Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio with exposure to mostly large capitalization domestic equities that we believe 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.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 9/30/2022

O’Shaughnessy Market Leaders Core (Gross)
O’Shaughnessy Market Leaders Core (Net) **
Russell 1000® Index
Russell 1000® Value Index
-7.1%
-7.2%
-4.6%
-5.6%
3Q2022
-17.4%
-17.7%
-17.2%
-11.4%
1
Year
3
Year
4.4%
4.0%
8.0%
4.4%
5
Year
5.9%
5.5%
9.0%
5.3%
7
Year
9.0%
8.5%
11.2%
8.2%
10
Year
10.7%
10.1%
11.6%
9.2%
15
Year
7.0%
6.3%
8.0%
5.7%
Since
Inception
12/1/2001
8.7%
7.9%
7.9%
7.1%

* 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 Market Leaders Core (Gross)
O’Shaughnessy Market Leaders Core (Net) *
Russell 1000® Index
Russell 1000® Value Index
-23.9%
-24.1%
-24.6%
-17.8%
YTD
2022

2021
29.5%
29.0%
26.5%
25.2%

2020
7.5%
7.1%
21.0%
2.8%

2019
26.1%
25.6%
31.4%
26.5%
-8.2%
-8.6%
-4.8%
-8.3%
2018

2017
25.4%
24.9%
21.7%
13.7%

2016
12.6%
12.1%
12.1%
17.3%
0.1%
-0.5%
0.9%
-3.8%
2015

2014
8.2%
7.4%
13.2%
13.5%

2013
45.8%
44.7%
33.1%
32.5%

2012
14.7%
13.7%
16.4%
17.5%
-3.1%
-4.0%
1.5%
0.4%
2011

2010
20.9%
19.8%
16.1%
15.5%

2009
38.0%
36.7%
28.4%
19.7%
-42.2%
-43.1%
-37.6%
-36.9%
2008
3.6%
3.1%
5.8%
-0.2%
2007

2006
22.0%
21.3%
15.5%
22.3%

2005
12.8%
12.2%
6.3%
7.1%

2004
19.5%
18.8%
11.4%
16.5%

2003
38.1%
36.0%
29.9%
30.0%
-19.3%
-20.9%
-21.7%
-15.5%
2002

12/1/01
-12/31/01
2.7%
2.6%
1.1%
2.4%

* 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 9/30/2022
Holdings Based * O'Shaughnessy
Market Leaders Core
Russell 1000® Index
Price/Earnings Ratio 8.4x 17.5x
Price/Sales Ratio 1.0% 2.1%
Weighted Average Market Capitalization $82,839 Mil $424,667 Mil
Median Market Capitalization $27,529 Mil $11,464 Mil
Dividend Yield** 2.6% 1.8%
Shareholder Yield 7.4% 2.3%
Foreign Exposure 0.0% 0.4%
Active Share 81.5%
 
Returns Based
(since inception - 12/1/2001)
Standard Deviation 17.0% 15.3%
Downside Standard Deviation 11.6% 10.5%
Sharpe Ratio 0.44 0.44
Beta 1.04 1.00
Information Ratio 0.13
5 Year Tracking Error 4.6%
Downside Capture 102.1% 100.0%
Upside Capture 105.9% 100.0%

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.
** The Dividend Yield is the annual percentage of the return earned by an investor on a common or preferred stock. The yield is calculated by dividing the amount of dividends paid per share over the past twelve months by the current market price per share of the stock. OSAM utilizes the services of Factset, a third party data provider vendor, to calculate portfolio characteristics and metrics. The dividend yield is a gross indicated yield. There is no guarantee that the rate of dividend payment will continue and the income derived is subject to taxes and expenses which will impact the actual yield experience of each investor.


Important Performance Disclosures
SECTORS

Sector Distribution as of 9/30/2022 (%)

O’Shaughnessy Market Leaders Core
Russell 1000® Index
Difference
Communication
Services
3.9%
7.8%
-3.9%
Consumer
Discretionary
11.7%
11.6%
0.1%
Consumer
Staples
7.0%
6.4%
0.6%

Energy
6.3%
4.6%
1.7%

Financials
12.5%
11.4%
1.1%
Health
Care
15.3%
14.7%
0.6%

Industrials
9.7%
8.6%
1.1%
Information
Technology
25.4%
26.0%
-0.6%

Materials
3.8%
2.7%
1.1%
Real
Estate
4.3%
3.2%
1.1%

Utilities
0.0%
3.0%
-3.0%

Based on a group of representative accounts.

BASE RATES

As of 9/30/2022

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
Avg.
Excess
Return
Avg.
Excess
Return
1-Year 129 110 54% 1.2%
3-Years 112 103 52% 0.6%
5-Years 104 87 54% 0.5%
7-Years 95 72 57% 0.3%
10-Years 72 59 55% 0.4%
15-Years 39 32 55% 0.4%

Important Performance Disclosures

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.