2017 Factor Alpha Newsletter
“Value” vs. “Momentum”

Categories Investing, Momentum, OSAM Research, Value

The past year was full of plot twists. Momentum beating Value was not one of them. The victory comes as no surprise because these 2 themes swap leadership cyclically — 2017 was Momentum’s year. And, as you can see in the exhibits below, Momentum’s winning streak definitively spans all 7 of the universes we ran. Continue reading “2017 Factor Alpha Newsletter
“Value” vs. “Momentum””

“Purgatory for Pessimists” — International Equities
An Unemotional, Factor-Based Approach

Categories Author: Ehren Stanhope, International, Investing, OSAM Research

The current Bull Market has been unkind to non-U.S. allocations. At a conference I recently attended, the term TINA1 (there is no alternative) was overheard, more than once, in the context of allocating investor portfolios. Expected returns on fixed income are likely to be low, and identifying top quartile alts managers — let alone gaining access to them — is increasingly difficult. Continue reading ““Purgatory for Pessimists” — International Equities
An Unemotional, Factor-Based Approach”

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”

Factor Alpha Newsletter
“OSAM Value” (2000 thru Oct-2017)

Categories Investing, OSAM Research, Value

* The backtested results for this article are as of 10/31/17. 1

Value is the centerpiece of our investment framework and it gets built into every one of our strategies — even growth-oriented strategies. We believe that what you pay for an investment is one of the most predictive characteristics of future alpha. Continue reading “Factor Alpha Newsletter
“OSAM Value” (2000 thru Oct-2017)”

3Q17 Factor Alpha Newsletter
REITs

Categories Investing, OSAM Research

“Are the fees that these funds1 are charging right now justifiable, given the outcomes and given that, in many cases, they are just simply ‘repackaging exposures’?

. . .

Absolutely. Because at the end of the day, “strategic beta is just a new form of active management.”

— Ben Johnson (Director, Global ETF Research Morningstar)2

While factor investing has experienced significant proliferation across the equity landscape, the approach has largely been ignored in the publicly-traded real estate securities market. Continue reading “3Q17 Factor Alpha Newsletter
REITs”

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”

Microcaps’ Factor Spreads, Structural Biases,
and the Institutional Imperative
(Part 2 of 2)

Categories Author: Ehren Stanhope, Investing, Market Cap

In the first part of this 2-part article, we define microcap stocks and their unique, transitory nature. This second part guides investors through the factor landscape in Micro and explores where investors can expect to find opportunities.

Factor investing is more effective in Micro than in any other cap range

Though factor investing has rooted itself squarely in large cap equities, we believe it significantly more effective in small and microcap — the eclectic corners of the market. Continue reading “Microcaps’ Factor Spreads, Structural Biases,
and the Institutional Imperative
(Part 2 of 2)”

Microcaps’ Factor Spreads, Structural Biases,
and the Institutional Imperative
(Part 1 of 2)

Categories Author: Ehren Stanhope, Investing, Market Cap

The ironic twist to the proliferation of “factor”-based strategies in recent years is that the overwhelming majority of these strategies are1 launching in U.S. Large Cap Equity — the most competitive arena for any financial market in the world. Sure, factors can be effective in large cap but, lately, discerning investors are discovering that the factor research in eclectic corners of the market is much more compelling. This article presents our findings in perhaps the most capacity-constrained of those eclectic corners: microcap. Despite some unique considerations as it relates to liquidity and tradability (see Part 2), the opportunity in Micro is hard to ignore.2 Continue reading “Microcaps’ Factor Spreads, Structural Biases,
and the Institutional Imperative
(Part 1 of 2)”