O’Shaughnessy
Small Cap Value

Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of undervalued, domestic, small cap equities with market capitalizations between $200 million and $2 billion. We seek exposure to stocks that the manager believes have better quality, momentum, and valuation. Stocks are conviction-weighted and broadly constrained by sector and industry.

Stock Screening Process


Composite Performance


Annualized Rates* of Return for Periods ending 6/30/17 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (%)


Characteristics



Characteristics as of 6/30/17
O'Shaughnessy
Small Cap Value
Russell 2000®
Value Index

Holdings Based*



Price/Earnings Ratio
12.5×
18.6×

Price/Sales Ratio
0.6×
1.1×

Trailing 6-month Price Appreciation
4.1%
0.5%

Weighted Average Market Capitalization
$1,216 mil
$1,831 mil

Median Market Capitalization
$887 mil
$682 mil

Approximate Annual Turnover
72% (institutional)
75% (intermediary)


Active Share
91%





Returns Based
(Since Inception – March 1, 2004)


Standard Deviation
19.8%
18.6%

Downside Standard Deviation
12.2%
12.7%

Sharpe Ratio
0.57
0.36

Beta
1.01
1.00

Information Ratio
0.72


Tracking Error
6.3%


Downside Capture
97.7%
100.0%

Upside Capture
128.2%
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 6/30/17 (%)


Based on a group of representative accounts.

Base Rates


As of 6/30/17

Base Rates vs. Russell 2000® 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
103
46
69%
5.1%

Rolling 3-Year Periods
112
13
90%
4.3%

Rolling 5-Year Periods
101
0
100%
4.1%

Rolling 7-Year Periods
77
0
100%
3.9%

Rolling 10-Year Periods
41
0
100%
4.2%


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.