Investment Strategy

Seeks to provide long-term appreciation through exposure to Canadian equities that we believe have better quality, value, and momentum across market capitalization ranges. Stocks are selected and weighted based on conviction and are broadly constrained by sector and industry.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 3/31/2018

O'Shaughnessy All-Canadian Equity (Gross)
O'Shaughnessy All-Canadian Equity (Net) **
S&P/TSX Index
-1.1%
-1.3%
-4.5%
1Q2018
1 Year
3.7%
3.0%
1.7%
3 Year
6.9%
6.2%
4.1%
5 Year
10.0%
9.2%
6.9%
7 Year
8.8%
8.0%
4.3%
10 Year
8.6%
7.7%
4.5%
Since Inception
2/1/2007
8.2%
7.3%
4.5%

* CAD. Any time period longer than one year is annualized.
** For composite performance presentation purposes, wrap fee account returns are net at 3% annually, which reflects the highest applicable “wrap” fee charged by any sponsor across our distribution channel. Non-wrap fee account returns are net of the actual advisory fees.

Important Performance Disclosures
ANNUAL RETURN

Annual Rates of Return (%)

O'Shaughnessy All-Canadian Equity (Gross)
O'Shaughnessy All-Canadian Equity (Net) *
S&P/TSX Index
-1.1%
-1.3%
-4.5%
2018 YTD
2017
8.2%
7.6%
9.1%
2016
14.6%
13.9%
21.1%
0.8%
0.2%
-8.3%
2015
2014
5.5%
4.6%
10.6%
2013
34.3%
33.2%
13.0%
2012
11.3%
10.3%
7.2%
-3.9%
-4.8%
-8.7%
2011
2010
26.1%
25.0%
17.6%
2009
29.9%
28.8%
35.1%
-30.4%
-31.0%
-33.0%
2008
2/1/2007-12/31/2007
12.7%
11.8%
8.6%

* For composite performance presentation purposes, wrap fee account returns are net at 3% annually, which reflects the highest applicable “wrap” fee charged by any sponsor across our distribution channel. Non-wrap fee account returns are net of the actual advisory fees.

Important Performance Disclosures
CHARACTERISTICS

Characteristics as of 3/31/2018
Holdings Based * O'Shaughnessy
All-Canadian Equity
S&P/TSX Index
Price/Earnings Ratio 10.4x 15.8x
Price/Sales Ratio 1.0x 1.7x
Trailing 9-month Total Return 16.0% 5.3%
Weighted Average Market Capitalization $15,382 Mil $46,612 Mil
Median Market Capitalization $2,934Mil $3,495 Mil
Approximate Annual Turnover 61.9% (institutional)
Active Share 74%
 
Returns Based
(since inception - 2/1/2007)
Standard Deviation 12.4% 12.9%
Downside Standard Deviation 8.6% 9.4%
Sharpe Ratio 0.54 0.23
Beta 0.86 1.00
Information Ratio 0.64
Tracking Error 5.8% 0.0%
Downside Capture 87.0% 100.0%
Upside Capture 97.6% 100.0%

Gross of Fees
* Based on a group of represntative accounts. Each client account will differ based on start date and regenerations dates.
Turnover is last 12 months.


Important Performance Disclosures
SECTORS

Sector Distribution as of 3/31/2018 (%)

O'Shaughnessy All-Canadian Equity
S&P/TSX Index
Difference
Consumer
Discretionary
16.6%
5.6%
11.0%
Consumer
Staples
5.2%
3.6%
1.6%
Energy
3.2%
18.7%
-15.5%
Financials
21.9%
35.2%
-13.3%
Health
Care
3.0%
1.2%
1.8%
Industrials
17.4%
8.7%
8.8%
Information
Technology
2.2%
3.8%
-1.6%
Materials
19.2%
11.7%
7.6%
Real
Estate
7.8%
3.1%
4.7%
Telecommunication
Services
0.9%
4.6%
-3.7%
Utilities
2.5%
3.8%
-1.3%

Based on a group of representative accounts.

BASE RATES

As of 3/31/2018

Base Rates vs. S&P/TSX (Gross of Fees)

Base Rates are batting averages for how often a strategy beats the benchmark over certain rolling time periods.
Won Lost Base
Rate
Avg.
Excess
Return
Avg.
Excess
Return
1-Year 80 43 65% 3.6%
3-Year 97 2 98% 4.8%
5-Year 75 0 100% 5.3%
7-Year 51 0 100% 5.0%
10-Year 15 0 100% 3.5%

Important Performance Disclosures

Performance returns are preliminary. Past performance is no guarantee of future results.
Due to ongoing research, the manager may from time to time adjust the model by changing certain factors or screens which compromise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than regularly scheduled rebalance without prior notice. Stocks with small and mid-sized market capitilazations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitilizations.

Style allocations are approximate. They may change over time and vary by account.