O’Shaughnessy
Market Leaders Value

Investment Strategy

Seeks to provide long-term growth and some current income by investing in market leading companies with attractive valuations. First, we screen for stocks with greater than average market capitalizations and exclude Utilities. We then screen for securities with Value, Earnings Quality, Earnings Growth, and Financial Strength Composite scores greater than average. The strategy typically holds stocks with the highest “shareholder yield”—which combines a company's annual dividend and its annual rate of stock buybacks.

Lipper Best Managers

Periods ending 3/31/12

U.S. Large-Cap Value Equity  12 Quarters: 1 out of 197
   4 Quarters: 27 out of 242
   20 Quarters: 8 out of 168
   40 Quarters: 6 out of 123
U.S. Value Equity  12 Quarters: 25 out of 513
U.S. Large-Cap Equity  12 Quarters: 16 out of 659
   40 Quarters: 9 out of 381

Product Info

Stock Screening Process

Composite Performance

Annualized Rates* of Return for Periods Ending 3/31/12 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance

Annual Rates of Return (%)


Important Performance Disclosures

Characteristics
Characteristics as of 3/31/12
O'Shaughnessy
Market Leaders Value
Russell 1000®
Value Index
Holdings Based*


Price/Earnings Ratio
 12.2×
 14.2×
Price/Sales Ratio
 0.7×
 1.1×
Trailing 12-month Price Appreciation
 8.6%
 5.0%
Weighted Average Market Capitalization
 $28,841 mil
 $78,967 mil
Median Market Capitalization
 $16,712 mil
 $4,988 mil
Dividend Yield**
 3.0%
 2.5%
Foreign Exposure
 12.0%
 0.0%
Approximate Annual Turnover
 82% —
Active Share
 90.9% —




Returns Based
(Since Inception – March 1, 2004)

Standard Deviation
 19.1%
 16.4%
Downside Standard Deviation
 4.1%
 3.7%
Sharpe Ratio
 0.46
 0.20
Beta
 1.1
 1.0
Information Ratio
 0.68
 —
Tracking Error
 8.2%
 —
Downside Capture
 97.6%
 100.0%
Upside Capture
 152.4%
 100.0%

Gross of Fees

* Based on a group of Dynamic Rebalance® representative accounts. Each client account will differ based on start date and regeneration dates. Turnover is based on a backtest over the previous five years.
** The Dividend Yield is the annual percentage of return earned by an investor on a common or preferred stock. The yield is calculated by dividing the amount of dividends paid per share over the past twelve months by the current market price per share of the stock. OSAM utilizes the services of Factset, a third party data provider vendor, to calculate portfolio characteristics and metrics. The dividend yield is a gross indicated yield. There is no guarantee that the rate of dividend payment will continue and the income derived is subject to taxes and expenses which will impact the actual yield experience of each investor.


Important Performance Disclosures

Current Sector Weightings

Sector Distribution as of 3/31/12 (%)


Based on a group of Dynamic Rebalance® representative accounts.

Base Rates

As of 3/31/12

Base Rates vs. Russell 1000® 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
Excess Return
Rolling 1-Year Periods
 81
 32
 72%
 6.3%
Rolling 3-Year Periods
 85
 4
 96%
 5.6%
Rolling 5-Year Periods
 64
 1
 98%
 4.9%
Rolling 7-Year Periods
 41
 0
 100%
 5.3%
Rolling 10-Year Periods
 5
 0
 100%
 5.5%


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 comprise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than the regularly scheduled rebalance without prior notice. Stocks with small and mid–sized market capitalizations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitalizations.

Style allocations are approximate. They may change over time and vary by account.