osam.com
osamresearch.com

osamresearch.com
APRIL-2016
2

osamresearch.com
APRIL-2016
3

osamresearch.com
APRIL-2016
4
“The trend has
vanished, killed by
its discovery.” B.
Mandelbrot

osam.com
1963–1992 1993–2015
The Deterioration of Price-to-Book
5
▬ Price-to-Book ▬ EBITDA/Enterprise Value ▬ Price-to-Earnings ▬ Price-to-Sales
1
10
100
1963 1970 1977 1984 1991
0
1,000
10,000
Cumulative Excess Return (%)
-5
0
5
10
15
20
1992 1995 1998 2001 2004 2007 2010 2013
Source: Patrick O’Shaughnessy, CFA; “Alpha or Assets? — Factor Alpha vs. Smart Beta” (Figures 3–4) http://osam.com/pdf/Commentary_AlphaOrAssets_FactorAlphaVersusSmartBeta_April-2016.pdf
Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.

osamresearch.com
APRIL-2016
6

osamresearch.com
APRIL-2016
Issuing Capital
-3.8%
-2.3%
-4.0%
-3.5%
-3.0%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
Allocating Capital
Capital Allocation Decisions Improve Shareholder Value
7
Annualized Excess Return vs. Large Stocks
Diluters1
no dividends
issuing shares
Debt
Issuers
1
-3.0%
-2.3%
0.9%
3.1%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
Returning
Capital to
Shareholders
1
Reducing
Debt
1
Acquisition
2
Expansion
1
1 1964–2014 (Large Stocks Universe: 10.5%) 2 1989–2014 (Large Stocks Universe: 10.1%)
Note: Diluters represented by the quintile of stocks that are issuing shares and/or paying no dividends. Debt Issuers represented by the quintile of stocks with the largest year-over-year change in debt outstanding.
Returning Capital to Shareholders represented by the quintile of stocks with the highest combination of dividends and buybacks. Reducing Debt represented by quintile of stocks by year over year debt reduction.
Acquisition represented by quintile of stocks with highest year over year growth in goodwill. Expansion represented by quintile of stocks with highest year over year growth in CapEx.
Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.

osamresearch.com
APRIL-2016
The Power of Share Repurchases
(U.S. Large Stocks, 12/31/1986–6/30/2015)
Source: O’Shaughnessy, Patrick. “High Conviction Buybacks” (Figure 1, http://osam.com/pdf/Commentary_HighConvictionBuybacks.pdf) — Compustat, IDC, OSAM calculations
$0
$50,000
$100,000
$150,000
$200,000
$250,000
$300,000
$350,000
$400,000
$450,000
Total Net Buybacks Grouped by Level of Conviction
Buybacks 10%+
(highest conviction)
■ Buybacks 5–10%
(higher conviction)
■ Buybacks 0–5%
(low conviction)
Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation. 8

osamresearch.com
APRIL-2016
9
Dividend Yield 4%+
(highest yield)
■ Dividend Yield 2-4%
(high yield)
■ Dividend Yield 0–2%
(low yield)

osamresearch.com
APRIL-2016
10

osamresearch.com
APRIL-2016
All Large
U.S. Stocks Net Share Issuers
Low Conviction
Buybacks (0–5%)
High Conviction
Buybacks (5%+)
Base Rates
vs. U.S. Large Stocks
Base rates are a batting average
for how often a strategy beats its
benchmark over certain rolling
time periods.
1-Year — 35% 50% 70%
3-Year — 28% 66% 80%
5-Year — 18% 61% 86%
10-Year — 1% 77% 98%
The Power of Share Repurchases
11
(U.S. Large Stocks Universe, 1987–2014)
Source: O’Shaughnessy, Patrick. “High Conviction Buybacks” (Tables 1–2, http://osam.com/pdf/Commentary_HighConvictionBuybacks.pdf) — Compustat, IDC, OSAM calculations
11.2%
10.1%
12.2%
15.9%
Sharpe Ratio: 0.38
Annualized
Return
0.30
0.50
0.67
Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.

