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osam.com
W h a t Wo r k s O n Wa l l S t r e e t . c o m WWOWS.com
osam.com
osam.com
91%
20.27% InflationAdjusted CAGR Since 3/16/09
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
1871 to Present:
Subsequent Real Avg. Annual Return Over the Next: 1-Year 3-Years 5-Years 10-Years
-4.6%
Positive: Negative:
20.5%
42 8
14.7%
48 0
15.8%
39 0
14.5%
39 0
osam.com
1300%
1200%
1100% 1000% 900% 800%
The worst 20-year period ever went from 1929 to 1949 5.91% (total real return)
Great Depression
700%
600% 500% 400% 300%
200%
100%
0%
1964
1971
1997
1946
1949
1953
1957
1960
1968
1975
1979
1982
1986
1990
1993
2001
2004
2008
2012
2015
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
2019
osam.com
1300%
1200%
1100% 1000% 900% 800%
From 2000 to April 2012, the S&P 500 has lost 11% of its value (real)
700%
600% 500% 400% 300%
200%
100%
0%
1964
1971
1997
1946
1949
1953
1957
1960
1968
1975
1979
1982
1986
1990
1993
2001
2004
2008
2012
2015
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
2019
2000
2012
5% 2019
0% -5%
-11%
-30% -35%
-40% -45%
1997
2001
2004
2008
2012
2015
2019
-50% -55%
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
The Great Depression (the worst 20-year cycle To tie the worst 20-year cycle ever: ever)
60%
40%
20%
2000
2012
5.91%
0%
+19%
-20% 2019
-40%
-60%
-80%
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
Forward 1-Year
Forward 3-Year
Forward 5-Year
When current GDP growth < 0% Average for the entire period
21.4% 8.7%
12.2% 7.7%
12.1% 7.6%
High Confidence
-2.4% 11.3%
We are here.
Low Confidence
11.5%
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
11.0%
Quality
Value
Yield
11
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
11.0%
All U.S. Stocks
Quality
5.9%
Value
Yield
12
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
100
Price
80
60
40
20
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
13
osam.com
100
80
Earnings Quality
60
40
20
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
14
osam.com
11.0%
All U.S. Stocks
Quality
5.9%
in 2007
Value
Yield
14%
15
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
11.0%
Quality
Value
Yield
16
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
17.4%
11.0%
All U.S. Stocks
Quality
Value
Cheapest Decile
(19632011)
Yield
17
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
11.0%
All U.S. Stocks
Quality
Value
1.3%
Most Expensive
(19632011)
Yield
18
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
Shareholder Yield
Quality
Annualized Excess Return:
Value
4.0%
Yield
82%
19
U.S. Large Stocks Universe (1/1/1963 through 12/31/2011): 9.7% Base Rates: Top decile Shareholder Yield vs. U.S. Large Stocks Universe
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
Your Call
For the 20 years ending 12/31/10
3.45%
3.27%
20
Source: Dalbar and Morningstar EnCorr Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
Random Walk
1896
2009
21
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
Not-So-Random Walk...
1896
2009
22
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation.
osam.com
osam.com
We find that a long list of investment biases (e.g., the reluctance to realize losses, performance chasing, and the home bias) are human, in the sense that we are born with them. Genetic factors explain up to 50% of the variation in these biases across individuals. We find no evidence that education is a significant moderator of genetic investment behavior.
Why Do Individuals Exhibit Investment Biases? Henrik Cronqvist and Stephan Siegel
24
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osam.com
Inflation is a tax.
Ben Bernanke, Chairman of the Federal Reserve July 16, 2008 in testimony to Congress
Average Real Returns Sorted by Inflation Regime
(19262010)
Dimson-Marsh-Staunton U.S. All Stocks (best decile)
U.S. Bonds
-12.5%
-3.1% 4.4%
U.S. Equity
-6.7%
1.9% 12.4%
Shareholder Yield
-4.9%
7.7% 17.9%
Severe
High Fed Target Moderate
Low Deflation
5.5%
10.0%
7.1%
13.9%
8.2%
14.5%
Past performance is no guarantee of future results. Please see important disclosure information at the end of this presentation. 26
Hypothetical performance results shown on the preceding pages are backtested and do not represent the performance of any account managed by OSAM, but were achieved by means of the retroactive application of each of the previously referenced models, certain aspects of which may have been designed with the benefit of hindsight.
The hypothetical backtested performance does not represent the results of actual trading using client assets nor decision-making during the period and does not and is not intended to indicate the past performance or future performance of any account or investment strategy managed by OSAM. If actual accounts had been managed throughout the period, ongoing research might have resulted in changes to the strategy which might have altered returns. The performance of any account or investment strategy managed by OSAM will differ from the hypothetical backtested performance results for each factor shown herein for a number of reasons, including without limitation the following:
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.