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 9/30/2021

O'Shaughnessy All-Canadian Equity (Gross)
O'Shaughnessy All-Canadian Equity (Net) **
S&P/TSX Index

3Q2021
1.5%
1.4%
0.2%
1
Year
34.0%
33.2%
28.1%
3
Year
7.4%
6.8%
11.1%
5
Year
6.5%
5.8%
9.6%
7
Year
7.0%
6.4%
7.5%
10
Year
10.3%
9.5%
8.8%
Since
Inception
2/1/2007
8.0%
7.2%
6.1%

* 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
2021
21.1%
20.6%
17.5%
-1.3%
-2.0%
5.6%
2020

2019
20.5%
19.8%
22.9%
-12.4%
-12.9%
-8.9%
2018

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 9/30/2021
Holdings Based * O'Shaughnessy
All-Canadian Equity
S&P/TSX Index
Price/Earnings Ratio 7.3x 15.7x
Price/Sales Ratio 0.9x 1.9x
Trailing 9-month Price Appreciation 59.1% 20.7%
Weighted Average Market Capitalization $8,710 Mil $67,825 Mil
Median Market Capitalization $1,963 Mil $4,524 Mil
Approximate Annual Turnover 69.7% (institutional)
Active Share 85.1%
 
Returns Based
(since inception - 2/1/2007)
Standard Deviation 14.8% 13.6%
Downside Standard Deviation 10.8% 9.8%
Sharpe Ratio 0.45 0.35
Beta 0.98 1.00
Information Ratio 0.30
5 Year Tracking Error 6.6%
Downside Capture 88.3% 100.0%
Upside Capture 98.6% 100.0%

Gross of Fees
* Based on a group of representative 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 9/30/2021 (%)

O'Shaughnessy All-Canadian Equity
S&P/TSX Index
Difference
Communication
Services
2.5%
5.0%
-2.5%
Consumer
Discretionary
10.2%
3.7%
6.5%
Consumer
Staples
8.5%
3.8%
4.7%

Energy
17.2%
13.2%
4.0%

Financials
19.6%
31.9%
-12.3%
Health
Care
0.2%
1.0%
-0.8%

Industrials
13.7%
11.5%
2.2%
Information
Technology
1.9%
11.0%
-9.1%

Materials
17.7%
11.2%
6.5%
Real
Estate
5.9%
3.1%
2.8%

Utilities
2.4%
4.7%
-2.3%

Based on a group of representative accounts.

BASE RATES

As of 9/30/2021

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 94 71 57% 2.0%
3-Years 102 39 72% 2.3%
5-Years 82 35 70% 2.8%
7-Years 74 19 80% 3.0%
10-Years 57 0 100% 2.7%

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.

The statements on this page are qualified in their entirety by the disclaimers and limitations contained here.