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Contact Information
Jim OShaughnessy, Chairman, CEO & CIO Jim.OShaughnessy@osam.com
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Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
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An Unprecedented Environment
Generating yield has become more difficult than at any point in the last 140 years:
Historical Yield on a Hypothetical Balanced Portfolio (60% Equity / 40% Bond)
(1/1/1871 to 6/30/2013) 10 9 8 7 6
5 4 3 2 1 0
2.03%
(Jun-2013)
Source: Global Financial Data, OSAM Calculations. The Bond component is represented by 10-Year U.S. Treasurys. The Equity component is represented by the S&P 500 Index. Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
1961
1871
1881
1891
1901
1921
1931
1941
1951
1911
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Average
Jul-2013
4%
2% 0%
Preferreds
MLPs
REITs
S&P 500
MSCI World
Oct-1790 Jul-2013
Jan-1950 Jul-2013
Apr-1915 Jul-2013
Jan-1987 Jul-2013
Dec-1992 Jul-2013
Apr-1996 Jul-2013
Dec-1971 Jul-2013
Jan-1871 Jul-2013
Jan-1970 Jul-2013
Source: Global Financial Data, Morningstar EnCorr, Compustat, MSCI Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
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(19512011)
16%
Debt/GDP Ratio
12%
Debt/GDP Ratio
8%
Inflation
4%
Inflation
0%
Source: Global Financial Data Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
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6.34
6
-63.5% -32.4%
-21.3%
3 Resultant price decline if interest rates rise
-19.6% -9.1%
3.10
-8.9% -4.9%
1.89
-2.0%
0.77 0.25
-1
3mo
1Yr
2Yr
3Yr
5Yr
7Yr
10Yr
20Yr
30Yr
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14.5 12.3 10.9 10.7 9.8 4.7 4.6 4.3 4.0 2.4 1.8 1.6
Global High Yield Stocks U.S. High Yield Stocks Emerging Markets Stocks U.S. LT Govt Bonds U.S. Small Stocks U.S. LT Corp. Bonds U.S. Stocks World ex U.S. Govt Bonds World ex U.S. Stocks U.S. Int. Govt Bonds U.S. Municipal Bonds T-bills Inflation
18.4 13.9 12.0 11.4 11.2 11.2 10.8 10.0 9.6 8.8 7.5 4.8 3.0
10
Inflation U.S. Int. Govt Bonds U.S. LT Corp. Bonds U.S. LT Govt Bonds U.S. Municipal Bonds
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
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0.8
0.7 0.6 0.5 0.4 0.3 0.2 0.1 0.70
0.0
-0.1
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
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United States
Europe
Japan
9
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
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Limiting the portfolio to a particular region arbitrarily restricts a strategys ability to seek out high-quality yield worldwide
Median Yield of Dividend Payers by Region
Worldscope Stocks (6/1/1986 to 12/31/2012) 5%
4%
3%
2%
1%
0%
United States
Europe
Japan
10
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
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17.5%
0.48
10.7%
Annualized Return
12.8%
Base Rates
Base rates are a batting average for how often a strategy beats its benchmark over certain rolling time periods.
1-Yr 56%
3-Yr 71%
5-Yr 69%
10-Yr 69%
1-Yr 70%
3-Yr 85%
12.8%
5-Yr 85% 10-Yr 96%
0.30
All investments carry a certain degree of risk, including the possible loss of principal. Dividend yield is one component of performance and should not be the only consideration for investment. Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
11
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21.0
The highest dividend-yielding stocks in the U.S. are 37% more expensive than their global counterparts.
