N-CSRS 1 omf-ncsrs.htm O'SHAUGHNESSY MUTUAL FUNDS SEMIANNUAL REPORT 1-31-18
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 Washington, D.C. 20549


FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES




Investment Company Act file number  811-07959



Advisors Series Trust
 (Exact name of registrant as specified in charter)



615 East Michigan Street
Milwaukee, WI 53202
 (Address of principal executive offices) (Zip code)


Douglas G. Hess, President/Chief Executive Officer
Advisors Series Trust
c/o U.S. Bancorp Fund Services, LLC
777 East Wisconsin Avenue, 5th Floor
Milwaukee, WI 53202
 (Name and address of agent for service)



(414) 765-6872
(Registrant's telephone number, including area code)



Date of fiscal year end: July 31, 2018



Date of reporting period: January 31, 2018

Item 1. Reports to Stockholders.

 












SEMI-ANNUAL REPORT
January 31, 2018




O’Shaughnessy All Cap Core Fund
Class A Shares – OFAAX
Class C Shares – OFACX
Class I Shares – OFAIX


O’Shaughnessy Enhanced Dividend Fund
Class I Shares – OFDIX


O’Shaughnessy Market Leaders Value Fund
Class I Shares – OFVIX


O’Shaughnessy Small Cap Value Fund
Class I Shares – OFSIX


O’Shaughnessy Small/Mid Cap Growth Fund
Class I Shares – OFMIX




O’Shaughnessy Mutual Funds

All Cap Core Fund
 
For the six-month fiscal period ended January 31, 2018, Class A shares of the O’Shaughnessy All Cap Core Fund (the “All Cap Core Fund”) returned +6.85% (with the effect of sales charges) and +12.75% (without the effect of sales charges). Class C shares of the All Cap Core Fund returned +12.28% and Class I shares returned +12.82%, underperforming the Russell 3000® Index which returned +14.89% and the S&P 500® Index (“S&P 500”) which returned +15.43% for the same period.
 
An overweight exposure to our Momentum theme was the primary driver of performance. Other contributors included an underweight to Value and Quality themes. An underweight allocation to mega cap names in favor of large and mid-cap and an overweight allocation to Financial Strength theme detracted from returns.
 
Several positions detracted from performance, including H&R Block, Inc., Assurant, Inc., and Signet Jewelers Ltd. Performance was boosted, however, by several over-weights to stocks such as Boeing Co., Valero Energy Corp., and Kohl’s Corp. Based on our key themes of high yield, attractive valuation, and high momentum, the All Cap Core Fund was hurt by security selection within, the Consumer Discretionary and Information Technology sectors. Overweight allocations to Real Estate and underweight allocation to Utilities, as well as security selection within Energy and Materials contributed to returns.
 
Based on our historical research, the themes that we emphasize in the All Cap Core Fund should outperform over longer holding periods, but have shorter periods of time when they are less successful. We believe the key to success with this type of strategy is patience, and we expect stocks with attractive yields, valuations and momentum to outperform in the years to come.
 
Enhanced Dividend Fund
 
For the six-month fiscal period ended January 31, 2018, Class I shares of the O’Shaughnessy Enhanced Dividend Fund (the “Enhanced Dividend Fund”) returned +20.02%, outperforming the MSCI All Country World Index which returned +14.29% and outperforming the Russell 1000 Value® Index which returned +11.33% for the same period.
 
An overweight allocation to the Value theme was the largest contributor to returns. Additionally, overweight allocations to the Financial Strength, Quality, and Growth themes aided performance. Dividend yield is the key stock selection theme in our Enhanced Dividend Fund and was a primary detractor from returns for the six-month fiscal period ended January 31, 2018. Underweight allocations to the Size and Momentum themes also detracted from performance.
 
Overall, security selection contributed to returns. Specifically, security selection within Energy, Health Care, and Industrials aided returns. While security selection within Financials detracted from returns.  Overall allocation effects also contributed to returns, specifically underweight allocation to Utilities and Real Estate and an overweight allocation to Energy contributed to performance. An overweight allocation to Telecommunication Services and an underweight allocation to Information Technology hurt returns.
 
The Enhanced Dividend Fund benefited from allocations to International PJSC Lukoil ADR, Boeing Co., and Valero Energy Corp., all of which did well during the six-month period ended January 31, 2018.  Overweight allocation to Société General Group ADR and SK Telecom ADR detracted from returns.
 
Country exposures were positive contributors. The strategy also benefitted from an overweight allocation to the Russian Ruble and South Korean Won. An underweight allocation to the Japanese Yen detracted from returns.
 
Based on our historical research back to 1970, large cap, global, market-leading stocks trading at discounted valuations with high dividend yields have been very strong performers relative to the overall market in the long run.  We believe the key to success with this type of strategy is patience, and we expect stocks with attractive yields to outperform in the years to come.
 
Market Leaders Value Fund
 
For the six-month fiscal period ended January 31, 2018, Class I shares of the O’Shaughnessy Market Leaders Value Fund (the “Market Leaders Value Fund”) returned +17.14%, outperforming the Russell 1000 Value® Index which returned +11.33% for the same period.
 

1
O’Shaughnessy Mutual Funds

An overweight exposure to our Growth theme was the primary theme driver of performance. Other contributors included an overweight allocation to the Momentum, Shareholder Yield, Value and Financial Strength themes. An underweight exposure to the Size theme detracted from performance.
 
Overall allocation effects and selection effects contributed to returns over the fiscal period. Specifically, security selection within Consumer Discretionary, Industrials, and Energy aided returns. An underweight allocation to Real Estate and Utilities, and an overweight allocation to Information Technology also contributed positively to returns. The largest detractor from returns was security selection within Financials and an overweight allocation to Consumer Discretionary. Several positions contributed positively to performance, including Boing Co., Valero Energy Corp., and LyondellBasell Industries NV.  Yet, XL Group Ltd., and CBS Corp., and not owning Bank of America Corp. detracted from returns.
 
Based on our historical research, the themes that we emphasize in the Market Leaders Value Fund should outperform over longer holding periods, but have shorter periods of time when they are less successful. We believe the key to success with this type of strategy is patience, and we expect stocks with attractive yields, valuations and quality to outperform in the years to come.
 
Small Cap Value Fund
 
For the six-month fiscal period ended January 31, 2018, Class I shares of the O’Shaughnessy Small Cap Value Fund (the “Small Cap Value Fund”) returned +8.66%, outperforming the Russell 2000 Value® Index which returned +7.90% for the same period.
 
An underweight allocation to the Yield theme was the primary driver of performance. Overweight allocation to the Value and Quality themes detracted from returns. The Momentum, Financial Strength, and Growth themes were relatively neutral for the period.
 
Overall allocation effects contributed to returns while overall security selection effects detracted from returns for the period. Security selection within Materials, Energy and Financials contributed positively to returns while security selection within Consumer Discretionary, Health Care, and Utilities detracted from returns. An underweight allocation to Real Estate and Utilities and an overweight allocation to Industrials contributed positively to returns. While an overweight allocation to Information Technology and an underweight allocation to Health Care detracted from returns. Several positions detracted from performance, including Dillard’s, Inc., LSC Communications, Inc., and REX American Resources Corp. Performance was boosted, however, by several over-weights to stocks such as CVR Energy, Inc., Meritor, Inc., and Children’s Place, Inc.
 
Based on our historical research, the themes that we emphasize in Small Cap Value Fund should outperform over longer holding periods, but have shorter periods of time when they are less successful. We believe the key to success with this type of strategy is patience, and we expect stocks with attractive quality, valuations and momentum to outperform in the years to come.
 
Small/Mid Cap Growth Fund
 
For the six-month fiscal period ended January 31, 2018, Class I shares of the O’Shaughnessy Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”) returned +11.93%, underperforming the Russell 2500 Growth™ Index which returned +16.56% for the same period.
 
An overweight exposure to our Momentum theme was the primary driver of performance. Additionally, a slight overweight allocation to the Growth theme also aided returns. An underweight allocation to the Size theme was the largest detractor from returns for the period. Overweight allocation to the Value and Yield themes also hurt performance for the period.
 
Our key themes of reasonable valuation, strong earnings growth and strong momentum, led to an underweight allocation to the Real Estate sector and overweight allocations to the Financials and Information Technology sectors. An underweight allocation to Industrials detracted from returns. Overall security selection detracted from returns, specifically security selection within Health Care, Information Technology, and Financials. Security selection within Energy and Real Estate aided performance for the six-month period. Novanta, Inc., Transportadora de Gas del Sur SA ADR, and Weight Watchers International, Inc. were the largest contributors to return. While Sanderson Farms, Inc., Nektar Therapeutics, and iRobot Corp. were the main detractors from returns.
 

2
O’Shaughnessy Mutual Funds

Based on our historical research, the themes that we emphasize in the Small/Mid Cap Growth Fund should outperform over longer holding periods, but have shorter periods of time when they lead to underperformance versus the benchmark.  We believe the key to success with this type of strategy is patience, and we expect stocks with attractive valuations and strong earnings and price momentum to potentially outperform in the years to come.
 
Market Outlook – Enhanced Dividend
 
Our focus on dividend yield and valuation caused us to lag in the first half of the fiscal year, and rewarded us in the second half. Nine of the top ten contributors to the benchmark return in 2017, were technology or internet names—Tencent, Apple, Facebook, Google (Alphabet), and Alibaba. This group continues to be a challenge for the strategy as their valuations, with the exception of Apple, put them in the most expensive portion of the global market. The disparity between the ACWI Growth and Value indexes finished the year at 11.4% in favor of growth. In the U.S, the disparity is even wider at 16.6%. Though not unprecedented (late 1990’s), we do believe pronounced outperformance in such a short period of time to be rare.
 
We believe the Enhanced Dividend Fund represents a unique take on the dividend space, while offering discounted valuation and stronger yield. As of January 31, 2018, the Enhanced Dividend Fund had a Price-to-Earnings (“PE”) ratio of 14.7 versus the benchmark PE of 20.1.
 
Market Outlook – Market Leaders Value, Small Cap Value, All Cap Core and Small-Mid Cap Growth
 
Equity markets continued to deliver strong total returns for the period, led by growth-oriented investments. Expensive stocks have been driving outperformance. This is most easily seen in the nearly 8% differential in the performance between the Russell 1000® Growth and Russell 1000® Value indexes, in favor of growth.  From a theme perspective, stocks exhibiting strong momentum and earnings growth have continued to perform well. Meanwhile, value, shareholder yield, and quality have been struggling.
 
As the year progresses, we will continue to focus on our niche of the market: quality companies, often trading at out-of-favor prices, which have aggressively returned capital to equity shareholders through dividends and share repurchases, and or exhibit strong momentum. Given the weight of the evidence—across decades of empirical research and our own live performance—we expect strong performance in the future.
 
Given the Market Leaders Value Fund’s, Small Cap Value Fund’s, All Cap Core Fund’s and Small-Mid Cap Growth Fund’s positioning relative to their benchmarks—measured by the key characteristics we use in our stock selection process—we believe the Funds are well situated for 2018.
 

 

 
Past performance does not guarantee future results.
 
Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
 
Investments in foreign securities involve political, economic and currency risks, greater volatility, and differences in accounting methods. Emerging markets countries involve greater risks, such as immature economic structures, national policies restricting investments by foreigners, and different legal systems. Such risks may be magnified with respect to securities of issuers in frontier emerging markets. Real estate investment trusts and foreign real estate companies may be less diversified than other pools of securities, may have lower trading volumes and may be subject to more abrupt and erratic price movements than the overall securities markets. Investments in small-and medium-capitalization companies tend to have limited liquidity and greater price volatility than large-capitalization companies. Risks of derivatives include the possible imperfect correlation between the value of instruments and the underlying assets; risks of default by the other party to the transaction; risks that the transactions may result in losses that partially or completely offset gains in portfolio positions; and risks that instruments may not be liquid. The Market Leaders Value Fund and Small Cap Value Fund may experience higher fees and is subject to additional risks due to investments in other investment companies (including ETFs).
 
Diversification does not guarantee a profit or protect from loss in a declining market.
 
Fund holdings and sector allocations are subject to change at any time and are not recommendations to buy or sell any security. Please read the Schedule of Investments for a complete list of Fund holdings.
 

3
O’Shaughnessy Mutual Funds

Russell 1000 Growth® Index is the market-capitalization weighted index of those firms in the Russell 1000 with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 includes the largest 1000 firms in the Russell 3000, which represents approximately 98% of the investable U.S. equity market.
 
The Russell 2000® Value Index measures the performance of small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
 
The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.  The Russell 2500 Growth™ Index (“Russell 2500”) measures the performance of the small to mid-cap growth segment of the U.S. equity universe.  It includes those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values.  The Standard & Poor’s (“S&P”) 500® Index is a market-weighted index of 500 widely held common stocks of companies chosen for market size, liquidity and current index membership.  The MSCI All Country World Index is a free-float-adjusted market capitalization index that is designed to measure the equity market performance in the global developed and emerging markets.  The Russell 1000 Value® Index (“Russell 1000”) measures the performance of the large-cap value segment of the U.S. equity universe.  It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values.  You cannot invest directly in an index.
 
The ACWI Value Index captures large and mid cap securities exhibiting overall value style characteristics across approximately 23 Developed Markets countries and 24 Emerging Markets (EM) countries. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
 
The ACWI Growth Index captures large and mid cap securities exhibiting overall growth style characteristics across approximately 23 Developed Markets (DM) countries and 24 Emerging Markets (EM) countries. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend.
 
DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the U.S.
 
EM countries include: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
 
“Earnings per share” (EPS) is the portion of a company’s profit allocated to each outstanding share of common stock. Earnings per share serves as an indicator of a company’s profitability. EPS is calculated as:  EPS = (Net Income - Dividends on Preferred Stock) / Average Outstanding Shares.
 
“Dividend yield” is the financial ratio that shows how much a company pays out in dividends each year relative to its share price (equal to most recent dividend payment per share (annualized) divided by price per share).
 
“Price-to-Earnings Ratio” or “P/E valuation” is a ratio for valuing a company that measures its current share price relative to its per-share earnings (equal to Market Value per Share divided by Earnings per Share).
 
“Price-to-Book” (P/B) is a ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.
 
Earnings growth is not representative of the fund’s future performance.
 
Must be preceded or accompanied by a prospectus.
 
The O’Shaughnessy All Cap Core Fund, O’Shaughnessy Enhanced Dividend Fund, O’Shaughnessy Market Leaders Value Fund, O’Shaughnessy Small Cap Value Fund, and O’Shaughnessy Small/Mid Cap Growth Fund are distributed by Quasar Distributors, LLC.
 


4
O’Shaughnessy Mutual Funds

Expense Example
at January 31, 2018 (Unaudited)

Shareholders in mutual funds generally incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, redemption fees, and exchange fees, and (2) ongoing costs, including management fees, distribution and/or service fees, and other fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.  The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (8/1/17 – 1/31/18).
 
Actual Expenses
For each class of each Fund, two lines are presented in the tables below, with the first line providing information about actual account values and actual expenses. Actual net expenses are limited to 0.85%, 1.60%, and 0.60% for Class A shares, Class C shares, and Class I shares, respectively, of the All Cap Core Fund. Actual net expenses are limited to 0.99% for Class I shares of the Enhanced Dividend Fund, 0.65% for Class I shares of the Market Leaders Value Fund, 0.99% for Class I shares of the Small Cap Value Fund, and 1.19% for Class I shares of the Small/Mid Cap Growth Fund, per the operating expenses limitation agreement. In addition, you may be assessed a fee for outgoing wire transfers, returned checks, and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Funds’ transfer agent.  The Example below includes, but is not limited to, management fees, fund accounting, custody and transfer agent fees. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” for your fund and class to estimate the expenses you paid on your account during this period.
 
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line provides information about hypothetical account values and hypothetical expenses based on the respective Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the tables for each class of each Fund is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
 
O’Shaughnessy All Cap Core Fund
 
Beginning
Ending
Expenses Paid
 
Account Value
Account Value
During Period*
 
8/1/17
1/31/18
8/1/17 – 1/31/18
Class A Actual
$1,000.00
$1,127.50
$4.56
Class A Hypothetical
     
  (5% return before expenses)
$1,000.00
$1,020.92
$4.33
       
Class C Actual
$1,000.00
$1,122.80
$8.56
Class C Hypothetical
     
  (5% return before expenses)
$1,000.00
$1,017.14
$8.13
       
Class I Actual
$1,000.00
$1,128.20
$3.22
Class I Hypothetical
     
  (5% return before expenses)
$1,000.00
$1,022.18
$3.06
 
*
Expenses are equal to the Fund’s annualized expense ratio of 0.85%, 1.60%, and 0.60% for Class A, Class C, and Class I, respectively, multiplied by the average account value over the period, multiplied by 184 (days in the most recent fiscal half-year)/365 days to reflect the one-half year expense.

 
5
O’Shaughnessy Mutual Funds
 
Expense Example (Continued)
at January 31, 2018 (Unaudited)
 
O’Shaughnessy Enhanced Dividend Fund
 
 
Beginning
Ending
Expenses Paid
 
Account Value
Account Value
During Period*
 
8/1/17
1/31/18
8/1/17 – 1/31/18
Class I Actual
$1,000.00
$1,200.20
$5.49
Class I Hypothetical
     
  (5% return before expenses)
$1,000.00
$1,020.21
$5.04
 
*
Expenses are equal to the Fund’s annualized expense ratio of 0.99% for Class I, multiplied by the average account value over the period, multiplied by 184 (days in the most recent fiscal half-year)/365 days to reflect the one-half year expense.
 
O’Shaughnessy Market Leaders Value Fund
 
 
Beginning
Ending
Expenses Paid
 
Account Value
Account Value
During Period*
 
8/1/17
1/31/18
8/1/17 – 1/31/18
Class I Actual
$1,000.00
$1,171.40
$3.56
Class I Hypothetical
     
  (5% return before expenses)
$1,000.00
$1,021.93
$3.31
 
*
Expenses are equal to the Fund’s annualized expense ratio of 0.65% for Class I, multiplied by the average account value over the period, multiplied by 184 (days in the most recent fiscal half-year)/365 days to reflect the one-half year expense.
 
O’Shaughnessy Small Cap Value Fund
 
 
Beginning
Ending
Expenses Paid
 
Account Value
Account Value
During Period*
 
8/1/17
1/31/18
8/1/17 – 1/31/18
Class I Actual
$1,000.00
$1,086.60
$5.21
Class I Hypothetical
     
  (5% return before expenses)
$1,000.00
$1,020.21
$5.04
 
*
Expenses are equal to the Fund’s annualized expense ratio of 0.99% for Class I, multiplied by the average account value over the period, multiplied by 184 (days in the most recent fiscal half-year)/365 days to reflect the one-half year expense.
 
O’Shaughnessy Small/Mid Cap Growth Fund
 
 
Beginning
Ending
Expenses Paid
 
Account Value
Account Value
During Period*
 
8/1/17
1/31/18
8/1/17 – 1/31/18
Class I Actual
$1,000.00
$1,119.30
$6.36
Class I Hypothetical
     
  (5% return before expenses)
$1,000.00
$1,019.21
$6.06
 
*
Expenses are equal to the Fund’s annualized expense ratio of 1.19% for Class I, multiplied by the average account value over the period, multiplied by 184 (days in the most recent fiscal half-year)/365 days to reflect the one-half year expense.


6
O’Shaughnessy All Cap Core Fund

Sector Allocation of Portfolio Assets
at January 31, 2018 (Unaudited)





 
Percentages represent market value as a percentage of total investments.


The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”).  GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
 

7
O’Shaughnessy Enhanced Dividend Fund

Sector Allocation of Portfolio Assets
at January 31, 2018 (Unaudited)

 




Percentages represent market value as a percentage of total investments.


The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”).  GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
 

8
O’Shaughnessy Market Leaders Value Fund

Sector Allocation of Portfolio Assets
at January 31, 2018 (Unaudited)

 




Percentages represent market value as a percentage of total investments.


The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”).  GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
 

9
O’Shaughnessy Small Cap Value Fund

Sector Allocation of Portfolio Assets
at January 31, 2018 (Unaudited)

 




Percentages represent market value as a percentage of total investments.


The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”).  GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
 

10
O’Shaughnessy Small/Mid Cap Growth Fund

Sector Allocation of Portfolio Assets
at January 31, 2018 (Unaudited)

 




Percentages represent market value as a percentage of total investments.


The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”).  GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
 

11
O’Shaughnessy All Cap Core Fund

Schedule of Investments
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS – 100.32%
      
   
Aerospace & Defense – 4.74%
      
 
1,324
  
Boeing Co.
  
$
469,186
  
 
307
  
General Dynamics Corp.
    
68,301
  
           
537,487
  
     
Airlines – 0.84%
        
 
1,406
  
United Continental Holdings, Inc.*
    
95,355
  
               
     
Beverages – 0.11%
        
 
69
  
Boston Beer Co., Inc.*
    
13,100
  
               
     
Biotechnology – 1.04%
        
 
1,409
  
Gilead Sciences, Inc.
    
118,074
  
               
     
Capital Markets – 4.09%
        
 
754
  
Ameriprise Financial, Inc.
    
127,200
  
 
380
  
CME Group, Inc.
    
58,322
  
 
672
  
Evercore Partners, Inc. – Class A
    
67,570
  
 
471
  
Goldman Sachs Group, Inc.
    
126,176
  
 
1,125
  
Moelis & Co. – Class A
    
58,163
  
 
237
  
T. Rowe Price Group, Inc.
    
26,456
  
           
463,887
  
     
Chemicals – 2.03%
        
 
887
  
Celanese Corp. – Class A
    
95,938
  
 
646
  
LyondellBasell Industries NV – Class A#
    
77,417
  
 
687
  
Trinseo S.A.#
    
56,643
  
           
229,998
  
     
Commercial Banks – 7.71%
        
 
3,956
  
Bank of America Corp.
    
126,592
  
 
1,624
  
JPMorgan Chase & Co.
    
187,848
  
 
5,660
  
Lakeland Bancorp, Inc.
    
113,766
  
 
853
  
Peapack Gladstone Financial Corp.
    
