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 12/31/2018

O’Shaughnessy Market Leaders Core (Gross)
O’Shaughnessy Market Leaders Core (Net) **
Russell 1000® Index
Russell 1000® Value Index
-16.9%
-16.9%
-13.8%
-11.7%
4Q2018
-8.2%
-8.6%
-4.8%
-8.3%
1 Year
3 Year
9.0%
8.5%
9.1%
7.0%
5 Year
7.0%
6.5%
8.2%
6.0%
7 Year
13.0%
12.3%
12.6%
11.0%
10 Year
14.3%
13.5%
13.3%
11.2%
15 Year
9.2%
8.4%
7.9%
7.0%
Since Inception
12/1/2001
8.9%
8.0%
7.1%
6.9%

* 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
-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 12/31/2018
Holdings Based * O'Shaughnessy
Market Leaders Core
Russell 1000® Index
Price/Earnings Ratio 14.5x 20x
Price/Sales Ratio 1.4% 2.2%
Weighted Average Market Capitalization $61,624 Mil $199,980 Mil
Median Market Capitalization $21,281 Mil $10,214 Mil
Dividend Yield** 2% 1.9%
Shareholder Yield 5.5% 2.9%
Foreign Exposure 0.9% 0.4%
Approximate Annual Turnover 76.2% (institutional)
76.2% (intermediary)
Active Share 80.5%
 
Returns Based
(since inception - 12/1/2001)
Standard Deviation 16.4% 14.1%
Downside Standard Deviation 11.2% 9.9%
Sharpe Ratio 0.46 0.41
Beta 1.07 1.00
Information Ratio 0.29
5 Year Tracking Error 4.2%
Downside Capture 103.6% 100%
Upside Capture 112.6% 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.
** 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 12/31/2018 (%)

O’Shaughnessy Market Leaders Core
Russell 1000® Index
Difference
Communication
Services
7.8%
9.6%
-1.8%
Consumer
Discretionary
10.2%
10.1%
0.1%
Consumer
Staples
7.1%
6.9%
0.2%
Energy
5.2%
5.1%
0.1%
Financials
14.8%
13.5%
1.3%
Health
Care
17.4%
15.0%
2.4%
Industrials
10.0%
9.6%
0.4%
Information
Technology
23.4%
20.3%
3.1%
Materials
4.1%
3.0%
1.1%
Real
Estate
0.0%
3.6%
-3.6%
Utilities
0.0%
3.3%
-3.3%

Based on a group of representative accounts.

BASE RATES

As of 12/31/2018

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 114 80 59% 2.5%
3-Years 105 65 62% 1.8%
5-Years 104 42 71% 1.4%
7-Years 88 34 72% 1.1%
10-Years 67 19 78% 1.1%
15-Years 26 0 100% 1.8%

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.