# James O’Shaughnessy

James O’Shaughnessy is chairman, CEO and CIO of O’Shaughnessy Asset Management LLC. He plays an active and integral part in all portfolio research and management decisions in his firm. Among investors, he is best known for his pioneering work in quantitative analysis, described in his book What Works on Wall Street: A Guide to the Best-Performing Investment Strategies of All Time, and which sought to finally answer the question of what works best – value or growth investing.

## Summary

O’Shaughnessy’s ground-breaking work is based on his own investment hypotheses and testing, which he adjusted to have a superior risk basis by splitting the stocks into two cornerstones – one aimed at large-cap value stocks, the other at all-cap growth stocks. He discovered that growth and value investing work extraordinarily well together even in different industries. Value investing is more suitable for large-cap stocks, and growth yielded great returns for smaller cap stocks. A dual approach allows investors to minimize volatility and increase capital growth.

## Success Formula Market Leaders Growth

Growth screening:

1. MktCapM is >= US$150 million (basis year 2000) adjusted yearly 2. P/S ratio is < 1.5 3. EPS growth % over the last 4 FQ > 0 4. Stock price in % over last 52 weeks is such that only 200 companies are included in the final results ## Hypothetical performance back-tested Data source: Bloomberg, Calculations: meetinvest Disclaimer Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed. ## Historical monthly relative performance How to read this graph: A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month. Data source: Bloomberg, Calculations: meetinvest Disclaimer Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed. ## Historical portfolio turnover Data source: Bloomberg, Calculations: meetinvest ## Books • Predicting the Markets of Tomorrow James P. O'Shaughnessy • What Works on Wall Street James O'Shaughnessy ## More ## Success Formula Market Leaders Value 1. Utility companies excluded 2. MktCapM is >= US$ 300 million (basis year 2000) adjusted yearly

3. Outstanding Shares latest FQ is > 100 million

4. Cash Flow Per Share for last 12 months is > than average of screening universe

5. Total Sales for last 12 months is > 1.5x average Total Sales for screening universe

6. Dividend yield is such that only 200 companies are included in the final results

## Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

## Historical monthly relative performance

A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month.

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

## Historical portfolio turnover

Data source: Bloomberg, Calculations: meetinvest

## Books

• Predicting the Markets of Tomorrow
James P. O'Shaughnessy
• What Works on Wall Street
James O'Shaughnessy

## Success Formula Tiny Titans

1. US$25 million <= MktCapM <= US$ 250 million (basis year 2000) adjusted yearly
2. Current P/S ratio is < 1
3. Take the top 100 stocks with the highest 52 week Relative Price Strength

## Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.