30,299
  
 
960
  
PNC Financial Services Group, Inc.
    
151,699
  
 
1,132
  
Preferred Bank
    
72,923
  
 
6,117
  
Regions Financial Corp.
    
117,630
  
 
945
  
Stock Yards Bancorp, Inc.
    
33,973
  
 
739
  
Zions Bancorporation
    
39,928
  
           
874,658
  
     
Commercial Services & Supplies – 1.21%
        
 
2,565
  
Ennis, Inc.
    
51,044
  
 
2,222
  
SP Plus Corp.*
    
85,658
  
           
136,702
  


The accompanying notes are an integral part of these financial statements.

12
O’Shaughnessy All Cap Core Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Communications Equipment – 2.01%
      
 
426
  
Harris Corp.
  
$
67,896
  
 
167
  
InterDigital, Inc.
    
13,034
  
 
2,059
  
Juniper Networks, Inc.
    
53,843
  
 
941
  
Motorola Solutions, Inc.
    
93,592
  
           
228,365
  
     
Computers & Peripherals – 0.51%
        
 
656
  
Western Digital Corp.
    
58,371
  
               
     
Consumer Finance – 1.10%
        
 
1,249
  
American Express Co.
    
124,151
  
               
     
Diversified Consumer Services – 0.91%
        
 
3,871
  
H&R Block, Inc.
    
102,736
  
               
     
Diversified Telecommunication Services – 0.36%
        
 
2,294
  
CenturyLink, Inc.
    
40,856
  
               
     
Electrical Equipment – 1.04%
        
 
598
  
Rockwell Automation, Inc.
    
117,979
  
               
     
Electronic Equipment, Instruments & Components – 3.30%
        
 
7,633
  
Corning, Inc.
    
238,302
  
 
559
  
ePlus, Inc.*
    
43,155
  
 
1,203
  
Novanta, Inc.*#
    
69,654
  
 
869
  
Sanmina Corp.*
    
22,724
  
           
373,835
  
     
Energy Equipment & Services – 1.15%
        
 
7,354
  
Diamond Offshore Drilling, Inc.*
    
130,019
  
               
     
Food & Staples Retailing – 2.20%
        
 
938
  
CVS Health Corp.
    
73,811
  
 
436
  
Sysco Corp.
    
27,412
  
 
1,387
  
Wal-Mart Stores, Inc.
    
147,854
  
           
249,077
  
     
Food Products – 2.85%
        
 
790
  
Archer-Daniels-Midland Co.
    
33,931
  
 
2,598
  
Conagra Brands, Inc.
    
98,724
  
 
2,124
  
General Mills, Inc.
    
124,233
  
 
868
  
Tyson Foods, Inc. – Class A
    
66,063
  
           
322,951
  
     
Health Care Equipment & Supplies – 3.36%
        
 
50
  
Cooper Companies, Inc.
    
12,233
  
 
899
  
IDEXX Laboratories, Inc.*
    
168,149
  


The accompanying notes are an integral part of these financial statements.

13
O’Shaughnessy All Cap Core Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Health Care Equipment & Supplies (Continued)
      
 
305
  
Intuitive Surgical, Inc.*
  
$
131,659
  
 
541
  
Varian Medical Systems, Inc.*
    
68,978
  
           
381,019
  
     
Health Care Providers & Services – 3.92%
        
 
382
  
Aetna, Inc.
    
71,365
  
 
463
  
Anthem, Inc.
    
114,755
  
 
605
  
Centene Corp.*
    
64,880
  
 
1,347
  
Express Scripts Holding Co.*
    
106,656
  
 
131
  
Humana, Inc.
    
36,920
  
 
297
  
McKesson Corp.
    
50,157
  
           
444,733
  
     
Health Care Technology – 0.17%
        
 
1,485
  
Quality Systems, Inc.*
    
19,305
  
               
     
Hotels, Restaurants & Leisure – 3.20%
        
 
1,052
  
McDonald’s Corp.
    
180,039
  
 
2,163
  
Yum! Brands, Inc.
    
182,968
  
           
363,007
  
     
Household Durables – 1.60%
        
 
21
  
NVR, Inc.*
    
66,742
  
 
3,611
  
PulteGroup, Inc.
    
114,938
  
           
181,680
  
     
Household Products – 2.03%
        
 
2,671
  
Procter & Gamble Co.
    
230,614
  
               
     
Industrial Conglomerates – 0.35%
        
 
2,443
  
General Electric Co.
    
39,503
  
               
     
Insurance – 4.94%
        
 
2,746
  
Assurant, Inc.
    
251,204
  
 
3,527
  
Progressive Corp.
    
190,811
  
 
991
  
Prudential Financial, Inc.
    
117,750
  
           
559,765
  
     
IT Services – 5.37%
        
 
1,321
  
Cognizant Technology Solutions Corp. – Class A
    
103,012
  
 
521
  
Convergys Corp.
    
12,124
  
 
234
  
Jack Henry & Associates, Inc.
    
29,170
  
 
2,189
  
Teradata Corp.*
    
88,654
  
 
1,649
  
Total System Services, Inc.
    
146,530
  
 
4,747
  
Travelport Worldwide Ltd.#
    
64,607
  
 
1,867
  
TTEC Holdings, Inc.
    
74,120
  
 
4,343
  
Western Union Co.
    
90,291
  
           
608,508
  


The accompanying notes are an integral part of these financial statements.

14
O’Shaughnessy All Cap Core Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Life Sciences Tools & Services – 2.52%
      
 
1,136
  
Agilent Technologies, Inc.
  
$
83,416
  
 
448
  
Charles River Laboratories International, Inc.*
    
47,237
  
 
721
  
Waters Corp.*
    
155,455
  
           
286,108
  
     
Machinery – 0.29%
        
 
740
  
Hillenbrand, Inc.
    
32,782
  
               
     
Media – 1.18%
        
 
412
  
CBS Corp. – Class B
    
23,735
  
 
4,250
  
Entravision Communications Corp.
    
29,538
  
 
2,499
  
Gannett Co., Inc.
    
29,488
  
 
1,087
  
tronc, Inc.*
    
22,175
  
 
261
  
Walt Disney Co.
    
28,363
  
           
133,299
  
     
Metals & Mining – 1.50%
        
 
2,702
  
Steel Dynamics, Inc.
    
122,671
  
 
1,181
  
Warrior Met Coal, Inc.
    
33,032
  
 
297
  
Worthington Industries, Inc.
    
13,888
  
           
169,591
  
     
Multi-line Retail – 2.90%
        
 
316
  
Big Lots, Inc.
    
19,206
  
 
681
  
Dillard’s, Inc. – Class A
    
46,008
  
 
2,354
  
Kohl’s Corp.
    
152,469
  
 
1,472
  
Target Corp.
    
110,724
  
           
328,407
  
     
Oil, Gas & Consumable Fuels – 6.82%
        
 
2,351
  
Arch Coal, Inc. – Class A
    
211,614
  
 
3,224
  
Marathon Petroleum Corp.
    
223,326
  
 
3,528
  
Valero Energy Corp.
    
338,582
  
           
773,522
  
     
Paper & Forest Products – 2.06%
        
 
1,307
  
Domtar Corp.
    
67,127
  
 
5,624
  
Louisiana-Pacific Corp.*
    
166,527
  
           
233,654
  
     
Personal Products – 1.05%
        
 
1,731
  
Medifast, Inc.
    
118,937
  
               
     
Pharmaceuticals – 0.38%
        
 
239
  
Allergan PLC#
    
43,082
  
               
     
Real Estate Management & Development – 0.39%
        
 
1,571
  
Altisource Portfolio Solutions S.A.*#
    
43,988
  
               
     
Road & Rail – 0.53%
        
 
1,683
  
ArcBest Corp.
    
59,831
  


The accompanying notes are an integral part of these financial statements.

15
O’Shaughnessy All Cap Core Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Semiconductors & Semiconductor Equipment – 4.48%
      
 
1,306
  
Analog Devices, Inc.
  
$
119,995
  
 
3,362
  
Applied Materials, Inc.
    
180,304
  
 
346
  
Cabot Microelectronics Corp.
    
35,254
  
 
668
  
Lam Research Corp.
    
127,935
  
 
316
  
Micron Technology, Inc.*
    
13,816
  
 
115
  
MKS Instruments, Inc.
    
11,765
  
 
169
  
Texas Instruments, Inc.
    
18,534
  
           
507,603
  
     
Software – 7.05%
        
 
1,481
  
Activision Blizzard, Inc.
    
109,787
  
 
462
  
Adobe Systems, Inc.*
    
92,289
  
 
390
  
ANSYS, Inc.*
    
63,044
  
 
6,674
  
Cadence Design Systems, Inc.*
    
299,396
  
 
1,074
  
CDK Global, Inc.
    
76,565
  
 
324
  
Citrix Systems, Inc.*
    
30,054
  
 
498
  
Electronic Arts, Inc.*
    
63,226
  
 
243
  
Red Hat, Inc.*
    
31,925
  
 
261
  
VMware, Inc. – Class A*
    
32,309
  
           
798,595
  
     
Specialty Retail – 2.04%
        
 
1,209
  
Best Buy Co., Inc.
    
88,329
  
 
378
  
Gap, Inc.
    
12,565
  
 
401
  
Lowe’s Companies, Inc.
    
41,997
  
 
1,662
  
Signet Jewelers Ltd.#
    
87,920
  
           
230,811
  
     
Technology Hardware, Storage & Peripherals – 2.15%
        
 
1,244
  
Apple, Inc.
    
208,283
  
 
637
  
Seagate Technology PLC#
    
35,162
  
           
243,445
  
     
Textiles, Apparel & Luxury Goods – 2.54%
        
 
3,130
  
Michael Kors Holdings Ltd.*#
    
206,580
  
 
999
  
VF Corp.
    
81,059
  
           
287,639
  
     
Trading Companies & Distributors – 0.30%
        
 
127
  
W.W. Grainger, Inc.
    
34,247
  
     
Total Common Stocks (Cost $9,247,291)
    
11,371,276
  
     
Total Investments in Securities (Cost $9,247,291) – 100.32%
    
11,371,276
  
     
Liabilities in Excess of Other Assets – (0.32)%
    
(36,697
)
     
Net Assets – 100.00%
  
$
11,334,579
  

*
Non-income producing security.
#
U.S. traded security of a foreign issuer.
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
 

The accompanying notes are an integral part of these financial statements.

16
O’Shaughnessy Enhanced Dividend Fund

Schedule of Investments
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS – 98.29%
      
   
Aerospace & Defense – 3.10%
      
 
1,059
  
Boeing Co.
  
$
375,278
  
               
     
Automobiles – 3.59%
        
 
2,490
  
General Motors Co.
    
105,601
  
 
10,432
  
Nissan Motor Co., Ltd. – ADR
    
224,288
  
 
6,230
  
Subaru Corp. – ADR
    
103,854
  
           
433,743
  
     
Biotechnology – 4.47%
        
 
1,991
  
AbbVie, Inc.
    
223,430
  
 
214
  
Amgen, Inc.
    
39,815
  
 
3,305
  
Gilead Sciences, Inc.
    
276,959
  
           
540,204
  
     
Capital Markets – 2.14%
        
 
887
  
Ameriprise Financial, Inc.
    
149,637
  
 
5,261
  
Nomura Holdings, Inc. – ADR
    
34,512
  
 
3,685
  
UBS Group AG#
    
74,879
  
           
259,028
  
     
Chemicals – 4.12%
        
 
4,162
  
LyondellBasell Industries NV – Class A#
    
498,774
  
               
     
Commercial Banks – 10.37%
        
 
1,819
  
Australia & New Zealand Banking Group Ltd. – ADR
    
41,946
  
 
7,628
  
BNP Paribas SA – ADR
    
316,471
  
 
1,582
  
Danske Bank A/S – ADR
    
32,273
  
 
957
  
DBS Group Holdings Ltd. – ADR
    
76,847
  
 
3,292
  
HSBC Holdings PLC – ADR
    
177,472
  
 
2,575
  
ING Groep NV – ADR
    
50,728
  
 
999
  
JPMorgan Chase & Co.
    
115,554
  
 
5,299
  
Mitsubishi UFJ Financial Group, Inc. – ADR
    
40,378
  
 
34,459
  
Societe Generale SA – ADR
    
402,481
  
           
1,254,150
  
     
Communications Equipment – 0.92%
        
 
2,670
  
Cisco Systems, Inc.
    
110,912
  
               
     
Containers & Packaging – 1.04%
        
 
1,885
  
WestRock Co.
    
125,597
  
               
     
Diversified Financial Services – 0.26%
        
 
331
  
ORIX Corp. – ADR
    
31,210
  


The accompanying notes are an integral part of these financial statements.

17
O’Shaughnessy Enhanced Dividend Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Diversified Telecommunication Services – 2.35%
      
 
6,450
  
BT Group PLC – ADR
  
$
121,002
  
 
759
  
Nippon Telegraph & Telephone Corp. – ADR
    
36,660
  
 
12,663
  
Telia Company AB – ADR
    
126,756
  
           
284,418
  
     
Food & Staples Retailing – 1.76%
        
 
169
  
CVS Health Corp.
    
13,299
  
 
935
  
Koninklijke Ahold Delhaize NV – ADR
    
20,850
  
 
1,675
  
Wal-Mart Stores, Inc.
    
178,555
  
           
212,704
  
     
Food Products – 2.10%
        
 
5,913
  
Archer-Daniels-Midland Co.
    
253,963
  
               
     
Hotels, Restaurants & Leisure – 1.16%
        
 
977
  
Carnival PLC – ADR
    
69,689
  
 
576
  
Darden Restaurants, Inc.
    
55,210
  
 
121
  
Wyndham Worldwide Corp.
    
15,020
  
           
139,919
  
     
Household Durables – 1.04%
        
 
1,787
  
Electrolux AB – ADR
    
125,876
  
               
     
Household Products – 1.78%
        
 
1,058
  
Kimberly-Clark Corp.
    
123,786
  
 
1,054
  
Procter & Gamble Co.
    
91,002
  
           
214,788
  
     
Insurance – 12.68%
        
 
57,394
  
Aegon NV – ADR
    
389,705
  
 
12,676
  
Allianz SE – ADR
    
320,956
  
 
14,739
  
Aviva PLC – ADR
    
219,169
  
 
4,617
  
AXA SA – ADR
    
151,899
  
 
8,396
  
Manulife Financial Corp.#
    
178,247
  
 
1,233
  
Principal Financial Group, Inc.
    
83,351
  
 
418
  
Prudential Financial, Inc.
    
49,667
  
 
3,224
  
Sun Life Financial, Inc.#
    
139,825
  
           
1,532,819
  
     
IT Services – 4.77%
        
 
2,629
  
International Business Machines Corp.
    
430,368
  
 
7,070
  
Western Union Co.
    
146,985
  
           
577,353
  
     
Machinery – 0.62%
        
 
401
  
Cummins, Inc.
    
75,388
  


The accompanying notes are an integral part of these financial statements.

18
O’Shaughnessy Enhanced Dividend Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Metals & Mining – 1.89%
      
 
4,069
  
Rio Tinto PLC – ADR
  
$
228,312
  
               
     
Multi-line Retail – 3.45%
        
 
578
  
Kohl’s Corp.
    
37,437
  
 
5,048
  
Target Corp.
    
379,711
  
           
417,148
  
     
Office Electronics – 0.27%
        
 
804
  
Canon, Inc. – ADR
    
32,337
  
               
     
Oil, Gas & Consumable Fuels – 14.17%
        
 
4,085
  
China Petroleum & Chemical Corp. – ADR
    
354,782
  
 
837
  
CNOOC Ltd. – ADR
    
131,576
  
 
8,975
  
LUKOIL PJSC – ADR
    
591,004
  
 
486
  
Marathon Petroleum Corp.
    
33,665
  
 
2,409
  
Repsol YPF, SA – ADR
    
45,434
  
 
3,424
  
Total SA – ADR
    
198,798
  
 
3,731
  
Valero Energy Corp.
    
358,064
  
           
1,713,323
  
     
Paper & Forest Products – 0.68%
        
 
4,763
  
Stora Enso OYJ – ADR
    
81,781
  
               
     
Pharmaceuticals – 1.51%
        
 
1,702
  
AstraZeneca PLC – ADR
    
59,672
  
 
3,318
  
Pfizer, Inc.
    
122,899
  
           
182,571
  
     
Semiconductors & Semiconductor Equipment – 1.79%
        
 
4,511
  
Intel Corp.
    
217,159
  
               
     
Software – 1.19%
        
 
4,025
  
CA, Inc.
    
144,296
  
               
     
Specialty Retail – 4.65%
        
 
7,155
  
Best Buy Co., Inc.
    
522,744
  
 
784
  
L Brands, Inc.
    
39,271
  
           
562,015
  
     
Technology Hardware, Storage & Peripherals – 3.05%
        
 
6,682
  
Seagate Technology PLC#
    
368,846
  
               
     
Trading Companies & Distributors – 0.59%
        
 
202
  
Mitsui & Co., Ltd. – ADR
    
71,609
  


The accompanying notes are an integral part of these financial statements.

19
O’Shaughnessy Enhanced Dividend Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Wireless Telecommunication Services – 6.78%
      
 
37,010
  
Mobile TeleSystems – ADR
  
$
449,301
  
 
928
  
NTT DoCoMo, Inc. – ADR
    
23,154
  
 
12,634
  
SK Telecom Co., Ltd. – ADR
    
347,688
  
           
820,143
  
     
Total Common Stocks (Cost $9,319,844)
    
11,885,664
  
     
Total Investments in Securities (Cost $9,319,844) – 98.29%
    
11,885,664
  
     
Other Assets in Excess of Liabilities – 1.71%
    
206,819
  
     
Net Assets – 100.00%
  
$
12,092,483
  

#  U.S. traded security of a foreign issuer.
ADR – American Depository Receipt

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.



Country Allocation
        
Country
  
% of Net Assets
United States
    
42.4
%
  
France
    
8.8
%
  
Russian Federation
    
8.6
%
  
Netherlands
    
7.9
%
  
United Kingdom
    
7.2
%
  
Japan
    
4.9
%
  
Ireland
    
3.0
%
  
China
    
2.9
%
  
Republic of Korea
    
2.9
%
  
Germany
    
2.7
%
  
Canada
    
2.6
%
  
Sweden
    
2.1
%
  
Hong Kong
    
1.1
%
  
Finland
    
0.7
%
  
Singapore
    
0.6
%
  
Switzerland
    
0.6
%
  
Spain
    
0.4
%
  
Australia
    
0.3
%
  
Denmark
    
0.3
%
  
     
100.0
%
  



The accompanying notes are an integral part of these financial statements.

20
O’Shaughnessy Market Leaders Value Fund

Schedule of Investments
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS – 98.14%
      
   
Aerospace & Defense – 6.12%
      
 
9,608
  
Boeing Co.
  
$
3,404,786
  
 
1,109
  
Lockheed Martin Corp.
    
393,529
  
 
5,889
  
Spirit AeroSystems Holdings, Inc. – Class A
    
602,798
  
 
5,152
  
United Technologies Corp.
    
711,027
  
           
5,112,140
  
     
Airlines – 2.33%
        
 
15,492
  
American Airlines Group, Inc.
    
841,526
  
 
16,273
  
United Continental Holdings, Inc.*
    
1,103,635
  
           
1,945,161
  
     
Auto Components – 0.80%
        
 
3,470
  
Lear Corp.
    
670,196
  
               
     
Biotechnology – 1.74%
        
 
17,283
  
Gilead Sciences, Inc.
    
1,448,315
  
               
     
Capital Markets – 5.48%
        
 
22,359
  
Ameriprise Financial, Inc.
    
3,771,964
  
 
1,735
  
The Goldman Sachs Group, Inc.
    
464,789
  
 
7,654
  
Thomson Reuters Corp.#
    
331,495
  
           
4,568,248
  
     
Chemicals – 5.98%
        
 
14,908
  
Celanese Corp. – Class A
    
1,612,449
  
 
28,198
  
LyondellBasell Industries NV – Class A#
    
3,379,248
  
           
4,991,697
  
     
Commercial Banks – 6.55%
        
 
5,503
  
CIT Group, Inc.
    
278,947
  
 
32,551
  
Citigroup, Inc.
    
2,554,602
  
 
34,269
  
Fifth Third Bancorp
    
1,134,304
  
 
77,911
  
Regions Financial Corp.
    
1,498,229
  
           
5,466,082
  
     
Communications Equipment – 0.88%
        
 
7,377
  
Motorola Solutions, Inc.
    
733,716
  
               
     
Computers & Peripherals – 0.92%
        
 
12,541
  
NetApp, Inc.
    
771,272
  
               
     
Consumer Finance – 3.81%
        
 
19,375
  
Ally Financial, Inc.
    
576,794
  
 
17,406
  
American Express Co.
    
1,730,156
  
 
10,885
  
Discover Financial Services
    
868,623
  
           
3,175,573
  


The accompanying notes are an integral part of these financial statements.

21
O’Shaughnessy Market Leaders Value Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Containers & Packaging – 1.07%
      
 
18,911
  
Sealed Air Corp.
  
$
895,436
  
               
     
Diversified Financial Services – 1.93%
        
 
6,868
  
MSCI, Inc.
    
956,232
  
 
12,539
  
Voya Financial, Inc.
    
650,899
  
           
1,607,131
  
     
Diversified Telecommunication Services – 1.48%
        
 
53,366
  
CenturyLink, Inc.
    
950,448
  
 
18,966
  
Telstra Corp., Ltd. – ADR
    
281,930
  
           
1,232,378
  
     
Electronic Equipment, Instruments & Components – 3.12%
        
 
83,407
  
Corning, Inc.
    
2,603,967
  
               
     
Food & Staples Retailing – 4.68%
        
 
13,976
  
CVS Health Corp.
    
1,099,772
  
 
14,038
  
Kroger Co.
    
426,194
  
 
32,964
  
Sysco Corp.
    
2,072,447
  
 
4,067
  
Walgreens Boots Alliance, Inc.
    
306,082
  
           
3,904,495
  
     
Food Products – 3.57%
        
 
49,305
  
Conagra Brands, Inc.
    
