.49
0.27

Beta
1.03
1.00

Information Ratio
0.68


Tracking Error
8.4%


Downside Capture
96.1%
100.0%

Upside Capture
113.7%
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 12/31/16 (%)


Based on a representative account.

Base Rates


As of 12/31/16

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
28
75%
7.7%

Rolling 3-Year Periods
90
0
100%
6.7%

Rolling 5-Year Periods
66
0
100%
6.3%

Rolling 7-Year Periods
42
0
100%
6.7%

Rolling 10-Year Periods
6
0
100%
5.8%


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.