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 12/31/2017

O'Shaughnessy Small Cap Value (Gross)
O'Shaughnessy Small Cap Value (Net) **
Russell 2000® Value Index
QTD
4.5%
4.1%
2.0%
1 Year
11.3%
9.6%
7.8%
3 Year
10.0%
8.3%
9.5%
5 Year
15.8%
13.9%
13.0%
7 Year
12.4%
10.7%
10.8%
10 Year
11.2%
9.2%
8.2%
Since Inception
3/1/2004
12.6%
10.5%
8.2%

* 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
2017
11.3%
9.6%
7.8%
2016
28.5%
26.9%
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
-5.9%
-7.7%
-9.8%
2007
2006
32.6%
29.4%
23.5%
2005
16.3%
13.5%
4.7%
3/1/2004
-12/31/2004
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 12/31/2017
Holdings Based * O'Shaughnessy
Small Cap Value
Russell 2000® Value Index
Price/Earnings Ratio 15.3x 20.3x
Price/Sales Ratio 0.6x 1.2x
Trailing 6 Month Price Appreciation 14.3% 11.0%
Weighted Average Market Capitalization $1,636 mil $2,079 mil
Median Market Capitalization $1,273 mil $743 mil
Approximate Annual Turnover 91% (institutional)
99% (intermediary)
Active Share 90%
 
Returns Based
(since inception - 3/1/2004)
Standard Deviation 19.6% 18.3%
Downside Standard Deviation 12.0% 12.5%
Sharpe Ratio 0.58 0.38
Beta 1.01 1.00
Information Ratio 0.72
Tracking Error 6.2%
Downside Capture 97.8% 100.0%
Upside Capture 130.3% 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 Small Cap Value
Russell 2000® Value Index
Difference
Consumer
Discretionary
17.6%
10.9%
6.7%
Consumer
Staples
4.6%
2.8%
1.8%
Energy
9.6%
6.8%
2.8%
Financials
21.6%
30.3%
-8.7%
Health
Care
3.4%
6.2%
-2.8%
Industrials
17.8%
12.1%
5.7%
Information
Technology
14.0%
9.0%
5.0%
Materials
8.5%
4.5%
4.0%
Real
Estate
0.4%
10.4%
-10.0%
Telecommunication
Services
0.0%
0.5%
-0.5%
Utilities
2.5%
6.6%
-4.1%

Based on a group of representative accounts.

BASE RATES

As of 12/31/2017

Base Rates vs. Russell 2000® Value (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 109 46 70% 5.1%
Rolling 3-Year Periods 114 17 87% 4.1%
Rolling 5-Year Periods 107 0 100% 4.0%
Rolling 7-Year Periods 83 0 100% 3.7%
Rolling 10-Year Periods 47 0 100% 4.0%

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.