O’Shaughnessy
Enhanced Dividend®

Investment Strategy

Seeks to provide long-term appreciation and income through exposure to global equities that the manager believes have exceptional quality, valuation, and dividend yield. Enhanced Dividend’s focus on the combination of value and dividend yield across the global opportunity set provides a unique take on equity income. Stocks are conviction-weighted and broadly constrained by region, sector, and industry.

Stock Screening Process


Composite Performance


Annualized Rates* of Return for Periods Ending 3/31/17 (%)


* Any time period longer than one year is annualized.

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (%)


Characteristics



Characteristics as of 3/31/17
O'Shaughnessy
Enhanced Dividend
MSCI AC World Index

Holdings Based*



Price/Earnings Ratio
16.5×
19.2×

Price/Sales Ratio
1.0×
1.6×

Weighted Average Market Capitalization
$59,976 mil
$110,740 mil

Median Market Capitalization
$35,312 mil
$9,474 mil

Dividend Yield**
3.7%
2.4%

Foreign Exposure
39.4%
47.0%

Approximate Annual Turnover
41%

Active Share
90%





Returns Based
(Since Inception – January 1, 2003)

Standard Deviation
16.5%
15.2%

Downside Standard Deviation
10.8%
10.5%

Sharpe Ratio
0.46
0.47

Beta 0.99 1.00  
Information Ratio
0.07


Tracking Error
6.9%


Downside Capture
99.6%
100.0%

Upside Capture
102.8%
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 3/31/17 (%)


Based on a group of representative accounts.

Base Rates


As of 3/31/17

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
89
67
57%
1.1%

Rolling 3-Year Periods
91
41
69%
1.0%

Rolling 5-Year Periods
75
33
69%
1.6%

Rolling 7-Year Periods
67
17
80%
2.1%

Rolling 10-Year Periods
48
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.