O’Shaughnessy Asset Management Research and Content

Blog Post

Don’t Just Sit There…Tax Loss Harvest

By: Euan Mackay

August 2022

In the first six months of the year, OSAM harvested 6,000 times across Canvas accounts, generating $100m of net losses and helping to lift clients’ after-tax returns

• Blog Post
• Euan Mackay
• Canvas • Tax Management

Blog Post

Four Themes That All Allocators Should Consider

By: OSAM Research Team

July 2022

The cacophony of bear market rhetoric is deafening. It consumes traditional and social media. We share four themes that all allocators should consider here.

• Blog Post
• OSAM Research Team
• Factors • Markets

Letter

OSAM Founder Jim O’Shaughnessy to Retire at Year End

By: Patrick O’Shaughnessy

June 2022

In some bittersweet news for me and our firm, founder Jim O’Shaughnessy will retire from O’Shaughnessy Asset Management, LLC (OSAM) on December 31, 2022.

• Letter
• Patrick O’Shaughnessy

Article

How are advisors using Canvas? Takeaways from 2 years of Custom Indexing

By: Euan Mackay

February 2022

When we launched Canvas in 2019, Direct Indexing was a sleepy corner of the market and Custom Indexing didn’t exist. Today, these twin categories are projected to grow faster than any other in the investment industry. But how are advisors using Canvas?

• Article
• Euan Mackay
• Canvas • ESG • Factors • Indexing

Article

Technology & Data Analysis: The Evolution of Risk Management (Pt. 2)

By: Jamie Catherwood

December 2021

• Article
• Jamie Catherwood
• Financial History

Whitepaper

The Great Inflation, Factors, and Stock Returns

By: Ehren Stanhope

October 2021

Ehren Stanhope discusses drivers of inflation and the impact on portfolios. Our analysis suggests that while investors are right to pay attention to inflation, comparisons with the 1970s may be overblown.

• Whitepaper
• Ehren Stanhope
• Factors • Markets • Portfolio Construction • Keystone Resources
• Value • Momentum • Shareholder Yield • Quality

Article

Falling Chandeliers & The Evolution of Risk Management (Part 1)

By: Jamie Catherwood

October 2021

One of Warren Buffett’s famous investing rules is to win by not losing. As usual, Buffett’s instructions are simple, but not easy. Generally, however, there are two paths for following Buffett’s rules. The first is to only make good investments that never lose money. Alternatively – and more realistically – manage risk through rules and processes that increase your probability of positive outcomes and reduce the odds of meaningful losses.

• Article
• Jamie Catherwood
• Canvas • Financial History • Portfolio Construction

Letter

A Letter to Clients On Franklin Templeton Acquisition

By: Patrick O’Shaughnessy

September 2021

Today, I have exciting news to share: O’Shaughnessy Asset Management has agreed to be acquired by Franklin Templeton, a $1.5 trillion global investment management firm with a 70-year history.

• Letter
• Patrick O’Shaughnessy

Whitepaper

The Concentrated Stock Puzzle

By: OSAM Research Team

September 2021

While most agree on the value of diversification, transitioning from one or a few concentrated positions to a diversified portfolio is still a challenging puzzle – consisting of biases and significant tax consequences.

• Whitepaper
• OSAM Research Team
• Canvas • Indexing • Machine Learning • Tax Management

Commentary

Canvas Q2 Commentary

By: OSAM Research Team

July 2021

Equity markets put in a strong quarter—buoyed by optimism surrounding the ongoing pandemic recovery—which also built upon strong Q1 gains.

• Commentary
• OSAM Research Team
• Canvas • Indexing • Markets
• Value • Momentum • Shareholder Yield • Stability

Article

Custom Indexing: The Benefits of Unbundling

By: OSAM Research Team

July 2021

Unlike ETFs and mutual funds that offer one pre-packaged product for investors to purchase, the portfolio construction methodology behind Custom Indexing is personalized to an individual’s unique circumstances, risk tolerance, goals, and preferences.

