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[FILE-NUMBER] 811-07695
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<PAGE> PAGE 1
000 B000000 09/30/98
000 C000000 0001017953
000 D000000 N
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000 J000000 A
001 A000000 O'SHAUGHNESSY FUNDS, INC.
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002 A000000 4455 E. CAMELBACK RD., SUITE 261-E
002 B000000 PHOENIX
002 C000000 AZ
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007 C020100 O'SHAUGHNESSY AGGRESSIVE GROWTH FUND
007 C030100 N
007 C010200 2
007 C020200 O'SHAUGHNESSY DOGS OF THE MARKET FUND
007 C030200 N
007 C010300 3
007 C020300 O'SHAUGHNESSY CORNERSTONE GROWTH FUND
007 C030300 N
007 C010400 4
007 C020400 O'SHAUGHNESSY CORNERSTONE VALUE FUND
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<PAGE> PAGE 2
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008 A00AA01 O'SHAUGHNESSY CAPITAL MANAGEMENT, INC.
008 B00AA01 A
008 C00AA01 801-33868
008 D01AA01 GREENWICH
008 D02AA01 CT
008 D03AA01 06830
010 A00AA01 INVESTMENT COMPANY ADMINISTRATION CORPORATION
010 C01AA01 PHOENIX
010 C02AA01 AZ
010 C03AA01 85018
011 A00AA01 FIRST FUND DISTRIBUTORS, INC.
011 B00AA01 8-42809
011 C01AA01 PHOENIX
011 C02AA01 AZ
011 C03AA01 85018
012 A00AA01 FIRSTAR MUTUAL FUND SERVICES, LLC
012 B00AA01 85-0041000
012 C01AA01 MILWAUKEE
012 C02AA01 WI
012 C03AA01 53202
013 A00AA01 MCGLADREY & PULLEN, LLP
013 B01AA01 NEW YORK
013 B02AA01 NY
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013 B04AA01 2416
015 A00AA01 FIRSTAR BANK MILWAUKEE
015 B00AA01 C
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<PAGE> PAGE 3
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<PAGE> PAGE 6
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<PAGE> PAGE 7
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<PAGE> PAGE 8
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<PAGE> PAGE 10
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<PAGE> PAGE 11
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<PAGE> PAGE 12
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<PAGE> PAGE 13
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<PAGE> PAGE 14
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SIGNATURE SCOTT WARNER
TITLE ASSISTANT TREASURER
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<NAME> O'SHAUGHNESSY FUNDS, INC.
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<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 62,797
<TOTAL-LIABILITIES> 62,797
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,872,485
<SHARES-COMMON-STOCK> 777,700
<SHARES-COMMON-PRIOR> 388,365
<ACCUMULATED-NII-CURRENT> (143,595)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 601,540
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (1,987,648)
<NET-ASSETS> 8,342,782
<DIVIDEND-INCOME> 38,266
<INTEREST-INCOME> 3,901
<OTHER-INCOME> 1,425
<EXPENSES-NET> 187,187
<NET-INVESTMENT-INCOME> (143,595)
<REALIZED-GAINS-CURRENT> 613,829
<APPREC-INCREASE-CURRENT> (2,932,394)
<NET-CHANGE-FROM-OPS> (2,462,160)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 104,043
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 825,148
<NUMBER-OF-SHARES-REDEEMED> 446,620
<SHARES-REINVESTED> 8,307
<NET-CHANGE-IN-ASSETS> 2,758,534
<ACCUMULATED-NII-PRIOR> (24,106)
<ACCUMULATED-GAINS-PRIOR> 115,860
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 93,549
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 209,492
<AVERAGE-NET-ASSETS> 9,364,589
<PER-SHARE-NAV-BEGIN> 14.29
<PER-SHARE-NII> (.15)
<PER-SHARE-GAIN-APPREC> (3.21)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.20)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.73
<EXPENSE-RATIO> 02.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001017953
<NAME> O'SHAUGHNESSY FUNDS, INC.
