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.
* 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 6/30/2022 | ||
| Holdings Based * | O'Shaughnessy Micro Cap |
Russell Microcap® Index |
|---|---|---|
| Price/Earnings Ratio | 8.0x | 9.4x |
| Price/Sales Ratio | 0.6x | 0.9x |
| Trailing 9-month Price Appreciation | 11.4% | -21.3% |
| Weighted Average Market Capitalization | $262 Mil | $557 Mil |
| Median Market Capitalization | $187 Mil | $211 Mil |
| Approximate Annual Turnover | 110.9% (institutional) |
— |
| Active Share | 94.7% | — |
|
Returns Based
(since inception - 8/1/2006) |
||
| Standard Deviation | 22.7% | 21.6% |
| Downside Standard Deviation | 15.5% | 15.1% |
| Sharpe Ratio | 0.43 | 0.23 |
| Beta | 0.97 | 1.00 |
| Information Ratio | 0.53 | — |
| 5 Year Tracking Error | 10.0% | — |
| Downside Capture | 88.8% | 100.0% |
| Upside Capture | 102.0% | 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 | 115 | 65 | 64% | 4.5% | |
| 3-Years | 118 | 38 | 76% | 3.4% | |
| 5-Years | 104 | 28 | 79% | 3.8% | |
| 7-Years | 92 | 16 | 85% | 4.3% | |
| 10-Years | 72 | 0 | 100% | 3.9% | |
| 15-Years | 12 | 0 | 100% | 3.4% |
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.