• Article
• OSAM Research Team
• Canvas • ESG • Indexing • Tax Management

Article

Dividends: A 400-Year-Old Practice

By: Jamie Catherwood

May 2021

Dividends have been a core feature of financial markets since shares first traded on the Amsterdam Exchange in 1602. This piece provides a brief overview of dividend's 400 year history in finance.

• Article
• Jamie Catherwood
• Canvas • Financial History • Strategies
• Shareholder Yield

Article

2021 Market FAQ

By: Ehren Stanhope

May 2021

OSAM Client Portfolio Manager, Ehren Stanhope, shares our views on frequently asked questions we’ve received from clients and allocators throughout this eventful start to 2021.

• Article
• Ehren Stanhope
• Factors • Markets
• Value

Article

Investing in Environmental Protection

By: OSAM Research Team

April 2021

Since 1970, April 22nd has been a day of supporting environmental protection. As we embrace this day focused on sustainability, it is appropriate to highlight how investors can align their environmental values and investment objectives.

• Article
• OSAM Research Team
• Canvas • ESG • Indexing

Article

Investing in Women Empowerment

By: OSAM Research Team

March 2021

This portfolio focuses on exposure to companies supporting women’s equality and female-aligned values. Investing is one small but important medium for promoting change as it enables investors to vote on material issues and align their values with their wallet.

• Article
• OSAM Research Team
• Canvas • ESG • Indexing

Article

ESG and the Biden Administration

By: OSAM Research Team

March 2021

Every presidential transition leads to a slew of policy rollbacks and new legislation. Early signs suggest ESG related policy will be an important theme to follow.

• Article
• OSAM Research Team
• ESG

Article

Investing in Social Justice

By: OSAM Research Team

March 2021

Last July, we developed a model with a Canvas partner that invests in companies committed to diversity, equity, and inclusion (DEI) in the workplace.

• Article
• OSAM Research Team
• Canvas • ESG • Indexing

Article

Helping Financial Advisors Solve ESG Investing Challenges

By: OSAM Research Team

March 2021

Last year, U.S. sustainable fund flows totaled $51.2B, more than double the 2019 figure and ten times larger than 2018. Yet, despite the ballooning product market, advisors still face numerous challenges in ESG investing.

• Article
• OSAM Research Team
• Canvas • ESG • Indexing • Portfolio Construction • Keystone Resources

Article

Technology & The Financial Printing Press

By: Jamie Catherwood

February 2021

History repeatedly demonstrates that an abundance of information often produces technological innovations designed to better analyze and synthesize such data to produce valuable new insights. Ironically, the boom in information often stems from the original technology itself so that there is a constant cycle of innovations producing new data / information, necessitating more technological innovations to analyze and synthesize this information.

• Article
• Jamie Catherwood
• Canvas • Financial History

Article

History, Platforms & Mass Customization

By: Jamie Catherwood

February 2021

As covered in the first installment of this three-part series on “The Road to Custom Indexing”, demand for customization and products tailored to individuals often arise when a good or service becomes abundant and commoditized. While the field of Finance and Investment is most apt for our discussion, this maxim generally holds true across all industries.

• Article
• Jamie Catherwood
• Canvas • Financial History • Indexing

Article

The Road to Custom Indexing: Investment Vehicles

By: Jamie Catherwood

February 2021

Innovations do not occur in a vacuum. Instead, they often represent the moment that independent paths of evolution and ideas converge, culminating in something entirely unique. This post focuses on the latest financial innovation, Custom Indexing and its core foundations: democratization of finance, technology, passive beta, active management, ESG, factor exposure, and customization.

• Article
• Jamie Catherwood
• Canvas • ESG • Financial History • Indexing

Commentary

Q4 2020 Factor Performance Comments

By: OSAM Research Team

January 2021

The fourth quarter marked the third consecutive positive quarter for equity markets since the COVID-crisis began. As has been the case the entire year, it was riddled with geopolitical landmines like Brexit, the COVID pandemic, and an added kicker from the U.S. political process. On the factor front, 2020 was a strange year that we discuss further here.

