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.
* 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.
* 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 as of 3/31/2025 | ||
| Holdings Based * | O'Shaughnessy Small Cap Value |
Russell 2000® Value Index |
|---|---|---|
| Price/Earnings Ratio | 10.4x | 14.3x |
| Price/Sales Ratio | 0.6x | 1.0x |
| Trailing 6 Month Price Appreciation | -8.1% | -2.8% |
| Weighted Average Market Capitalization | $1,558 Mil | $2,833 Mil |
| Median Market Capitalization | $1,047 Mil | $686 Mil |
| Active Share | 92.5% | — |
|
Returns Based
(since inception - 3/1/2004) |
||
| Standard Deviation | 21.5% | 20.2% |
| Downside Standard Deviation | 14.1% | 13.7% |
| Sharpe Ratio | 0.33 | 0.26 |
| Beta | 1.02 | 1.00 |
| Information Ratio | 0.29 | — |
| 5 Year Tracking Error | 5.5% | — |
| Downside Capture | 97.6% | 100.0% |
| Upside Capture | 103.4% | 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.
Based on a group of representative accounts.
| Won | Lost | Base Rate |
Avg. Excess Return |
Avg. Excess Return |
|
|---|---|---|---|---|---|
| 1-Year | 131 | 111 | 54% | 0.9% | |
| 3-Years | 105 | 113 | 48% | -0.1% | |
| 5-Years | 107 | 87 | 55% | -0.5% | |
| 7-Years | 80 | 90 | 47% | -0.6% | |
| 10-Years | 62 | 72 | 46% | -0.4% | |
| 15-Years | 15 | 59 | 20% | -0.7% |
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.