1,873,590
  
 
18,813
  
General Mills, Inc.
    
1,100,372
  
           
2,973,962
  
     
Health Care Providers & Services – 5.91%
        
 
2,486
  
Aetna, Inc.
    
464,435
  
 
35,232
  
Express Scripts Holding Co.*
    
2,789,670
  
 
9,940
  
McKesson Corp.
    
1,678,667
  
           
4,932,772
  
     
Hotels, Restaurants & Leisure – 6.13%
        
 
12,549
  
McDonald’s Corp.
    
2,147,635
  
 
16,258
  
Wyndham Worldwide Corp.
    
2,018,106
  
 
11,184
  
Yum! Brands, Inc.
    
946,055
  
           
5,111,796
  
     
Household Durables – 1.24%
        
 
32,376
  
PulteGroup, Inc.
    
1,030,528
  
               
     
Household Products – 3.27%
        
 
31,624
  
Procter & Gamble Co.
    
2,730,416
  
               
     
Industrial Conglomerates – 0.66%
        
 
34,089
  
General Electric Co.
    
551,219
  


The accompanying notes are an integral part of these financial statements.

22
O’Shaughnessy Market Leaders Value Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Insurance – 7.78%
      
 
172,120
  
Aegon NV – ADR
  
$
1,168,695
  
 
45,482
  
Hartford Financial Services Group, Inc.
    
2,672,522
  
 
18,954
  
MetLife, Inc.
    
911,119
  
 
47,081
  
XL Group Ltd.#
    
1,734,464
  
           
6,486,800
  
     
Internet Software & Services – 0.36%
        
 
7,431
  
eBay, Inc.*
    
301,550
  
               
     
IT Services – 3.20%
        
 
1,064
  
International Business Machines Corp.
    
174,177
  
 
119,815
  
Western Union Co.
    
2,490,954
  
           
2,665,131
  
     
Media – 1.76%
        
 
14,700
  
CBS Corp. – Class B
    
846,867
  
 
102,347
  
Sirius XM Holdings, Inc.
    
625,340
  
           
1,472,207
  
     
Multi-line Retail – 3.58%
        
 
9,282
  
Kohl’s Corp.
    
601,195
  
 
31,683
  
Target Corp.
    
2,383,196
  
           
2,984,391
  
     
Oil, Gas & Consumable Fuels – 5.87%
        
 
19,383
  
Marathon Petroleum Corp.
    
1,342,660
  
 
37,016
  
Valero Energy Corp.
    
3,552,425
  
           
4,895,085
  
     
Professional Services – 0.47%
        
 
2,970
  
Manpower, Inc.
    
390,228
  
               
     
Software – 2.06%
        
 
28,145
  
Cadence Design Systems, Inc.*
    
1,262,585
  
 
6,396
  
CDK Global, Inc.
    
455,971
  
           
1,718,556
  
     
Specialty Retail – 2.40%
        
 
23,999
  
Best Buy Co., Inc.
    
1,753,367
  
 
2,374
  
Lowe’s Companies, Inc.
    
248,629
  
           
2,001,996
  
     
Technology Hardware, Storage & Peripherals – 0.63%
        
 
1,299
  
Apple, Inc.
    
217,492
  
 
5,574
  
Seagate Technology PLC#
    
307,685
  
           
525,177
  
     
Textiles, Apparel & Luxury Goods – 1.11%
        
 
10,413
  
Michael Kors Holdings Ltd.*#
    
687,258
  
 
2,896
  
VF Corp.
    
234,981
  
           
922,239
  


The accompanying notes are an integral part of these financial statements.

23
O’Shaughnessy Market Leaders Value Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Trading Companies & Distributors – 1.25%
      
 
1,283
  
United Rentals, Inc.*
  
$
232,364
  
 
2,999
  
W.W. Grainger, Inc.
    
808,710
  
           
1,041,074
  
     
Total Common Stocks (Cost $69,040,745)
    
81,860,934
  
     
Total Investments in Securities (Cost $69,040,745) – 98.14%
    
81,860,934
  
     
Other Assets in Excess of Liabilities – 1.86%
    
1,548,570
  
     
Net Assets – 100.00%
  
$
83,409,504
  

*
Non-income producing security.
#
U.S. traded security of a foreign issuer.
ADR – American Depository Receipt

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.




The accompanying notes are an integral part of these financial statements.

24
O’Shaughnessy Small Cap Value Fund

Schedule of Investments
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS – 99.55%
      
   
Aerospace & Defense – 0.82%
      
 
2,981
  
Vectrus, Inc.*
  
$
90,622
  
               
     
Airlines – 0.10%
        
 
286
  
Hawaiian Holdings, Inc.
    
10,682
  
               
     
Auto Components – 0.37%
        
 
745
  
Cooper Tire & Rubber Co.
    
29,130
  
 
90
  
Cooper-Standard Holding, Inc.*
    
11,213
  
           
40,343
  
     
Biotechnology – 0.42%
        
 
768
  
Eagle Pharmaceuticals, Inc.*
    
45,903
  
               
     
Building Products – 1.43%
        
 
4,096
  
Continental Building Products, Inc.*
    
116,532
  
 
2,201
  
NCI Building Systems, Inc.*
    
40,608
  
           
157,140
  
     
Capital Markets – 4.05%
        
 
10,721
  
GAIN Capital Holdings, Inc.
    
78,263
  
 
2,203
  
Greenhill & Co., Inc.
    
40,866
  
 
2,337
  
Moelis & Co. – Class A
    
120,823
  
 
1,988
  
Virtu Financial, Inc. – Class A
    
37,971
  
 
7,338
  
Waddell & Reed Financial, Inc. – Class A
    
168,773
  
           
446,696
  
     
Chemicals – 2.43%
        
 
492
  
Innophos Holdings, Inc.
    
22,765
  
 
6,568
  
Rayonier Advanced Materials, Inc.
    
124,267
  
 
403
  
Stepan Co.
    
31,603
  
 
1,087
  
Trinseo SA#
    
89,623
  
           
268,258
  
     
Commercial Banks – 3.45%
        
 
1,049
  
Bank of N.T. Butterfield & Son Ltd.#
    
42,159
  
 
2,769
  
Capital City Bank Group, Inc.
    
67,924
  
 
270
  
First Citizens BancShares, Inc. – Class A
    
114,860
  
 
1,417
  
First Community Bancshares, Inc.
    
39,223
  
 
2,839
  
Hilltop Holdings, Inc.
    
74,354
  
 
1,273
  
Northrim BanCorp, Inc.
    
42,582
  
           
381,102
  
     
Commercial Services & Supplies – 3.34%
        
 
175
  
Deluxe Corp.
    
12,997
  
 
3,761
  
Ennis, Inc.
    
74,844
  
 
759
  
Herman Miller, Inc.
    
30,740
  


The accompanying notes are an integral part of these financial statements.

25
O’Shaughnessy Small Cap Value Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Commercial Services & Supplies (Continued)
      
 
4,101
  
LSC Communications, Inc.
  
$
56,102
  
 
4,406
  
Quad Graphics, Inc.
    
97,460
  
 
2,487
  
SP Plus Corp.*
    
95,873
  
           
368,016
  
     
Communications Equipment – 2.19%
        
 
2,606
  
InterDigital, Inc.
    
203,398
  
 
544
  
NETGEAR, Inc.*
    
37,917
  
           
241,315
  
     
Construction & Engineering – 3.07%
        
 
1,692
  
Aegion Corp.*
    
42,435
  
 
631
  
Argan, Inc.
    
27,512
  
 
1,896
  
EMCOR Group, Inc.
    
154,107
  
 
1,914
  
KBR, Inc.
    
38,931
  
 
1,133
  
MYR Group, Inc.*
    
38,386
  
 
1,423
  
Primoris Services Corp.
    
36,998
  
           
338,369
  
     
Consumer Finance – 2.34%
        
 
11,239
  
Enova International, Inc.*
    
201,178
  
 
1,100
  
Nelnet, Inc.
    
57,321
  
           
258,499
  
     
Diversified Consumer Services – 0.27%
        
 
3,931
  
Bridgepoint Education, Inc.*
    
30,387
  
               
     
Diversified Financial Services – 1.30%
        
 
4,246
  
Cannae Holdings, Inc.*
    
73,923
  
 
2,914
  
Marlin Business Services Corp.
    
69,062
  
           
142,985
  
     
Electric Utilities – 0.12%
        
 
254
  
El Paso Electric Co.
    
13,259
  
               
     
Electronic Equipment, Instruments & Components – 5.36%
        
 
2,840
  
Benchmark Electronics, Inc.*
    
82,218
  
 
4,809
  
Celestica, Inc.*#
    
48,571
  
 
1,674
  
Insight Enterprises, Inc.*
    
62,139
  
 
5,891
  
Kimball Electronics, Inc.*
    
108,983
  
 
353
  
Plexus Corp.*
    
21,092
  
 
795
  
Sanmina Corp.*
    
20,789
  
 
1,460
  
ScanSource, Inc.*
    
49,932
  
 
2,585
  
TTM Technologies, Inc.*
    
42,627
  
 
7,055
  
Vishay Intertechnology, Inc.
    
154,857
  
           
591,208
  


The accompanying notes are an integral part of these financial statements.

26
O’Shaughnessy Small Cap Value Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Energy Equipment & Services – 2.36%
      
 
11,798
  
Diamond Offshore Drilling, Inc.*
  
$
208,589
  
 
3,550
  
Rowan Companies PLC – Class A*#
    
52,256
  
           
260,845
  
     
Food & Staples Retailing – 2.91%
        
 
344
  
Ingles Markets, Inc. – Class A
    
11,558
  
 
1,906
  
SpartanNash Co.
    
46,449
  
 
4,881
  
United Natural Foods, Inc.*
    
232,336
  
 
770
  
Weis Markets, Inc.
    
30,615
  
           
320,958
  
     
Food Products – 1.62%
        
 
1,777
  
Dean Foods Co.
    
18,427
  
 
735
  
Fresh Del Monte Produce, Inc.#
    
34,773
  
 
985
  
Sanderson Farms, Inc.
    
124,997
  
           
178,197
  
     
Health Care Providers & Services – 3.35%
        
 
559
  
AMN Healthcare Services, Inc.*
    
29,990
  
 
847
  
Encompass Health Corp.
    
44,823
  
 
1,684
  
Magellan Health, Inc.*
    
167,727
  
 
459
  
Molina Healthcare, Inc.*
    
41,934
  
 
470
  
National HealthCare Corp.
    
29,314
  
 
2,672
  
Owens & Minor, Inc.
    
56,272
  
           
370,060
  
     
Hotels, Restaurants & Leisure – 1.68%
        
 
3,420
  
Bloomin’ Brands, Inc.
    
75,343
  
 
852
  
Brinker International, Inc.
    
30,962
  
 
1,459
  
Ruth’s Hospitality Group, Inc. – Class A
    
34,578
  
 
777
  
Tropicana Entertainment, Inc.*
    
44,483
  
           
185,366
  
     
Household Durables – 2.50%
        
 
1,284
  
AV Homes, Inc.*
    
21,700
  
 
1,096
  
Bassett Furniture Industries, Inc.
    
37,209
  
 
1,561
  
Hooker Furniture Corp.
    
57,991
  
 
1,220
  
La-Z-Boy, Inc.
    
36,783
  
 
2,812
  
MDC Holdings, Inc.
    
94,792
  
 
1,074
  
Taylor Morrison Home Corp. – Class A*
    
27,312
  
           
275,787
  
     
Independent Power and Renewable Electricity Producers – 0.69%
        
 
15,012
  
Atlantic Power Corp.*#
    
31,525
  
 
1,155
  
Atlantica Yield PLC#
    
24,347
  
 
3,609
  
TransAlta Corp.#
    
19,850
  
           
75,722
  
     
Insurance – 7.11%
        
 
1,410
  
American Equity Investment Life Holding Co.
    
46,530
  
 
943
  
Argo Group International Holdings Ltd.#
    
57,806
  


The accompanying notes are an integral part of these financial statements.

27
O’Shaughnessy Small Cap Value Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Insurance (Continued)
      
 
3,921
  
Baldwin & Lyons, Inc. – Class B
  
$
90,183
  
 
599
  
CNA Financial Corp.
    
32,442
  
 
2,629
  
CNO Financial Group, Inc.
    
64,647
  
 
2,215
  
Employers Holdings, Inc.
    
93,915
  
 
1,946
  
HCI Group, Inc.
    
68,013
  
 
643
  
Infinity Property & Casualty Corp.
    
65,104
  
 
317
  
National Western Life Group, Inc. – Class A
    
102,675
  
 
1,661
  
Stewart Information Services Corp.
    
73,931
  
 
3,037
  
Universal Insurance Holdings, Inc.
    
89,288
  
           
784,534
  
     
Internet & Direct Marketing Retail – 0.61%
        
 
6,427
  
1-800-Flowers.com, Inc.* – Class A
    
67,001
  
               
     
IT Services – 3.54%
        
 
5,075
  
Convergys Corp.
    
118,095
  
 
2,028
  
EVERTEC, Inc.#
    
31,738
  
 
1,000
  
Science Applications International Corp.
    
76,650
  
 
12,044
  
Travelport Worldwide Ltd.#
    
163,919
  
           
390,402
  
     
Leisure Products – 0.42%
        
 
3,562
  
Nautilus, Inc.*
    
45,772
  
               
     
Machinery – 3.62%
        
 
4,066
  
China Yuchai International Ltd.#
    
107,749
  
 
1,030
  
Greenbrier Companies, Inc.
    
51,655
  
 
5,362
  
Meritor, Inc.*
    
146,275
  
 
3,622
  
Wabash National Corp.
    
93,556
  
           
399,235
  
     
Media – 2.31%
        
 
12,083
  
Entravision Communications Corp.
    
83,977
  
 
10,526
  
Gannett Co., Inc.
    
124,207
  
 
2,300
  
tronc, Inc.*
    
46,920
  
           
255,104
  
     
Metals & Mining – 3.71%
        
 
358
  
Kaiser Aluminum Corp.
    
39,466
  
 
6,266
  
Schnitzer Steel Industries, Inc. – Class A
    
214,296
  
 
4,072
  
Warrior Met Coal, Inc.
    
113,894
  
 
877
  
Worthington Industries, Inc.
    
41,009
  
           
408,665
  
     
Multi-line Retail – 2.32%
        
 
2,492
  
Big Lots, Inc.
    
151,464
  
 
1,542
  
Dillard’s, Inc. – Class A
    
104,178
  
           
255,642
  


The accompanying notes are an integral part of these financial statements.

28
O’Shaughnessy Small Cap Value Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Multi-Utilities – 0.92%
      
 
9,712
  
Just Energy Group, Inc.#
  
$
41,373
  
 
1,375
  
Unitil Corp.
    
60,789
  
           
102,162
  
     
Oil, Gas & Consumable Fuels – 6.82%
        
 
1,560
  
Arch Coal, Inc. – Class A
    
140,416
  
 
6,858
  
CVR Energy, Inc.
    
245,447
  
 
6,664
  
Hallador Energy Co.
    
46,515
  
 
3,359
  
Par Pacific Holdings, Inc.*
    
61,235
  
 
2,377
  
Renewable Energy Group, Inc.*
    
25,434
  
 
1,846
  
REX American Resources Corp.*
    
150,725
  
 
3,419
  
Ultra Petroleum Corp.*#
    
23,865
  
 
11,964
  
W&T Offshore, Inc.*
    
57,906
  
           
751,543
  
     
Paper & Forest Products – 2.90%
        
 
3,043
  
Boise Cascade Co.
    
135,262
  
 
3,419
  
Louisiana-Pacific Corp.*
    
101,237
  
 
5,171
  
Verso Corp.*
    
83,046
  
           
319,545
  
     
Personal Products – 0.48%
        
 
712
  
USANA Health Sciences, Inc.*
    
53,151
  
               
     
Professional Services – 3.25%
        
 
564
  
ICF International, Inc.*
    
29,948
  
 
2,358
  
Kelly Services, Inc. – Class A
    
66,755
  
 
6,509
  
RPX Corp.
    
91,386
  
 
6,214
  
TrueBlue, Inc.*
    
169,954
  
           
358,043
  
     
Real Estate Management & Development – 0.80%
        
 
3,136
  
Altisource Portfolio Solutions SA*#
    
87,808
  
               
     
Road & Rail – 1.11%
        
 
3,458
  
ArcBest Corp.
    
122,932
  
               
     
Semiconductors & Semiconductor Equipment – 2.87%
        
 
17,350
  
Amkor Technology, Inc.*
    
174,541
  
 
1,712
  
Cirrus Logic, Inc.*
    
84,864
  
 
1,779
  
Ichor Holdings Ltd.*#
    
56,786
  
           
316,191
  
     
Specialty Retail – 4.81%
        
 
3,105
  
Aaron’s, Inc.
    
126,963
  
 
2,815
  
Buckle, Inc.
    
56,441
  
 
1,451
  
Children’s Place, Inc.
    
217,359
  
 
5,795
  
Office Depot, Inc.
    
18,834
  
 
2,962
  
Sleep Number Corp.*
    
111,490
  
           
531,087
  


The accompanying notes are an integral part of these financial statements.

29
O’Shaughnessy Small Cap Value Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Textiles, Apparel & Luxury Goods – 1.31%
      
 
2,425
  
Movado Group, Inc.
  
$
74,205
  
 
649
  
Oxford Industries, Inc.
    
51,141
  
 
2,058
  
Vera Bradley, Inc.*
    
19,119
  
           
144,465
  
     
Thrifts & Mortgage Finance – 3.55%
        
 
12,156
  
Nationstar Mortgage Holdings, Inc.*
    
215,648
  
 
17,575
  
TrustCo Bank Corp. NY
    
151,145
  
 
523
  
Walker & Dunlop, Inc.*
    
24,293
  
           
391,086
  
     
Tobacco – 0.17%
        
 
393
  
Universal Corp.
    
18,864
  
               
     
Trading Companies & Distributors – 0.75%
        
 
1,521
  
Rush Enterprises, Inc. – Class A*
    
82,210
  
     
Total Common Stocks (Cost $10,052,638)
    
10,977,161
  
               
     
PREFERRED STOCKS – 0.12%
        
     
Electric Utilities – 0.12%
        
 
1,664
  
Companhia Paranaense de Energia-Copel – Class B – ADR
    
12,896
  
     
Total Preferred Stocks (Cost $13,260)
    
12,896
  
     
Total Investments in Securities (Cost $10,065,898) – 99.67%
    
10,990,057
  
     
Other Assets in Excess of Liabilities – 0.33%
    
35,938
  
     
Net Assets – 100.00%
  
$
11,025,995
  

*
Non-income producing security.
#
U.S. traded security of a foreign issuer.
ADR – American Depository Receipt

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.




The accompanying notes are an integral part of these financial statements.

30
O’Shaughnessy Small/Mid Cap Growth Fund

Schedule of Investments
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS – 98.82%
      
   
Aerospace & Defense – 2.11%
      
 
417
  
BWX Technologies, Inc.
  
$
26,455
  
 
1,447
  
HEICO Corp.
    
116,223
  
 
208
  
Huntington Ingalls Industries, Inc.
    
49,408
  
 
1,319
  
Spirit AeroSystems Holdings, Inc. – Class A
    
135,013
  
           
327,099
  
     
Airlines – 0.44%
        
 
491
  
Copa Holdings SA – Class A#
    
67,920
  
               
     
Auto Components – 1.16%
        
 
278
  
Dorman Products, Inc.*
    
20,972
  
 
1,228
  
Visteon Corp.*
    
159,738
  
           
180,710
  
     
Automobiles – 1.29%
        
 
1,244
  
Thor Industries, Inc.
    
170,005
  
 
659
  
Winnebago Industries, Inc.
    
29,952
  
           
199,957
  
     
Beverages – 0.28%
        
 
226
  
Boston Beer Co., Inc.*
    
42,906
  
               
     
Biotechnology – 1.84%
        
 
1,816
  
Enanta Pharmaceuticals, Inc.*
    
154,269
  
 
446
  
Ligand Pharmaceuticals, Inc.*
    
70,299
  
 
1,647
  
Myriad Genetics, Inc.*
    
60,741
  
           
285,309
  
     
Building Products – 0.29%
        
 
942
  
CSW Industrials, Inc.*
    
45,122
  
               
     
Capital Markets – 3.36%
        
 
1,286
  
Artisan Partners Asset Management, Inc. – Class A
    
50,347
  
 
1,155
  
Evercore Partners, Inc. – Class A
    
116,135
  
 
2,061
  
Federated Investors, Inc.
    
71,476
  
 
2,796
  
Houlihan Lokey, Inc.
    
133,369
  
 
2,906
  
Moelis & Co. – Class A
    
150,240
  
           
521,567
  
     
Chemicals – 3.01%
        
 
965
  
Chase Corp.
    
108,418
  
 
317
  
FMC Corp.
    
28,951
  
 
500
  
Ingevity Corp.*
    
36,275
  
 
1,157
  
PolyOne Corp.
    
50,283
  
 
311
  
Quaker Chemical Corp.
    
47,863
  
 
1,743
  
Westlake Chemical Corp.
    
196,262
  
           
468,052
  


The accompanying notes are an integral part of these financial statements.

31
O’Shaughnessy Small/Mid Cap Growth Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Commercial Banks – 1.35%
      
 
1,231
  
American National Bankshares, Inc.
  
$
46,039
  
 
2,403
  
First Merchants Corp.
    
103,714
  
 
1,665
  
Lakeland Bancorp, Inc.
    
33,467
  
 
936
  
Veritex Holdings, Inc.*
    
26,685
  
           
209,905
  
     
Commercial Services & Supplies – 3.27%
        
 
2,195
  
Brink’s Co.
    
183,063
  
 
2,996
  
Interface, Inc.
    
74,750
  
 
2,944
  
Rollins, Inc.
    
145,257
  
 
2,721
  
SP Plus Corp.*
    
104,895
  
           
507,965
  
     
Communications Equipment – 0.85%
        
 
4,330
  
Comtech Telecommunications Corp.
    
