O’Shaughnessy
Enhanced Dividend®

Investment Strategy

Seeks to provide long-term growth and income by investing in stocks with high dividend yield. First, we screen for stocks with market capitalizations greater than average and generally exclude Utilities. We then remove from selection stocks with the lowest Momentum, Earnings Quality, and Financial Strength Composite scores. Stocks are screened for EBITDA/Enterprise Value and Value Composite scores in the top 1/3 relative to peers. From the remaining securities, we select stocks with the highest dividend yields.

Stock Screening Process


Composite Performance


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


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (%)


Characteristics



Characteristics as of 12/31/16
O'Shaughnessy
Enhanced Dividend
MSCI AC World Index

Holdings Based*



Price/Earnings Ratio
15.0×
18.7×

Price/Sales Ratio
1.0×
1.6×

Weighted Average Market Capitalization
$61,217 mil
$101,780 mil

Median Market Capitalization
$35,159 mil
$8,784 mil

Dividend Yield**
3.7%
2.4%

Foreign Exposure
37.8%
46.5%

Approximate Annual Turnover
41%

Active Share
89.7%





Returns Based
(Since Inception – January 1, 2003)

Standard Deviation
16.7%
15.3%

Downside Standard Deviation
4.9%
3.1%

Sharpe Ratio
0.44
0.44

Beta 0.99 1.00  
Information Ratio
0.10


Tracking Error
7.0%


Downside Capture
99.6%
100.0%

Upside Capture
106.2%
100.0%

Gross of Fees

* Based on a group of representative accounts. Each client account will differ based on start date and regeneration dates. Turnover is last 12 months.
** The Dividend Yield is the annual percentage of return earned by an investor on a common or preferred stock. The yield is calculated by dividing the amount of dividends paid per share over the past twelve months by the current market price per share of the stock. OSAM utilizes the services of Factset, a third party data provider vendor, to calculate portfolio characteristics and metrics. The dividend yield is a gross indicated yield. There is no guarantee that the rate of dividend payment will continue and the income derived is subject to taxes and expenses which will impact the actual yield experience of each investor.


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. MSCI AC World Index (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
86
67
56%
1.0%

Rolling 3-Year Periods
91
38
71%
1.1%

Rolling 5-Year Periods
75
30
71%
1.8%

Rolling 7-Year Periods
67
14
83%
2.2%

Rolling 10-Year Periods
45
0
100%
1.4%


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.