Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of domestic equities with market capitalizations that are approximately between $50 million and $200 million at time of purchase. The strategy seeks stocks that meet our quality criteria and have attractive combined valuation and momentum characteristics. Qualifying stocks are conviction-weighted and limited by broad sector and industry constraints.

ANNUALIZED RETURN

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

O’Shaughnessy Micro Cap (Gross)
O’Shaughnessy Micro Cap (Net) **
Russell Microcap® Index
-7.4%
-7.6%
-0.5%
3Q2022
-8.9%
-9.8%
-27.5%
1
Year
3
Year
9.7%
8.5%
6.9%
5
Year
5.0%
3.9%
3.1%
7
Year
8.4%
7.2%
7.1%
10
Year
12.9%
11.7%
8.4%
15
Year
9.5%
8.2%
5.5%
Since
Inception
8/1/2006
10.0%
8.6%
5.9%

* 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 Micro Cap (Gross)
O’Shaughnessy Micro Cap (Net) *
Russell Microcap® Index
-13.1%
-13.8%
-25.5%
YTD
2022

2021
31.6%
30.2%
19.3%

2020
11.5%
10.3%
21.0%

2019
12.8%
11.6%
22.4%
-10.8%
-11.8%
-13.1%
2018

2017
9.1%
8.0%
13.2%

2016
19.8%
18.4%
20.4%
4.4%
3.3%
-5.2%
2015

2014
9.3%
8.2%
3.7%

2013
70.0%
68.2%
45.6%

2012
19.6%
18.2%
19.8%
-9.3%
-10.6%
-9.3%
2011

2010
38.0%
36.0%
28.9%

2009
52.1%
49.9%
27.5%
-45.9%
-46.8%
-39.8%
2008
2.5%
0.9%
-8.0%
2007

8/1/06
-12/31/06
13.6%
12.6%
13.7%

* 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
Micro Cap
Russell Microcap® Index
Price/Earnings Ratio 6.9x 8.6x
Price/Sales Ratio 0.5x 0.9x
Trailing 9-month Price Appreciation 2.3% -18.5%
Weighted Average Market Capitalization $224 Mil $642 Mil
Median Market Capitalization $172 Mil $199 Mil
Approximate Annual Turnover 97.7% (institutional)
Active Share 94.7%
 
Returns Based
(since inception - 8/1/2006)
Standard Deviation 22.7% 21.7%
Downside Standard Deviation 15.7% 15.1%
Sharpe Ratio 0.40 0.23
Beta 0.97 1.00
Information Ratio 0.47
5 Year Tracking Error 10.2%
Downside Capture 89.4% 100.0%
Upside Capture 100.6% 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.


Important Performance Disclosures
SECTORS

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

O’Shaughnessy Micro Cap
Russell Microcap® Index
Difference
Communication
Services
2.3%
2.6%
-0.3%
Consumer
Discretionary
15.2%
9.3%
5.9%
Consumer
Staples
7.1%
2.3%
4.8%

Energy
7.4%
5.3%
2.1%

Financials
21.6%
20.6%
1.0%
Health
Care
4.8%
31.0%
-26.2%

Industrials
22.1%
10.1%
12.0%
Information
Technology
11.0%
11.3%
-0.3%

Materials
7.6%
3.1%
4.5%
Real
Estate
1.1%
3.6%
-2.5%

Utilities
0.0%
0.8%
-0.8%

Based on a group of representative accounts.

BASE RATES

As of 9/30/2022

Base Rates vs. Russell Microcap® (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 118 65 64% 4.8%
3-Years 121 38 76% 3.4%
5-Years 107 28 79% 3.8%
7-Years 95 16 86% 4.3%
10-Years 75 0 100% 4.0%
15-Years 15 0 100% 3.5%

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.