Investment Strategy

Seeks to provide long-term appreciation through exposure to a portfolio of domestic, aggressive growth equities with market capitalizations between $200 million and $10 billion. The strategy seeks stocks that meet our quality and valuation criteria and have what we believe to be exceptional momentum. Qualifying stocks are conviction-weighted and limited by broad sector and industry constraints.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 3/31/2019

O’Shaughnessy Small-Mid Cap Growth (Gross)
O’Shaughnessy Small-Mid Cap Growth (Net) **
Russell 2500® Growth
1Q2019
11.2%
11.0%
19.0%
1 Year
1.7%
0.7%
7.5%
3 Year
11.5%
10.3%
15.6%
5 Year
7.3%
5.9%
9.7%
7 Year
11.5%
9.7%
12.6%
10 Year
13.1%
11.0%
17.5%
15 Year
7.9%
6.1%
9.7%
Since Inception
11/1/1996
10.1%
8.4%
8.5%

* 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-Mid Cap Growth (Gross)
O’Shaughnessy Small-Mid Cap Growth (Net) *
Russell 2500® Growth
YTD 2019
11.2%
11.0%
19.0%
-7.0%
-7.9%
-7.5%
2018
2017
15.1%
13.9%
24.5%
2016
15.7%
14.3%
9.7%
1.5%
0.0%
-0.2%
2015
0.5%
-1.7%
7.1%
2014
2013
44.5%
41.4%
40.7%
2012
19.4%
16.7%
16.1%
-10.9%
-13.1%
-1.6%
2011
2010
30.1%
26.6%
28.9%
2009
9.7%
7.4%
41.7%
-46.9%
-48.0%
-41.5%
2008
2007
19.2%
17.3%
9.7%
2006
12.0%
10.1%
12.3%
2005
26.5%
25.1%
8.2%
2004
20.3%
19.6%
14.6%
2003
45.7%
45.2%
46.3%
-19.8%
-20.6%
-29.1%
2002
0.5%
-0.5%
-10.8%
2001
4.7%
3.7%
-16.1%
2000
1999
40.7%
38.7%
55.5%
1998
13.2%
11.4%
3.1%
1997
26.5%
24.1%
14.8%
11/1/96
-12/31/96
4.5%
4.0%
4.2%

* 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 3/31/2019
Holdings Based * O'Shaughnessy
Small-Mid Cap Growth
Russell 2500® Growth
Price/Earnings Ratio 25.2x 23.7x
Price/Sales Ratio 1.9x 2x
Trailing 12-month Price Appreciation 38.3% 22.6%
Weighted Average Market Capitalization $5,150 Mil $5,880 Mil
Median Market Capitalization $2,982 Mil $1,173 Mil
Approximate Annual Turnover 94.4% (intermediary)
Active Share 82%
 
Returns Based
(since inception - 11/1/1996)
Standard Deviation 19.9% 22.1%
Downside Standard Deviation 13.6% 14.9%
Sharpe Ratio 0.40 0.29
Beta 0.78 1.00
Information Ratio 0.14
5 Year Tracking Error 5.2%

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.


Important Performance Disclosures
SECTORS

Sector Distribution as of 3/31/2019 (%)

O’Shaughnessy Small-Mid Cap Growth
Russell 2500® Growth
Difference
Communication
Services
5.0%
3.3%
1.7%
Consumer
Discretionary
15.5%
14.5%
1.0%
Consumer
Staples
2.7%
2.0%
0.7%
Energy
1.2%
1.2%
0.0%
Financials
7.6%
6.7%
0.9%
Health
Care
20.6%
22.1%
-1.5%
Industrials
17.0%
16.3%
0.7%
Information
Technology
24.1%
26.4%
-2.3%
Materials
5.4%
4.5%
0.9%
Real
Estate
1.0%
2.9%
-1.9%
Utilities
0.0%
0.3%
-0.3%

Based on a group of representative accounts.

BASE RATES

As of 3/31/2019

Base Rates vs. Russell 2500® Growth (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 139 119 54% 1.4%
3-Years 129 105 55% 1.6%
5-Years 99 111 47% 1.4%
7-Years 68 118 37% 0.9%
10-Years 58 92 39% 0.3%
15-Years 58 32 64% 0.8%

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.