Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio of undervalued, domestic, small cap equities with market capitalizations between $200 million and $2 billion. The strategy seeks stocks that meet our quality and momentum criteria and have attractive valuation characteristics. Stocks are conviction-weighted and broadly constrained by sector and industry.

ANNUALIZED RETURN

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

O'Shaughnessy Small Cap Value (Gross)
O'Shaughnessy Small Cap Value (Net) **
Russell 2000® Value Index
-2.3%
-2.4%
-3.0%
3Q2021
1
Year
65.7%
64.5%
63.9%
1.0%
-0.3%
8.6%
3
Year
5
Year
7.4%
6.0%
11.0%
7
Year
6.9%
5.4%
10.2%
10
Year
12.3%
10.7%
13.2%
15
Year
8.2%
6.4%
7.5%
Since
Inception
3/1/2004
10.4%
8.4%
8.3%

* 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 Small Cap Value (Gross)
O'Shaughnessy Small Cap Value (Net) *
Russell 2000® Value Index
YTD
2021
28.8%
28.1%
22.9%
-11.5%
-12.6%
4.6%
2020

2019
12.0%
10.0%
22.4%
-13.7%
-14.9%
-12.9%
2018

2017
11.3%
9.6%
7.8%

2016
28.5%
27.0%
31.7%
-7.0%
-8.7%
-7.5%
2015

2014
12.5%
10.0%
4.2%

2013
38.9%
37.3%
34.5%

2012
21.2%
19.3%
18.1%
-10.0%
-10.9%
-5.5%
2011

2010
23.9%
20.9%
24.5%

2009
54.9%
50.7%
20.6%
-33.6%
-35.1%
-28.9%
2008
-6.0%
-7.7%
-9.8%
2007

2006
32.6%
29.4%
23.5%

2005
16.3%
13.5%
4.7%

3/1/04
-12/31/04
23.8%
21.3%
15.9%

* 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
Small Cap Value
Russell 2000® Value Index
Price/Earnings Ratio 8.3x 13.7x
Price/Sales Ratio 0.7x 1.3x
Trailing 6 Month Price Appreciation 6.6% 3.0%
Weighted Average Market Capitalization $1,864 Mil $2,894 Mil
Median Market Capitalization $1,274 Mil $1,062 Mil
Approximate Annual Turnover 81% (intermediary)
Active Share 91.0%
 
Returns Based
(since inception - 3/1/2004)
Standard Deviation 21.3% 19.7%
Downside Standard Deviation 14.1% 13.7%
Sharpe Ratio 0.43 0.36
Beta 1.03 1.00
Information Ratio 0.34
5 Year Tracking Error 5.0%
Downside Capture 97.2% 100.0%
Upside Capture 104.7% 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 Small Cap Value
Russell 2000® Value Index
Difference
Communication
Services
4.6%
4.3%
0.3%
Consumer
Discretionary
11.9%
8.0%
3.9%
Consumer
Staples
4.9%
2.8%
2.1%

Energy
5.1%
7.1%
-2.0%

Financials
25.4%
26.2%
-0.8%
Health
Care
5.3%
11.2%
-5.9%

Industrials
18.8%
14.8%
4.0%
Information
Technology
5.3%
5.4%
-0.1%

Materials
6.8%
4.6%
2.2%
Real
Estate
11.9%
11.1%
0.8%

Utilities
0.0%
4.6%
-4.6%

Based on a group of representative accounts.

BASE RATES

As of 9/30/2021

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
Avg.
Excess
Return
Avg.
Excess
Return
1-Year 123 77 62% 2.8%
3-Years 121 55 69% 2.1%
5-Years 123 29 81% 2.3%
7-Years 107 21 84% 2.4%
10-Years 70 22 76% 2.4%
15-Years 32 0 100% 1.9%

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.