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 9/30/2018

O’Shaughnessy All Cap Core (Gross)
O’Shaughnessy All Cap Core (Net) **
Russell 3000® Index
3Q2018
5.1%
4.4%
7.1%
1 Year
16.3%
13.3%
17.6%
3 Year
16.7%
13.8%
17.1%
5 Year
12.8%
10.1%
13.5%
7 Year
16.8%
14.0%
16.9%
10 Year
12.0%
9.2%
12.0%
15 Year
11.1%
8.4%
9.9%
Since Inception
1/1/2003
12.0%
9.2%
10.4%

* 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
YTD 2018
9.6%
7.4%
10.6%
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 9/30/2018
Holdings Based * O'Shaughnessy
All Cap Core
Russell 3000® Index
Price/Earnings Ratio 16.7x 22.4x
Price/Sales Ratio 1.2x 2.1x
1-Year Historical Earnings Growth Rate 157.3% 52.7%
Trailing 12-month Price Appreciation 33.9% 25.2%
Weighted Average Market Capitalization $43,633 Mil $207,086 Mil
Median Market Capitalization $15,738 Mil $1,886 Mil
Approximate Annual Turnover 78.1% (institutional)
80.7% (intermediary)
Active Share 86.2%
 
Returns Based
(since inception - 1/1/2003)
Standard Deviation 14.4% 13.6%
Downside Standard Deviation 9.3% 9%
Sharpe Ratio 0.74 0.68
Beta 1.01 1.00
Information Ratio 0.36
Tracking Error 4.2%
Downside Capture 100.7% 100%
Upside Capture 107.5% 100%

Gross of Fees
* Based on a group of represntative 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 9/30/2018 (%)

O’Shaughnessy All Cap Core
Russell 3000® Index
Difference
Consumer
Discretionary
12.9%
10.5%
2.4%
Consumer
Staples
6.8%
6.0%
0.8%
Energy
7.5%
5.7%
1.8%
Financials
16.4%
13.7%
2.7%
Health
Care
14.2%
14.6%
-0.4%
Industrials
11.8%
10.4%
1.4%
Information
Technology
22.9%
20.7%
2.2%
Materials
3.4%
2.9%
0.5%
Real
Estate
0.7%
3.6%
-2.9%
Telecommunication
Services
3.4%
9.0%
-5.6%
Utilities
0.0%
2.8%
-2.8%

Based on a group of representative accounts.

BASE RATES

As of 9/30/2018

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 67 62% 1.7%
3-Years 112 42 73% 1.4%
5-Years 106 24 82% 1.1%
7-Years 85 21 80% 1.0%
10-Years 63 7 90% 1.0%
15-Years 10 0 100% 1.6%

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.