93,658
  
 
273
  
NETGEAR, Inc.*
    
19,028
  
 
2,197
  
Viavi Solutions, Inc.*
    
18,850
  
           
131,536
  
     
Computers & Peripherals – 0.14%
        
 
501
  
Logitech International SA#
    
21,192
  
               
     
Construction & Engineering – 0.89%
        
 
1,226
  
Fluor Corp.
    
74,418
  
 
437
  
Jacobs Engineering Group, Inc.
    
30,354
  
 
883
  
Quanta Services, Inc.*
    
33,987
  
           
138,759
  
     
Consumer Finance – 1.25%
        
 
786
  
FirstCash, Inc.
    
57,456
  
 
2,238
  
Green Dot Corp. – Class A*
    
137,100
  
           
194,556
  
     
Containers & Packaging – 0.79%
        
 
778
  
AptarGroup, Inc.
    
68,013
  
 
1,169
  
Myers Industries, Inc.
    
24,549
  
 
1,327
  
Owens-Illinois, Inc.*
    
30,813
  
           
123,375
  
     
Diversified Consumer Services – 1.47%
        
 
2,883
  
H&R Block, Inc.
    
76,515
  
 
2,359
  
Weight Watchers International, Inc.*
    
151,660
  
           
228,175
  
     
Diversified Telecommunication Services – 0.67%
        
 
9,272
  
Vonage Holdings Corp.*
    
103,754
  
               
     
Electrical Equipment – 0.54%
        
 
665
  
Generac Holdings, Inc.*
    
32,538
  
 
351
  
Preformed Line Products Co.
    
25,925
  
 
335
  
Regal Beloit Corp.
    
26,097
  
           
84,560
  


The accompanying notes are an integral part of these financial statements.

32
O’Shaughnessy Small/Mid Cap Growth Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Electronic Equipment, Instruments & Components – 4.25%
      
 
821
  
CDW Corp.
  
$
61,403
  
 
928
  
ePlus, Inc.*
    
71,642
  
 
1,696
  
Jabil Circuit, Inc.
    
43,129
  
 
5,332
  
Kemet Corp.*
    
108,559
  
 
5,021
  
Novanta, Inc.*#
    
290,716
  
 
1,687
  
TTM Technologies, Inc.*
    
27,819
  
 
2,593
  
Vishay Intertechnology, Inc.
    
56,916
  
           
660,184
  
     
Food Products – 1.43%
        
 
1,756
  
Sanderson Farms, Inc.
    
222,836
  
               
     
Health Care Equipment & Supplies – 6.79%
        
 
95
  
Atrion Corp.
    
54,663
  
 
1,292
  
Blackbaud, Inc.
    
123,799
  
 
548
  
Cooper Companies, Inc.
    
134,079
  
 
1,482
  
Haemonetics Corp.*
    
95,811
  
 
1,883
  
Halyard Health, Inc.*
    
91,909
  
 
569
  
IDEXX Laboratories, Inc.*
    
106,426
  
 
284
  
Inogen, Inc.*
    
34,603
  
 
980
  
Masimo Corp.*
    
92,355
  
 
1,113
  
Quidel Corp.*
    
50,953
  
 
492
  
STERIS PLC#
    
44,733
  
 
1,775
  
Varian Medical Systems, Inc.*
    
226,313
  
           
1,055,644
  
     
Health Care Providers & Services – 2.62%
        
 
900
  
Chemed Corp.
    
234,513
  
 
2,801
  
National Research Corp. – Class A
    
105,458
  
 
1,053
  
Providence Service Corp.*
    
67,739
  
           
407,710
  
     
Health Care Technology – 0.73%
        
 
3,785
  
Quality Systems, Inc.*
    
49,205
  
 
1,029
  
Veeva Systems, Inc. – Class A*
    
64,683
  
           
113,888
  
     
Hotels, Restaurants & Leisure – 5.35%
        
 
1,874
  
Choice Hotels International, Inc.
    
153,949
  
 
371
  
Churchill Downs, Inc.
    
96,089
  
 
1,437
  
Darden Restaurants, Inc.
    
137,737
  
 
900
  
Marriott Vacations Worldwide Corp.
    
137,097
  
 
3,601
  
Penn National Gaming, Inc.*
    
114,908
  
 
2,222
  
Ruth’s Hospitality Group, Inc.
    
52,661
  
 
1,927
  
Tropicana Entertainment, Inc.*
    
110,321
  
 
134
  
Vail Resorts, Inc.
    
29,287
  
           
832,049
  


The accompanying notes are an integral part of these financial statements.

33
O’Shaughnessy Small/Mid Cap Growth Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Household Durables – 2.16%
      
 
185
  
iRobot Corp.*
  
$
16,419
  
 
1,360
  
MDC Holdings, Inc.
    
45,846
  
 
56
  
NVR, Inc.*
    
177,977
  
 
1,093
  
PulteGroup, Inc.
    
34,790
  
 
2,411
  
Taylor Morrison Home Corp. – Class A*
    
61,312
  
           
336,344
  
     
Industrial Conglomerates – 0.27%
        
 
1,073
  
Raven Industries, Inc.
    
41,364
  
               
     
Insurance – 1.46%
        
 
153
  
American Financial Group, Inc.
    
17,341
  
 
813
  
Assured Guaranty Ltd.#
    
28,935
  
 
1,317
  
CNA Financial Corp.
    
71,329
  
 
507
  
Kemper Corp.
    
32,879
  
 
105
  
National Western Life Group, Inc. – Class A
    
34,009
  
 
258
  
Primerica, Inc.
    
26,058
  
 
100
  
Reinsurance Group of America, Inc.
    
15,665
  
           
226,216
  
     
Internet & Catalog Retail – 0.27%
        
 
983
  
NutriSystem, Inc.
    
42,515
  
               
     
Internet & Direct Marketing Retail – 0.97%
        
 
2,548
  
Liberty Ventures – Class A*
    
150,154
  
               
     
Internet Software & Services – 4.76%
        
 
717
  
AppFolio, Inc. – Class A*
    
30,365
  
 
9,143
  
Blucora, Inc.*
    
223,089
  
 
4,015
  
CommerceHub, Inc.*
    
81,183
  
 
615
  
IAC/InterActiveCorp.*
    
89,157
  
 
5,267
  
QuinStreet, Inc.*
    
49,141
  
 
436
  
Stamps.com, Inc.*
    
88,879
  
 
1,398
  
VeriSign, Inc.*
    
160,658
  
 
287
  
Wix.com Ltd.*#
    
17,521
  
           
739,993
  
     
IT Services – 2.88%
        
 
238
  
Broadridge Financial Solutions, Inc.
    
22,945
  
 
1,192
  
CoreLogic, Inc.*
    
56,453
  
 
1,197
  
Jack Henry & Associates, Inc.
    
149,218
  
 
7,378
  
Travelport Worldwide Ltd.#
    
100,415
  
 
2,966
  
TTEC Holdings, Inc.
    
117,750
  
           
446,781
  
     
Leisure Products – 1.27%
        
 
1,487
  
Johnson Outdoors, Inc. – Class A
    
89,621
  
 
3,219
  
Malibu Boats, Inc.*
    
107,064
  
           
196,685
  


The accompanying notes are an integral part of these financial statements.

34
O’Shaughnessy Small/Mid Cap Growth Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Life Sciences Tools & Services – 1.94%
      
 
679
  
Charles River Laboratories International, Inc.*
  
$
71,594
  
 
6,756
  
Enzo Biochem, Inc.*
    
49,724
  
 
1,983
  
PRA Health Sciences, Inc.*
    
180,572
  
           
301,890
  
     
Machinery – 4.52%
        
 
1,069
  
Alamo Group, Inc.
    
122,967
  
 
849
  
Allison Transmission Holdings, Inc.
    
37,560
  
 
3,031
  
China Yuchai International Ltd.#
    
80,321
  
 
516
  
Donaldson Co., Inc.
    
26,141
  
 
4,347
  
Graco, Inc.
    
203,440
  
 
1,114
  
Harsco Corp.*
    
19,941
  
 
228
  
Lincoln Electric Holdings, Inc.
    
22,246
  
 
257
  
Oshkosh Corp.
    
23,315
  
 
2,527
  
Toro Co.
    
165,897
  
           
701,828
  
     
Media – 1.97%
        
 
114
  
Cable One, Inc.
    
80,487
  
 
9,698
  
New York Times Co. – Class A
    
225,479
  
           
305,966
  
     
Metals & Mining – 0.74%
        
 
2,307
  
Materion Corp.
    
114,658
  
               
     
Multi-line Retail – 0.45%
        
 
1,088
  
Kohl’s Corp.
    
70,470
  
               
     
Oil, Gas & Consumable Fuels – 2.79%
        
 
414
  
Arch Coal, Inc. – Class A
    
37,264
  
 
2,893
  
CVR Energy, Inc.
    
103,540
  
 
1,174
  
HollyFrontier Corp.
    
56,305
  
 
1,717
  
PBF Energy, Inc. – Class A
    
55,511
  
 
7,016
  
Transportadora de Gas del Sur SA – Class B – ADR*
    
160,666
  
 
4,301
  
W&T Offshore, Inc.*
    
20,817
  
           
434,103
  
     
Paper & Forest Products – 1.22%
        
 
2,435
  
Boise Cascade Co.
    
108,236
  
 
514
  
Domtar Corp.
    
26,399
  
 
1,870
  
Louisiana-Pacific Corp.*
    
55,370
  
           
190,005
  
     
Personal Products – 0.92%
        
 
2,082
  
Medifast, Inc.
    
143,054
  
               
     
Pharmaceuticals – 1.18%
        
 
2,405
  
Corcept Therapeutics, Inc.*
    
55,351
  
 
3,739
  
Phibro Animal Health Corp. – Class A
    
127,313
  
           
182,664
  


The accompanying notes are an integral part of these financial statements.

35
O’Shaughnessy Small/Mid Cap Growth Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Professional Services – 2.18%
      
 
1,595
  
CBIZ, Inc.*
  
$
26,317
  
 
547
  
Manpower, Inc.
    
71,870
  
 
982
  
On Assignment, Inc.*
    
75,192
  
 
3,778
  
TriNet Group, Inc.*
    
165,741
  
           
339,120
  
     
Real Estate Management & Development – 1.33%
        
 
586
  
FirstService Corp.#
    
38,975
  
 
295
  
Jones Lang LaSalle, Inc.
    
46,123
  
 
1,872
  
RMR Group, Inc. – Class A
    
121,212
  
           
206,310
  
     
Road & Rail – 1.44%
        
 
884
  
Marten Transport Ltd.
    
20,509
  
 
282
  
Old Dominion Freight Line, Inc.
    
41,299
  
 
3,986
  
Werner Enterprises, Inc.
    
162,230
  
           
224,038
  
     
Semiconductors & Semiconductor Equipment – 6.38%
        
 
913
  
Advanced Energy Industries, Inc.*
    
64,942
  
 
1,802
  
Cabot Microelectronics Corp.
    
183,606
  
 
2,556
  
Cohu, Inc.
    
58,200
  
 
3,343
  
Entegris, Inc.
    
108,815
  
 
5,150
  
Kulicke & Soffa Industries, Inc.*
    
118,501
  
 
3,174
  
Marvell Technology Group Ltd.#
    
74,049
  
 
530
  
NVE Corp.
    
44,425
  
 
2,465
  
ON Semiconductor Corp.*
    
60,984
  
 
4,717
  
Teradyne, Inc.
    
216,227
  
 
1,775
  
Tower Semiconductor Ltd.*#
    
61,664
  
           
991,413
  
     
Software – 7.04%
        
 
1,119
  
ANSYS, Inc.*
    
180,886
  
 
6,503
  
Cadence Design Systems, Inc.*
    
291,725
  
 
6,152
  
Progress Software Corp.
    
306,554
  
 
1,448
  
QAD, Inc. – Class A
    
62,409
  
 
239
  
Take-Two Interactive Software, Inc.*
    
30,274
  
 
1,792
  
VMware, Inc. – Class A*
    
221,832
  
           
1,093,680
  
     
Specialty Retail – 1.06%
        
 
2,370
  
Aaron’s, Inc.
    
96,909
  
 
2,062
  
Gap, Inc.
    
68,541
  
           
165,450
  
     
Textiles, Apparel & Luxury Goods – 1.25%
        
 
4,984
  
Crocs, Inc.*
    
67,334
  
 
1,363
  
Michael Kors Holdings Ltd.*#
    
89,958
  
 
322
  
Ralph Lauren Corp.
    
36,808
  
           
194,100
  


The accompanying notes are an integral part of these financial statements.

36
O’Shaughnessy Small/Mid Cap Growth Fund

Schedule of Investments (Continued)
at January 31, 2018 (Unaudited)

Shares
      
Value
  
   
COMMON STOCKS (Continued)
      
   
Thrifts & Mortgage Finance – 0.77%
      
 
4,391
  
Charter Financial Corp.
  
$
84,439
  
 
960
  
Washington Fed, Inc.
    
34,464
  
           
118,903
  
     
Trading Companies & Distributors – 1.19%
        
 
647
  
Beacon Roofing Supply, Inc.*
    
39,143
  
 
439
  
MSC Industrial Direct Co., Inc. – Class A
    
41,213
  
 
1,500
  
Rush Enterprises, Inc. – Class A*
    
81,075
  
 
781
  
Univar, Inc.*
    
23,321
  
           
184,752
  
     
Wireless Telecommunication Services – 0.24%
        
 
1,087
  
Shenandoah Telecommunications Co.
    
36,958
  
     
Total Common Stocks (Cost $13,125,402)
    
15,354,144
  
     
Total Investments in Securities (Cost $13,125,402) – 98.82%
    
15,354,144
  
     
Other Assets in Excess of Liabilities – 1.18%
    
182,892
  
     
Net Assets – 100.00%
  
$
15,537,036
  

*
Non-income producing security.
#
U.S. traded security of a foreign issuer.
ADR – American Depository Receipt

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services, LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.




The accompanying notes are an integral part of these financial statements.

37
O’Shaughnessy Mutual Funds

Statements of Assets and Liabilities
at January 31, 2018 (Unaudited)

   
All Cap
    
Enhanced
    
Market Leaders
  
   
Core Fund
    
Dividend Fund
    
Value Fund
  
ASSETS
                  
Investments in securities, at value (cost $9,247,291,
                 
  $9,319,844, and $69,040,745, respectively)
  
$
11,371,276
    
$
11,885,664
    
$
81,860,934
  
Cash
    
—
      
175,186
      
1,656,979
  
Receivables:
                        
Securities sold
    
43,490
      
—
      
—
  
Fund shares issued
    
947
      
1,223
      
874,531
  
Due from Advisor (Note 4)
    
17,418
      
4,011
      
—
  
Dividends
    
7,258
      
4,282
      
58,875
  
Dividend tax reclaim
    
—
      
65,295
      
528
  
Prepaid expenses
    
6,058
      
433
      
14,230
  
Total assets
    
11,446,447
      
12,136,094
      
84,466,077
  
LIABILITIES
                        
Payables:
                        
Securities purchased
    
—
      
—
      
998,018
  
Due to custodian
    
8,368
      
—
      
—
  
Fund shares redeemed
    
10,870
      
7,496
      
264
  
Administration fees
    
8,507
      
6,094
      
5,889
  
Audit fees
    
11,214
      
9,701
      
9,702
  
Transfer agent fees and expenses
    
11,074
      
3,820
      
4,117
  
Due to Advisor (Note 4)
    
—
      
—
      
25,318
  
Custody fees
    
2,642
      
1,972
      
2,285
  
Legal fees
    
649
      
—
      
—
  
Fund accounting fees
    
7,888
      
5,457
      
5,346
  
Chief Compliance Officer fee
    
1,538
      
1,541
      
1,538
  
12b-1 distribution fees
    
36,433
      
—
      
—
  
Trustee fees and expenses
    
240
      
—
      
—
  
Shareholder reporting
    
9,697
      
3,696
      
1,289
  
Accrued other expenses
    
2,748
      
3,834
      
2,807
  
Total liabilities
    
111,868
      
43,611
      
1,056,573
  
NET ASSETS
  
$
11,334,579
    
$
12,092,483
    
$
83,409,504
  


The accompanying notes are an integral part of these financial statements.

38
O’Shaughnessy Mutual Funds

Statements of Assets and Liabilities (Continued)
at January 31, 2018 (Unaudited)

   
All Cap
    
Enhanced
    
Market Leaders
  
   
Core Fund
    
Dividend Fund
    
Value Fund
  
CALCULATION OF NET ASSET VALUE PER SHARE
                  
Class A Shares
                  
Net assets applicable to shares outstanding
  
$
924,217
      
—
      
—
  
Shares issued and outstanding [unlimited
                       
  number of shares (par value $0.01) authorized]
    
71,444
      
—
      
—
  
Net asset value and redemption price per share
  
$
12.94
      
—
      
—
  
Maximum offering price per share
                        
(Net asset value per share divided by 94.75%)
  
$
13.65
      
—
      
—
  
Class C Shares
                        
Net assets applicable to shares outstanding
  
$
4,135,888
      
—
      
—
  
Shares issued and outstanding [unlimited
                       
  number of shares (par value $0.01) authorized]
    
337,531
      
—
      
—
  
Net asset value and offering
                       
  price per share (Note 1)
  
$
12.25
      
—
      
—
  
Class I Shares
                        
Net assets applicable to shares outstanding
  
$
6,274,474
    
$
12,092,483
    
$
83,409,504
  
Shares issued and outstanding [unlimited
                       
  number of shares (par value $0.01) authorized]
    
491,943
      
922,519
      
5,568,423
  
Net asset value, offering and
                       
  redemption price per share
  
$
12.75
    
$
13.11
    
$
14.98
  
                         
COMPONENTS OF NET ASSETS
                        
Paid-in capital
  
$
7,436,656
    
$
28,652,709
    
$
68,237,650
  
Undistributed net investment income/(loss)
    
4,558
      
(11,398
)
    
21,138
  
Accumulated net realized gain/(loss) on investments
    
1,769,380
      
(19,114,648
)
    
2,330,527
  
Net unrealized appreciation of investments
    
2,123,985
      
2,565,820
      
12,820,189
  
Net assets
  
$
11,334,579
    
$
12,092,483
    
$
83,409,504
  


The accompanying notes are an integral part of these financial statements.

39
O’Shaughnessy Mutual Funds

Statements of Assets and Liabilities (Continued)
at January 31, 2018 (Unaudited)

   
Small Cap
    
Small/Mid Cap
  
   
Value Fund
    
Growth Fund
  
ASSETS
            
Investments in securities, at value
           
  (cost $10,065,898 and $13,125,402, respectively)
  
$
10,990,057
    
$
15,354,144
  
Cash
    
209,613
      
267,281
  
Receivables:
                
Securities sold
    
—
      
1,352,421
  
Fund shares issued
    
4,968
      
20,965
  
Due from Advisor (Note 4)
    
6,246
      
239
  
Dividends
    
4,954
      
4,976
  
Dividend tax reclaim
    
429
      
—
  
Prepaid expenses
    
12,044
      
500
  
Total assets
    
11,228,311
      
17,000,526
  
LIABILITIES
                
Payables:
                
Securities purchased
    
170,689
      
1,430,787
  
Fund shares redeemed
    
330
      
—
  
Administration fees
    
6,114
      
6,331
  
Audit fees
    
9,702
      
9,702
  
Transfer agent fees and expenses
    
3,081
      
3,706
  
Custody fees
    
2,107
      
2,341
  
Fund accounting fees
    
5,465
      
6,525
  
Chief Compliance Officer fee
    
1,538
      
1,538
  
Shareholder reporting
    
1,615
      
1,059
  
Accrued other expenses
    
1,675
      
1,501
  
Total liabilities
    
202,316
      
1,463,490
  
NET ASSETS
  
$
11,025,995
    
$
15,537,036
  


The accompanying notes are an integral part of these financial statements.

40
O’Shaughnessy Mutual Funds

Statements of Assets and Liabilities (Continued)
at January 31, 2018 (Unaudited)

   
Small Cap
    
Small/Mid Cap
  
   
Value Fund
    
Growth Fund
  
CALCULATION OF NET ASSET VALUE PER SHARE
            
Class I Shares
            
Net assets applicable to shares outstanding
  
$
11,025,995
    
$
15,537,036
  
Shares issued and outstanding [unlimited
               
  number of shares (par value $0.01) authorized]
    
806,737
      
947,601
  
Net asset value, offering and redemption price per share
  
$
13.67
    
$
16.40
  
                 
COMPONENTS OF NET ASSETS
                
Paid-in capital
  
$
9,906,200
    
$
12,693,301
  
Undistributed net investment income/(loss)
    
9,319
      
(29,592
)
Accumulated net realized gain on investments
    
186,302
      
644,585
  
Net unrealized appreciation of investments
    
924,174
      
2,228,742
  
Net assets
  
$
11,025,995
    
$
15,537,036
  

 

 
The accompanying notes are an integral part of these financial statements.

