O’Shaughnessy
Market Leaders Core

Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio with exposure to value and growth stocks, mostly large cap. We first identify companies with market capitalizations greater than average. We then screen for securities with Value, Earnings Quality, Financial Strength, and Earnings Growth Composite scores greater than average. We select stocks with high shareholder yields, stocks with the highest scores in our Value composite, and stocks with the highest scores in our Momentum composite. The resulting portfolio is approximately two-thirds value oriented and one-third growth oriented.

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
Market Leaders Core
Russell 1000®
Index
Russell 1000®
Value Index

Holdings Based*




Price/Earnings Ratio
13.9×
20.9×
18.9×

Price/Sales Ratio
0.9×
2.0×
1.8×

Trailing 12-month Price Appreciation
15.7%
14.6%
19.2%

Weighted Average Market Capitalization
$35,201 mil
$135,672 mil
$119,735 mil

Median Market Capitalization
$24,614 mil
$8,556 mil
$8,166 mil

Foreign Exposure
8.2%
0.0%
0.0%

Approximate Annual Turnover
68%


Active Share
88.5%






Returns Based
(Since Inception – December 1, 2001)


Standard Deviation
16.8%
14.5%
14.9%

Downside Standard Deviation
5.4%
2.9%
3.0%

Sharpe Ratio
0.46
0.40
0.42

Beta 1.07 1.00 1.00  
Information Ratio
0.32



Tracking Error
6.4%



Downside Capture
101.0%
100.0%
100.0%

Upside Capture
150.5%
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
74
56%
2.3%

Rolling 3-Year Periods
93
53
64%
2.1%

Rolling 5-Year Periods
85
37
70%
1.5%

Rolling 7-Year Periods
75
23
77%
1.4%

Rolling 10-Year Periods
53
9
85%
1.4%

Rolling 15-Year Periods
2
0
100%
2.0%


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.