O’Shaughnessy
Small-Mid Cap Growth

Investment Strategy

Seeks to provide long-term appreciation through exposure to a portfolio of domestic, aggressive growth equities with market capitalizations between $200 million and $10 billion. The strategy seeks stocks that meet our quality and valuation criteria and have what we believe to be exceptional momentum. Qualifying stocks are conviction-weighted and limited by broad sector and industry constraints.

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
Small-Mid Cap Growth
Russell 2500®
Growth Index

Holdings Based*



Price/Earnings Ratio
22.8×
25.5×

Price/Sales Ratio
1.5×
1.8×

Trailing 12-month Price Appreciation
62.2%
26.3%

Weighted Average Market Capitalization
$3,201 mil
$4,803 mil

Median Market Capitalization
$1,977 mil
$1,268 mil

Approximate Annual Turnover
78% (institutional)
110% (intermediary)



Active Share
91%





Returns Based
(Since Inception – November 1, 1996)


Standard Deviation
20.2%
22.6%

Downside Standard Deviation
13.8%
15.2%

Sharpe Ratio
0.40
0.26

Beta 0.77 1.00  
Information Ratio
0.20


Tracking Error
11.4%


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 group of representative accounts.

Base Rates


As of 3/31/17

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
98
58%
1.8%

Rolling 3-Year Periods
120
90
57%
1.8%

Rolling 5-Year Periods
98
88
53%
1.7%

Rolling 7-Year Periods
68
94
42%
1.3%

Rolling 10-Year Periods
58
68
46%
1.2%

Rolling 15-Year Periods
58
8
88%
1.5%


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.