O’Shaughnessy
All-Canadian Equity

Investment Strategy

Seeks to provide long-term appreciation by creating a portfolio with exposure to the Canadian Equity market. The strategy employs a model that invests in what the manager believes are the best growth and value stock ideas across all cap ranges. From a final ranking list of approximately 300 securities, stocks are selected and weighted based on conviction and are unconstrained by sector or market cap. The strategy is periodically rebalanced.

Stock Screening Process


Composite Performance


Annualized Rates* of Return for Periods ending 12/31/16 (%)


* CAD. Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (CAD) (%)


Characteristics



Characteristics as of 12/31/16 (CAD)
O'Shaughnessy
All-Canadian Equity
S&P/TSX
Index

Holdings Based*



Price/Earnings Ratio
16.3×
17.4×

Price/Sales Ratio
1.0×
1.8×

Trailing 9-month Total Return
25.9%
21.3%

Weighted Average Market Capitalization
$13,491 mil
$42,974 mil

Median Market Capitalization
$2,110 mil
$2,986 mil

Approximate Annual Turnover
64%

Active Share
76%





Returns Based
(Since Inception – February 1, 2007)


Standard Deviation
13.0%
13.5%

Downside Standard Deviation
4.4%
2.9%

Sharpe Ratio
0.50
0.20

Beta
0.86
1.00

Information Ratio
0.65


Tracking Error
5.9%


Downside Capture
87.1%
100.0%

Upside Capture
98.0%
100.0%

Gross of Fees (CAD)

* Based on a group of representative accounts. Each client account will differ based on start date and regeneration dates. Turnover is last 12 months.


Important Performance Disclosures

Current Sector Weightings


Sector Distribution as of 12/31/16 (%)


Based on a group of representative accounts.

Base Rates


As of 12/31/16

Base Rates vs. S&P/TSX (CAD, 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
Average Excess Return

Rolling 1-Year Periods
77
31
71%
4.6%

Rolling 3-Year Periods
82
2
98%
5.3%

Rolling 5-Year Periods
60
0
100%
5.6%

Rolling 7-Year Periods
36
0
100%
5.3%


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 comprise the model without prior notice. OSAM may determine it appropriate to rebalance at times other than the regularly scheduled rebalance without prior notice. Stocks with small and mid–sized market capitalizations (those defined by OSAM as less than $10 billion) may have greater risk and volatility than those with larger market capitalizations.

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