41
O’Shaughnessy Mutual Funds

Statements of Operations
For the Six Months Ended January 31, 2018 (Unaudited)

   
All Cap
    
Enhanced
    
Market Leaders
  
   
Core Fund
    
Dividend Fund
    
Value Fund
  
INVESTMENT INCOME
                  
Income
                  
Dividends (net of foreign tax withheld and issuance
                 
  fees of $0, $11,094, and $5,113, respectively)
  
$
154,007
    
$
152,910
    
$
715,514
  
Total income
    
154,007
      
152,910
      
715,514
  
Expenses
                        
Advisory fees (Note 4)
    
40,940
      
36,856
      
160,053
  
12b-1 distribution fees – Class A (Note 5)
    
1,709
      
—
      
—
  
12b-1 distribution fees – Class C (Note 5)
    
24,859
      
—
      
—
  
Transfer agent fees and expenses (Note 4)
    
26,396
      
10,568
      
17,800
  
Administration fees (Note 4)
    
25,465
      
17,944
      
17,559
  
Fund accounting fees (Note 4)
    
24,759
      
16,500
      
16,282
  
Registration fees
    
24,615
      
9,292
      
18,127
  
Audit fees
    
11,610
      
10,098
      
10,099
  
Trustee fees and expenses
    
5,622
      
5,355
      
5,503
  
Custody fees (Note 4)
    
4,706
      
4,197
      
6,189
  
Chief Compliance Officer fee (Note 4)
    
4,537
      
4,539
      
4,536
  
Reports to shareholders
    
3,007
      
31
      
2,361
  
Legal fees
    
2,892
      
3,088
      
2,499
  
Miscellaneous expense
    
2,743
      
2,161
      
2,762
  
Insurance expense
    
881
      
857
      
1,558
  
Total expenses
    
204,741
      
121,486
      
265,328
  
Advisory fee waiver and
                       
  expense reimbursement (Note 4)
    
(133,512
)
    
(65,352
)
    
(52,344
)
Net expenses
    
71,229
      
56,134
      
212,984
  
Net investment income
    
82,778
      
96,776
      
502,530
  
REALIZED AND UNREALIZED
                       
  GAIN/(LOSS) ON INVESTMENTS
                        
Net realized gain on investments
    
3,141,415
      
798,016
      
2,988,955
  
Net change in unrealized appreciation on investments
    
(1,633,439
)
    
1,190,880
      
7,314,359
  
Net realized and unrealized gain on investments
    
1,507,976
      
1,988,896
      
10,303,314
  
Net increase in net assets
                       
  resulting from operations
  
$
1,590,754
    
$
2,085,672
    
$
10,805,844
  


The accompanying notes are an integral part of these financial statements.

42
O’Shaughnessy Mutual Funds

Statements of Operations (Continued)
For the Six Months Ended January 31, 2018 (Unaudited)

   
Small Cap
    
Small/Mid Cap
  
   
Value Fund
    
Growth Fund
  
INVESTMENT INCOME
            
Income
            
Dividends (net of foreign tax withheld and issuance
           
  fees $1,163 and $821, respectively)
  
$
100,059
    
$
61,139
  
Total income
    
100,059
      
61,139
  
Expenses
                
Advisory fees (Note 4)
    
36,740
      
45,747
  
Transfer agent fees and expenses (Note 4)
    
9,867
      
12,026
  
Administration fees (Note 4)
    
18,090
      
18,434
  
Fund accounting fees (Note 4)
    
17,367
      
18,877
  
Registration fees
    
11,128
      
9,999
  
Audit fees
    
10,099
      
10,098
  
Trustee fees and expenses
    
5,028
      
5,432
  
Custody fees (Note 4)
    
8,208
      
6,678
  
Chief Compliance Officer fee (Note 4)
    
4,536
      
4,536
  
Reports to shareholders
    
654
      
1,052
  
Legal fees
    
1,182
      
3,039
  
Miscellaneous expense
    
1,450
      
2,148
  
Insurance expense
    
1,337
      
882
  
Total expenses
    
125,686
      
138,948
  
Advisory fee waiver and expense reimbursement (Note 4)
    
(82,895
)
    
(48,217
)
Net expenses
    
42,791
      
90,731
  
Net investment income/(loss)
    
57,268
      
(29,592
)
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
                
Net realized gain on investments
    
412,354
      
1,320,757
  
Net change in unrealized appreciation on investments
    
229,507
      
399,742
  
Net realized and unrealized gain on investments
    
641,861
      
1,720,499
  
Net increase in net assets resulting from operations
  
$
699,129
    
$
1,690,907
  


The accompanying notes are an integral part of these financial statements.

43
O’Shaughnessy All Cap Core Fund

Statements of Changes in Net Assets

   
Six Months Ended
        
   
January 31, 2018
    
Year Ended
  
   
(Unaudited)
    
July 31, 2017
  
INCREASE/(DECREASE) IN NET ASSETS FROM:
            
OPERATIONS
            
Net investment income
  
$
82,778
    
$
426,704
  
Net realized gain on investments
    
3,141,415
      
8,424,064
  
Net change in unrealized appreciation on investments
    
(1,633,439
)
    
(5,675,343
)
Net increase in net assets resulting from operations
    
1,590,754
      
3,175,425
  
                 
DISTRIBUTIONS TO SHAREHOLDERS
                
From net investment income
                
Class A Shares
    
(19,622
)
    
(35,627
)
Class C Shares
    
(29,383
)
    
(83,665
)
Class I Shares
    
(162,132
)
    
(347,067
)
From net realized gain on investments
                
Class A Shares
    
(356,661
)
    
(106,256
)
Class C Shares
    
(1,306,314
)
    
(362,596
)
Class I Shares
    
(2,405,474
)
    
(911,576
)
Total distributions to shareholders
    
(4,279,586
)
    
(1,846,787
)
                 
CAPITAL SHARE TRANSACTIONS
                
Net decrease in net assets derived
                
  from net change in outstanding shares (a)
    
(3,176,917
)
    
(60,340,929
)
Total decrease in net assets
    
(5,865,749
)
    
(59,012,291
)
                 
NET ASSETS
                
Beginning of period
    
17,200,328
      
76,212,619
  
End of period
  
$
11,334,579
    
$
17,200,328
  
Includes undistributed net investment income of
  
$
4,558
    
$
132,917
  


The accompanying notes are an integral part of these financial statements.

44
O’Shaughnessy All Cap Core Fund

Statements of Changes in Net Assets (Continued)

(a)  A summary of share transactions is as follows:

   
Six Months Ended
        
   
January 31, 2018
    
Year Ended
  
   
(Unaudited)
    
July 31, 2017
  
Class A Shares
            
Net proceeds from shares sold
  
$
23,571
    
$
403,167
  
Distributions reinvested
    
339,562
      
133,579
  
Payment for shares redeemed
    
(1,107,722
)+
    
(903,224
)
Net decrease in net assets from capital share transactions
  
$
(744,589
)
  
$
(366,478
)
+  Net of redemption fees of
  
$
217
    
$
—
  
                 
Class C Shares
                
Net proceeds from shares sold
  
$
—
    
$
417,050
  
Distributions reinvested
    
1,230,612
      
443,108
  
Payment for shares redeemed
    
(2,053,394
)
    
(4,270,160
)
Net decrease in net assets from capital share transactions
  
$
(822,782
)
  
$
(3,410,002
)
                 
Class I Shares
                
Net proceeds from shares sold
  
$
544,008
    
$
2,966,143
  
Distributions reinvested
    
2,223,546
      
1,030,987
  
Payment for shares redeemed
    
(4,377,100
)
    
(60,561,579
)+
Net decrease in net assets from capital share transactions
  
$
(1,609,546
)
  
$
(56,564,449
)
+  Net of redemption fees of
  
$
—
    
$
5,583
  
   
$
(3,176,917
)
  
$
(60,340,929
)
                 
Class A Shares
                
Shares sold
    
1,415
      
26,309
  
Shares issued on reinvestment of distributions
    
27,833
      
8,771
  
Shares redeemed
    
(71,555
)
    
(61,046
)
Net decrease in shares outstanding
    
(42,307
)
    
(25,966
)
                 
Class C Shares
                
Shares sold
    
—
      
27,740
  
Shares issued on reinvestment of distributions
    
106,363
      
30,246
  
Shares redeemed
    
(127,231
)
    
(295,524
)
Net decrease in shares outstanding
    
(20,868
)
    
(237,538
)
                 
Class I Shares
                
Shares sold
    
33,744
      
199,582
  
Shares issued on reinvestment of distributions
    
184,833
      
68,277
  
Shares redeemed
    
(294,615
)
    
(4,141,507
)
Net decrease in shares outstanding
    
(76,038
)
    
(3,873,648
)
     
(139,213
)
    
(4,137,152
)


The accompanying notes are an integral part of these financial statements.

45
O’Shaughnessy Enhanced Dividend Fund

Statements of Changes in Net Assets

   
Six Months Ended
        
   
January 31, 2018
    
Year Ended
  
   
(Unaudited)
    
July 31, 2017
  
INCREASE/(DECREASE) IN NET ASSETS FROM:
            
OPERATIONS
            
Net investment income
  
$
96,776
    
$
388,761
  
Net realized gain on investments
    
798,016
      
570,478
  
Net change in unrealized appreciation on investments
    
1,190,880
      
1,010,492
  
Net increase in net assets resulting from operations
    
2,085,672
      
1,969,731
  
                 
DISTRIBUTIONS TO SHAREHOLDERS
                
From net investment income
                
Class I Shares
    
(108,174
)
    
(389,671
)
Total distributions to shareholders
    
(108,174
)
    
(389,671
)
                 
CAPITAL SHARE TRANSACTIONS
                
Net decrease in net assets derived
                
  from net change in outstanding shares (a)
    
(1,079,566
)
    
(10,365,757
)
Total increase/(decrease) in net assets
    
897,932
      
(8,785,697
)
                 
NET ASSETS
                
Beginning of period
    
11,194,551
      
19,980,248
  
End of period
  
$
12,092,483
    
$
11,194,551
  
Includes undistributed net investment loss of
  
$
(11,398
)
  
$
—
  
                 
(a)  A summary of share transactions is as follows:
                
                 
Class I Shares
                
Net proceeds from shares sold
  
$
544,909
    
$
313,419
  
Distributions reinvested
    
65,477
      
219,605
  
Payment for shares redeemed
    
(1,689,952
)+
    
(10,898,781
)+
Net decrease in net assets from capital share transactions
  
$
(1,079,566
)
  
$
(10,365,757
)
+  Net of redemption fees of
  
$
14
    
$
335
  
                 
Class I Shares
                
Shares sold
    
47,967
      
29,959
  
Shares issued on reinvestment of distributions
    
5,734
      
21,090
  
Shares redeemed
    
(145,672
)
    
(1,061,735
)
Net decrease in shares outstanding
    
(91,971
)
    
(1,010,686
)


The accompanying notes are an integral part of these financial statements.

46
O’Shaughnessy Market Leaders Value Fund

Statements of Changes in Net Assets

   
Six Months Ended
        
   
January 31, 2018
    
Year Ended
  
   
(Unaudited)
    
July 31, 2017
  
INCREASE/(DECREASE) IN NET ASSETS FROM:
            
OPERATIONS
            
Net investment income
  
$
502,530
    
$
517,731
  
Net realized gain on investments
    
2,988,955
      
1,052,192
  
Net change in unrealized appreciation on investments
    
7,314,359
      
4,983,621
  
Net increase in net assets resulting from operations
    
10,805,844
      
6,553,544
  
                 
DISTRIBUTIONS TO SHAREHOLDERS
                
From net investment income
                
Class I Shares
    
(849,782
)
    
(204,550
)
From net realized gain on investments
                
Class I Shares
    
(1,625,348
)
    
—
  
Total distributions to shareholders
    
(2,475,130
)
    
(204,550
)
                 
CAPITAL SHARE TRANSACTIONS
                
Net increase in net assets derived
                
  from net change in outstanding shares (a)
    
18,243,389
      
35,202,744
  
Total increase in net assets
    
26,574,103
      
41,551,738
  
                 
NET ASSETS
                
Beginning of period
    
56,835,401
      
15,283,663
  
End of period
  
$
83,409,504
    
$
56,835,401
  
Includes undistributed net investment income of
  
$
21,138
    
$
368,390
  
                 
(a)  A summary of share transactions is as follows:
                
                 
Class I Shares
                
Net proceeds from shares sold
  
$
18,922,598
    
$
41,128,232
  
Distributions reinvested
    
1,754,095
      
131,700
  
Payment for shares redeemed
    
(2,433,304
)+
    
(6,057,188
)+
Net increase in net assets from capital share transactions
  
$
18,243,389
    
$
35,202,744
  
+  Net of redemption fees of
  
$
790
    
$
1,639
  
                 
Class I Shares
                
Shares sold
    
1,330,566
      
3,373,817
  
Shares issued on reinvestment of distributions
    
124,847
      
10,902
  
Shares redeemed
    
(173,900
)
    
(503,700
)
Net increase in shares outstanding
    
1,281,513
      
2,881,019
  


The accompanying notes are an integral part of these financial statements.

47
O’Shaughnessy Small Cap Value Fund

Statements of Changes in Net Assets

   
Six Months Ended
        
   
January 31, 2018
    
Year Ended
  
   
(Unaudited)
    
July 31, 2017
  
INCREASE/(DECREASE) IN NET ASSETS FROM:
            
OPERATIONS
            
Net investment income
  
$
57,268
    
$
56,107
  
Net realized gain on investments
    
412,354
      
212,209
  
Net change in unrealized appreciation on investments
    
229,507
      
587,245
  
Net increase in net assets resulting from operations
    
699,129
      
855,561
  
                 
DISTRIBUTIONS TO SHAREHOLDERS
                
From net investment income
                
Class I Shares
    
(67,293
)
    
(49,958
)
From net realized gain on investments
                
Class I Shares
    
(406,868
)
    
—
  
Total distributions to shareholders
    
(474,161
)
    
(49,958
)
                 
CAPITAL SHARE TRANSACTIONS
                
Net increase in net assets derived
                
  from net change in outstanding shares (a)
    
3,539,692
      
3,827,236
  
Total increase in net assets
    
3,764,660
      
4,632,839
  
                 
NET ASSETS
                
Beginning of period
    
7,261,335
      
2,628,496
  
End of period
  
$
11,025,995
    
$
7,261,335
  
Includes undistributed net investment income of
  
$
9,319
    
$
19,344
  
                 
(a)  A summary of share transactions is as follows:
                
                 
Class I Shares
                
Net proceeds from shares sold
  
$
3,490,697
    
$
4,157,720
  
Distributions reinvested
    
410,973
      
46,638
  
Payment for shares redeemed
    
(361,978
)
    
(377,122
)+
Net increase in net assets from capital share transactions
  
$
3,539,692
    
$
3,827,236
  
+  Net of redemption fees of
  
$
—
    
$
265
  
                 
Class I Shares
                
Shares sold
    
255,260
      
333,018
  
Shares issued on reinvestment of distributions
    
30,854
      
3,638
  
Shares redeemed
    
(26,875
)
    
(30,226
)
Net increase in shares outstanding
    
259,239
      
306,430
  


The accompanying notes are an integral part of these financial statements.

48
O’Shaughnessy Small/Mid Cap Growth Fund

Statements of Changes in Net Assets

   
Six Months Ended
        
   
January 31, 2018
    
Year Ended
  
   
(Unaudited)
    
July 31, 2017
  
INCREASE/(DECREASE) IN NET ASSETS FROM:
            
OPERATIONS
            
Net investment income/(loss)
  
$
(29,592
)
  
$
39,466
  
Net realized gain on investments
    
1,320,757
      
1,539,972
  
Net change in unrealized appreciation on investments
    
399,742
      
552,099
  
Net increase in net assets resulting from operations
    
1,690,907
      
2,131,537
  
                 
DISTRIBUTIONS TO SHAREHOLDERS
                
From net investment income
                
Class I Shares
    
(38,646
)
    
(45,587
)
From net realized gain on investments
                
Class I Shares
    
(1,263,247
)
    
—
  
Total distributions to shareholders
    
(1,301,893
)
    
(45,587
)
                 
CAPITAL SHARE TRANSACTIONS
                
Net increase/(decrease) in net assets derived
                
  from net change in outstanding shares (a)
    
480,092
      
(1,721,384
)
Total increase in net assets
    
869,106
      
364,566
  
                 
NET ASSETS
                
Beginning of period
    
14,667,930
      
14,303,364
  
End of period
  
$
15,537,036
    
$
14,667,930
  
Includes undistributed net investment income/(loss) of
  
$
(29,592
)
  
$
38,646
  
                 
(a)  A summary of share transactions is as follows:
                
                 
Class I Shares
                
Net proceeds from shares sold
  
$
974,571
    
$
1,803,948
  
Distributions reinvested
    
741,243
      
26,980
  
Payment for shares redeemed
    
(1,235,722
)
    
(3,552,312
)+
Net increase/(decrease) in net assets from capital share transactions
  
$
480,092
    
$
(1,721,384
)
+  Net of redemption fees of
  
$
—
    
$
76
  
                 
Class I Shares
                
Shares sold
    
59,032
      
121,245
  
Shares issued on reinvestment of distributions
    
47,853
      
1,790
  
Shares redeemed
    
(74,475
)
    
(232,613
)
Net increase/(decrease) in shares outstanding
    
32,410
      
(109,578
)


The accompanying notes are an integral part of these financial statements.

49
O’Shaughnessy All Cap Core Fund

Financial Highlights
For a share outstanding throughout the period

Class A Shares
   
Six Months
                                
   
Ended
    
Year
    
Year
    
Year
    
Year
    
Year
  
   
January 31,
    
Ended
    
Ended
    
Ended
    
Ended
    
Ended
  
   
2018
    
July 31,
    
July 31,
    
July 31,
    
July 31,
    
July 31,
  
   
(Unaudited)
    
2017
    
2016
    
2015
    
2014
    
2013
  
Net asset value, beginning of period
  
$
16.85
    
$
14.87
    
$
15.91
    
$
17.07
    
$
15.98
    
$
12.78
  
                                                 
Income from investment operations:
                                                
Net investment income†
    
0.10
      
0.20
      
0.18
      
0.17
      
0.12
      
0.20
  
Net realized and unrealized
                                               
  gain/(loss) on investments
    
1.70
      
3.05
      
(0.01
)
    
1.17
      
2.35
      
3.17
  
Total from investment operations
    
1.80
      
3.25
      
0.17
      
1.34
      
2.47
      
3.37
  
                                                 
Less distributions:
                                                
From net investment income
    
(0.30
)
    
(0.32
)
    
(0.08
)
    
(0.07
)
    
(0.13
)
    
(0.17
)
From net realized
                                               
  gain on investments
    
(5.41
)
    
(0.95
)
    
(1.16
)
    
(2.43
)
    
(1.25
)
    
—
  
Total distributions
    
(5.71
)
    
(1.27
)
    
(1.24
)
    
(2.50
)
    
(1.38
)
    
(0.17
)
                                                 
Redemption fees retained
  
0.00
 †^    
—
      
0.03
†
    
—
      
—
    
0.00
 †^
                                                 
Net asset value, end of period
  
$
12.94
    
$
16.85
    
$
14.87
    
$
15.91
    
$
17.07
    
$
15.98
  
                                                 
Total return
    
12.75
%++
    
22.78
%
    
1.45
%
    
8.19
%
    
15.89
%
    
26.74
%
                                                 
Ratios/supplemental data:
                                                
Net assets, end of period (thousands)
  
$
924
    
$
1,916
    
$
2,077
    
$
2,379
    
$
6,471
    
$
4,204
  
                                                 
Ratio of expenses to average net assets:
                                                
Before fee waiver and expense
                                               
  reimbursement/recoupment
    
2.63
%+
    
2.01
%
    
1.15
%
    
1.03
%
    
1.01
%
    
1.07
%
After fee waiver and expense
                                               
  reimbursement/recoupment
    
0.85
%+
    
0.85
%
    
0.85
%
    
0.93
%#
    
1.23
%
    
1.24
%
                                                 
Ratio of net investment income/(loss)
                                               
  to average net assets:
                                                
Before fee waiver and expense
                                               
  reimbursement/recoupment
    
(0.56
)%+
    
0.13
%
    
0.91
%
    
0.93
%
    
0.91
%
    
1.62
%
After fee waiver and expense
                                               
  reimbursement/recoupment
    
1.22
%+
    
1.29
%
    
1.21
%
    
1.03
%
    
0.69
%
    
1.45
%
                                                 
Portfolio turnover rate
    
39.91
%++
    
60.54
%
    
104.46
%
    
81.23
%
    
71.56
%
    
57.50
%

+
  
Annualized.
++
  
Not annualized.
†
  
Based on average shares outstanding.
^
  
Amount is less than $0.01.
#
  
Effective January 1, 2015, the Advisor agreed to temporarily lower the net annual operating expense limit to 0.85%.


The accompanying notes are an integral part of these financial statements.

50
O’Shaughnessy All Cap Core Fund

Financial Highlights
For a share outstanding throughout the period

Class C Shares
   
Six Months
                                
   
Ended
    
Year
    
Year
    
Year
    
Year
    
Year
  
   
January 31,
    
Ended
    
Ended
    
Ended
    
Ended
    
Ended
  
   
2018
    
July 31,
    
July 31,
    
July 31,
    
July 31,
    
July 31,
  
   
(Unaudited)
    
2017
    
2016
    
2015
    
2014
    
2013
  
Net asset value, beginning of period
  
$
16.13
    
$
14.30
    
$
15.41
    
$
16.68
    
$
15.67
    
$
12.55
  
                                                 
Income from investment operations:
                                                
Net investment income/(loss)†
    
0.03
      
0.08
      
0.07
      
0.04
      
(0.01
)
    
0.10
  
Net realized and unrealized
                                               
  gain/(loss) on investments
    
1.63
      
2.92
      
(0.02
)
    
1.15
      
2.31
      
3.11
  
Total from investment operations
    
1.66
      
3.00
      
0.05
      
1.19
      
2.30
      
3.21
  
                                                 
Less distributions:
                                                
From net investment income
    
(0.13
)
    
(0.22
)
    
—
      
(0.03
)
    
(0.04
)
    
(0.09
)
From net realized
                                               
  gain on investments
    
(5.41
)
    
(0.95
)
    
(1.16
)
    
(2.43
)
    
(1.25
)
    
—
  
Total distributions
    
(5.54
)
    
(1.17
)
    
(1.16
)
    
(2.46
)
    
(1.29
)
    
(0.09
)
                                                 
Redemption fees retained
    
—
      
—
      
—
      
—
    
0.00
 †^  
0.00
 †^
                                                 
Net asset value, end of period
  
$
12.25
    
$
16.13
    
$
14.30
    
$
15.41
    
$
16.68
    
$
15.67
  
                                                 
Total return
    
12.28
%++
    
21.83
%
    
0.45
%
    
7.40
%
    
15.02
%
    
25.77
%
                                                 
Ratios/supplemental data:
                                                
Net assets, end of period (thousands)
  
$
4,136
    
$
5,782
    
$
8,521
    
$
10,082
    
$
10,139
    
$
7,485
  
                                                 
Ratio of expenses to average net assets:
                                                
Before fee waiver and expense
                                               
  reimbursement/recoupment
    
3.40
%+
    
2.71
%
    
1.90
%
    
1.77
%
    
1.76
%
    
1.82
%
After fee waiver and expense
                                               
  reimbursement/recoupment
    
1.60
%+
    
1.60
%
    
1.60
%
    
1.67
%#
    
1.98
%
    
1.99
%
                                                 
Ratio of net investment income/(loss)
                                               
  to average net assets:
                                                
Before fee waiver and expense
                                               
  reimbursement/recoupment
    
(1.38
)%+
    
(0.54
)%
    
0.17
%
    
0.14
%
    
0.18
%
    
0.89
%
After fee waiver and expense
                                               
  reimbursement/recoupment
    
0.42
%+
    
0.57
%
    
0.47
%
    
0.24
%
    
(0.04
)%
    
0.72
%
                                                 
Portfolio turnover rate
    
39.91
%++
    
60.54
%
    
104.46
%
    
81.23
%
    
71.56
%
    
57.50
%

+
  
Annualized.
++
  
Not annualized.
†
  
Based on average shares outstanding.
^
  
Amount is less than $0.01.
#
  
Effective January 1, 2015, the Advisor agreed to temporarily lower the net annual operating expense limit to 1.60%.


