O’Shaughnessy
Market Leaders Core

Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio with exposure to mostly large capitalization domestic equities that the manager believes have better quality, valuation, momentum, and Shareholder Yield — which combines a company's annual dividend and its annual rate of stock buybacks. Stocks are conviction-weighted and broadly constrained by sector and industry.

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 12/31/16
O'Shaughnessy
Market Leaders Core
Russell 1000®
Index
Russell 1000®
Value Index

Holdings Based*




Price/Earnings Ratio
13.9×
21.2×
19.0×

Price/Sales Ratio
0.9×
2.0×
1.8×

Trailing 12-month Price Appreciation
25.3%
19.7%
21.4%

Weighted Average Market Capitalization
$44,508 mil
$149,150 mil
$121,136 mil

Median Market Capitalization
$26,503 mil
$9,007 mil
$8,560 mil

Foreign Exposure
8.0%
0.0%
0.0%

Approximate Annual Turnover
72%


Active Share
87.9%






Returns Based
(Since Inception – December 1, 2001)


Standard Deviation
16.7%
14.4%
14.8%

Downside Standard Deviation
11.3%
9.9%
10.3%

Sharpe Ratio
0.47
0.42
0.43

Beta 1.07 1.00 1.00  
Information Ratio
0.28



Tracking Error
6.4%



Downside Capture
101.0%
100.0%
100.0%

Upside Capture
146.0%
100.0%
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 1000® (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
96
77
55%
2.3%

Rolling 3-Year Periods
93
56
62%
2.0%

Rolling 5-Year Periods
87
38
70%
1.5%

Rolling 7-Year Periods
75
26
74%
1.3%

Rolling 10-Year Periods
53
12
82%
1.4%

Rolling 15-Year Periods
5
0
100%
1.8%


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.