Investment Strategy

Seeks to provide long-term appreciation through exposure to domestic equities that we believe have better quality, valuation, momentum, and Shareholder Yield* across market capitalization ranges. Stocks are strategically-weighted and broadly constrained by market capitalization, sector, and industry. O’Shaughnessy All Cap Core is our most diversified domestic strategy by selection factor, investment style, and market capitalization.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 9/30/2021

O’Shaughnessy All Cap Core (Gross)
O’Shaughnessy All Cap Core (Net) **
Russell 3000® Index
-0.1%
-0.7%
-0.1%
3Q2021
1
Year
40.3%
37.2%
31.9%
3
Year
7.0%
4.3%
16.0%
5
Year
11.7%
8.8%
16.9%
7
Year
9.8%
7.1%
13.9%
10
Year
13.8%
11.0%
16.6%
15
Year
9.1%
6.4%
10.4%
Since
Inception
1/1/2003
11.2%
8.4%
11.3%

* 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 All Cap Core (Gross)
O’Shaughnessy All Cap Core (Net) *
Russell 3000® Index
YTD
2021
22.6%
20.5%
15.0%
-0.1%
-2.6%
20.9%
2020

2019
21.5%
18.2%
31.0%
-9.8%
-12.2%
-5.2%
2018

2017
18.7%
15.6%
21.1%

2016
16.7%
14.0%
12.7%
-0.9%
-3.1%
0.5%
2015

2014
7.9%
5.4%
12.6%

2013
44.2%
40.9%
33.6%

2012
12.0%
9.2%
16.4%
1.7%
-1.0%
1.0%
2011

2010
18.5%
15.3%
16.9%

2009
24.1%
20.8%
28.3%
-35.8%
-37.5%
-37.3%
2008

2007
11.3%
8.8%
5.1%

2006
17.1%
14.4%
15.7%

2005
13.1%
10.5%
6.1%

2004
15.0%
12.4%
12.0%

2003
38.4%
35.2%
31.1%

* 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 9/30/2021
Holdings Based * O'Shaughnessy
All Cap Core
Russell 3000® Index
Price/Earnings Ratio 13.6x 23.5x
Price/Sales Ratio 1.1x 2.9x
1-Year Historical Earnings Growth Rate 142.5% 84.3%
Trailing 12-month Price Appreciation 74.5% 41.8%
Weighted Average Market Capitalization $64,015 Mil $473,316 Mil
Median Market Capitalization $16,641 Mil $2,507 Mil
Approximate Annual Turnover 72.8% (intermediary)
Active Share 90.7%
 
Returns Based
(since inception - 1/1/2003)
Standard Deviation 15.7% 14.7%
Downside Standard Deviation 10.6% 9.7%
Sharpe Ratio 0.63 0.69
Beta 1.02 1.00
Information Ratio -0.04
5 Year Tracking Error 5.5%
Downside Capture 104.7% 100.0%
Upside Capture 103.5% 100.0%

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 9/30/2021 (%)

O’Shaughnessy All Cap Core
Russell 3000® Index
Difference
Communication
Services
5.0%
10.1%
-5.1%
Consumer
Discretionary
11.5%
12.2%
-0.7%
Consumer
Staples
6.1%
5.3%
0.8%

Energy
3.0%
2.8%
0.2%

Financials
15.4%
11.9%
3.5%
Health
Care
13.9%
13.6%
0.3%

Industrials
9.3%
9.0%
0.3%
Information
Technology
26.9%
27.1%
-0.2%

Materials
3.2%
2.4%
0.8%
Real
Estate
5.8%
3.4%
2.4%

Utilities
0.0%
2.4%
-2.4%

Based on a group of representative accounts.

BASE RATES

As of 9/30/2021

Base Rates vs. Russell 3000® (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 118 96 55% -0.1%
3-Years 112 78 59% -0.2%
5-Years 106 60 64% 0.0%
7-Years 85 57 60% 0.0%
10-Years 63 43 59% 0.0%
15-Years 25 21 54% -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.