Philosophy
At O'Shaughnessy Asset Management, we strongly believe in the value of applying empirical, fundamental research to uncover the best quantitative stock selection strategies. We have done an exhaustive study of the historical characteristics that the best value and growth stocks possess, and this research forms the basis of every portfolio we offer. Our strategies select stocks in a logical, unemotional way, and they appeal to common sense: we look for stocks selling at a discount but showing good potential for growth.
We do not deviate from our strategies, and we adhere to a rigorous and disciplined systematic process. We believe that many money managers underperform their benchmarks because of their inherent inability to divorce themselves from the emotions that often cloud good decision-making. Our process is rigorous and rational; we do not let short term market fluctuations distract us from our longer-term goals. We allow our stock selection screens to add value over full market cycles and we stay fully invested in the market. And, unlike most other quantitative managers, our process is completely transparent. We show you how and why we choose the stocks that we do, helping you fully understand our models and how they are designed to work.
Key Research
Duplicating the S&P 500
Discipline is the key to success
Best of Value
Price-to-sales is the pre-eminent value factor
Best of Growth
Relative strength wins out
Multi-Factor Models
Combining value and growth works best
Key Research
Duplicating the S&P 500
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The S&P 500, which historically outperforms approximately 80% of mutual fund managers, can be roughly replicated using one simple, fundamental factor—market capitalization. It's more than an index—it's a strategy—designed to buy large stocks. It beats most money managers not because of its strategy, but because of its discipline. It never deviates.
 Source: O'Shaughnessy research utilizing FactSet the S&P Compustat Database. The universe of Large Stocks consists of all securities in the S&P Compustat Database with inflation-adjusted market capitalization greater than average. The stocks are equally weighted and rebalanced annually. Past performance is not an assurance of future results. The performance results shown herein are hypothetical and backtested, and are not that of any fund or account managed by O'Shaughnessy Asset Management. (Does not reflect performance information for any strategy available for investment.) Important Information Regarding the Hypothetical and Backtested Performance Results |
Best of Value
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Sample Backtested Value FactorsAnnualized Rates of Return (Gross) (12/31/63 - 12/31/07) Hypothetical Performance Results Several value factors significantly outperform the market over time. Our strategies emphasize a low price-to-sales ratio because of its long-term performance and consistency. We also believe that the price-to-sales ratio is more reliable than other value factors because it is a less manipulated metric.  Source: O'Shaughnessy research utilizing the S&P Compustat Database. The universe of All Stocks consists of all securities in the S&P Compustat database with inflation-adjusted market capitalizations greater than $150 million. The 50 stocks are equal weighted and rebalanced annually. Past performance is not an assurance of future results. The performance results shown herein are hypothetical and backtested, and are not that of any fund or account managed by O'Shaughnessy Asset Management. (Does not reflect performance information for any strategy available for investment.) Important Information Regarding the Hypothetical and Backtested Performance Results |
Best of Growth
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Sample Backtested Growth FactorsAnnualized Rates of Return (Gross) (12/31/63 - 12/31/07) Hypothetical Performance Results Growth for growth's sake does not beat "the market" over time. However, there is still "value" in growth. Relative strength, or price momentum, is the growth factor we prefer. An object in motion tends to stay in motion—for a time.  Source: O'Shaughnessy research utilizing the S&P Compustat Database. The universe of All Stocks consists of all securities in the S&P Compustat database with inflation-adjusted market capitalizations greater than $150 million. The 50 stocks are weighted and rebalanced annually. Past performance is not an assurance of future results. The performance results shown herein are hypothetical and backtested, and are not that of any fund or account managed by O'Shaughnessy Asset Management. (Does not reflect performance information for any strategy available for investment.) Important Information Regarding the Hypothetical and Backtested Performance Results |
Multi-Factor Models
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Multi-Factor Models Work BestAnnualized Rates of Return (Gross) (12/31/63 - 12/31/07) Hypothetical Performance Results Even stronger results in our strategies comes from models that leverage the best of value and growth combined. Historically, the effects of doing so are compounded, not averaged. The resulting portfolios have historically superior performance with better risk characteristics than single-factor models.  Source: O'Shaughnessy research utilizing FactSet the S&P Compustat Database. The universe of All Stocks consists of all securities in the S&P Compustat database with inflation-adjusted market capitalizations greater than $150 million. The 50 stocks are weighted and rebalanced annually. Past performance is not an assurance of future results. The performance results shown herein are hypothetical and backtested, and are not that of any fund or account managed by O'Shaughnessy Asset Management. (Does not reflect performance information for any strategy available for investment.) Important Information Regarding the Hypothetical and Backtested Performance Results |