<SERIES>
<NUMBER> 2
<NAME> O'SHAUGHNESSY DOGS OF THE MARKET FUND
<MULTIPLIER> 1
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<S> <C>
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<PERIOD-START> OCT-1-1997
<PERIOD-END> SEP-30-1998
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<INVESTMENTS-AT-VALUE> 22,673,853
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<PAYABLE-FOR-SECURITIES> 274,749
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 78,939
<TOTAL-LIABILITIES> 353,688
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 23,522,530
<SHARES-COMMON-STOCK> 1,984,197
<SHARES-COMMON-PRIOR> 603,696
<ACCUMULATED-NII-CURRENT> 193,467
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 409,039
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (1,497,826)
<NET-ASSETS> 22,627,210
<DIVIDEND-INCOME> 450,954
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<EXPENSES-NET> 252,762
<NET-INVESTMENT-INCOME> 208,847
<REALIZED-GAINS-CURRENT> 408,727
<APPREC-INCREASE-CURRENT> (1,760,280)
<NET-CHANGE-FROM-OPS> (1,142,706)
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<DISTRIBUTIONS-OF-INCOME> 69,959
<DISTRIBUTIONS-OF-GAINS> 443,982
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<NUMBER-OF-SHARES-SOLD> 2,072,680
<NUMBER-OF-SHARES-REDEEMED> 736,926
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<NET-CHANGE-IN-ASSETS> 15,379,147
<ACCUMULATED-NII-PRIOR> 54,579
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 126,357
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 252,762
<AVERAGE-NET-ASSETS> 17,120,914
<PER-SHARE-NAV-BEGIN> 11.96
<PER-SHARE-NII> .10
<PER-SHARE-GAIN-APPREC> .02
<PER-SHARE-DIVIDEND> (0.09)
<PER-SHARE-DISTRIBUTIONS> (.59)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.40
<EXPENSE-RATIO> 01.46
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001017953
<NAME> O'SHAUGHNESSY FUNDS, INC.
<SERIES>
<NUMBER> 3
<NAME> O'SHAUGHNESSY CORNERSTONE GROWTH FUND
<MULTIPLIER> 1
<CURRENCY> U.S. DOLLARS
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> SEP-30-1998
<PERIOD-START> OCT-1-1997
<PERIOD-END> SEP-30-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 99,403,389
<INVESTMENTS-AT-VALUE> 81,635,182
<RECEIVABLES> 215,564
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<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,534,421
<TOTAL-LIABILITIES> 1,534,421
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 107,803,108
<SHARES-COMMON-STOCK> 8,398,957
<SHARES-COMMON-PRIOR> 8,398,957
<ACCUMULATED-NII-CURRENT> (809,385)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (8,846,867)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (17,768,207)
<NET-ASSETS> 80,378,649
<DIVIDEND-INCOME> 176,437
<INTEREST-INCOME> 28,540
<OTHER-INCOME> 29,383
<EXPENSES-NET> 900,154
<NET-INVESTMENT-INCOME> (665,794)
<REALIZED-GAINS-CURRENT> (1,821,292)
<APPREC-INCREASE-CURRENT> (27,903,738)
<NET-CHANGE-FROM-OPS> (29,725,030)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 346
<DISTRIBUTIONS-OF-GAINS> 7,364,392
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,224,626
<NUMBER-OF-SHARES-REDEEMED> (7,444,063)
<SHARES-REINVESTED> 631,833
<NET-CHANGE-IN-ASSETS> (10,879,901)
<ACCUMULATED-NII-PRIOR> (143,245)
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 573,605
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 900,154
<AVERAGE-NET-ASSETS> 77,500,009
<PER-SHARE-NAV-BEGIN> 15.30
<PER-SHARE-NII> (.07)
<PER-SHARE-GAIN-APPREC> (3.88)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (1.78)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.57
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<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<CIK> 0001017953
<NAME> O'SHAUGHNESSY FUNDS, INC.