• Commentary
• OSAM Research Team
• Canvas • Factors • Markets
• Value • Momentum • Shareholder Yield • Quality • Earnings Growth • Financial Strength • Earnings Quality

Podcast

Podcast: Custom Indexing is a Tidal Wave Coming at the Investment Business

By: Josh Brown

January 2021

Josh Brown, author of The Reformed Broker blog and frequent CNBC guest, hosted OSAM CEO Patrick O'Shaughnessy on his podcast, The Compound Show. They discussed the future of indexing, specifically Custom Indexing and Canvas. You can listen here.

• Podcast
• Josh Brown
• Canvas • Indexing

Video

Webinar: What's Going On With Value?

By: OSAM Research Team

December 2020

OSAM Research team members discuss the current state of value investing and potential catalysts for a turnaround.

• Video
• OSAM Research Team
• Factors • Markets
• Value

Commentary

Custom Indexing: The Next Evolution of Index Investing

By: Patrick O’Shaughnessy

December 2020

By 2025, most financial advisors will use web-based software to create and manage Custom Indexes for their clients. Custom Indexing is the next evolution of index investing and Canvas is the first offering within this new category - a category that looks to be the inevitable future of portfolio management.

• Commentary
• Patrick O’Shaughnessy
• Canvas • Indexing • Strategies

Commentary

OSAM Update: Blizzard, Winter, or Ice Age

By: Patrick O’Shaughnessy

March 2020

The past two weeks have been a brutal market blizzard during what is now almost certainly an economic and investing winter. Blizzards are defined by extreme volatility and uncertainty—and we’ve had historic amounts of both since February 20th.

• Commentary
• Patrick O’Shaughnessy
• Factors • Markets
• Value • Quality

Commentary

An Update From OSAM

By: Patrick O’Shaughnessy

March 2020

In recent weeks, markets have sold off in reaction to increasing coronavirus cases and falling oil prices. During such challenging times, CEO Patrick O’Shaughnessy shares some insights on recent factor performance and what the long-term evidence suggests for markets going forward.

• Commentary
• Patrick O’Shaughnessy
• Factors
• Value • Momentum • Shareholder Yield • Quality

Article

The Factor Archives: Value

By: Jamie Catherwood

February 2020

Price is one of the most predictive determinants of future alpha and investors have recognized this since the first value fund was founded in 1779. While market environments and the methods of equity valuation have changed, the concept of purchasing stocks at discounted prices has persisted for centuries.

• Article
• Jamie Catherwood
• Factors • Financial History
• Value

Article

The Factor Archives: Shareholder Yield

By: Jamie Catherwood

November 2019

Our analysis of corporate allocation over several decades finds that the most rewarding way to allocate capital is by returning it to shareholders. In fact, investors have recognized this for more than four centuries, and demanded buybacks and dividends as a result.

• Article
• Jamie Catherwood
• Factors • Financial History
• Shareholder Yield

Whitepaper

ESG the Right Way: Customization and Not Scale

By: OSAM Research Team

October 2019

In order to scale, the largest ESG products are designed to be one size fits all. This approach waters down and often tilts away from the values investors (institutional or individual) want. Poorly defined ESG screens and tilts can lead to starting universes and portfolio holdings that are not aligned with investors’ goals. We believe the best solutions are reached by tailoring portfolios to the unique goals of each investor. This paper discusses best practices in: tailoring ESG screens and tilts, combining ESG with Alpha factors to improve return expectations, and using differences in ESG data providers to solve a wider range of ESG goals.

• Whitepaper
• OSAM Research Team
• ESG
• Value • Momentum • Quality

Commentary

O’Shaughnessy Quarterly Investor Letter Q3 2019

By: Patrick O’Shaughnessy

October 2019

In this quarter’s letter, Patrick begins by highlighting the most interesting trend we see inside equity markets today, and finishes by sharing the five key lessons that we’ve learned so far after demoing Canvas for more than 100 advisors and other capital allocators.

• Commentary
• Patrick O’Shaughnessy

Article

Shareholder Yield: A Differentiated Approach to an ‘Efficient’ Market – US Large Cap Value

By: OSAM Research Team

September 2019

At OSAM we focus on Shareholder Yield to build differentiated, alpha-focused strategies in the “efficient” US Large Cap universe. Shareholder Yield is the sum of a stock’s dividend yield (paid over previous twelve months minus special dividends) and the percentage of net share buybacks over the previous twelve months. It is a powerful tool for identifying good management teams. Our approach aims to capture the benefits of both dividends and buybacks to drive positive returns for investors.

