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 3/31/2021

O’Shaughnessy Small-Mid Cap Growth (Gross)
O’Shaughnessy Small-Mid Cap Growth (Net) **
Russell 2500® Growth

1Q2021
9.9%
9.6%
2.5%
1
Year
69.8%
67.8%
87.5%
3
Year
11.1%
9.9%
20.0%
5
Year
13.3%
12.1%
19.9%
7
Year
9.7%
8.3%
14.3%
10
Year
10.1%
8.3%
14.2%
15
Year
6.5%
4.6%
11.1%
Since
Inception
11/1/1996
10.6%
8.9%
9.9%

* 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 Small-Mid Cap Growth (Gross)
O’Shaughnessy Small-Mid Cap Growth (Net) *
Russell 2500® Growth
YTD
2021
9.9%
9.6%
2.5%

2020
12.6%
11.0%
40.5%

2019
21.3%
20.1%
32.7%
-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 3/31/2021
Holdings Based * O'Shaughnessy
Small-Mid Cap Growth
Russell 2500® Growth
Price/Earnings Ratio 30.3x 35.7x
Price/Sales Ratio 2.0x 3.7x
Trailing 12-month Price Appreciation 207.0% 130.8%
Weighted Average Market Capitalization $6,450 Mil $7,497 Mil
Median Market Capitalization $4,173 Mil $1,699 Mil
Approximate Annual Turnover 104.6% (intermediary)
Active Share 85.5%
 
Returns Based
(since inception - 11/1/1996)
Standard Deviation 20.1% 22.3%
Downside Standard Deviation 13.8% 14.9%
Sharpe Ratio 0.42 0.35
Beta 0.79 1.00
Information Ratio 0.06
5 Year Tracking Error 6.1%

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 3/31/2021 (%)

O’Shaughnessy Small-Mid Cap Growth
Russell 2500® Growth
Difference
Communication
Services
3.6%
2.4%
1.2%
Consumer
Discretionary
13.7%
13.1%
0.6%
Consumer
Staples
3.8%
2.9%
0.9%

Energy
0.9%
0.1%
0.8%

Financials
5.7%
3.9%
1.8%
Health
Care
23.9%
28.5%
-4.6%

Industrials
14.1%
13.4%
0.7%
Information
Technology
27.6%
29.0%
-1.4%

Materials
4.1%
3.1%
1.0%
Real
Estate
2.5%
2.6%
-0.1%

Utilities
0.0%
1.0%
-1.0%

Based on a group of representative accounts.

BASE RATES

As of 3/31/2021

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 139 143 49% 0.1%
3-Years 129 129 50% 0.8%
5-Years 99 135 42% 0.9%
7-Years 68 142 32% 0.4%
10-Years 58 116 33% -0.2%
15-Years 58 56 51% -0.1%

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.