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 9/30/2018

O'Shaughnessy All-Canadian Equity (Gross)
O'Shaughnessy All-Canadian Equity (Net) **
S&P/TSX Index
-1.7%
-1.8%
-0.6%
3Q2018
1 Year
6.3%
5.7%
5.9%
3 Year
8.8%
8.2%
9.7%
5 Year
8.7%
8.0%
7.8%
7 Year
11.5%
10.7%
7.9%
10 Year
10.0%
9.1%
6.3%
Since Inception
2/1/2007
8.1%
7.3%
4.8%

* 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
YTD 2018
1.8%
1.4%
1.4%
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%
10.4%
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
2/1/07
-12/31/07
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 9/30/2018
Holdings Based * O'Shaughnessy
All-Canadian Equity
S&P/TSX Index
Price/Earnings Ratio 12.1x 16.5x
Price/Sales Ratio 1x 1.7x
Trailing 9-month Price Appreciation 9.9% 3.9%
Weighted Average Market Capitalization $15,048 Mil $49,178 Mil
Median Market Capitalization $3,068 Mil $3,359 Mil
Approximate Annual Turnover 47.4% (institutional)
Active Share 74.9%
 
Returns Based
(since inception - 2/1/2007)
Standard Deviation 12.2% 12.6%
Downside Standard Deviation 8.5% 9.2%
Sharpe Ratio 0.54 0.26
Beta 0.86 1.00
Information Ratio 0.57
Tracking Error 5.7%
Downside Capture 77.6% 100%
Upside Capture 97.1% 100%

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 9/30/2018 (%)

O'Shaughnessy All-Canadian Equity
S&P/TSX Index
Difference
Consumer
Discretionary
10.5%
4.4%
6.1%
Consumer
Staples
6.3%
3.4%
2.9%
Energy
7.3%
19.1%
-11.8%
Financials
17.8%
34.3%
-16.5%
Health
Care
3.5%
2.0%
1.5%
Industrials
16.6%
10.6%
6.0%
Information
Technology
5.0%
4.1%
0.9%
Materials
20.5%
10.1%
10.4%
Real
Estate
7.6%
3.1%
4.5%
Telecommunication
Services
4.5%
5.3%
-0.8%
Utilities
0.5%
3.7%
-3.2%

Based on a group of representative accounts.

BASE RATES

As of 9/30/2018

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 86 43 67% 3.5%
3-Years 102 3 97% 4.6%
5-Years 81 0 100% 5.0%
7-Years 57 0 100% 4.9%
10-Years 21 0 100% 3.7%

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.