The accompanying notes are an integral part of these financial statements.

51
O’Shaughnessy All Cap Core Fund

Financial Highlights
For a share outstanding throughout the period

Class I Shares
   
Six Months
                                
   
Ended
    
Year
    
Year
    
Year
    
Year
    
Year
  
   
January 31,
    
Ended
    
Ended
    
Ended
    
Ended
    
Ended
  
   
2018
    
July 31,
    
July 31,
    
July 31,
    
July 31,
    
July 31,
  
   
(Unaudited)
    
2017
    
2016
    
2015
    
2014
    
2013
  
Net asset value, beginning of period
  
$
16.73
    
$
14.77
    
$
15.84
    
$
17.04
    
$
15.95
    
$
12.77
  
                                                 
Income from investment operations:
                                                
Net investment income†
    
0.12
      
0.24
      
0.21
      
0.20
      
0.16
      
0.23
  
Net realized and unrealized
                                               
  gain/(loss) on investments
    
1.68
      
3.03
      
(0.01
)
    
1.18
      
2.35
      
3.16
  
Total from investment operations
    
1.80
      
3.27
      
0.20
      
1.38
      
2.51
      
3.39
  
                                                 
Less distributions:
                                                
From net investment income
    
(0.37
)
    
(0.36
)
    
(0.11
)
    
(0.15
)
    
(0.17
)
    
(0.21
)
From net realized
                                               
  gain on investments
    
(5.41
)
    
(0.95
)
    
(1.16
)
    
(2.43
)
    
(1.25
)
    
—
  
Total distributions
    
(5.78
)
    
(1.31
)
    
(1.27
)
    
(2.58
)
    
(1.42
)
    
(0.21
)
                                                 
Redemption fees retained
    
—
    
0.00
 †^  
0.00
 †^  
0.00
 †^  
0.00
 †^  
0.00
 †^
                                                 
Net asset value, end of period
  
$
12.75
    
$
16.73
    
$
14.77
    
$
15.84
    
$
17.04
    
$
15.95
  
                                                 
Total return
    
12.82
%++
    
23.14
%
    
1.46
%
    
8.49
%
    
16.18
%
    
26.93
%
                                                 
Ratios/supplemental data:
                                                
Net assets, end of period (thousands)
  
$
6,275
    
$
9,502
    
$
65,615
    
$
106,675
    
$
119,470
    
$
114,220
  
                                                 
Ratio of expenses to average net assets:
                                                
Before fee waiver and expense
                                               
  reimbursement/recoupment
    
2.39
%+
    
1.31
%
    
0.90
%
    
0.77
%
    
0.76
%
    
0.82
%
After fee waiver and expense
                                               
  reimbursement/recoupment
    
0.60
%+
    
0.60
%
    
0.60
%
    
0.67
%#
    
0.98
%
    
0.99
%
                                                 
Ratio of net investment income/(loss)
                                               
  to average net assets:
                                                
Before fee waiver and expense
                                               
  reimbursement/recoupment
    
(0.29
)%+
    
0.91
%
    
1.15
%
    
1.15
%
    
1.18
%
    
1.79
%
After fee waiver and expense
                                               
  reimbursement/recoupment
    
1.50
%+
    
1.62
%
    
1.45
%
    
1.25
%
    
0.96
%
    
1.62
%
                                                 
Portfolio turnover rate
    
39.91
%++
    
60.54
%
    
104.46
%
    
81.23
%
    
71.56
%
    
57.50
%

+
  
Annualized.
++
  
Not annualized.
†
  
Based on average shares outstanding.
^
  
Amount is less than $0.01.
#
  
Effective January 1, 2015, the Advisor agreed to temporarily lower the net annual operating expense limit to 0.60%.


The accompanying notes are an integral part of these financial statements.

52
O’Shaughnessy Enhanced Dividend Fund

Financial Highlights
For a share outstanding throughout the period

Class I Shares
   
Six Months
                                
   
Ended
    
Year
    
Year
    
Year
    
Year
    
Year
  
   
January 31,
    
Ended
    
Ended
    
Ended
    
Ended
    
Ended
  
   
2018
    
July 31,
    
July 31,
    
July 31,
    
July 31,
    
July 31,
  
   
(Unaudited)
    
2017
    
2016
    
2015
    
2014
    
2013
  
Net asset value, beginning of period
  
$
11.03
    
$
9.87
    
$
9.97
    
$
13.59
    
$
11.96
    
$
10.70
  
                                                 
Income from investment operations:
                                                
Net investment income†
    
0.10
      
0.29
      
0.34
      
0.38
      
0.72
      
0.43
  
Net realized and unrealized
                                               
  gain/(loss) on investments
    
2.09
      
1.17
      
(0.10
)
    
(2.78
)
    
1.60
      
1.21
  
Total from investment operations
    
2.19
      
1.46
      
0.24
      
(2.40
)
    
2.32
      
1.64
  
                                                 
Less distributions:
                                                
From net investment income
    
(0.11
)
    
(0.30
)
    
(0.34
)
    
(0.44
)
    
(0.68
)
    
(0.38
)
From net realized
                                               
  gain on investments
    
—
      
—
      
—
      
(0.78
)
    
(0.01
)
    
—
  
Total distributions
    
(0.11
)
    
(0.30
)
    
(0.34
)
    
(1.22
)
    
(0.69
)
    
(0.38
)
                                                 
Redemption fees retained†^
    
0.00
      
0.00
      
0.00
      
0.00
      
0.00
      
0.00
  
                                                 
Net asset value, end of period
  
$
13.11
    
$
11.03
    
$
9.87
    
$
9.97
    
$
13.59
    
$
11.96
  
                                                 
Total return
    
20.02
%++
    
15.02
%
    
2.74
%
    
-18.11
%
    
19.64
%
    
15.52
%
                                                 
Ratios/supplemental data:
                                                
Net assets, end of period (thousands)
  
$
12,092
    
$
11,195
    
$
19,980
    
$
37,492
    
$
127,799
    
$
72,140
  
                                                 
Ratio of expenses to average net assets:
                                                
Before fee waiver and expense
                                               
  reimbursement/recoupment
    
2.14
%+
    
1.86
%
    
1.40
%
    
0.94
%#
    
0.87
%
    
1.08
%
After fee waiver and expense
                                               
  reimbursement/recoupment
    
0.99
%+
    
0.99
%
    
0.99
%
    
1.02
%#
    
0.99
%
    
0.99
%
                                                 
Ratio of net investment income
                                               
  to average net assets:
                                                
Before fee waiver and expense
                                               
  reimbursement/recoupment
    
0.56
%+
    
1.89
%
    
3.23
%
    
3.34
%
    
5.64
%
    
3.58
%
After fee waiver and expense
                                               
  reimbursement/recoupment
    
1.71
%+
    
2.76
%
    
3.64
%
    
3.26
%
    
5.52
%
    
3.67
%
                                                 
Portfolio turnover rate
    
32.03
%++
    
37.49
%
    
47.61
%
    
50.89
%
    
45.47
%
    
35.48
%

+
  
Annualized.
++
  
Not annualized.
†
  
Based on average shares outstanding.
^
  
Amount is less than $0.01.
#
  
Includes expenses of Class A shares and Class C shares which converted to Class I shares on November 28, 2014.


The accompanying notes are an integral part of these financial statements.

53
O’Shaughnessy Market Leaders Value Fund

Financial Highlights
For a share outstanding throughout the period

Class I Shares
   
Six Months Ended
        
February 26, 2016*
  
   
January 31, 2018
    
Year Ended
    
to
    
   
(Unaudited)
    
July 31, 2017
    
July 31, 2016
    
Net asset value, beginning of period
  
$
13.26
    
$
10.87
    
$
10.00
    
                           
Income from investment operations:
                          
Net investment income†
    
0.11
      
0.22
      
0.08
    
Net realized and unrealized gain on investments
    
2.13
      
2.29
      
0.79
    
Total from investment operations
    
2.24
      
2.51
      
0.87
    
                           
Less distributions:
                          
From net investment income
    
(0.18
)
    
(0.12
)
    
—
    
From net realized gain on investments
    
(0.34
)
    
—
      
—
    
Total distributions
    
(0.52
)
    
(0.12
)
    
—
    
                           
Redemption fees retained†^
    
0.00
      
0.00
      
0.00
    
                           
Net asset value, end of period
  
$
14.98
    
$
13.26
    
$
10.87
    
                           
Total return
    
17.14
%++
    
23.25
%
    
8.70
%++
  
                           
Ratios/supplemental data:
                          
Net assets, end of period (thousands)
  
$
83,410
    
$
56,835
    
$
15,284
    
                           
Ratio of expenses to average net assets:
                          
Before expense reimbursement
    
0.81
%+
    
1.20
%
    
2.98
%+
  
After expense reimbursement
    
0.65
%+
    
0.65
%
    
0.65
%+
  
                           
Ratio of net investment income/(loss)
                         
  to average net assets:
                          
Before expense reimbursement
    
1.37
%+
    
1.23
%
    
(0.63
)%+
  
After expense reimbursement
    
1.53
%+
    
1.78
%
    
1.70
%+
  
                           
Portfolio turnover rate
    
23.68
%++
    
63.30
%
    
2.32
%++
  

*
  
Commencement of operations.
+
  
Annualized.
++
  
Not annualized.
†
  
Based on average shares outstanding.
^
  
Amount is less than $0.01.


The accompanying notes are an integral part of these financial statements.

54
O’Shaughnessy Small Cap Value Fund

Financial Highlights
For a share outstanding throughout the period

Class I Shares
   
Six Months Ended
        
February 26, 2016*
  
   
January 31, 2018
    
Year Ended
    
to
    
   
(Unaudited)
    
July 31, 2017
    
July 31, 2016
    
Net asset value, beginning of period
  
$
13.26
    
$
10.90
    
$
10.00
    
                           
Income from investment operations:
                          
Net investment income†
    
0.08
      
0.20
      
0.05
    
Net realized and unrealized gain on investments
    
1.05
      
2.31
      
0.84
    
Total from investment operations
    
1.13
      
2.51
      
0.89
    
                           
Less distributions:
                          
From net investment income
    
(0.10
)
    
(0.15
)
    
—
    
From net realized gain on investments
    
(0.62
)
    
—
      
—
    
Total distributions
    
(0.72
)
    
(0.15
)
    
—
    
                           
Redemption fees retained
    
—
    
0.00
 †^    
0.01
†
  
                           
Net asset value, end of period
  
$
13.67
    
$
13.26
    
$
10.90
    
                           
Total return
    
8.66
%++
    
23.04
%
    
9.00
%++
  
                           
Ratios/supplemental data:
                          
Net assets, end of period (thousands)
  
$
11,026
    
$
7,261
    
$
2,628
    
                           
Ratio of expenses to average net assets:
                          
Before expense reimbursement
    
2.91
%+
    
4.80
%
    
10.64
%+
  
After expense reimbursement
    
0.99
%+
    
0.99
%
    
0.99
%+
  
                           
Ratio of net investment income/(loss)
                         
  to average net assets:
                          
Before expense reimbursement
    
(0.59
)%+
    
(2.21
)%
    
(8.57
)%+
  
After expense reimbursement
    
1.33
%+
    
1.60
%
    
1.08
%+
  
                           
Portfolio turnover rate
    
41.20
%++
    
77.61
%
    
19.10
%++
  

*
  
Commencement of operations.
+
  
Annualized.
++
  
Not annualized.
†
  
Based on average shares outstanding.
^
  
Amount is less than $0.01.


The accompanying notes are an integral part of these financial statements.

55
O’Shaughnessy Small/Mid Cap Growth Fund

Financial Highlights
For a share outstanding throughout the period

Class I Shares
   
Six Months
                                
   
Ended
    
Year
    
Year
    
Year
    
Year
    
Year
  
   
January 31,
    
Ended
    
Ended
    
Ended
    
Ended
    
Ended
  
   
2018
    
July 31,
    
July 31,
    
July 31,
    
July 31,
    
July 31,
  
   
(Unaudited)
    
2017
    
2016
    
2015
    
2014
    
2013
  
Net asset value, beginning of period
  
$
16.03
    
$
13.96
    
$
14.79
    
$
15.54
    
$
16.18
    
$
12.24
  
                                                 
Income from investment operations:
                                                
Net investment income/(loss)†
    
(0.03
)
    
0.04
      
0.05
      
0.09
    
0.00
 ^    
0.04
  
Net realized and unrealized
                                               
  gain on investments
    
1.86
      
2.07
      
0.05
      
1.11
      
1.76
      
3.95
  
Total from investment operations
    
1.83
      
2.11
      
0.10
      
1.20
      
1.76
      
3.99
  
                                                 
Less distributions:
                                                
From net investment income
    
(0.04
)
    
(0.04
)
    
(0.05
)
    
—
      
—
      
(0.05
)
From net realized
                                               
  gain on investments
    
(1.42
)
    
—
      
(0.88
)
    
(1.95
)
    
(2.40
)
    
—
  
Total distributions
    
(1.46
)
    
(0.04
)
    
(0.93
)
    
(1.95
)
    
(2.40
)
    
(0.05
)
                                                 
Redemption fees retained
    
—
    
0.00
 †^  
0.00
 †^  
0.00
 †^    
—
    
0.00
 †^
                                                 
Net asset value, end of period
  
$
16.40
    
$
16.03
    
$
13.96
    
$
14.79
    
$
15.54
    
$
16.18
  
                                                 
Total return
    
11.93
%++
    
15.17
%
    
0.87
%
    
8.54
%
    
10.83
%
    
32.75
%
                                                 
Ratios/supplemental data:
                                                
Net assets, end of period (thousands)
  
$
15,537
    
$
14,668
    
$
14,303
    
$
17,930
    
$
7,516
    
$
6,915
  
                                                 
Ratio of expenses to average net assets:
                                                
Before fee waiver and
                                               
  expense reimbursement
    
1.82
%+
    
1.84
%
    
1.83
%
    
1.95
%#
    
2.54
%
    
2.90
%
After fee waiver and
                                               
  expense reimbursement
    
1.19
%+
    
1.19
%
    
1.19
%
    
1.19
%#
    
1.19
%
    
1.19
%
                                                 
Ratio of net investment income/(loss)
                                               
  to average net assets:
                                                
Before fee waiver and
                                               
  expense reimbursement
    
(1.02
)%+
    
(0.38
)%
    
(0.30
)%
    
(0.15
)%
    
(1.34
)%
    
(1.42
)%
After fee waiver and
                                               
  expense reimbursement
    
(0.39
)%+
    
0.27
%
    
0.34
%
    
0.61
%
    
0.01
%
    
0.29
%
                                                 
Portfolio turnover rate
    
35.10
%++
    
99.34
%
    
90.41
%
    
83.71
%
    
98.91
%
    
93.42
%

+
  
Annualized.
++
  
Not annualized.
†
  
Based on average shares outstanding.
^
  
Amount is less than $0.01.
#
  
Includes expenses of Class A shares which converted to Class I shares on November 28, 2014.


The accompanying notes are an integral part of these financial statements.

56
O’Shaughnessy Mutual Funds

Notes to Financial Statements
at January 31, 2018 (Unaudited)

NOTE 1 – ORGANIZATION
 
The O’Shaughnessy All Cap Core Fund (the “All Cap Core Fund”), the O’Shaughnessy Enhanced Dividend Fund (the “Enhanced Dividend Fund”), the O’Shaughnessy Market Leaders Value Fund (the “Market Leaders Value Fund”), the O’Shaughnessy Small Cap Value Fund (the “Small Cap Value Fund”) and the O’Shaughnessy Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”) (together, the “Funds”) are each a series of Advisors Series Trust (the “Trust”), which is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company. The Funds follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”. The All Cap Core Fund, Enhanced Dividend Fund and Small/Mid Cap Growth Fund, which are each diversified funds, began operations on August 16, 2010. The Market Leaders Value Fund and Small Cap Value Fund, which are each diversified funds, began operations on February 26, 2016. The investment objectives of the All Cap Core, Market Leaders Value, Small Cap Value and Small/Mid Cap Growth Funds are to seek long-term capital appreciation and the investment objective of the Enhanced Dividend Fund is to seek long-term capital appreciation and income.
 
The All Cap Core Fund currently offers Class A shares, Class C shares and Class I shares. The Enhanced Dividend Fund, Market Leaders Value Fund, Small Cap Value Fund and the Small/Mid Cap Growth Fund currently offer only Class I shares.
 
Class A shares may be subject to a 5.25% front-end sales load.  Class A shares do not have a contingent deferred sales charge (“CDSC”) except that a charge of 1.00% applies to certain redemptions made within twelve months, following purchases of $1 million or more without an initial sales charge.  Class C shares may be subject to a CDSC of 1.00% on redemptions held for one year or less after purchase.
 
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES
 
The following is a summary of significant accounting policies consistently followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America.
 
A.
Security Valuation: All investments in securities are recorded at their estimated fair value, as described in note 3.
   
B.
Federal Income Taxes: It is the Funds’ policy to comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income or excise tax provision is required.
   
 
The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on the All Cap Core Fund’s, Enhanced Dividend Fund’s and Small/Mid Cap Growth Fund’s returns filed for open tax years 2015-2017, or on the Market Leaders Value Fund’s and Small Cap Value Fund’s returns filed for open tax years 2016-2017, or expected to be taken in the Funds’ 2018 tax returns. The Funds identify their major tax jurisdictions as U.S. Federal and the state of Wisconsin; however the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
   
C.
Security Transactions, Income and Distributions: Security transactions are accounted for on the trade date.  Realized gains and losses on securities sold are determined on the basis of identified cost. Interest income is recorded on an accrual basis. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.
   
 
The All Cap Core Fund, Market Leaders Value Fund, Small Cap Value Fund and Small/Mid Cap Growth Fund distribute substantially all net investment income, if any, and net realized gains, if any, annually.  The Enhanced Dividend Fund distributes substantially all net investment income, if any, monthly, and net realized gains, if any, annually. Distributions from net realized gains for book purposes may include short-term capital gains.  All short-term capital gains are included in ordinary income for tax purposes.  The amount of dividends and distributions to shareholders from net investment income and net realized capital gains is determined in

 
57
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES (Continued)
 
 
accordance with Federal income tax regulations which differ from accounting principles generally accepted in the United States of America. To the extent these book/tax differences are permanent, such amounts are reclassified within the capital accounts based on their Federal tax treatment.
   
 
Investment income, expenses (other than those specific to the class of shares), and realized and unrealized gains and losses on investments are allocated to the separate classes of a Fund based upon their relative net assets on the date income is earned or expensed and realized and unrealized gains and losses are incurred.
   
 
Each Fund is charged for those expenses that are directly attributable to the Fund, such as investment advisory, custody, and transfer agent fees. Expenses that are not attributable to a Fund are typically allocated among the Funds in proportion to their respective net assets. Common expenses of the Trust are typically allocated among the funds in the Trust based on a fund’s respective net assets, or by other equitable means.
   
D.
Reclassification of Capital Accounts: Accounting principles generally accepted in the United States of America require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.
   
E.
Use of Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets during the reporting period. Actual results could differ from those estimates.
   
F.
Redemption Fee: The Funds charge a 2.00% redemption fee to shareholders who redeem shares held 90 days or less. Such fees are retained by the Funds and accounted for as an addition to paid-in capital.
   
 
During the six months ended January 31, 2018, the Funds retained redemption fees as follows:
 
     
Class A
    
Class C
    
Class I
  
 
All Cap Core Fund
  
$
217
    
$
—
    
$
—
  
 
Enhanced Dividend Fund
    
N/A
      
N/A
      
14
  
 
Market Leaders Value Fund
    
N/A
      
N/A
      
790
  
 
Small Cap Value Fund
    
N/A
      
N/A
      
—
  
 
Small/Mid Cap Growth Fund
    
N/A
      
N/A
      
—
  
 
G.
REITs: The Funds may invest in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon funds available from operations.  It is quite common for these dividends to exceed the REIT’s taxable earnings and profits resulting in the excess portion of such dividends being designated as a return of capital.  The Funds intend to include the gross dividends from such REITs in their annual distributions to its shareholders and, accordingly, a portion of the Funds’ distributions may also be designated as a return of capital.
   
H.
Foreign Securities: The Funds may invest without limitation in securities of foreign companies. Foreign economies may differ from the U.S. economy and individual foreign companies may differ from domestic companies in the same industry. Foreign companies or entities are frequently not subject to accounting and financial reporting standards applicable to domestic companies, and there may be less information available about foreign issuers. Securities of foreign issuers are generally less liquid and more volatile than those of comparable domestic issuers. There is frequently less government regulation of brokerdealers and issuers than in the United States. In addition, investments in foreign countries are subject to the possibility of expropriation, confiscatory taxation, political or social instability or diplomatic developments that could adversely affect the value of those investments.
   
I.
Events Subsequent to the Fiscal Period End: In preparing the financial statements as of January 31, 2018, management considered the impact of subsequent events for potential recognition or disclosure in the financial statements.