<SERIES>
<NUMBER> 4
<NAME> O'SHAUGHNESSY CORNERSTONE VALUE FUND
<MULTIPLIER> 1
<CURRENCY> U.S. DOLLARS
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> SEP-30-1998
<PERIOD-START> OCT-1-1997
<PERIOD-END> SEP-30-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 23,252,237
<INVESTMENTS-AT-VALUE> 21,797,500
<RECEIVABLES> 307,062
<ASSETS-OTHER> 31,490
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 22,136,052
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 209,659
<TOTAL-LIABILITIES> 209,659
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 22,459,953
<SHARES-COMMON-STOCK> 2,023,402
<SHARES-COMMON-PRIOR> 2,023,402
<ACCUMULATED-NII-CURRENT> 360,751
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 560,426
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (1,454,737)
<NET-ASSETS> 21,926,393
<DIVIDEND-INCOME> 726,563
<INTEREST-INCOME> 8,115
<OTHER-INCOME> 0
<EXPENSES-NET> 299,019
<NET-INVESTMENT-INCOME> 437,383
<REALIZED-GAINS-CURRENT> 561,340
<APPREC-INCREASE-CURRENT> (2,626,376)
<NET-CHANGE-FROM-OPS> (1,627,653)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 231,740
<DISTRIBUTIONS-OF-GAINS> 2,470
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,309,392
<NUMBER-OF-SHARES-REDEEMED> (141,039)
<SHARES-REINVESTED> 132
<NET-CHANGE-IN-ASSETS> 8,457,017
<ACCUMULATED-NII-PRIOR> 156,779
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
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<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 299,019
<AVERAGE-NET-ASSETS> 20,593,785
<PER-SHARE-NAV-BEGIN> 11.50
<PER-SHARE-NII> .21
<PER-SHARE-GAIN-APPREC> (.70)
<PER-SHARE-DIVIDEND> (.17)
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.84
<EXPENSE-RATIO> 01.45
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
The Board of Directors
O'Shaughnessy Funds, Inc.
In planning and performing our audit of the financial statements of
O'Shaughnessy Funds, Inc. (the "Funds") for the year ended September 30, 1998,
we considered its internal control, including controls over safeguarding
securities, in order to determine our auditing procedures for the purpose of
expressing our opinion on the financial statements and to comply with the
requirements of Form N-SAR, not to provide assurance on internal control.
The management of O'Shaughnessy Funds, Inc. is responsible for establishing and
maintaining internal control. In fulfilling this responsibility, estimates and
judgments by management are required to assess the expected benefits and related
costs of controls. Generally, controls that are relevant to an audit pertain to
the entity's objective of preparing financial statements for external purposes
that are fairly presented in conformity with generally accepted accounting
principles. Those controls include safeguarding of assets against unauthorized
acquisition, use, or disposition.
Because of inherent limitations in internal control, errors or fraud may occur
and may not be detected. Also, projection of any evaluation of internal control
to future periods is subject to the risk that it may become inadequate because
of changes in conditions or that the effectiveness of the design and operation
may deteriorate.
Our consideration of internal control would not necessarily disclose all matters
in internal control that might be material weaknesses under standards
established by the American Institute of Certified Public Accountants. A
material weakness is a condition in which the design or operation of any
specific internal control component does not reduce to a relatively low level
the risk that errors or fraud in amounts that would be material in relation to
the financial statements being audited may occur and not be detected within a
timely period by employees in the normal course of performing their assigned
functions. However, we noted no matters involving internal control, including
controls over safeguarding securities, that we consider to be material
weaknesses as defined above as of September 30, 1998.
This report is intended solely for the information and use of management and the
Securities and Exchange Commission.
/s/
McGLADREY & PULLEN, LLP
New York, New York
October 23, 1998
