Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio with exposure to mostly large capitalization domestic equities that we believe have better quality, valuation, momentum, and Shareholder Yield — which combines a company's annual dividend and its annual rate of stock buybacks. Stocks are conviction-weighted and broadly constrained by sector and industry.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 12/31/2017

O’Shaughnessy Market Leaders Core (Gross)
O’Shaughnessy Market Leaders Core (Net) **
Russell 1000® Index
Russell 1000® Value Index
4Q2017
8.8%
8.7%
6.6%
5.3%
1 Year
25.4%
24.8%
21.7%
13.7%
3 Year
12.2%
11.7%
11.2%
8.7%
5 Year
17.4%
16.7%
15.7%
14.0%
7 Year
13.8%
13.1%
13.7%
12.5%
10 Year
9.1%
8.2%
8.6%
7.1%
15 Year
12.2%
11.3%
10.2%
9.6%
Since Inception
12/1/2001
10.0%
9.1%
7.9%
7.9%

* 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 Market Leaders Core (Gross)
O’Shaughnessy Market Leaders Core (Net) *
Russell 1000® Index
Russell 1000® Value Index
2017
25.4%
24.8%
21.7%
13.7%
2016
12.6%
12.1%
12.1%
17.3%
0.1%
-0.4%
0.9%
-3.8%
2015
2014
8.2%
7.4%
13.2%
13.5%
2013
45.8%
44.7%
33.1%
32.5%
2012
14.7%
13.7%
16.4%
17.5%
-3.1%
-4.0%
1.5%
0.4%
2011
2010
20.9%
19.8%
16.1%
15.5%
2009
37.9%
36.7%
28.4%
19.7%
-42.2%
-43.1%
-37.6%
-36.8%
2008
3.6%
3.1%
5.8%
-0.2%
2007
2006
22.0%
21.3%
15.5%
22.2%
2005
12.8%
12.2%
6.3%
7.1%
2004
19.5%
18.8%
11.4%
16.5%
2003
38.1%
36.0%
29.9%
30.0%
-19.3%
-20.9%
-21.7%
-15.5%
2002
12/1/2001
-12/31/2001
2.7%
2.6%
1.1%
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 12/31/2017
Holdings Based * O'Shaughnessy
Market Leaders Core
Russell 1000® Index
Price/Earnings Ratio 17.7× 23.1×
Price/Sales Ratio 1.2× 2.3×
Trailing 12-month Price Appreciation 34.3% 25.7%
Weighted Average Market Capitalization $76,254 mil $177,979 mil
Median Market Capitalization $27,799 mil $10,424 mil
Foreign Exposure 5.5% 0.0%
Approximate Annual Turnover 62%
Active Share 81%
 
Returns Based
(since inception - 12/1/2001)
Standard Deviation 16.3% 14.1%
Downside Standard Deviation 11.0% 9.7%
Sharpe Ratio 0.54 0.47
Beta 1.07 1.00
Information Ratio 0.34
Tracking Error 6.3%
Downside Capture 101.0% 100.0%
Upside Capture 154.8% 100.0%

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 12/31/17 (%)

O’Shaughnessy Market Leaders Core
Russell 1000® Index
Difference
Consumer
Discretionary
15.1%
12.5%
2.6%
Consumer
Staples
8.5%
7.7%
0.8%
Energy
6.4%
5.9%
0.5%
Financials
17.3%
14.9%
2.4%
Health
Care
11.3%
13.1%
-1.8%
Industrials
10.5%
10.6%
-0.1%
Information
Technology
24.2%
23.3%
0.9%
Materials
5.3%
3.4%
1.9%
Real
Estate
0.0%
3.6%
-3.6%
Telecommunication
Services
1.4%
2.0%
-0.6%
Utilities
0.0%
2.9%
-2.9%

Based on a group of representative accounts.

BASE RATES

As of 12/31/2017

Base Rates vs. Russell 1000® (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
Rolling 1-Year Periods 105 77 58% 2.4%
Rolling 3-Year Periods 95 63 60% 1.8%
Rolling 5-Year Periods 95 39 71% 1.4%
Rolling 7-Year Periods 76 34 69% 1.2%
Rolling 10-Year Periods 55 19 74% 1.1%
Rolling 15-Year Periods 14 0 100% 1.7%

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.