 
58
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 3 – SECURITIES VALUATION
 
The Funds have adopted authoritative fair value accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value.  These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion in changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for major security types.  These inputs are summarized in the three broad levels listed below:
 
Level 1 –
Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.
   
Level 2 –
Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
   
Level 3 –
Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
 
Following is a description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis.
 
Each Fund determines the fair value of its investments and computes its net asset value per share as of the close of regular trading on the New York Stock Exchange (4:00 pm EST).
 
Equity Securities: The Funds’ investments are carried at fair value. Equity securities, including common stocks and preferred stocks, that are primarily traded on a national securities exchange shall be valued at the last sale price on the exchange on which they are primarily traded on the day of valuation or, if there has been no sale on such day, at the mean between the bid and asked prices. Securities primarily traded in the NASDAQ Global Market System for which market quotations are readily available shall be valued using the NASDAQ Official Closing Price (“NOCP”). If the NOCP is not available, such securities shall be valued at the last sale price on the day of valuation, or if there has been no sale on such day, at the mean between the bid and asked prices. Over-the-counter securities which are not traded in the NASDAQ Global Market System shall be valued at the most recent sales price. Investments in open-end mutual funds are valued at their net asset value per share. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in level 1 of the fair value hierarchy.
 
Short-Term Securities: Short-term debt securities, including those securities having a maturity of 60 days or less, are valued at the evaluated mean between the bid and asked prices.  To the extent the inputs are observable and timely, these securities would be classified in level 2 of the fair value hierarchy.
 
The Board of Trustees (“Board”) has delegated day-to-day valuation issues to a Valuation Committee of the Trust which is comprised of representatives from U.S. Bancorp Fund Services, LLC, the Funds’ administrator.  The function of the Valuation Committee is to value securities where current and reliable market quotations are not readily available or the closing price does not represent fair value by following procedures approved by the Board.  These procedures consider many factors, including the type of security, size of holding, trading volume and news events.  All actions taken by the Valuation Committee are subsequently reviewed and ratified by the Board.
 
Depending on the relative significance of the valuation inputs, fair valued securities may be classified in either level 2 or level 3 of the fair value hierarchy.
 
59
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 3 – SECURITIES VALUATION (Continued)
 
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.  The following is a summary of the inputs used to value the Funds’ securities as of January 31, 2018:
 
All Cap Core Fund
                        
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                        
  Consumer Discretionary
  
$
1,627,579
    
$
—
    
$
—
    
$
1,627,579
  
  Consumer Staples
    
934,678
      
—
      
—
      
934,678
  
  Energy
    
903,541
      
—
      
—
      
903,541
  
  Financials
    
2,022,461
      
—
      
—
      
2,022,461
  
  Health Care
    
1,292,322
      
—
      
—
      
1,292,322
  
  Industrials
    
1,121,782
      
—
      
—
      
1,121,782
  
  Information Technology
    
2,750,826
      
—
      
—
      
2,750,826
  
  Materials
    
633,243
      
—
      
—
      
633,243
  
  Real Estate
    
43,988
      
—
      
—
      
43,988
  
  Telecommunication Services
    
40,856
      
—
      
—
      
40,856
  
Total Common Stocks
    
11,371,276
      
—
      
—
      
11,371,276
  
Total Investments in Securities
  
$
11,371,276
    
$
—
    
$
—
    
$
11,371,276
  
                                 
Enhanced Dividend Fund
                                
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                                
  Consumer Discretionary
  
$
1,678,700
    
$
—
    
$
—
    
$
1,678,700
  
  Consumer Staples
    
681,456
      
—
      
—
      
681,456
  
  Energy
    
1,713,323
      
—
      
—
      
1,713,323
  
  Financials
    
3,077,207
      
—
      
—
      
3,077,207
  
  Health Care
    
722,775
      
—
      
—
      
722,775
  
  Industrials
    
522,275
      
—
      
—
      
522,275
  
  Information Technology
    
1,450,903
      
—
      
—
      
1,450,903
  
  Materials
    
934,464
      
—
      
—
      
934,464
  
  Telecommunication Services
    
1,104,561
      
—
      
—
      
1,104,561
  
Total Common Stocks
    
11,885,664
      
—
      
—
      
11,885,664
  
Total Investments in Securities
  
$
11,885,664
    
$
—
    
$
—
    
$
11,885,664
  
                                 
Market Leaders Value Fund
                                
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                                
  Consumer Discretionary
  
$
14,193,353
    
$
—
    
$
—
    
$
14,193,353
  
  Consumer Staples
    
9,608,873
      
—
      
—
      
9,608,873
  
  Energy
    
4,895,086
      
—
      
—
      
4,895,086
  
  Financials
    
21,303,833
      
—
      
—
      
21,303,833
  
  Health Care
    
6,381,087
      
—
      
—
      
6,381,087
  
  Industrials
    
9,039,823
      
—
      
—
      
9,039,823
  
  Information Technology
    
9,319,367
      
—
      
—
      
9,319,367
  
  Materials
    
5,887,134
      
—
      
—
      
5,887,134
  
  Telecommunication Services
    
1,232,378
      
—
      
—
      
1,232,378
  
Total Common Stocks
    
81,860,934
      
—
      
—
      
81,860,934
  
Total Investments in Securities
  
$
81,860,934
    
$
—
    
$
—
    
$
81,860,934
  

 
60
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 3 – SECURITIES VALUATION (Continued)
 
Small Cap Value Fund
                        
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                        
  Consumer Discretionary
  
$
1,830,953
    
$
—
    
$
—
    
$
1,830,953
  
  Consumer Staples
    
571,170
      
—
      
—
      
571,170
  
  Energy
    
1,012,388
      
—
      
—
      
1,012,388
  
  Financials
    
2,404,903
      
—
      
—
      
2,404,903
  
  Health Care
    
415,964
      
—
      
—
      
415,964
  
  Industrials
    
1,927,249
      
—
      
—
      
1,927,249
  
  Information Technology
    
1,539,116
      
—
      
—
      
1,539,116
  
  Materials
    
996,467
      
—
      
—
      
996,467
  
  Real Estate
    
87,808
      
—
      
—
      
87,808
  
  Utilities
    
191,143
      
—
      
—
      
191,143
  
Total Common Stocks
    
10,977,161
      
—
      
—
      
10,977,161
  
Preferred Stocks
                                
  Utilities
    
12,896
      
—
      
—
      
12,896
  
Total Preferred Stocks
    
12,896
      
—
      
—
      
12,896
  
Total Investments in Securities
  
$
10,990,057
    
$
—
    
$
—
    
$
10,990,057
  
                                 
Small/Mid Cap Growth Fund
                                
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Common Stocks
                                
  Consumer Discretionary
  
$
2,902,574
    
$
—
    
$
—
    
$
2,902,574
  
  Consumer Staples
    
408,797
      
—
      
—
      
408,797
  
  Energy
    
434,103
      
—
      
—
      
434,103
  
  Financials
    
1,271,147
      
—
      
—
      
1,271,147
  
  Health Care
    
2,223,306
      
—
      
—
      
2,223,306
  
  Industrials
    
2,662,526
      
—
      
—
      
2,662,526
  
  Information Technology
    
4,208,579
      
—
      
—
      
4,208,579
  
  Materials
    
896,090
      
—
      
—
      
896,090
  
  Real Estate
    
206,310
      
—
      
—
      
206,310
  
  Telecommunication Services
    
140,712
      
—
      
—
      
140,712
  
Total Common Stocks
    
15,354,144
      
—
      
—
      
15,354,144
  
Total Investments in Securities
  
$
15,354,144
    
$
—
    
$
—
    
$
15,354,144
  

Refer to the Funds’ schedules of investments for a detailed break-out of common stocks and preferred stocks by industry classification. Transfers between levels are recognized at January 31, 2018, the end of the reporting period. The Funds recognized no transfers to/from level 1 or level 2.  There were no level 3 securities held in the Funds during the six months ended January 31, 2018.
 
NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
 
For the six months ended January 31, 2018, O’Shaughnessy Asset Management, LLC (the “Advisor”) provided the Funds with investment management services under an investment advisory agreement. The Advisor furnished all investment advice, office space, facilities, and provides most of the personnel needed by the Funds. As compensation for its services, the Advisor is entitled to a fee, computed daily and payable monthly. The All Cap Core Fund, Enhanced Dividend Fund and Small/Mid Cap Growth Fund pay fees calculated at an annual rate of 0.55%, 0.65% and 0.60%, respectively, based upon the average daily net assets of each Fund.  For the Market Leaders Value Fund, the fees are calculated at an annual rate of 0.55% of average daily net assets for the first $25 million of assets, 0.45% of the Fund’s average daily net assets for the next $75 million of assets, and 0.35% of the Fund’s average daily net assets in excess of $100 million.  For the Small Cap Value Fund, the fees are
 
61
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES (Continued)
 
calculated at an annual rate of 0.85% of average daily net assets for the first $25 million of assets, 0.75% of the Fund’s average daily net assets for the next $75 million of assets, and 0.60% of the Fund’s average daily net assets in excess of $100 million.  For the six months ended January 31, 2018, the All Cap Core Fund, Enhanced Dividend Fund, Market Leaders Value Fund, Small Cap Value Fund and Small/Mid Cap Growth Fund incurred $40,940, $36,856, $160,053, $36,740 and $45,747 in advisory fees, respectively.
 
Each Fund is responsible for its own operating expenses. The Advisor has agreed to temporarily reduce, through at least November 27, 2018, fees payable to it by the All Cap Core Fund, Market Leaders Value Fund and the Small Cap Value Fund and to pay Fund operating expenses (excluding acquired fund fees and expenses, taxes, interest expense and extraordinary expenses) to the extent necessary to limit the Funds’ aggregate annual operating expenses as follows:
 
 
Class A
Class C
Class I
All Cap Core Fund
0.85%
1.60%
0.60%
Market Leaders Value Fund
—
—
0.65%
Small Cap Value Fund
—
—
0.99%
   
 
percent of average daily net assets
 
The Advisor has contractually, through at least November 27, 2018, agreed to reduce fees payable to it by the Enhanced Dividend Fund and the Small/Mid Cap Growth Fund and to pay Fund operating expenses (excluding acquired fund fees and expenses, taxes, interest expense and extraordinary expenses) to the extent necessary to limit the Funds’ aggregate annual operating expenses to as follows:
 
 
Class I
Enhanced Dividend Fund
0.99%
Small/Mid Cap Growth Fund
1.19%
   
 
percent of average daily net assets
 
The Advisor may request recoupment of previously waived fees and paid expenses in any subsequent month in the three-year period from the date of the management fee reduction and expense payment if the aggregate amount actually paid by the Funds toward the operating expenses for such fiscal year (taking into account the reimbursement) will not cause the Funds to exceed the lesser of: (1) the expense limitation in place at the time of the management fee reduction and expense payment; or (2) the expense limitation in place at the time of the reimbursement. Any such reimbursement is also contingent upon Board of Trustees review and approval at the time the reimbursement is made. Such reimbursement may not be paid prior to the Funds’ payment of current ordinary operating expenses. For the six months ended January 31, 2018, the Advisor reduced its fees and/or made expense payments in the amount of $133,512, $65,352, $52,344, $82,895 and $48,217 for the All Cap Core Fund, Enhanced Dividend Fund, Market Leaders Value Fund, Small Cap Value Fund and the Small/Mid Cap Growth Fund, respectively.
 
The Advisor is not able to recoup the fees waived of $133,512, $52,344 and $82,895 in the All Cap Core Fund, Market Leaders Value Fund and Small Cap Value Fund, respectively, which are subject to the temporary expense limitation.
 
Cumulative expenses subject to recapture and the date of expiration are as follows:
 
   
7/31/18
    
7/31/19
    
7/31/20
    
7/31/21
    
Total
  
Enhanced Dividend Fund
  
$
—
    
$
98,030
    
$
123,137
    
$
65,352
    
$
286,519
  
Small/Mid Cap Growth Fund
    
39,053
      
93,949
      
96,308
      
48,217
      
277,527
  
 
U.S. Bancorp Fund Services, LLC (the “Administrator” or “USBFS”) acts as the Funds’ Administrator under an administration agreement. The Administrator prepares various federal and state regulatory filings, reports and returns for the Funds; prepares reports and materials to be supplied to the Trustees; monitors the activities of the Funds’ custodian, transfer agent and accountants; coordinates the preparation and payment of the Funds’ expenses and reviews the Funds’ expense accruals.
 
62
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 4 – INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES (Continued)
 
USBFS also serves as the fund accountant and transfer agent to the Funds. U.S. Bank N.A., an affiliate of USBFS, serves as the Funds’ custodian.
 
Quasar Distributors, LLC (the “Distributor”) acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. The Distributor is an affiliate of the Administrator.
 
Certain officers of the Funds are also employees of the Administrator. The Trust’s Chief Compliance Officer is also an employee of USBFS.  A Trustee of the Trust is affiliated with USBFS and U.S. Bank N.A. as he was recently, previously employed by USBFS.  This same Trustee was recently an interested person of the Distributor.
 
For the six months ended January 31, 2018, the Funds incurred the following expenses for administration, fund accounting, transfer agency, custody, and Chief Compliance Officer fees:
 
         
Enhanced
    
Market
    
Small
    
Small/Mid
  
   
All Cap
    
Dividend
    
Leaders
    
Cap Value
    
Cap Growth
  
   
Core Fund
    
Fund
    
Value Fund
    
Fund
    
Fund
  
Administration
  
$
25,465
    
$
17,944
    
$
17,559
    
$
18,090
    
$
18,434
  
Fund Accounting
    
24,759
      
16,500
      
16,282
      
17,367
      
18,877
  
Transfer Agency
                                       
  (excludes out-of-pocket expenses)
    
21,659
      
8,527
      
12,598
      
8,203
      
9,742
  
Chief Compliance Officer
    
4,537
      
4,539
      
4,536
      
4,536
      
4,536
  
Custody
    
4,706
      
4,197
      
6,189
      
8,208
      
6,678
  
 
At January 31, 2018, the Funds had payables due to USBFS for administration, fund accounting, transfer agency and Chief Compliance Officer fees and to U.S. Bank N.A. for custody fees in the following amounts:
 
         
Enhanced
    
Market
    
Small
    
Small/Mid
  
   
All Cap
    
Dividend
    
Leaders
    
Cap Value
    
Cap Growth
  
   
Core Fund
    
Fund
    
Value Fund
    
Fund
    
Fund
  
Administration
  
$
8,507
    
$
6,094
    
$
5,889
    
$
6,114
    
$
6,331
  
Fund Accounting
    
7,888
      
5,457
      
5,346
      
5,465
      
6,525
  
Transfer Agency
                                       
  (excludes out-of-pocket expenses)
    
9,341
      
3,332
      
3,468
      
2,669
      
3,285
  
Chief Compliance Officer
    
1,538
      
1,541
      
1,538
      
1,538
      
1,538
  
Custody
    
2,642
      
1,972
      
2,285
      
2,107
      
2,341
  
 
NOTE 5 – DISTRIBUTION AGREEMENT AND PLAN
 
The All Cap Core Fund has adopted a Distribution Plan pursuant to Rule 12b-1 (the “Plan”). The Plan permits the All Cap Core Fund to pay for distribution and related expenses at an annual rate of up to 0.25% of the average daily net assets of the All Cap Core Fund’s Class A shares and up to 1.00% of the All Cap Core Fund’s Class C shares. The expenses covered by the Plan may include the cost in connection with the promotion and distribution of shares and the provision of personal services to shareholders, including, but not necessarily limited to, advertising, compensation to underwriters, dealers and selling personnel, the printing and mailing of prospectuses to other than current Fund shareholders, and the printing and mailing of sales literature. Payments made pursuant to the Plan will represent compensation for distribution and service activities, not reimbursements for specific expenses incurred. For the six months ended January 31, 2018, the All Cap Core Fund paid the Distributor $1,709 and $24,859 for Class A and Class C shares, respectively.
 
NOTE 6 – SHAREHOLDER SERVICING FEE
 
The Funds have entered into a shareholder servicing agreement (the “Agreement”) with the Advisor, under which the Funds may pay servicing fees at an annual rate of 0.25% of the average daily net assets of each class. Payments to the Advisor under the Agreement may reimburse the Advisor for payments it makes to selected brokers, dealers and administrators which have entered into service agreements with the Advisor for services provided to shareholders of the Funds. The services provided by such intermediaries are primarily designed to
 
63
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 6 – SHAREHOLDER SERVICING FEE (Continued)
 
assist shareholders of the Funds and include the furnishing of office space and equipment, telephone facilities, personnel and assistance to the Funds in servicing such shareholders. Services provided by such intermediaries also include the provision of support services to the Funds and include establishing and maintaining shareholders’ accounts and record processing, purchase and redemption transactions, answering routine client inquiries regarding the Funds, and providing such other personal services to shareholders as the Funds may reasonably request. For the six months ended January 31, 2018, the All Cap Core Fund, Enhanced Dividend Fund, Market Leaders Value Fund, Small Cap Value Fund and Small/Mid Cap Growth did not accrue shareholder servicing fees.
 
NOTE 7 – PURCHASES AND SALES OF SECURITIES
 
For the six months ended January 31, 2018, the cost of purchases and the proceeds from sales of securities, excluding short-term securities, were as follows:
 
 
Cost of Purchases
  
Proceeds from Sales
All Cap Core Fund
  
$
5,869,985
      
$
13,123,023
  
Enhanced Dividend Fund
    
3,553,617
        
4,675,190
  
Market Leaders Value Fund
    
30,784,882
        
15,269,458
  
Small Cap Value Fund
    
6,074,965
        
2,822,883
  
Small/Mid Cap Growth Fund
    
6,431,635
        
7,334,070
  
 
NOTE 8 – LINES OF CREDIT
 
The All Cap Core Fund, Enhanced Dividend Fund, Market Leaders Value Fund, and Small/Mid Cap Growth Fund each have lines of credit in the amount of $1,000,000.  These lines of credit are intended to provide short-term financing, if necessary, subject to certain restrictions, in connection with shareholder redemptions.  The credit facility is with the Funds’ custodian, U.S. Bank N.A.  During the six months ended January 31, 2018, the Funds did not draw upon their lines of credit.
 
NOTE 9 – INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS
 
The tax character of distributions paid during the six months ended January 31, 2018 and the year ended July 31, 2017 was as follows:
 
All Cap Core Fund
              
   
January 31, 2018
      
July 31, 2017
  
Ordinary Income
  
$
211,137
      
$
466,359
  
Long-term Capital Gains
    
4,068,449
        
1,380,428
  
                   
Enhanced Dividend Fund
                  
   
January 31, 2018
      
July 31, 2017
  
Ordinary Income
  
$
108,174
      
$
389,671
  
                   
Market Leaders Value Fund
                  
   
January 31, 2018
      
July 31, 2017
  
Ordinary Income
  
$
1,030,609
      
$
204,550
  
Long-term Capital Gains
    
1,444,521
        
—
  
                   
Small Cap Value Fund
                  
   
January 31, 2018
      
July 31, 2017
  
Ordinary Income
  
$
67,293
      
$
49,958
  
Long-term Capital Gains
    
406,868
        
—
  

 
64
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 9 – INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS (Continued)
 
Small/Mid Cap Growth Fund
            
   
January 31, 2018
    
July 31, 2017
  
Ordinary Income
  
$
38,646
    
$
45,587
  
Long-term Capital Gains
    
1,263,247
      
—
  
 
As of July 31, 2017, the Funds’ most recent fiscal year end, the components of accumulated earnings/(losses) on a tax basis were as follows:
 
   
All Cap Core
    
Enhanced
    
Market Leaders
  
   
Fund
    
Dividend Fund
    
Value Fund
  
Cost of investments (a)
  
$
13,423,398
    
$
9,664,058
    
$
50,569,777
  
Gross tax unrealized appreciation
    
3,872,459
      
1,608,713
      
5,817,122
  
Gross tax unrealized depreciation
    
(115,035
)
    
(249,503
)
    
(332,803
)
Net tax unrealized appreciation (a)
    
3,757,424
      
1,359,210
      
5,484,319
  
Undistributed ordinary income
    
532,574
      
—
      
549,181
  
Undistributed long-term capital gain
    
2,296,757
      
—
      
807,640
  
Total distributable earnings
    
2,829,331
      
—
      
1,356,821
  
Other accumulated gains/(losses)
    
—
      
(19,896,934
)
    
—
  
Total accumulated earnings/(losses)
  
$
6,586,755
    
$
(18,537,724
)
  
$
6,841,140
  
                         
           
Small Cap
    
Small/Mid Cap
  
           
Value Fund
    
Growth Fund
  
Cost of investments (a)
          
$
6,409,587
    
$
12,713,199
  
Gross tax unrealized appreciation
            
814,148
      
1,998,670
  
Gross tax unrealized depreciation
            
(127,613
)
    
(170,288
)
Net tax unrealized appreciation (a)
            
686,535
      
1,828,382
  
Undistributed ordinary income
            
19,750
      
38,646
  
Undistributed long-term capital gain
            
188,542
      
587,693
  
Total distributable earnings
            
208,292
      
626,339
  
Other accumulated gains/(losses)
            
—
      
—
  
Total accumulated earnings/(losses)
          
$
894,827
    
$
2,454,721
  
 
(a)
The differences between the book basis and tax basis net unrealized appreciation and cost are attributable primarily to the tax deferral of losses on wash sales adjustments.
 
At July 31, 2017, the Enhanced Dividend Fund had capital loss carryforwards as follows:
 
   
Short-Term
    
Long-Term
  
   
Capital Loss
    
Capital Loss
  
   
Carryover
    
Carryover
  
Enhanced Dividend Fund
  
$
17,348,726
    
$
2,548,208
  
 
These capital losses may be carried forward indefinitely to offset future gains.
 
NOTE 10 – PRINCIPAL RISKS
 
Below is a summary of some, but not all, of the principal risks of investing in the Funds, each of which may adversely affect a Fund’s net asset value and total return. The Funds’ most recent prospectus provides further descriptions of each Fund’s investment objective, principal investment strategies and principal risks.
 
•
Sector Risk. To the extent a Fund invests a significant portion of its assets in the securities of companies in the same sector of the market, the Fund is more susceptible to economic, political, regulatory and other occurrences influencing those sectors.