• Article
• OSAM Research Team
• Factors
• Shareholder Yield

Article

Introducing Canvas

By: Patrick O’Shaughnessy

September 2019

Today, I am excited to announce the release of Canvas, the first investing software that allows advisers and allocators to design, implement, and maintain deeply customized investment strategies. Building on OSAM’s 2+ decades of expertise in factor and systematic strategy design, Canvas hands allocators the keys to our best systems so they can design tailored strategies for their clients. Give your clients something they cannot find elsewhere—a strategy built uniquely for them.

• Article
• Patrick O’Shaughnessy
• Canvas • Keystone Resources

Whitepaper

Mispriced Innovation – Patents as a Leading Indicator for Earnings Growth

By: Daniel Nitiutomo, Phlip Creutzmann, Lucas Von Reuss

July 2019

In this piece we analyze an innovation metric, Granted Patents, from a factor investing approach and show that this metric is indicative of both fundamental earnings growth and future stock performance. In combination with capitalized Research and Development expense, a more readily available innovation metric found today, we can further identify high-innovation companies that provide a differentiated source of excess returns and growth. Innovation metrics can aid quantitative Value investors in detecting mispricings caused by overly pessimistic expectations as cheap, high innovation companies show greater earnings resilience while benefiting from future, upward re-pricing.

• Whitepaper
• Daniel Nitiutomo • Phlip Creutzmann • Lucas Von Reuss
• Factors
• Value • Earnings Growth • Earnings Quality

Podcast

Patrick O'Shaughnessy - The Capital Allocators Podcast with Ted Seides

By: Patrick O’Shaughnessy

June 2019

A rare instance of OSAM CEO Patrick O’Shaughnessy appearing as a podcast guest. In this inaugural episode of “First Meeting with Ted Seides”, the conversation focuses on Patrick’s career in the world of investing, and O’Shaughnessy’s differentiated approach to factor investing, portfolio construction, and more.

• Podcast
• Patrick O’Shaughnessy

Commentary

O’Shaughnessy Quarterly Investor Letter Q1 2019

By: Patrick O’Shaughnessy

March 2019

In this quarter’s letter, Patrick discusses two examples of how we are trying to build accumulating advantages at OSAM. First, by adding to our “research graveyard,” and second by building a web of interconnected software-based tools.

• Commentary
• Patrick O’Shaughnessy

Commentary

O’Shaughnessy Quarterly Investor Letter Q4 2018

By: Patrick O’Shaughnessy

January 2019

In this quarter’s letter, we address the most common questions that we field at OSAM by discussing: I. 2018 performance II. Whether the market looks attractive as of January 2019 III. Factor performance during 2018 (which started fine and ended very badly) IV. Our vision for the long-term future of OSAM.

• Commentary
• Patrick O’Shaughnessy

Whitepaper

ML & Investing Part 1: From Linear Regression to Ensembles of Decision Stumps

By: Kevin Zatloukal

December 2018

The idea of applying machine learning to finance and investing has become a popular topic of discussion recently, and for good reason. As its use becomes widespread, machine learning (ML) has the potential to change almost every part of society, both by automating routine activities and by improving performance in difficult activities. In all likelihood, investing will be no exception.

• Whitepaper
• Kevin Zatloukal
• Machine Learning
• Value

Whitepaper

Alpha within Factors

By: Chris Meredith, Jesse Livermore, Patrick O’Shaughnessy

November 2018

In Factors from Scratch, we showed that value investing works through a re-rating process. The process begins when the market develops an expectation that the earnings of certain companies will decline or grow at depressed rates into the future. The market then prices those companies at a discount relative to their current earnings, turning them into "value stocks." Over the short-term, the market usually ends up being right in its expectations: value stocks usually do go on to experience declines or slowdowns in their earnings, particularly in comparison with the rest of the market. But over the long-term, they usually recover and return to normal growth. When the market prices value stocks, it tends to underestimate the likelihood and extent of their eventual recoveries.

