Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of domestic equities with market capitalizations that are approximately between $50 million and $200 million at time of purchase. The strategy seeks stocks that meet our quality criteria and have attractive combined valuation and momentum characteristics. Qualifying stocks are conviction-weighted and limited by broad sector and industry constraints.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 12/31/2018

O’Shaughnessy Micro Cap (Gross)
O’Shaughnessy Micro Cap (Net) **
Russell Microcap® Index
-23.2%
-23.4%
-22.1%
4Q2018
-10.8%
-11.8%
-13.1%
1 Year
3 Year
5.2%
4.1%
5.8%
5 Year
5.9%
4.8%
3.1%
7 Year
15.3%
14.0%
10.6%
10 Year
17.8%
16.4%
11.7%
Since Inception
8/1/2006
9.9%
8.5%
5.3%

* 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 Micro Cap (Gross)
O’Shaughnessy Micro Cap (Net) *
Russell Microcap® Index
-10.8%
-11.8%
-13.1%
2018
2017
9.1%
8.0%
13.2%
2016
19.8%
18.4%
20.4%
4.4%
3.3%
-5.2%
2015
2014
9.3%
8.2%
3.7%
2013
70.0%
68.2%
45.6%
2012
19.6%
18.2%
19.8%
-9.3%
-10.6%
-9.3%
2011
2010
38.0%
36.0%
28.9%
2009
52.1%
49.9%
27.5%
-45.9%
-46.8%
-39.8%
2008
2.5%
0.9%
-8.0%
2007
8/1/06
-12/31/06
13.6%
12.6%
13.7%

* 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 12/31/2018
Holdings Based * O'Shaughnessy
Micro Cap
Russell Microcap® Index
Price/Earnings Ratio 14x 16.2x
Price/Sales Ratio 0.6x 1x
Trailing 9-month Price Appreciation 27.8% 9%
Weighted Average Market Capitalization $237 Mil $602 Mil
Median Market Capitalization $169 Mil $222 Mil
Approximate Annual Turnover 99% (institutional)
Active Share 95.2%
 
Returns Based
(since inception - 8/1/2006)
Standard Deviation 22% 20.1%
Downside Standard Deviation 15.1% 14.3%
Sharpe Ratio 0.41 0.22
Beta 1.02 1.00
Information Ratio 0.57
5 Year Tracking Error 7.1%
Downside Capture 89.8% 100%
Upside Capture 104.3% 100%

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 12/31/2018 (%)

O’Shaughnessy Micro Cap
Russell Microcap® Index
Difference
Communication
Services
4.8%
3.6%
1.2%
Consumer
Discretionary
17.9%
10.5%
7.4%
Consumer
Staples
11.6%
2.2%
9.4%
Energy
4.5%
4.1%
0.4%
Financials
18.9%
25.2%
-6.3%
Health
Care
5.4%
24.4%
-19.0%
Industrials
13.3%
11.1%
2.2%
Information
Technology
17.8%
10.3%
7.5%
Materials
5.8%
2.7%
3.1%
Real
Estate
0.0%
4.5%
-4.5%
Utilities
0.0%
1.4%
-1.4%

Based on a group of representative accounts.

BASE RATES

As of 12/31/2018

Base Rates vs. Russell Microcap® (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 99 39 72% 6.2%
3-Years 112 2 98% 5.9%
5-Years 90 0 100% 6.2%
7-Years 66 0 100% 6.1%
10-Years 30 0 100% 5.2%

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.