O’Shaughnessy
Small Cap Value

Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of undervalued, small cap companies. We first identify companies with market capitalizations between $200 million and $2 billion. We then screen for stocks with better than average Momentum, Earnings Growth, Earnings Quality, and Financial Strength Composite scores. From the remaining securities, we select those with the highest Value Composite score.

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 Cap Value
Russell 2000®
Value Index

Holdings Based*



Price/Earnings Ratio
12.6×
21.0×

Price/Sales Ratio
0.7×
1.3×

Trailing 6-month Price Appreciation
31.1%
28.2%

Weighted Average Market Capitalization
$1,322 mil
$2,002 mil

Median Market Capitalization
$1,000 mil
$716 mil

Approximate Annual Turnover
68% (institutional)
73% (intermediary)


Active Share
93%





Returns Based
(Since Inception – March 1, 2004)


Standard Deviation
20.2%
18.9%

Downside Standard Deviation
5.8%
3.7%

Sharpe Ratio
0.57
0.37

Beta
1.01
1.00

Information Ratio
0.71


Tracking Error
6.4%


Downside Capture
97.6%
100.0%

Upside Capture
126.2%
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 12/31/16 (%)


Based on a group of representative accounts.

Base Rates


As of 12/31/16

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
102
41
71%
5.5%

Rolling 3-Year Periods
106
13
89%
4.4%

Rolling 5-Year Periods
95
0
100%
4.1%

Rolling 7-Year Periods
71
0
100%
4.0%

Rolling 10-Year Periods
35
0
100%
4.4%


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.