• Whitepaper
• Chris Meredith • Jesse Livermore • Patrick O’Shaughnessy
• Factors • Keystone Resources
• Value • Momentum • Shareholder Yield • Quality • Earnings Growth • Financial Strength • Earnings Quality

Commentary

O’Shaughnessy Quarterly Investor Letter Q3 2018

By: Patrick O’Shaughnessy

September 2018

In this quarter’s letter, we describe the more interesting, next stage of factor investing: alpha within factors. This simple idea describes what we’ve pursued at OSAM over the years, and what we continue to pursue through our research agenda today.

• Commentary
• Patrick O’Shaughnessy

Article

Announcing a New OSAM Research Partner

By: Patrick O’Shaughnessy

July 2018

We are excited to announce our second OSAM Research Partner and our search for more partners with some very specific skills.

• Article
• Patrick O’Shaughnessy

Commentary

O’Shaughnessy Quarterly Investor Letter Q2 2018

By: Patrick O’Shaughnessy

June 2018

In this quarter's letter, we're going to share our thoughts on three key topics: the Value factor’s extended run of poor performance, the ways we believe asset managers can borrow concepts from the technology sector, and our current research agenda.

• Commentary
• Patrick O’Shaughnessy

Whitepaper

Factors from Scratch

By: Chris Meredith, Jesse Livermore, Patrick O’Shaughnessy

May 2018

The excess returns associated with Value and Momentum result from convergent and divergent processes, respectively. Value stocks are systematically underpriced and gradually converge on their fair value over time. Momentum stocks start out fairly valued or slightly overvalued, and go on to become more overvalued in the short-term, before reverting back. Both styles represent a market mistake that can be captured as alpha. In this piece, we're going to make all of these points more clear through a unified framework that we've developed to explain how factors work.

• Whitepaper
• Chris Meredith • Jesse Livermore • Patrick O’Shaughnessy
• Factors • Keystone Resources
• Value • Momentum • Earnings Growth

Article

Announcing OSAM Research Partners

By: Patrick O’Shaughnessy

May 2018

Today we are announcing a new initiative: the OSAM Research Partners Program. Through the program, we will begin building formal relationships with the brightest and most curious people we can find to produce new research for the benefit of our investors and the broader community.

• Article
• Patrick O’Shaughnessy

Whitepaper

Dimensions of Return

By: Ehren Stanhope

April 2018

Few professional managers understand the power of portfolio construction, fewer still can quantify the impact on performance. While students of markets are inundated with knowledge on investment selection, an understanding of portfolio construction is woefully inadequate. To understand how impactful, we need new frameworks that differentiate between skill in construction versus selection.

• Whitepaper
• Ehren Stanhope
• Portfolio Construction
• Value

Whitepaper

Negative Equity, Veiled Value, and the Erosion of Price-to-Book

By: OSAM Research Team

April 2018

The price-to-book ratio has a problem. Accounting distortions are causing record numbers of U.S. companies to report negative book value and more and more cheap companies to be defined as expensive growth companies (Veiled Value Stocks).

• Whitepaper
• OSAM Research Team
• Factors
• Value • Shareholder Yield

Whitepaper

Purgatory for Pessimists: An Unemotional, Factor-Based Approach to International Equities

By: Ehren Stanhope

December 2017

Anyone overweight to non-U.S. allocations has suffered over the previous ten years. The current equity bull market has not been kind to non-U.S. allocations. The dramatic outperformance of U.S. stocks on the global equity stage has confounded allocators waiting for a turn, but history suggests these cycles are normal and revert over time.

• Whitepaper
• Ehren Stanhope
• Markets
• Value • Momentum • Shareholder Yield • Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

Microcap as an Alternative to Private Equity

By: Chris Meredith, Patrick O’Shaughnessy

December 2017

We highlight an alternative to private equity: microcap equities. While private equity offers potential advantages, it also requires taking distinct risks. In this paper, learn how microcap equities can help mitigate these risks and also provide strong performance by using proven themes for stock selection.

