Investment Strategy

Seeks to provide long-term growth by investing in mostly large capitalization domestic equities. The strategy seeks market-leading companies that meet our quality criteria with attractive valuations and high “shareholder yield” — which combines a company's annual dividend and its annual rate of stock buybacks. Stocks are selected and weighted based on conviction and are broadly constrained by sector and industry.

ANNUALIZED RETURN

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

O’Shaughnessy Market Leaders Value (Gross)
O’Shaughnessy Market Leaders Value (Net) **
Russell 1000® Value Index

4Q2020
21.2%
20.9%
16.3%
1
Year
2.7%
1.6%
2.8%
3
Year
5.1%
4.0%
6.1%
5
Year
11.0%
9.8%
9.7%
7
Year
8.1%
7.1%
8.2%
10
Year
11.9%
11.0%
10.5%
15
Year
10.7%
9.2%
7.3%
Since
Inception
12/1/2001
11.1%
9.5%
7.6%

* 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 Value (Gross)
O’Shaughnessy Market Leaders Value (Net) *
Russell 1000® Value Index

2020
2.7%
1.6%
2.8%

2019
27.3%
25.9%
26.5%
-11.1%
-12.0%
-8.3%
2018

2017
24.7%
23.4%
13.7%

2016
16.1%
15.1%
17.3%
-7.3%
-8.0%
-3.8%
2015

2014
10.5%
9.8%
13.5%

2013
47.2%
46.5%
32.5%

2012
13.9%
13.3%
17.5%

2011
6.4%
5.9%
0.4%

2010
16.5%
13.6%
15.5%

2009
60.9%
56.4%
19.7%
-38.0%
-39.6%
-36.9%
2008
3.0%
0.7%
-0.2%
2007

2006
23.9%
21.8%
22.3%

2005
7.8%
7.1%
7.1%

2004
20.3%
17.9%
16.5%

2003
32.8%
29.5%
30.0%
-7.8%
-9.9%
-15.5%
2002

12/1/01
-12/31/01
3.1%
2.9%
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 12/31/2020
Holdings Based * O'Shaughnessy
Market Leaders Value
Russell 1000® Value Index
Price/Earnings Ratio 17.0x 22.9x
Price/Sales Ratio 1.8x 2.1x
Weighted Average Market Capitalization $77,113 Mil $117,036 Mil
Median Market Capitalization $26,830 Mil $11,062 Mil
Dividend Yield** 2.5% 2%
Shareholder Yield 6.7% 1.8%
Foreign Exposure 0% 0.5%
Approximate Annual Turnover 64.3% (institutional)
67.8% (intermediary)
Active Share 87.4%
 
Returns Based
(since inception - 12/1/2001)
Standard Deviation 17.9% 15.4%
Downside Standard Deviation 11.8% 10.8%
Sharpe Ratio 0.55 0.41
Beta 1.07 1.00
Information Ratio 0.50
5 Year Tracking Error 5.5%
Downside Capture 97.1% 100%
Upside Capture 113.3% 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.
** 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 12/31/2020 (%)

O’Shaughnessy Market Leaders Value
Russell 1000® Value Index
Difference
Communication
Services
7.8%
9.6%
-1.8%
Consumer
Discretionary
5.0%
7.7%
-2.7%
Consumer
Staples
3.4%
7.6%
-4.2%

Energy
0.2%
4.4%
-4.2%

Financials
31.1%
19.6%
11.5%
Health
Care
12.7%
13.4%
-0.7%

Industrials
11.4%
13.4%
-2.0%
Information
Technology
16.1%
9.7%
6.4%

Materials
7.5%
4.8%
2.7%
Real
Estate
4.9%
4.4%
0.5%

Utilities
0.0%
5.5%
-5.5%

Based on a group of representative accounts.

BASE RATES

As of 12/31/2020

Base Rates vs. Russell 1000® Value (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 125 93 57% 3.7%
3-Years 165 29 85% 3.5%
5-Years 146 24 86% 3.6%
7-Years 142 4 97% 4.0%
10-Years 110 0 100% 4.1%
15-Years 50 0 100% 3.6%

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.

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