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 12/31/17 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (%)


Characteristics



Characteristics as of 12/31/17
O'Shaughnessy
Small Cap Value
Russell 2000®
Value Index

Holdings Based*



Price/Earnings Ratio
15.3×
20.3×

Price/Sales Ratio
0.6×
1.2×

Trailing 6-month Price Appreciation
14.3%
11.0%

Weighted Average Market Capitalization
$1,636 mil
$2,079 mil

Median Market Capitalization
$1,273 mil
$743 mil

Approximate Annual Turnover
91% (institutional)
99% (intermediary)


Active Share
90%





Returns Based
(Since Inception – March 1, 2004)


Standard Deviation
19.6%
18.3%

Downside Standard Deviation
12.0%
12.5%

Sharpe Ratio
0.58
0.38

Beta
1.01
1.00

Information Ratio
0.72


Tracking Error
6.2%


Downside Capture
97.8%
100.0%

Upside Capture
130.3%
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 12/31/17 (%)


Based on a group of representative accounts.

Base Rates


As of 12/31/17

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
109
46
70%
5.1%

Rolling 3-Year Periods
114
17
87%
4.1%

Rolling 5-Year Periods
107
0
100%
4.0%

Rolling 7-Year Periods
83
0
100%
3.7%

Rolling 10-Year Periods
47
0
100%
4.0%


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.