O’Shaughnessy
Small Cap Value

Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of undervalued, small cap companies. We first identify companies with market capitalizations between $200 million and $2 billion. We then screen for stocks with better than average Momentum, Earnings Growth, Earnings Quality, and Financial Strength Composite scores. From the remaining securities, we select those with the best Value Composite score.

Product Info

Stock Screening Process

Composite Performance

Annualized Rates* of Return for Periods Ending 3/31/13 (%)


* 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 3/31/13
O'Shaughnessy
Small Cap Value
Russell 2000®
Value Index
Holdings Based*


Price/Earnings Ratio
 9.5×
 15.2×
Price/Sales Ratio
 0.5×
 0.8×
Trailing 6-month Price Appreciation
 18.4%
 15.4%
Weighted Average Market Capitalization
 $1,338 mil
 $1,324 mil
Median Market Capitalization
 $963 mil
 $504 mil
Approximate Annual Turnover
 77% (institutional)
71% (non-taxable)
86% (taxable) 		—
Active Share
 93.1% —




Returns Based
(Since Inception – March 1, 2004)

Standard Deviation
 21.8%
 20.2%
Downside Standard Deviation
 4.6%
 4.5%
Sharpe Ratio
 0.47
 0.24
Beta
 1.03
 1.00
Information Ratio
 0.77
 —
Tracking Error
 6.8%
 —
Downside Capture
 97.1%
 100.0%
Upside Capture
 128.1%
 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.


Important Performance Disclosures

Current Sector Weightings

Sector Distribution as of 3/31/13 (%)*


Based on a group of Dynamic Rebalance® representative accounts.

Base Rates

As of 3/31/13

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
Excess Return
Rolling 1-Year Periods
 65
 33
 66%
 6.1%
Rolling 3-Year Periods
 64
 10
 86%
 5.0%
Rolling 5-Year Periods
 50
 0
 100%
 5.0%
Rolling 7-Year Periods
 26
 0
 100%
 5.0%


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 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.