Investment Strategy

Seeks to provide long-term appreciation and income through exposure to global equities that we believe 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.

ANNUALIZED RETURN

Annualized Rates* of Return for
Periods Ending 6/30/2018

O’Shaughnessy Enhanced Dividend® (Gross)
O’Shaughnessy Enhanced Dividend® (Net) **
MSCI AC World Index
-2.6%
-3.3%
0.5%
2Q2018
1 Year
14.7%
11.5%
10.7%
3 Year
9.8%
7.0%
8.2%
5 Year
6.9%
4.3%
9.4%
7 Year
5.6%
3.0%
8.0%
10 Year
7.3%
4.5%
5.8%
15 Year
8.7%
6.0%
8.2%
Since Inception
5/1/2003
9.1%
6.4%
8.6%

* 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 Enhanced Dividend® (Gross)
O’Shaughnessy Enhanced Dividend® (Net) *
MSCI AC World Index
0.3%
-1.1%
-0.4%
YTD 2018
2017
20.4%
17.1%
24.0%
2016
20.5%
17.9%
7.9%
-11.1%
-13.2%
-2.4%
2015
-7.3%
-9.4%
4.2%
2014
2013
16.8%
14.2%
22.8%
2012
12.7%
9.8%
16.1%
3.2%
0.3%
-7.4%
2011
2010
11.3%
8.1%
12.7%
2009
51.2%
47.0%
34.6%
-38.8%
-40.5%
-42.2%
2008
2007
11.6%
9.1%
11.7%
2006
28.4%
25.6%
21.0%
2005
7.7%
5.1%
10.8%
2004
15.4%
12.6%
15.2%
5/1/03
-12/31/03
25.7%
23.9%
29.7%

* 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 6/30/2018
Holdings Based * O'Shaughnessy
Enhanced Dividend®
MSCI AC World Index
Price/Earnings Ratio 10.1x 17x
Price/Sales Ratio 0.7x 1.6x
Weighted Average Market Capitalization $55,031 Mil $143,956 Mil
Median Market Capitalization $35,615 Mil $10,633 Mil
Dividend Yield** 4.5% 2.3%
Foreign Exposure 59.8% 46.3%
Approximate Annual Turnover 64.8% (institutional)
62.6% (intermediary)
Active Share 93.5%
 
Returns Based
(since inception - 5/1/2003)
Standard Deviation 16.2% 14.7%
Downside Standard Deviation 10.4% 10.1%
Sharpe Ratio 0.49 0.50
Beta 0.99 1.00
Information Ratio 0.07
Tracking Error 6.9%
Downside Capture 98.5% 100%
Upside Capture 100.9% 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.
** The Dividend Yield is the annual percentage of the 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
SECTORS

Sector Distribution as of 6/30/2018 (%)

O’Shaughnessy Enhanced Dividend®
MSCI AC World Index
Difference
Consumer
Discretionary
20.1%
12.4%
7.7%
Consumer
Staples
5.9%
8.2%
-2.3%
Energy
12.1%
6.8%
5.3%
Financials
24.3%
17.7%
6.6%
Health
Care
2.4%
11.1%
-8.7%
Industrials
7.1%
10.5%
-3.4%
Information
Technology
9.3%
19.4%
-10.1%
Materials
9.7%
5.3%
4.4%
Real
Estate
0.0%
3.1%
-3.1%
Telecommunication
Services
9.2%
2.8%
6.4%
Utilities
0.0%
2.9%
-2.9%

Based on a group of representative accounts.

BASE RATES

As of 6/30/2018

Base Rates vs. MSCI AC World (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 95 75 56% 1.1%
3-Years 96 50 66% 0.6%
5-Years 75 47 62% 1.0%
7-Years 67 31 68% 1.5%
10-Years 58 4 94% 1.1%
15-Years 2 0 100% 0.6%

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.