• Whitepaper
• Chris Meredith • Patrick O’Shaughnessy
• Strategies
• Value • Momentum • Quality

Whitepaper

A Returns-Based Approach: Incorporating U.S. Microcap in Equity Allocations

By: Ehren Stanhope

October 2017

“Traditional” asset allocation favors capacity-based frameworks that are overly-reliant on flawed market cap-weighted indexes. Also, that approach fails to make adjustments for investor risk tolerance or plan size. Investors who use a returns-based approach instead — adding Micro and Small Cap into the equities mix — can expect to see stronger returns and lower volatility.

• Whitepaper
• Ehren Stanhope
• Strategies
• Value • Momentum • Shareholder Yield • Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

Microcaps — Factor Spreads, Structural Biases, and the Institutional Imperative

By: Ehren Stanhope

August 2017

Many investors readily agree that alpha is scarce. It is hard to find, highly sought after, and requires skill to extract. The eclectic microcap universe provides a disparate group of continually evolving and devolving businesses with structural features that remain persistently attractive for investors.

• Whitepaper
• Ehren Stanhope
• Strategies
• Value • Momentum • Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

They Can’t All Be That Smart

By: Chris Meredith

July 2017

As the number of factor products increase, it’s important to understand how different portfolio construction methods can lead to very different investment results, even when using the same factors.

• Whitepaper
• Chris Meredith
• Indexing
• Value • Shareholder Yield

Whitepaper

A Factor Alpha Approach to REITs

By: OSAM Research Team

June 2017

While factor investing has caught on in public equity markets, it has been largely overlooked in real estate investing. Yet our research shows the public real estate market is a uniquely inefficient, and fertile ground for active, factor-based investing. Factor investing in REITs has a proven track record, in this paper, read how any allocation can benefit from this unique approach to REITs, whether used to increase liquidity, increase access, or broaden the list of real estate opportunities.

• Whitepaper
• OSAM Research Team
• Strategies
• Value • Momentum • Shareholder Yield • Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

Factors Are Not Commodities

By: Chris Meredith

March 2017

OSAM Research Director Chris Meredith, CFA challenges and dispels the notion that investment factors are commodities. Factors that some view as generic are nuanced both in their definitions and implementation.

• Whitepaper
• Chris Meredith
• Factors
• Value • Momentum • Quality

Whitepaper

Price-to-Book’s Growing Blind Spot

By: Chris Meredith

November 2016

Has an increase in shareholder transactions (primarily share repurchases) contributed to how price-to-book has gradually become ineffectual in recent years?

• Whitepaper
• Chris Meredith
• Factors
• Value

Whitepaper

Buybacks Bears and Bulls

By: Chris Meredith

October 2016

This paper offers an examination of stocks with strong buybacks, trying to determine if they are thriving because of earnings or stock manipulation.

• Whitepaper
• Chris Meredith
• Markets
• Value • Shareholder Yield

Whitepaper

Peculiar Stock Leadership in 2016

By: OSAM Research Team

July 2016

The first part of 2016 has been one of the most difficult time periods for active management on record. To shed light on this challenging period we explore the profile of the stocks which have led the Russell 1000® benchmarks. Characteristics that historically do poorly are leading the market over this period. Further, the gap of value over growth indices so far this year is more a surge in stocks with terrible sales and earnings growth, and less a triumph of traditional cheap over expensive.

• Whitepaper
• OSAM Research Team
• Markets
• Value

Whitepaper

The Economic Cycle: A Factor Investor’s Perspective

By: Ehren Stanhope

May 2016

Does the economic cycle have any bearing on investment success? Macro investment houses have constructed intricate frameworks to understand the “economic machine,” but economic data are notoriously prone to revisions, lags, and adjustments in measurement through time—none of which are suitable for timely and reliable investment signals. As factor investors, we believe that certain fundamental characteristics—not economic variables—drive stock returns. We’ve distilled the hundreds of investment factors into cohesive multi-factor themes that can serve as foundational building blocks for equity strategies. Among the litmus tests for those themes is persistence. This paper identifies investment themes that deliver persistent outperformance in multiple different economic environments.