19.0
16.3
15.0
14.7
14.3
13.9
5.0
Japan
United States
MSCI AC World
Asia ex Japan
Europe
Emerging Markets
Investment characteristics and performance are based on OSAM's Separately Managed Accounts. Should OSAM have another product or investment vehicle with a similar name, investment characteristics and performance may differ. Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
12.5
12
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43.8%
41.8%
43.3%
43.6%
45.8%
0.10
1974 1977 1979 1982 1984 1987 1989 1991 1994 1996 1999 2001 2003 2006 2008 2003 2004 2005 2006 2007 2008 2009 2010 2011 2011
38%
0.00
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
13
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Sharpe Ratio
(1/1/1963 through 12/31/2012) 0.73
6.2%
4.4%
3.6%
0.70
6.0%
2.6%
0.63
4.0%
1.2%
0.58
0.60
2.0%
10
0.0%
0.53
-0.1%
1
-2.0% -4.0%
5 Decile
0.50
0.44
0.40
-6.0%
-3.7%
-1.9%
-6.0%
0.30
-8.0%
-10.0%
-12.0%
-9.6%
0.10
0.12
0.20
0.35
0.00
10
0.00
Base Rates*
Decile 1 10
1-Year
3-Year
5-Year
7-Year
10-Year
1
-0.10
5 Decile -0.13
82% 28%
96% 15%
99% 5%
100% 1%
100% 0%
-0.20
VALUE COMPOSITE FACTORS Price-to-Sales, Price-to-Earnings, EBITDA-to-Enterprise Value, Free Cash Flow-to-Enterprise Value, Shareholder Yield
* Versus U.S. All Stocks (1/1/1963 through 12/31/2012)
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
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Sharpe Ratio
(1/1/1963 through 12/31/2012) 0.50 0.51 0.50 0.47
3.0%
0.50
2.0%
1.1%
0.2%
0.41
1.0%
0.0%
1
-1.0%
5 -1.3% Decile
0.30
0.33
0.34
10
0.40
-2.0%
0.0%
-3.0%
-2.7%
0.20
-4.0%
-5.0%
-5.6%
0.10
0.17
-6.0%
Base Rates*
Decile 1 10
1-Year
3-Year
5-Year
7-Year
10-Year
0.00
66% 20%
80% 11%
89% 5%
95% 0%
98% 0%
5 Decile
FINANCIAL STRENGTH COMPOSITE FACTORS External Financing, Debt-to-Cash Flow, Debt-to-Equity, 1-Year Change in Debt
* Versus U.S. All Stocks (1/1/1963 through 12/31/2012)
0.03 10
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
15
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Sharpe Ratio
(1/1/1963 through 12/31/2012)
0.60
4.6%
4.0%
0.51
1.8%
1.3%
0.50
0.50
2.0%
0.1%
0.1%
0.44
10
0.40
0.41
0.0%
1
-2.0%
5 -1.7% Decile
0.30
0.34
-4.0%
-2.8%
0.32
0.20
-7.0%
0.10
-8.0%
0.16
10
0.00
Base Rates*
Decile 1 10
1-Year
3-Year
5-Year
7-Year
10-Year
1
-0.10
5 Decile -0.04
81% 19%
87% 11%
95% 5%
100% 4%
100% 0%
EARNINGS QUALITY COMPOSITE FACTORS Current Accruals-to-Assets, Change in Operating Assets, Total Accruals-to-Total Assets, Depreciation-to-CapEx
* Versus U.S. All Stocks (1/1/1963 through 12/31/2012)
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
16
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15
14
13
12 11 10 9 8 7 6 5 4 3 2 1 0
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
17
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300.00
312
250.00
200.00
200
150.00
Number of observations:
100.00
50.00
47
0.00
38
Returns (%)
<0
03
34
4+
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
18
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500
450
400 350 300 250
200
150 100 50 0 -50 -100
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
19
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500
0
-500 -1000 -1500 -2000 -2500 -3000 -3500 -4000 -4500 -5000 -5500
U.S. Long Bonds have only twice outperformed U.S. Stocks on a real cumulative basis since January 1, 1900. The maximum outperformance occurred for the 40 years ending March 2009:16.04%
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
20
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150
100 50 0 -50 -100
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
21
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Highest real rolling cumulative outperformance, U.S. Long Bond - S&P 500 for 20 years ending March 2009: 119.43%
100 0 -100 -200 -300 -400 -500 -600 -700 -800
-900
-1000 -1100 -1200
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
22
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250
200
150
100
50
-50
-100
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
23
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200
100
-100
-200
-300
-400
-500
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
24
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10-year
periods
165
957
17.24%
135%
Aug-39
20-year
periods
54
837
6.45%
119%
Mar-09
30-year
periods
717
0.84%
162%
Sep-11
40-year
periods
597
0.34%
16%
Mar-09
Source: August 2013 http://www.osam.com/commentary.aspx Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
25
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Although OSAM may consider from time to time one or more of the factors noted herein in managing any account, it may not consider all or any of such factors. OSAM may (and will) from time to time consider factors in addition to those noted herein in managing any account.
OSAM may rebalance an account more frequently or less frequently than annually and at times other than presented herein.
OSAM may from time to time manage an account by using non-quantitative, subjective investment management methodologies in conjunction with the application of factors. The hypothetical backtested performance results assume full investment, whereas an account managed by OSAM may have a positive cash position upon rebalance. Had the hypothetical backtested performance results included a positive cash position, the results would have been different and generally would have been lower. The hypothetical backtested performance results for each factor do not reflect any transaction costs of buying and selling securities, investment management fees (including without limitation management fees and performance fees), custody and other costs, or taxes all of which would be incurred by an investor in any account managed by OSAM. If such costs and fees were reflected, the hypothetical backtested performance results would be lower. The hypothetical performance does not reflect the reinvestment of dividends and distributions therefrom, interest, capital gains and withholding taxes. Accounts managed by OSAM are subject to additions and redemptions of assets under management, which may positively or negatively affect performance depending generally upon the timing of such events in relation to the markets direction. Simulated returns may be dependent on the market and economic conditions that existed during the period. Future market or economic conditions can adversely affect the returns.
Contact Information
OShaughnessy Asset Management 6 Suburban Avenue Stamford, CT 06901 Phone: (203) 975-3333 info@osam.com enhanced-dividend.com