"Combining the Best Stock Selection Factors" by Patrick O'Shaughnessy

by Patrick O'Shaughnessy, a Principal and Portfolio Manager at O’Shaughnessy Asset Management (OSAM). From QuantCon NYC 2016.
Patrick will explore how to combine the value factor with other stock selection factors to build a superior stock selection strategy. He will discuss unique ways of using momentum, share buybacks, and quality factors to improve on a simple value screen. He will discuss portfolio concentration, rebalancing, and risk management. He will also explain why the best versions of these strategies are only possible for smaller firms and investors.
The slides for this presentation can be found at www.slideshare.net/Quantopian....
To learn more about Quantopian, visit us at www.quantopian.com.
Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

[@alejandroperez-wf7yh]

Thank You Patrick O'Shaughnessy, from Spain

[@markpeterson3220]

Thank You Patrick - great education

[@Boven101]

This was great from Sweden! Thanks for a broader understanding of a diversified portfolio that you might want to look into other caps "meaning other categories other than S&P500", great lecture!

[@piotrszewczyk9205]

Great value in content, thanks!

[@tedchou12]

insightful.

[@roufdrapht]

Cool video, 4/5 stars

[@markpeterson3220]

I noted you screen out firms with high finance and Cap-ex requirements. Do you screen out firms which perform poorly on governance?

[@user-mm8pm7ol3r]

How do you screen for governance?

[@JackobJackob32]

23:40 If you would invested in 2017 into those companies, you would crush the market with over 30% anualized return

[@BLR1GBattlemaster]

This is all interesting, but the biggest issue I have with quant factors type of investing in general is that even if evidence and back testing supports the factors, forward testing hasn't been very good. Just look at OSAM's various quant fund returns, and you'll see what I mean. After fees, it's nothing impressive and even underperforms respective indices.

[@dominicdannies7482]

true, lot of impressive math but the results aren't that reassuring

[@roym1444]

What strategy do you implement?

[@thomasmuller1850]

Issue is, that big negative alphas have shown up in many of these complex funds. On the other hand side it's amusing how neglected, simple factor funds like MTUM were holding well enough.

[@shpztdr]

哪里可以看到OSAM的量化基金回报数据呢？

[@shpztdr]

where CAN I FOUND OSAM's various quant fund returns?

[@stefano8936]

Invest in microphones

[@CognitiveBerserkerNPCAndy]

Awoo

[@superrugby2]

14k views. 17k subscribers. 1 comment. I'm gonna suspect those views aren't your subscribers and were part of Jim's squad. Which is why you've been deleting the comments.

[@jmh44]

i found this video really interesting. why would they be deleting comments?

[@superrugby2]

@@jmh44 there's a good chance that presenter is aka jim metokur (a major internet debater/ troll and content creator) . He uses a different voice inflection when in the metokur character but his cadences and over all voice is next to identical and some of the knowledge metokur displays in debates is in perfect sync with what's on display here. But that fan base is incredibly toxic. Metokur wouldn't want fanbase cross over

[@CognitiveBerserkerNPCAndy]

@@superrugby2 4 out of 5 stars

[@whitenoise-thesecretofdeep8641]

wow this guy has really no idea about factor investing

[@suxxa]

But you have? Read his book.