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)”

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)”

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”

Discovering Under-Covered Microcap Stocks
on Bloomberg Markets

Categories Interview, Investing, OSAM Research

BBR logo

Guest Jim O’Shaughnessy, OSAM’s CIO/CEO, and Carol Massar1 find much to discuss during his periodic visit to her daily Bloomberg Markets radio program. For more research on this topic, go to the microcap archives.

The interview2 begins 2 minutes into the recording…

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“Bloomberg Markets: O’Shaughnessy on Investing in Micro-Caps” transcript: Continue reading “Discovering Under-Covered Microcap Stocks
on Bloomberg Markets”