osamresearch.com
APRIL-2016
Rolling 10-Year Excess Return vs. Large Stocks* Annualized Return*
-3%
0%
3%
6%
9%
12%
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
Value Composite — Individual Factors Move In and Out of Favor
12
▬ EBITDA-to-Enterprise Value
▬ Price-to-Earnings
▬ Free Cash Flow-to-Enterprise Value
▬ Shareholder Yield
▬ Price-to-Sales
▬ Value Composite
* Source: Compustat Database, Large Stocks (1964–2014)
Highest
Decile
Value
Composite
15.5%
Shareholder
Yield
14.5%
EBITDA-to-
Enterprise Value
14.4%
Free Cash Flow-
to- Enterprise
Value
14.2%
Price-to-
Earnings
14.0%
Price-to-
Sales
12.6%
Large Stocks 10.5%
The Value Composite outperforms its individual components in 82% of rolling 10-year periods:
Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.

osamresearch.com
APRIL-2016
13

osamresearch.com
APRIL-2016
14

osamresearch.com
APRIL-2016
15

osamresearch.com
APRIL-2016
16

osamresearch.com
APRIL-2016
17

osamresearch.com
APRIL-2016
18

osamresearch.com
APRIL-2016
Shareholder Yield — Avoid Companies Repurchasing at Expensive Valuations
19
Using valuation to enhance Shareholder Yield:
* Large Stocks terciles, 1964–2014 (Large Stocks Universe: 10.5%)
Strong Shareholder Yield*
OSAMValue*
1 13.7%
2 10.2%
3 9.0%
4.7% return gap
high yield
and undervalued
high yield
and expensive
Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.

osamresearch.com
APRIL-2016
Six Factor Themes Make Up Each Stock’s Factor Profile and Drive Returns
20Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.
Value
Stocks trading at large discounts to current sales, earnings, EBITDA and Free Cash Flow
Momentum
Stocks with impressive and stable recent total returns
Financial Strength
Stocks which use debt responsibly, and aren’t too reliant on outside financing
Earnings Growth
Stocks whose profitability is high and trending up
Earnings Quality
Stocks with strong cash flows and conservative accounting
Shareholder Yield
Stocks returning high amounts of cash to shareholders through dividends and buybacks

osamresearch.com
APRIL-2016
21

osamresearch.com
APRIL-2016
22

osamresearch.com
APRIL-2016
23
Source: https://www.fidelity.com/bin-public/060_www_fidelity_com/documents/leadership-series_active-share.pdf

osamresearch.com
APRIL-2016
Measuring the Factor Advantage: Smart Factor Alpha vs. Smart Beta
24Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.
Source: Patrick O’Shaughnessy, CFA; “Alpha or Assets? — Factor Alpha vs. Smart Beta” (Figure 5) http://osam.com/pdf/Commentary_AlphaOrAssets_FactorAlphaVersusSmartBeta_April-2016.pdf
0
1
2
3
4
5
0 1 2 3 4 5
QUALITY
SHAREHOLDER YIELD
(As of 2/29/16)
highest lowest
highestlowest
average
75% of a
fund's holdings
Russell Style: 1000® (IWB) 1000® Value (IWD)
Fundamental-weighted: PowerShares RAFI US 1000 (PRF)
(quintiles)
Factor Alpha: Concentrated Value, Quality +
Shareholder Yield

osamresearch.com
APRIL-2016
25
0
10
20
30
40
50
60
70
80
90
100
0 10 20 30 40 50 60 70 80 90 100
Quality
Shareholder Yield
S&P 500 (SPY)

osamresearch.com
APRIL-2016
26
0
10
20
30
40
50
60
70
80
90
100
0 10 20 30 40 50 60 70 80 90 100
Quality
Shareholder Yield
Russell 1000 Value (IWD)

