Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of undervalued, domestic, small cap equities with market capitalizations between $200 million and $2 billion. The strategy seeks stocks that meet our quality and momentum criteria and have attractive valuation characteristics. Stocks are conviction-weighted and broadly constrained by sector and industry.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 6/30/2024

O'Shaughnessy Small Cap Value (Gross)
O'Shaughnessy Small Cap Value (Net) **
Russell 2000® Value Index
-3.3%
-3.5%
-3.6%
2Q2024
1
Year
15.9%
15.3%
10.9%
2.5%
2.0%
-0.5%
3
Year
5
Year
6.0%
5.1%
7.1%
7
Year
4.0%
2.9%
5.9%
10
Year
5.3%
4.0%
6.2%
15
Year
10.6%
9.0%
10.6%
Since
Inception
3/1/2004
9.5%
7.7%
7.2%

* 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 Small Cap Value (Gross)
O'Shaughnessy Small Cap Value (Net) *
Russell 2000® Value Index
-0.2%
-0.5%
-0.9%
YTD
2024

2023
17.7%
17.1%
14.7%
-13.3%
-13.8%
-14.5%
2022

2021
39.6%
38.7%
28.3%
-11.5%
-12.6%
4.6%
2020

2019
12.0%
10.0%
22.4%
-13.7%
-14.9%
-12.9%
2018

2017
11.3%
9.6%
7.8%

2016
28.5%
27.0%
31.7%
-7.0%
-8.7%
-7.5%
2015

2014
12.5%
10.0%
4.2%

2013
38.9%
37.3%
34.5%

2012
21.2%
19.3%
18.1%
-10.0%
-10.9%
-5.5%
2011

2010
23.9%
20.9%
24.5%

2009
54.9%
50.7%
20.6%
-33.6%
-35.1%
-28.9%
2008
-6.0%
-7.7%
-9.8%
2007

2006
32.6%
29.4%
23.5%

2005
16.3%
13.5%
4.7%

3/1/04
-12/31/04
23.8%
21.3%
15.9%

* 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 6/30/2024
Holdings Based * O'Shaughnessy
Small Cap Value
Russell 2000® Value Index
Price/Earnings Ratio 10.3x 13.5x
Price/Sales Ratio 0.7x 1.0x
Trailing 6 Month Price Appreciation 1.3% 1.8%
Weighted Average Market Capitalization $2,159 Mil $2,954 Mil
Median Market Capitalization $1,194 Mil $754 Mil
Approximate Annual Turnover 69.0% (institutional)
69.0% (intermediary)
Active Share 91.8%
 

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 6/30/2024 (%)

O'Shaughnessy Small Cap Value
Russell 2000® Value Index
Difference
Communication
Services
2.7%
2.4%
0.3%
Consumer
Discretionary
12.3%
10.5%
1.8%
Consumer
Staples
4.8%
2.2%
2.6%

Energy
11.7%
10.4%
1.3%

Financials
28.5%
26.2%
2.3%
Health
Care
4.4%
8.7%
-4.3%

Industrials
16.4%
14.4%
2.0%
Information
Technology
6.0%
6.4%
-0.4%

Materials
8.2%
5.0%
3.2%
Real
Estate
5.0%
9.9%
-4.9%

Utilities
0.0%
3.9%
-3.9%

Based on a group of representative accounts.

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.