O’Shaughnessy
All-Canadian Equity

Investment Strategy

Seeks to provide long-term appreciation through exposure to Canadian equities that the manager believes 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.

Stock Screening Process


Composite Performance


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


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

 

Important Performance Disclosures

Composite Performance


Annual Rates of Return (CAD) (%)


Characteristics



Characteristics as of 3/31/17 (CAD)
O'Shaughnessy
All-Canadian Equity
S&P/TSX
Index

Holdings Based*



Price/Earnings Ratio
15.7×
18.8×

Price/Sales Ratio
1.0×
1.9×

Trailing 9-month Total Return
25.2%
16.2%

Weighted Average Market Capitalization
$15,783 mil
$44,845 mil

Median Market Capitalization
$2,071 mil
$3,046 mil

Approximate Annual Turnover
66%

Active Share
75%





Returns Based
(Since Inception – February 1, 2007)


Standard Deviation
12.8%
13.4%

Downside Standard Deviation
9.0%
9.8%

Sharpe Ratio
0.52
0.21

Beta
0.86
1.00

Information Ratio
0.66


Tracking Error
5.9%


Downside Capture
87.1%
100.0%

Upside Capture
99.0%
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 3/31/17 (%)


Based on a group of representative accounts.

Base Rates


As of 3/31/17

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
34
69%
4.3%

Rolling 3-Year Periods
85
2
98%
5.1%

Rolling 5-Year Periods
63
0
100%
5.6%

Rolling 7-Year Periods
39
0
100%
5.2%

Rolling 10-Year Periods
3
0
100%
3.8%


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.