osamresearch.com
APRIL-2016
27
0
10
20
30
40
50
60
70
80
90
100
0 10 20 30 40 50 60 70 80 90 100
Quality
Shareholder Yield
Fundamental Index (PRF)

osamresearch.com
APRIL-2016
28
0
10
20
30
40
50
60
70
80
90
100
0 10 20 30 40 50 60 70 80 90 100
Quality
Shareholder Yield
USA Minimum Volatility (USMV)

osamresearch.com
APRIL-2016
29
0
10
20
30
40
50
60
70
80
90
100
0 10 20 30 40 50 60 70 80 90 100
Quality
Shareholder Yield
"Factor Alpha" Portfolio

osamresearch.com
APRIL-2016
A Consistent Factor Advantage
Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.
Portfolio
Russell 1000®
Value Index
YIELD
Dividend Yield (%)1 2.5 2.6
Buyback Yield (%) 6.6 -0.5
Shareholder Yield 9.2 2.1
VALUE
Price-to-Earnings Ratio 12.9 16.4
Price-to-Sales Ratio 1.0 1.5
Enterprise Value/EBITDA 6.8 9.2
Enterprise Value/Free Cash Flow 22.5 44.4
QUALITY
EARNINGS
QUALITY
Total Accruals/Total Assets (%) -3.9 -4.0
Depreciation/CapEx (%) 117.3 129.6
FINANCIAL
STRENGTH
External Financing (%) -8.7 -1.3
Debt/Equity 111.3 103.8
EARNINGS
GROWTH
1-Year Historical EPS Growth (%) 4.3 0.3
Return on Equity (%) 21.9 11.4
30

osamresearch.com
APRIL-2016
Bottom Line: Factor Alpha is Better than Smart Beta
31Past performance is no guarantee of future results. Please see important information titled “General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer” at the end of this presentation.
263%
240%
147%
[VALUE]
143%
109%
-50%
0%
50%
100%
150%
200%
250%
300%
350%
Smart Beta
ü Own everything
ü Tilt towards factor(s)
ü Market cap-weight
Factor Alpha
ü Eliminate lowest stocks
ü Select only highest-scoring
ü Use multiple factors
ü Conviction-weight

