Investment Strategy

Seeks to provide long-term appreciation through exposure to domestic equities that we believe have better quality, valuation, momentum, and Shareholder Yield* across market capitalization ranges. Stocks are strategically-weighted and broadly constrained by market capitalization, sector, and industry. O’Shaughnessy All Cap Core is our most diversified domestic strategy by selection factor, investment style, and market capitalization.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 12/31/2020

O’Shaughnessy All Cap Core (Gross)
O’Shaughnessy All Cap Core (Net) **
Russell 3000® Index

4Q2020
14.5%
13.8%
14.7%
-0.1%
-2.6%
20.9%
1
Year
3
Year
3.1%
0.4%
14.5%
5
Year
8.7%
5.9%
15.4%
7
Year
7.2%
4.5%
12.8%
10
Year
10.3%
7.6%
13.8%
15
Year
8.3%
5.5%
10.0%
Since
Inception
1/1/2003
10.4%
7.7%
11.0%

* Any time period longer than one year is annualized.
** For composite performance presentation purposes, wrap fee account returns are net at 3% annually, which reflects the highest applicable “wrap” fee charged by any sponsor across our distribution channel. Non-wrap fee account returns are net of the actual advisory fees.

Important Performance Disclosures
ANNUAL RETURN

Annual Rates of Return (%)

O’Shaughnessy All Cap Core (Gross)
O’Shaughnessy All Cap Core (Net) *
Russell 3000® Index
-0.1%
-2.6%
20.9%
2020

2019
21.5%
18.2%
31.0%
-9.8%
-12.2%
-5.2%
2018

2017
18.7%
15.6%
21.1%

2016
16.7%
14.0%
12.7%
-0.9%
-3.1%
0.5%
2015

2014
7.9%
5.4%
12.6%

2013
44.2%
40.9%
33.6%

2012
12.0%
9.2%
16.4%
1.7%
-1.0%
1.0%
2011

2010
18.5%
15.3%
16.9%

2009
24.1%
20.8%
28.3%
-35.8%
-37.5%
-37.3%
2008

2007
11.3%
8.8%
5.1%

2006
17.1%
14.4%
15.7%

2005
13.1%
10.5%
6.1%

2004
15.0%
12.4%
12.0%

2003
38.4%
35.2%
31.1%

* For composite performance presentation purposes, wrap fee account returns are net at 3% annually, which reflects the highest applicable “wrap” fee charged by any sponsor across our distribution channel. Non-wrap fee account returns are net of the actual advisory fees.

Important Performance Disclosures
CHARACTERISTICS

Characteristics as of 12/31/2020
Holdings Based * O'Shaughnessy
All Cap Core
Russell 3000® Index
Price/Earnings Ratio 16.2x 29.8x
Price/Sales Ratio 1.1x 3.0x
1-Year Historical Earnings Growth Rate 60.5% 7.6%
Trailing 12-month Price Appreciation 22.2% 33.9%
Weighted Average Market Capitalization $145,497 Mil $438,145 Mil
Median Market Capitalization $14,961 Mil $1,950 Mil
Approximate Annual Turnover 67.2% (intermediary)
Active Share 83.4%
 
Returns Based
(since inception - 1/1/2003)
Standard Deviation 15.9% 14.9%
Downside Standard Deviation 10.8% 9.9%
Sharpe Ratio 0.57 0.65
Beta 1.02 1.00
Information Ratio -0.12
5 Year Tracking Error 4.8%
Downside Capture 105.8% 100%
Upside Capture 102.8% 100%

Gross of Fees
* Based on a group of representative accounts. Each client account will differ based on start date and regenerations dates.
Turnover is last 12 months.


Important Performance Disclosures
SECTORS

Sector Distribution as of 12/31/2020 (%)

O’Shaughnessy All Cap Core
Russell 3000® Index
Difference
Communication
Services
6.6%
9.9%
-3.3%
Consumer
Discretionary
12.5%
12.4%
0.1%
Consumer
Staples
7.4%
5.9%
1.5%

Energy
2.8%
2.1%
0.7%

Financials
13.6%
10.7%
2.9%
Health
Care
15.1%
14.0%
1.1%

Industrials
11.8%
9.2%
2.6%
Information
Technology
24.3%
27.1%
-2.8%

Materials
2.6%
2.8%
-0.2%
Real
Estate
3.3%
3.2%
0.1%

Utilities
0.0%
2.7%
-2.7%

Based on a group of representative accounts.

BASE RATES

As of 12/31/2020

Base Rates vs. Russell 3000® (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
Avg.
Excess
Return
Avg.
Excess
Return
1-Year 111 94 54% -0.1%
3-Years 112 69 62% 0.3%
5-Years 106 51 68% 0.3%
7-Years 85 48 64% 0.2%
10-Years 63 34 65% 0.3%
15-Years 25 12 68% 0.3%

Important Performance Disclosures

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 compromise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than regularly scheduled rebalance without prior notice. Stocks with small and mid-sized market capitilazations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitilizations.

Style allocations are approximate. They may change over time and vary by account.

The statements on this page are qualified in their entirety by the disclaimers and limitations contained here.