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Fund Holdings of O'SHAUGHNESSY ASSET MANAGEMENT LLC Filed on 2012-02-09

Link to Original SEC 13F filings sorted on filing date: 2012-02-09 | 2011-11-14 | 2011-08-11 | 2011-05-12 | 2011-02-10 | 2010-11-10 | 2010-08-11 | 2010-05-12 | 2010-02-10 | 2009-11-12 | 2009-08-10 | 2009-04-14 | 2009-01-13 | 2008-11-07 | 2008-07-24 | 2008-04-30 |

1. Fund Information

Fund NameO'SHAUGHNESSY ASSET MANAGEMENT LLC
Fund Manager
Address6 SUBURBAN AVENUE,
STAMFORD, CT, 06901-2012
::Google Map
Phone(203) 975-3333
13F Asset Last Qtr$2,455,463,000
13F Asset This Qtr$2,609,868,000
Asset Change6.29%

2. Comparison of Holdings by Sectors with Last Quarter

3. Top 20 Holdings (Value) of This Quarter

No.SecurityPut/CallStockSharesValue(x$1000)Activity(Shr)% Port.
1.)LOCKHEED MARTIN CORP.LMT627,913$50,934Cut -0.17%1.95%
2.)TRAVELERS COMPANIES INC (THE)TRV823,128$48,873Added 3.99%1.87%
3.)THE GAP, INC.GPS2,456,227$45,722Added 36.76%1.75%
4.)LOWE COMPANIES INCLOW1,610,936$41,056Added 38.45%1.57%
5.)DIRECTV - CMN STKDTV848,538$36,432Added 20.53%1.40%
6.)AETNA INC.AET859,067$36,410Added 1.99%1.40%
7.)CHUBB CORP.CB523,287$36,380Added 5.25%1.39%
8.)HOME DEPOT INCHD845,232$35,634Cut -2.60%1.37%
9.)CONOCOPHILLIPSCOP483,094$35,322Added 40.29%1.35%
10.)INTEL CORPORATIONINTC1,335,267$32,434Added 17.69%1.24%
11.)RAYTHEON CO.RTN661,457$32,101Cut -21.76%1.23%
12.)KOHL CORP.KSS642,014$31,802Added 96.59%1.22%
13.)WELLPOINT INCWLP457,573$30,447Cut -2.72%1.17%
14.)SAFEWAY INC.SWY1,433,151$30,286Added 19.46%1.16%
15.)SARA LEE CORP.SLE1,588,266$30,182Cut -10.64%1.16%
16.)WAL-MART STORES, INC.WMT494,193$29,614Cut -13.45%1.13%
17.)VERIZON COMMUNICATIONS INCVZ735,373$29,557Cut -24.89%1.13%
18.)INTERNATIONAL BUSINESS MACHINES CORP.IBM159,013$29,317Cut -22.14%1.12%
19.)HEWLETT-PACKARD COHPQ1,115,525$28,813Added 107.20%1.10%
20.)CONAGRA FOODS, INC.CAG1,043,788$27,660Cut -6.75%1.06%

4. Top 20 (Value) Holdings BOUGHT NEW in This Quarter

No.SecurityPut/CallStockShares NEWValue(x$1000)% Port.
1.)TELEFONICA BRASIL SAVIV596,390$16,3100.62%
2.)R.R. DONNELLEY & SONS COMPANYRRD510,720$7,3690.28%
3.)FRONTIER COMMUNICATIONS CORPFTR834,773$4,2990.16%
4.)AMERICAN SOFTWARE, INC.AMSWA290,472$2,7540.11%
5.)TASER INTERNATIONAL, INC.TASR463,510$2,3820.09%
6.)MYERS INDUSTRIES INC.MYE177,530$2,1980.08%
7.)RTI BIOLOGICS, INC.RTIX468,808$2,0900.08%
8.)MARVELL TECHNOLOGY GROUP, LTD.MRVL147,895$2,0570.08%
9.)AMEREN CORP.AEE52,258$1,7310.07%
10.)GENERAC HOLDLINGS INC. COMMON STOCKGNRC58,380$1,6420.06%
11.)TRIPLE-S MANAGEMENT CORPORATION CLASS B COMMON STOCKGTS79,813$1,5970.06%
12.)AVON PRODUCTS, INC.AVP82,181$1,4360.06%
13.)TELEPHONE AND DATA SYSTEMS49,427$1,2790.05%
14.)NYSE EURONEXTNYX44,448$1,1600.04%
15.)NORDSTROM, INC.JWN22,442$1,1150.04%
16.)PANHANDLE OIL & GAS INCPHX33,043$1,0870.04%
17.)ALLERGAN, INCAGN10,998$9640.04%
18.)BEBE STORES, INC.BEBE109,130$9130.03%
19.)LAKELAND FINANCIAL CORPORATIONLKFN32,030$8320.03%
20.)GENIE ENERGY LTDGNE99,344$7870.03%

5. Top 20 (Value) Holdings Totally SOLD OUT in This Quarter

No.SecurityPut/CallStockShares SOLDValue(x$1000)% Port. Last Qtr
1.)TELECOMUNICACOES DE SAO PAULO S.A. - TELESPTSP626,159$16,5410.67%
2.)TE CONNECTIVITY LTD SHSTEL176,249$4,9250.20%
3.)NETFLIX, INC.NFLX41,822$4,7300.19%
4.)COMPLETE PRODUCTION SERVICES INCCPX226,504$4,2620.17%
5.)POWERWAVE TECHNOLOGIES, INC.PWAV2,263,660$3,8740.16%
6.)NEWMONT MINING CORP. (HOLDING CO.)NEM35,571$2,2390.09%
7.)OPPENHEIMER HOLDINGS INCOPY135,102$2,1670.09%
8.)HEALTHSPRING INCHS56,493$2,0510.08%
9.)RED HAT INCRHT46,973$1,9850.08%
10.)QUALCOMM INCORPORATEDQCOM37,435$1,8070.07%
11.)NOVELLUS SYSTEMS, INC.NVLS58,641$1,5980.07%
12.)INFORMATICA CORPORATIONINFA37,274$1,5240.06%
13.)ENDO PHARMACEUTICALS HOLDINGS INC.ENDP41,984$1,1750.05%
14.)EL PASO CORP.EP57,770$1,0090.04%
15.)DEERE & CO.DE15,337$9900.04%
16.)NN, INC.NNBR196,482$9890.04%
17.)VALUEVISION MEDIA, INC.VVTV396,396$9310.04%
18.)F5 NETWORKS, INC.FFIV11,761$8350.03%
19.)SOUTHWEST AIRLINES COLUV91,224$7330.03%
20.)DELPHI FINANCIAL GROUP, INC.DFG33,691$7250.03%