osamresearch.com
APRIL-2016
General Legal Disclosures & Hypothetical and/or Backtested Results Disclaimer
Please remember that past performance may not be indicative of future results. Different types of investments involve varying degrees of risk, and there can be no assurance that the future performance of any specific investment, investment
strategy, or product (including the investments and/or investment strategies recommended or undertaken by O’Shaughnessy Asset Management, LLC), or any non-investment related content, made reference to directly or indirectly in this piece will
be profitable, equal any corresponding indicated historical performance level(s), be suitable for your portfolio or individual situation, or prove successful. Due to various factors, including changing market conditions and/or applicable laws, the content
may no longer be reflective of current opinions or positions. Moreover, you should not assume that any discussion or information contained in this piece serves as the receipt of, or as a substitute for, personalized investment advice from
O’Shaughnessy Asset Management, LLC. Any individual account performance information reflects the reinvestment of dividends (to the extent applicable), and is net of applicable transaction fees, O’Shaughnessy Asset Management, LLC’s
investment management fee (if debited directly from the account), and any other related account expenses. Account information has been compiled solely by O’Shaughnessy Asset Management, LLC, has not been independently verified, and does
not reflect the impact of taxes on non-qualified accounts. In preparing this report, O’Shaughnessy Asset Management, LLC has relied upon information provided by the account custodian. Please defer to formal tax documents received from the
account custodian for cost basis and tax reporting purposes. Please remember to contact O’Shaughnessy Asset Management, LLC, in writing, if there are any changes in your personal/financial situation or investment objectives for the purpose of
reviewing/evaluating/revising our previous recommendations and/or services, or if you want to impose, add, or modify any reasonable restrictions to our investment advisory services. Please Note: Unless you advise, in writing, to the contrary, we
will assume that there are no restrictions on our services, other than to manage the account in accordance with your designated investment objective. Please Also Note: Please compare this statement with account statements received from the
account custodian. The account custodian does not verify the accuracy of the advisory fee calculation. Please advise us if you have not been receiving monthly statements from the account custodian. Historical performance results for investment
indices and/or categories have been provided for general comparison purposes only, and generally do not reflect the deduction of transaction and/or custodial charges, the deduction of an investment management fee, nor the impact of taxes, the
incurrence of which would have the effect of decreasing historical performance results. It should not be assumed that your account holdings correspond directly to any comparative indices. To the extent that a reader has any questions regarding the
applicability of any specific issue discussed above to his/her individual situation, he/she is encouraged to consult with the professional advisor of his/her choosing. O’Shaughnessy Asset Management, LLC is neither a law firm nor a certified public
accounting firm and no portion of the newsletter content should be construed as legal or accounting advice. A copy of the O’Shaughnessy Asset Management, LLC’s current written disclosure statement discussing our advisory services and fees is
available upon request.
The risk-free rate used in the calculation of Sortino, Sharpe, and Treynor ratios is 5%, consistently applied across time.
The universe of All Stocks consists of all securities in the Chicago Research in Security Prices (CRSP) dataset or S&P Compustat Database (or other, as noted) with inflation-adjusted market capitalization greater than $200 million as of most recent
year-end. The universe of Large Stocks consists of all securities in the Chicago Research in Security Prices (CRSP) dataset or S&P Compustat Database (or other, as noted) with inflation-adjusted market capitalization greater than the universe
average as of most recent year-end. The stocks are equally weighted and generally rebalanced annually.
Hypothetical performance results shown on the preceding pages are backtested and do not represent the performance of any account managed by OSAM, but were achieved by means of the retroactive application of each of the previously
referenced models, certain aspects of which may have been designed with the benefit of hindsight.
The hypothetical backtested performance does not represent the results of actual trading using client assets nor decision-making during the period and does not and is not intended to indicate the past performance or future performance of any
account or investment strategy managed by OSAM. If actual accounts had been managed throughout the period, ongoing research might have resulted in changes to the strategy which might have altered returns. The performance of any account or
investment strategy managed by OSAM will differ from the hypothetical backtested performance results for each factor shown herein for a number of reasons, including without limitation the following:
n Although OSAM may consider from time to time one or more of the factors noted herein in managing any account, it may not consider all or any of such factors. OSAM may (and will) from time to time consider factors in addition to those noted
herein in managing any account.
n OSAM may rebalance an account more frequently or less frequently than annually and at times other than presented herein.
n OSAM may from time to time manage an account by using non-quantitative, subjective investment management methodologies in conjunction with the application of factors.
n The hypothetical backtested performance results assume full investment, whereas an account managed by OSAM may have a positive cash position upon rebalance. Had the hypothetical backtested performance results included a positive cash
position, the results would have been different and generally would have been lower.
n The hypothetical backtested performance results for each factor do not reflect any transaction costs of buying and selling securities, investment management fees (including without limitation management fees and performance fees), custody and
other costs, or taxes – all of which would be incurred by an investor in any account managed by OSAM. If such costs and fees were reflected, the hypothetical backtested performance results would be lower.
n The hypothetical performance does not reflect the reinvestment of dividends and distributions therefrom, interest, capital gains and withholding taxes.
n Accounts managed by OSAM are subject to additions and redemptions of assets under management, which may positively or negatively affect performance depending generally upon the timing of such events in relation to the market’s direction.
n Simulated returns may be dependent on the market and economic conditions that existed during the period. Future market or economic conditions can adversely affect the returns.
32
4/13/16
osam.com