• Whitepaper
• Ehren Stanhope
• Factors
• Value • Momentum • Shareholder Yield • Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

Alpha or Assets? Factor Alpha vs. Smart Beta

By: Patrick O’Shaughnessy

April 2016

Read how to build investment strategies for alpha, not scale—and why we believe the asset management industry has gone in the opposite direction.

• Whitepaper
• Patrick O’Shaughnessy
• Factors • Keystone Resources
• Value • Shareholder Yield

Whitepaper

The Inefficient Canadian Market

By: OSAM Research Team

April 2016

Read why the Canadian market deserves consideration as a dedicated piece of an investor’s overall asset allocation. Canadian equities have a long history, dating back to 1861, and today it ranks as the world’s fourth largest stock market by market capitalization. Over the period from 1900 to 2014, adjusted for inflation, Canadian equities have returned 5.8 percent annualized, which compares favorably to the U.K’s return of 5.3 percent and slightly lags the U.S. return of 6.5 percent (see also “The Dangers of Indexing in Canada” linked below).

• Whitepaper
• OSAM Research Team
• Canada
• Value • Momentum

Whitepaper

A True Microcap Strategy

By: Jim O’Shaughnessy

March 2016

Is there an undiscovered market where valuations are not systematically picked apart by Wall Street analysts, where huge changes in valuation often go unnoticed, and a stock’s price is very much at odds with its true value? Read this paper to learn more about the opportunity for consistent, long-term excess returns that awaits investors in the overlooked, undervalued and unappreciated, and uniquely-positioned microcap space.

• Whitepaper
• Jim O’Shaughnessy
• Strategies
• Value • Momentum • Shareholder Yield • Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

The Dangers of Indexing in Canada

By: OSAM Research Team

February 2016

The Canadian market gets little attention and is rarely a dedicated piece of an overall asset allocation outside of Canada. However, for the past two decades, it has been one of the most consistent-performing developed markets in the world. Investing in Canada via market cap-weighted indexes can introduce unnecessary risks. This paper shows how active management can give investors an edge in the Canada market.

• Whitepaper
• OSAM Research Team
• Canada • Indexing
• Value • Momentum

Whitepaper

Stocks You Shouldn’t Own

By: OSAM Research Team

January 2016

Active management has two potential advantages versus an index. The first advantage is the one that most people think of: active stock selection. But this paper focuses instead on the second potential advantage: active stock elimination, or identifying stocks not to own in the portfolio. While owning strong performers is the most obvious source of excess returns versus a benchmark, the stocks that are in an index but not in an active portfolio often explain as much of the active portfolio’s relative returns.

• Whitepaper
• OSAM Research Team
• Markets
• Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

High Conviction Buybacks

By: Patrick O’Shaughnessy

August 2015

Much has been written on the role that buybacks can play in the overall market and whether or not they are implemented with the interests of investors under consideration. This paper focuses on (1) the pre-disposition of companies with high conviction in their own buyback programs to outperform the majority of companies engaged in low conviction buybacks and (2) how investors can use this to their advantage.

• Whitepaper
• Patrick O’Shaughnessy
• Markets
• Value • Shareholder Yield

Whitepaper

Inefficiency Breeds Opportunity in Small Cap Equities

By: Chris Meredith, Ehren Stanhope

July 2015

With widespread inefficiencies and a greater dispersion of returns, the small cap space calls for an active management approach. This commentary, redefining inefficiency as opportunity, identifies the significant potentials for excess return in small cap equities and serves as a guide to navigate this often-overlooked area of the market. Read this whitepaper to learn how our disciplined, multi-factor strategy offers an alternative to traditional qualitative stock-picking methods.

