Podcast 4: A Returns-Based Approach
for Allocating U.S. Microcap
into Equities Portfolios

Categories Author: Jim O'Shaughnessy, Insight, Investing

“What Works on Wall Street” Podcast
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…

Episode 4: This podcast series is now on iTunes, transcript below: Continue reading “Podcast 4: A Returns-Based Approach
for Allocating U.S. Microcap
into Equities Portfolios”

Humans are Unreliable Experts,
Getting in the Way of Outstanding Performance

Categories Author: Jim O'Shaughnessy, Insight, Investing

“What ails the truth is that it is mainly uncomfortable, and often dull.
The human mind seeks something more amusing, and more caressing.”

— H. L. Mencken

Given our current state of affairs, it seems like right now is a very good time for a refresher on Human Behavior — the one predictable thing in the market. Continue reading “Humans are Unreliable Experts,
Getting in the Way of Outstanding Performance”

Podcast 3: Finding the Factor Alpha in REITs

Categories Author: Jim O'Shaughnessy, Insight, Investing

“What Works on Wall Street” Podcast
According to our research — and apparently for no good reason — the efficacy of factor signals in real estate investing has largely been upstaged by the factor revolution in the equities market. In fact, the public real estate market is uniquely inefficient and a fertile ground for active, factor-based investing…

Episode 3 transcript: Continue reading “Podcast 3: Finding the Factor Alpha in REITs”

Podcast 2: Microcaps’ Factor Spreads, Structural Biases, and the Institutional Imperative

Categories Author: Jim O'Shaughnessy, Insight, Investing

“What Works on Wall Street” Podcast
Many investors readily agree that alpha is scarce. It is hard to find, always in great demand, 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…

Episode 2 transcript: Continue reading “Podcast 2: Microcaps’ Factor Spreads, Structural Biases, and the Institutional Imperative”

Podcast 1: Factor Crowding, Cobras,
and Other Market Hyperboles

Categories Author: Jim O'Shaughnessy, Insight, Investing

“When a measure becomes a target, it ceases to be a good measure.”
— Goodhart’s Law1

“What Works on Wall Street” Podcast
After reading as many as 18 different WSJ articles on the subject, it’s understandable why investors might be up in arms about the alleged perils of factor crowding. We hope this discussion allays some of those concerns…


Episode 1 transcript: Continue reading “Podcast 1: Factor Crowding, Cobras,
and Other Market Hyperboles”

Visualizing Factors & Themes — What You See is What You Get

Categories Insight, OSAM Research, Value, Yield

“Is there a point where index funds theoretically can’t work a course?” asked Charlie Munger at this year’s Daily Journal Corporation Annual Meeting.1 “If everybody bought nothing but index funds, the whole world wouldn’t work as people expect.”

We agree.
So to help animate Munger’s premonition in real-time (see the cheery motion graphics below), our Team’s Developer / Performance Analyst)2 rolled up his coding sleeves and hacked into our “Factor Style Grid”.  Continue reading “Visualizing Factors & Themes — What You See is What You Get”

They Can’t All Be That Smart
A Due Diligence Framework for Factor Investors (Part 2)

Categories Author: Chris Meredith, Insight, Investing

Part 1 of this article delineates factor-based strategies — fundamental weighting,1 smart beta, and Factor Alpha — by showing the differences between them. Also covered in Part 1 is a comparison of risk-focused and return-focused factor implementation.2

Part 2 covers how risk controls3 and using Active Share4 can help determine the alignment between factors and portfolio construction for, as well as the fees you should expect to pay.
Continue reading “They Can’t All Be That Smart
A Due Diligence Framework for Factor Investors (Part 2)”

They Can’t All Be That Smart
A Due Diligence Framework for Factor Investors

Categories Author: Chris Meredith, Insight, Investing

Not all factor products are smart. This article delineates factor-based strategies — fundamental weighting, smart beta, and Factor Alpha — by showing the differences between them. It also provides a framework1 for determining the alignment between factors and portfolio construction, as well as the fees you should expect to pay.  Continue reading “They Can’t All Be That Smart
A Due Diligence Framework for Factor Investors”

Book Marks:
6 Non-$-Related Great Reads

Categories Author: Patrick O'Shaughnessy, Insight

There a million books out there on a variety of subjects that loosely inform investors on how to get what they want (or better yet, need). But, as promised, this list is a random selection of helpful insights from a non-investment/non-financial angle — a half-dozen ways to take your eyes off the charts ‘n tickers for a bit. Continue reading “Book Marks:
6 Non-$-Related Great Reads”