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 3/31/2021

O’Shaughnessy Micro Cap (Gross)
O’Shaughnessy Micro Cap (Net) **
Russell Microcap® Index

1Q2021
22.0%
21.7%
23.9%
1
Year
115.9%
113.7%
120.3%
3
Year
8.8%
7.6%
16.6%
5
Year
13.1%
11.9%
18.1%
7
Year
10.0%
8.9%
11.0%
10
Year
13.2%
11.9%
12.2%
Since
Inception
8/1/2006
11.6%
10.2%
8.9%

* 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
YTD
2021
22.0%
21.7%
23.9%

2020
11.6%
10.4%
21.0%

2019
12.8%
11.6%
22.4%
-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 3/31/2021
Holdings Based * O'Shaughnessy
Micro Cap
Russell Microcap® Index
Price/Earnings Ratio 12.3x 18.0x
Price/Sales Ratio 0.6x 1.5x
Trailing 9-month Price Appreciation 130.9% 102.0%
Weighted Average Market Capitalization $338 Mil $1,415 Mil
Median Market Capitalization $217 Mil $321 Mil
Approximate Annual Turnover 106.8% (institutional)
Active Share 95.0%
 
Returns Based
(since inception - 8/1/2006)
Standard Deviation 23.4% 21.8%
Downside Standard Deviation 16.0% 14.9%
Sharpe Ratio 0.45 0.36
Beta 1.00 1.00
Information Ratio 0.31
5 Year Tracking Error 8.4%
Downside Capture 93.1% 100.0%
Upside Capture 100.3% 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 3/31/2021 (%)

O’Shaughnessy Micro Cap
Russell Microcap® Index
Difference
Communication
Services
1.9%
2.8%
-0.9%
Consumer
Discretionary
17.8%
16.7%
1.1%
Consumer
Staples
4.8%
1.8%
3.0%

Energy
4.7%
3.1%
1.6%

Financials
25.8%
18.7%
7.1%
Health
Care
3.0%
26.2%
-23.2%

Industrials
17.2%
11.9%
5.3%
Information
Technology
16.1%
11.9%
4.2%

Materials
4.0%
3.1%
0.9%
Real
Estate
4.7%
3.2%
1.5%

Utilities
0.0%
0.6%
-0.6%

Based on a group of representative accounts.

BASE RATES

As of 3/31/2021

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 101 64 61% 3.9%
3-Years 114 27 81% 4.0%
5-Years 101 16 86% 4.5%
7-Years 86 7 92% 5.0%
10-Years 57 0 100% 4.3%

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.