• Whitepaper
• Chris Meredith • Ehren Stanhope
• Strategies
• Value • Momentum • Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

A Logical Antidote to Indexing

By: Ehren Stanhope

March 2015

• Whitepaper
• Ehren Stanhope
• Indexing • Strategies
• Value • Momentum • Shareholder Yield • Quality • Earnings Growth • Financial Strength • Earnings Quality

Whitepaper

The Power of Share Repurchases

By: Patrick O’Shaughnessy

June 2014

One effective strategy in the U.S. over the past several decades has been to buy stocks that are in the midst of repurchasing significant quantities of their shares—but just blindly following buybacks isn’t always a good strategy. This paper outlines a very brief history of buybacks, explores the reasons (good and bad) that companies buy back stock, and explains the huge advantage available to investors who incorporate buybacks into a total “shareholder yield” calculation to be used in their investment strategy, while at the same time avoiding companies that are buying back shares for the wrong reasons.

• Whitepaper
• Patrick O’Shaughnessy
• Factors • Keystone Resources
• Value • Shareholder Yield • Quality • Earnings Quality

Whitepaper

Value & Momentum—Building a Unique Canadian Equity Portfolio

By: OSAM Research Team

March 2014

Canadian equity indexes based on market-cap-weighted constructions are structurally flawed and result in unforeseen concentration risks. Systematically buying stocks based on their valuations and market momentum has proven to be an effective way of beating market-cap-weighted indexes in markets around the world. These two themes work especially well in the Canadian equity market. This paper outlines why these two themes work so well in Canada, and how to use them to build an investment strategy.

• Whitepaper
• OSAM Research Team
• Canada
• Value • Momentum • Shareholder Yield

Whitepaper

Combining the Best of Passive and Active Investing

By: Patrick O’Shaughnessy

March 2013

Should investors pay higher fees to active managers in an attempt to beat the market? Or should they instead buy cheap passive index funds or exchange traded funds (ETFs)? The choice between the passive or active approach to investing can have a huge impact on long-term results. In this paper, we evaluate the arguments for each style, and argue for an approach that combines the strengths of both the passive and active approaches.

• Whitepaper
• Patrick O’Shaughnessy
• Indexing
• Value

Whitepaper

OSAM Research: Dividend Yield vs. Dividend Growth

By: OSAM Research Team

September 2012

Investor appetite for high-yielding companies continues to grow. However, there are those who believe high dividend payments are a poor indicator of a company’s future growth prospects and prefer to select stocks using “dividend growth” instead. Our research suggests that investors should focus on dividend yield rather than dividend growth rates.

• Whitepaper
• OSAM Research Team
• Factors
• Value

Whitepaper

Why U.S. Investors Should Look Beyond Dividend Yield

By: Patrick O’Shaughnessy

March 2012

Though U.S. stocks with high dividend yields have become very popular with individual and professional investors, OSAM makes the case for shareholder yield, a factor the Research Team has long advocated, which has provided strong returns for U.S. stocks for more than 80 years. Shareholder yield is the sum of a company’s dividend yield plus its buyback yield (the percentage of shares outstanding that have been repurchased or issued over the last year).

• Whitepaper
• Patrick O’Shaughnessy
• Factors
• Value • Shareholder Yield • Quality

Whitepaper

Inflation and the US Bond and Stock Markets

By: Jim O’Shaughnessy

April 2011

Jim O’Shaughnessy looks at historical returns for stocks and bonds in various inflationary environments, and what investors might expect going forward.

• Whitepaper
• Jim O’Shaughnessy
• Markets
• Value • Momentum • Shareholder Yield

Whitepaper

The Economy and the Stock Market

By: Patrick O’Shaughnessy

September 2010

In the face of so much grim economic news and uncertainty about the future, the OSAM Research Team reviews the historical implications of low economic growth, high unemployment, low consumer confidence and top marginal tax rates on future stock returns.

• Whitepaper
• Patrick O’Shaughnessy
• Markets

Whitepaper

Thoughts on the Correction

By: OSAM Research Team

May 2010

The return of fear has created an opportunity for the long-term equity investor to buy stocks at a major discount. This commentary by the OSAM Research Team may persuade clients to stay calm and, if possible, add to the equity market.

• Whitepaper
• OSAM Research Team
• Markets

Whitepaper

A Generational Opportunity

By: Jim O’Shaughnessy

March 2009

Jim O’Shaughnessy studies how rare the current market downturn has been—and why it may present a once in a lifetime buying opportunity.

• Whitepaper
• Jim O’Shaughnessy
• Markets