O’Shaughnessy
Small-Mid Cap Growth

Investment Strategy

Seeks to provide long-term appreciation through exposure to a portfolio of aggressive growth stocks. We first identify companies with market capitalizations between $200 million and $10 billion. We then remove stocks that score in the lowest decile according to our Financial Strength and Earnings Quality Composites. From the remaining securities, we select those with greater than average Value, Earnings Quality, and Earnings Growth Composite scores. We select stocks with the highest Momentum Composite score. (This strategy may select large cap stocks as well.)

Lipper Best Managers

Periods ending 9/30/16
U.S. Small-Mid-Cap Growth Equity (12 Quarters: 9 out of 22)

 

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
Small-Mid Cap Growth
Russell 2500®
Growth Index

Holdings Based*



Price/Earnings Ratio
24.9×
25.0×

Price/Sales Ratio
1.5×
1.7×

Trailing 12-month Price Appreciation
59.7%
19.3%

Weighted Average Market Capitalization
$3,292 mil
$4,357 mil

Median Market Capitalization
$2,178 mil
$1,226 mil

Approximate Annual Turnover
76% (institutional)
109% (intermediary)



Active Share
90%





Returns Based
(Since Inception – November 1, 1996)


Standard Deviation
20.4%
22.7%

Downside Standard Deviation
6.7%
4.4%

Sharpe Ratio
0.40
0.25

Beta 0.77 1.00  
Information Ratio
0.22


Tracking Error
11.5%


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 group of representative accounts.

Base Rates


As of 12/31/16

Base Rates vs. Russell 2500® Growth (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
136
95
59%
1.9%

Rolling 3-Year Periods
119
88
57%
1.8%

Rolling 5-Year Periods
95
88
52%
1.8%

Rolling 7-Year Periods
68
91
43%
1.3%

Rolling 10-Year Periods
58
65
47%
1.3%

Rolling 15-Year Periods
58
5
92%
1.6%


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.