 
65
O’Shaughnessy Mutual Funds
 
Notes to Financial Statements (Continued)
at January 31, 2018 (Unaudited)
 
NOTE 10 – PRINCIPAL RISKS (Continued)
 
•
Foreign Securities Risk and Emerging Markets. The risks of investing in the securities of foreign issuers, including emerging market issuers and depositary receipts, can include fluctuations in foreign currencies, foreign currency exchange controls, political and economic instability, differences in securities regulation and trading, and foreign taxation issues. These risks are greater in emerging markets.
   
•
Depositary Receipt Risk. The Fund’s equity investments may take the form of sponsored or unsponsored depositary receipts. Holders of unsponsored depositary receipts generally bear all the costs of such facilities and the depositary of an unsponsored facility frequently is under no obligation to distribute shareholder communications received from the issuer of the deposited security or to pass through voting rights to the holders of such receipts of the deposited securities.
   
•
Small- and Medium-Sized Companies Risk. Small- and medium-sized companies often have less predictable earnings, more limited product lines, markets, distribution channels or financial resources and the management of such companies may be dependent upon one or few key people. The market movements of equity securities of small- and medium-sized companies may be more abrupt and volatile than the market movements of equity securities of larger, more established companies or the stock market in general and small-sized companies in particular, are generally less liquid than the equity securities of larger companies.
   
•
REITs and Foreign Real Estate Company Risk. Investing in REITs and foreign real estate companies makes a Fund more susceptible to risks associated with the ownership of real estate and with the real estate industry in general, as well as tax compliance risks, and may involve duplication of management fees and other expenses. REITs and foreign real estate companies may be less diversified than other pools of securities, may have lower trading volumes and may be subject to more abrupt or erratic price movements than the overall securities markets.
   
•
Frontier Markets Risk. There is an additional increased risk of price volatility associated with frontier market countries (pre-emerging markets), which may be further magnified by currency fluctuations relative to the U.S. dollar. Frontier market countries generally have smaller economies or less developed capital markets than in more advanced emerging markets and, as a result, the risks of investing in emerging market countries may be magnified in frontier market countries.
   
•
Value Style Investing Risk. At times when the value investing style is out of favor, the Fund may underperform other funds that use different investing styles. Value stocks may be purchased based upon the belief that a given security may be out of favor; that belief may be misplaced or the security may stay out of favor for an extended period of time.
 

 

66
O’Shaughnessy Mutual Funds

Approval of Investment Advisory Agreement
(Unaudited)

At a meeting held on December 6-7, 2017, the Board (which is comprised of five persons, four of whom are Independent Trustees as defined under the Investment Company Act of 1940, as amended), considered and approved, for another annual term, the continuance of the investment advisory agreement (the “Advisory Agreement”) between Advisors Series Trust (the “Trust”) and O’Shaughnessy Asset Management, LLC (the “Advisor”) on behalf of the O’Shaughnessy All Cap Core Fund (the “All Cap Core Fund”), O’Shaughnessy Enhanced Dividend Fund (the “Enhanced Dividend Fund”), the O’Shaughnessy Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”), the O’Shaughnessy Markets Leaders Value Fund (the “Market Leaders Value Fund”) and the O’Shaughnessy Small Cap Value Fund (the “Small Cap Value Fund”) (collectively, the “Funds”).  At this meeting, and at a prior meeting held on October 17-18, 2017, the Board received and reviewed substantial information regarding the Funds, the Advisor and the services provided by the Advisor to the Funds under the Advisory Agreement.  This information, together with the information provided to the Board throughout the course of the year, formed the primary (but not exclusive) basis for the Board’s determinations.  Below is a summary of the factors considered by the Board and the conclusions that formed the basis for the Board’s approval of the continuance of the Advisory Agreement:
 
1.
THE NATURE, EXTENT AND QUALITY OF THE SERVICES PROVIDED AND TO BE PROVIDED BY THE ADVISOR UNDER THE ADVISORY AGREEMENT.  The Board considered the nature, extent and quality of the Advisor’s overall services provided to the Funds as well as its responsibilities in all aspects of day-to-day investment management of the Funds. The Board considered the qualifications, experience and responsibilities of the portfolio managers, as well as the responsibilities of other key personnel of the Advisor involved in the day-to-day activities of the Funds.  The Board also considered the resources and compliance structure of the Advisor, including information regarding its compliance program, its chief compliance officer and the Advisor’s compliance record, as well as the Advisor’s cybersecurity program and business continuity plan.  The Board also considered the prior relationship between the Advisor and the Trust, as well as the Board’s knowledge of the Advisor’s operations, and noted that during the course of the prior year they had met with the Advisor to discuss Fund performance and investment outlook as well as various marketing and compliance topics, including the Advisor’s risk management process.  The Board concluded that the Advisor had the quality and depth of personnel, resources, investment methods, and compliance policies and procedures essential to performing its duties under the Advisory Agreement and that the nature, overall quality and extent of such management services are satisfactory.
   
2.
THE FUNDS’ HISTORICAL PERFORMANCE AND THE OVERALL PERFORMANCE OF THE ADVISOR.  In assessing the quality of the portfolio management delivered by the Advisor, the Board reviewed the short-term and long-term performance of each Fund as of June 30, 2017 on both an absolute basis and in comparison to its peer funds utilizing Lipper and Morningstar classifications and appropriate securities benchmarks.  While the Board considered both short-term and long-term performance, it placed greater emphasis on longer term performance.  The Board noted that the Market Leaders Value Fund and the Small Cap Value Fund were each newer, with less than two years of performance. The Board also took into account that each Fund’s track record is measured as of a specific date, and that track records can vary as of different measurement dates. Therefore, in reviewing a Fund that is currently underperforming, the Trustees also considered the broader perspective of the Fund’s performance over varying time periods, the market conditions experienced during the periods under review, as well as the outlook for the Fund going forward in light of expected market conditions. When reviewing each Fund’s performance against its comparative peer group universe, the Board took into account that the investment objectives and strategies of each Fund, as well as its level of risk tolerance, may differ significantly from funds in the peer universe.  The Trustees also discussed with the Advisor and considered that certain periods of underperformance may be transitory while other periods of underperformance may be reflective of broader issues that may warrant consideration of corrective action. The Board therefore took into account the Advisor’s views as to the reasons for each Fund’s relative performance against peers and benchmarks over various time periods and its future outlook for each Fund. In considering each Fund’s performance, the Trustees placed greater emphasis on performance against peers as opposed to the unmanaged benchmark indices.
   
 
All Cap Core Fund: The Board noted that the All Cap Core Fund’s performance, with regard to its Lipper comparative universe, was above its peer group median for all relevant periods.

 
67
O’Shaughnessy Mutual Funds
 
Approval of Investment Advisory Agreement (Continued)
(Unaudited)
 
 
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was above its peer group median for all relevant periods.
   
 
The Board reviewed the performance of the Fund against broad-based securities market benchmarks.
   
 
The Board also considered the Fund’s performance compared to the Advisor’s similarly managed accounts and considered the reasons for any differences.  The Board noted that the Advisor represented that differences in performance between the Fund and the composite of similarly managed accounts are due to a limitation on the number of holdings for similarly managed accounts (no more than 100), which does not apply to the Fund.
   
 
Enhanced Dividend Fund: The Board noted that the Enhanced Dividend Fund’s performance, with regard to its Lipper comparative universe, was above its peer group median for the one-year period and below its peer group median for the three-year, five-year and since inception periods.
   
 
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was below its peer group median for the one-year, three-year, five-year and since inception periods.
   
 
The Board reviewed the performance of the Fund against broad-based securities market benchmarks.
   
 
The Board also considered the Fund’s performance compared to the Advisor’s similarly managed accounts and considered the reasons for any differences.  The Board noted that the Advisor represented that differences in performance between the Fund and the composite of similarly managed accounts are due to an industry allocation limitation for the Fund (no more than 25%), which does not apply to the similarly managed accounts.
   
 
Small/Mid Cap Growth Fund: The Board noted that the Small/Mid Cap Growth Fund’s performance, with regard to its Lipper comparative universe, was below its peer group median for the one-year, three-year, five-year and since inception periods.
   
 
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was below its peer group median for the one-year, three-year, five-year and since inception periods.
   
 
The Board reviewed the performance of the Fund against a broad-based securities market benchmark.
   
 
The Board also considered the Fund’s performance compared to the Advisor’s similarly managed accounts and considered the reasons for any differences.  The Board noted that the Advisor represented that differences in performance between the Fund and the composite of similarly managed accounts are due to a limitation on the number of holdings for similarly managed accounts (no more than 100), which does not apply to the Fund.
   
 
Market Leaders Value Fund: The Board noted that the Market Leaders Value Fund’s performance, with regard to its Lipper comparative universe, was above its peer group median for the one-year and since inception periods.
   
 
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was above its peer group median for the one-year and since inception periods.
   
 
The Board reviewed the performance of the Fund against a broad-based securities market benchmark.
   
 
The Board also considered the Fund’s performance compared to the Advisor’s similarly managed accounts.
   
 
Small Cap Value Fund: The Board noted that the Small Cap Value Fund’s performance, with regard to its Lipper comparative universe, was above its peer group median for the one-year period and below its peer group median for the since inception period.
   
 
The Board noted that the Fund’s performance, with regard to its Morningstar comparative universe, was above its peer group median for the one-year period and below its peer group median for the since inception period.
   
 
The Board reviewed the performance of the Fund against a broad-based securities market benchmark.
   
 
The Board also considered the Fund’s performance compared to the Advisor’s similarly managed accounts.

 
68
O’Shaughnessy Mutual Funds
 
Approval of Investment Advisory Agreement (Continued)
(Unaudited)
 
3.
THE COSTS OF THE SERVICES TO BE PROVIDED BY THE ADVISOR AND THE STRUCTURE OF THE ADVISOR’S FEE UNDER THE ADVISORY AGREEMENT.  In considering the advisory fee and total fees and expenses of each Fund, the Board reviewed comparisons to the peer funds and the Advisor’s similarly managed separate accounts for other types of clients, as well as all expense waivers and reimbursements.  When reviewing fees charged to other similarly managed accounts, the Board took into account the type of account and the differences in the management of that account that might be germane to the difference, if any, in the fees charged to such accounts.  The Board found that the fees charged to the Funds were either lower than or equal to the fees charged by the Advisor to its similarly managed separate account clients.
   
 
All Cap Core Fund: The Board noted that the Advisor had contractually agreed to maintain an expense limitation for the Fund of 1.24% for the Class A shares, 1.99% for the Class C shares and 0.99% for the Class I shares (respectively, the “Expense Caps”).  The Board also noted that throughout the period, the Advisor had voluntarily agreed to maintain an expense limitation for the Fund of 0.85% for the Class A shares, 1.60% for the Class C shares and 0.60% for the Class I shares. The Board noted that the Fund’s total expense ratio with the voluntary expense limitation was below the peer group median and peer group average for Class I and Class A and above the peer group median and average for Class C.  Additionally, the Board considered that when the Fund’s peer group was adjusted to include only funds with similar asset sizes, the total expense ratio with the voluntary expense limitation for the Class I and Class A shares was below the median and average, and the total expense ratio for the Class C shares was above the median and average, of this segment of its peer group.  The Board noted that the Fund’s contractual advisory fee was below its peer group median and average as well as below the median and average of the Fund’s peer group when adjusted to include only funds with similar asset sizes.  The Board also considered that after advisory fee waivers and the reimbursement of Fund expenses necessary to maintain the Expense Caps, the Advisor did not receive any advisory fees from the Fund during the most recent fiscal period.  The Board also took into consideration the services the Advisor provided to its similarly managed account clients, comparing the fees charged for those management services to the management fees charged to the Fund.  The Board found that the management fees charged to the Fund were lower than or equal to the fees charged to the Advisor’s similarly managed account clients.
   
 
Enhanced Dividend Fund: The Board noted that the Advisor had contractually agreed to maintain an expense limitation for the Fund of 0.99% for the Class I shares (the “Expense Cap”).  The Board noted that the Fund’s total expense ratio was below its peer group median and average for Class I shares, as well as below the median and average of the Fund’s peer group when adjusted to include only funds with similar asset sizes.  The Board noted that the Fund’s contractual advisory fee was below its peer group median and average, as well as below the median and average of its peer group when adjusted to include only funds with similar asset sizes.  The Board also considered that after advisory fee waivers and the reimbursement of Fund expenses necessary to maintain the Expense Cap, the Advisor did not receive any advisory fees from the Fund during the most recent fiscal period.  The Board also took into consideration the services the Advisor provided to its similarly managed account clients, comparing the fees charged for those management services to the management fees charged to the Fund.  The Board found that the management fees charged to the Fund were lower than or equal to the fees charged to the Advisor’s similarly managed account clients.
   
 
Small/Mid Cap Growth Fund: The Board noted that the Advisor had contractually agreed to maintain an expense limitation for the Fund of 1.19% for the Class I shares (the “Expense Cap”).  The Board noted that the Fund’s total expense ratio was slightly below its peer group median and below its average for Class I shares.  Additionally, the Board considered that when the Fund’s peer group was adjusted to include only funds with similar asset sizes, the total expense ratio for the Class I shares was below the median and average of this segment of its peer group.  The Board noted that the Fund’s contractual advisory fee was below its peer group median and average, as well as below the median and average of its peer group when adjusted to include only funds with similar asset sizes.  The Board also considered that after advisory fee waivers and the reimbursement of Fund expenses necessary to maintain the Expense Cap, the Advisor did not receive any advisory fees from the Fund during the most recent fiscal period.  The Board also took into consideration the services the Advisor provided to its similarly managed account clients, comparing the fees charged for those management services to the management fees charged to the Fund.  The Board found that the management fees charged to the Fund were lower than or equal to the fees charged to the Advisor’s similarly managed account clients.

 
69
O’Shaughnessy Mutual Funds
 
Approval of Investment Advisory Agreement (Continued)
(Unaudited)
 
 
Market Leaders Value Fund: The Board noted that the Advisor had voluntarily agreed to maintain an expense limitation for the Fund of 0.65% for the Class I shares (the “Expense Cap”).  The Board noted that the Fund’s total expense ratio was below its peer group median and average for Class I shares.  Additionally, the Board considered that when the Fund’s peer group was adjusted to include only funds with similar asset sizes, the total expense ratio for the Class I shares was below the median and average of this segment of its peer group.  The Board noted that the Fund’s contractual advisory fee was below its peer group median and average, as well as below the median and average of its peer group when adjusted to include only funds with similar asset sizes.  The Board also considered that after advisory fee waivers and the reimbursement of Fund expenses necessary to maintain the Expense Cap, the net advisory fees received by the Advisor from the Fund during the most recent fiscal period were below its peer group median and average.  The Board also took into consideration the services the Advisor provided to its similarly managed account clients, comparing the fees charged for those management services to the management fees charged to the Fund.  The Board found that the management fees charged to the Fund were the same as the fees charged to the Advisor’s similarly managed account clients.
   
 
Small Cap Value Fund: The Board noted that the Advisor had voluntarily agreed to maintain an expense limitation for the Fund of 0.99% for the Class I shares (the “Expense Cap”).  The Board noted that the Fund’s total expense ratio was below its peer group median and average for Class I shares.  Additionally, the Board considered that when the Fund’s peer group was adjusted to include only funds with similar asset sizes, the total expense ratio for the Class I shares was below the median average of this segment of its peer group.  The Board noted that the Fund’s contractual advisory fee was slightly above its peer group median and average, as well as above the peer group median and below the average when adjusted to include only funds with similar asset sizes.  The Board also considered that after advisory fee waivers and the reimbursement of Fund expenses necessary to maintain the Expense Cap, the Advisor did not receive any advisory fees from the Fund during the most recent fiscal period.  The Board also took into consideration the services the Advisor provided to its similarly managed account clients, comparing the fees charged for those management services to the management fees charged to the Fund.  The Board found that the management fees charged to the Fund were the same as the fees charged to the Advisor’s similarly managed account clients.
   
 
The Board determined that it would continue to monitor the appropriateness of the advisory fee for each Fund and concluded that, at this time, the fees to be paid to the Advisor were fair and reasonable.
   
4.
ECONOMIES OF SCALE.  The Board also considered whether economies of scale were being realized by the Advisor that should be shared with shareholders.  In this regard, the Board noted that the Advisor contractually and/or voluntarily agreed to reduce its advisory fees or reimburse Fund expenses so that the Funds do not exceed the specified Expense Caps.  The Board noted that at current asset levels, it did not appear that there were additional significant economies of scale being realized by the Advisor and concluded that it would continue to monitor economies of scale in the future as circumstances changed and assuming asset levels continued to increase.
   
5.
THE PROFITS TO BE REALIZED BY THE ADVISOR AND ITS AFFILIATES FROM THEIR RELATIONSHIP WITH THE FUNDS.  The Board reviewed the Advisor’s financial information and took into account both the direct benefits and the indirect benefits to the Advisor from advising the Funds, such as benefits received in the form of Rule 12b-1 fees received from the Funds which are used to pay custodial platform costs.  The Board also considered that the Funds do not utilize “soft dollar” benefits that may be received by the Advisor in exchange for Fund brokerage.  The Board considered the profitability to the Advisor from its relationship with the Funds and considered any additional benefits derived by the Advisor from its relationship with the Funds.  After such review, the Board determined that the profitability to the Advisor with respect to the Advisory Agreement was not excessive, and that the Advisor had maintained adequate profit levels to support the services it provides to the Funds.
 
No single factor was determinative of the Board’s decision to approve the continuance of the Advisory Agreement for the All Cap Core Fund, the Enhanced Dividend Fund, the Small/Mid Cap Growth Fund, the Market Leaders Value Fund and the Small Cap Value Fund, but rather the Board based its determination on the total combination of information available to them.  Based on a consideration of all the factors in their totality, the Board determined that the advisory arrangements with the Advisor, including the advisory fees, were fair and reasonable.  The Board therefore determined that the continuance of the Advisory Agreement for the Funds would be in the best interests of the Funds and their shareholders.
 


70
O’Shaughnessy Mutual Funds

Notice to Shareholders
at January 31, 2018 (Unaudited)

HOW TO OBTAIN A COPY OF THE FUNDS’ PROXY VOTING POLICIES
 
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-877-291-7827 or on the U.S. Securities and Exchange Commission’s (SEC’s) website at http://www.sec.gov.
 
 
HOW TO OBTAIN A COPY OF THE FUNDS’ PROXY VOTING RECORDS FOR THE 12-MONTH PERIOD ENDED JUNE 30, 2017
 
Information regarding how the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2017 is available without charge, upon request, by calling 1-877-291-7827.  Furthermore, you can obtain the Funds’ proxy voting records on the SEC’s website at http://www.sec.gov.
 
 
QUARTERLY FILINGS ON FORM N-Q
 
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q.  The Funds’ Form N-Q is available on the SEC’s website at http://www.sec.gov.  The Funds’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC and information on the operation of the Public Reference Room may be obtained by calling 1-202-551-8090.  Information included in the Funds’ Form N-Q is also available, upon request, by calling 1-877-291-7827.
 

HOUSEHOLDING
 
In an effort to decrease costs, the Funds intend to reduce the number of duplicate prospectuses, annual and semi-annual reports, proxy statements and other similar documents you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders the Transfer Agent reasonably believes are from the same family or household.  Once implemented, if you would like to discontinue householding for your accounts, please call toll-free at 1-877-291-7827 to request individual copies of these documents.  Once the Transfer Agent receives notice to stop householding, the Transfer Agent will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
 






71






 

 



(This Page Intentionally Left Blank.)
 



 








O’Shaughnessy Mutual Funds

Privacy Notice

The Funds collect non-public information about you from the following sources:
 
• Information we receive about you on applications or other forms;
 
• Information you give us orally; and/or
 
• Information about your transactions with us or others.
 
We do not disclose any non-public personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquiries from governmental authorities.  We may share information with affiliated and unaffiliated third parties with whom we have contracts for servicing the Funds.  We will provide unaffiliated third parties with only the information necessary to carry out their assigned responsibilities.  We maintain physical, electronic and procedural safeguards to guard your non-public personal information and require third parties to treat your personal information with the same high degree of confidentiality.
 
In the event that you hold shares of the Funds through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared by those entities with unaffiliated third parties.
 









 
Investment Advisor
O’Shaughnessy Asset Management, LLC
6 Suburban Avenue
Stamford, Connecticut 06901


Distributor
Quasar Distributors, LLC
777 East Wisconsin Avenue, 6th Floor
Milwaukee, Wisconsin 53202


Custodian
U.S. Bank National Association
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212


Transfer Agent
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202


Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
1818 Market Street, Suite 2400
Philadelphia, Pennsylvania 19103


Legal Counsel
Schiff Hardin LLP
666 Fifth Avenue, Suite 1700
New York, New York 10103










This report is intended for shareholders of the Funds and may not be used as sales literature unless preceded or accompanied by a current prospectus.  For a current prospectus, please call 1-877-291-7827.

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

(a)  Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
 
(b)  Not applicable.

Item 6. Investments.

(a)
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

(b)
Not Applicable.
 
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a)
The Registrant’s President/Chief Executive Officer/Principal Executive Officer and Treasurer/Principal Financial Officer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended, (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d‑15(b) under the Securities Exchange Act of 1934.  Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

(b)
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to open-end investment companies.

Item 13. Exhibits.

(a)
(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable.

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.  Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.  Not applicable to open-end investment companies.

(1) Change in the registrant’s independent public accountant.  There was no change in the registrant’s independent public accountant for the period covered by this report.

(b)
Certifications pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002.  Furnished herewith.
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)  Advisors Series Trust

By (Signature and Title)*   /s/ Douglas G. Hess
Douglas G. Hess, President/Chief Executive
Officer/Principal Executive Officer


Date   4/5/18



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*   /s/ Douglas G. Hess
Douglas G. Hess, President/Chief Executive
Officer/Principal Executive Officer

Date   4/5/18

By (Signature and Title)*    /s/ Cheryl L. King
Cheryl L. King, Treasurer/Principal Financial Officer

Date   4/5/18

* Print the name and title of each signing officer under his or her signature