"Combining the Best Stock Selection Factors" by Patrick O'Shaughnessy
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- Опубліковано 5 сер 2024
- 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....
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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!
Thank You Patrick - great education
Great value in content, thanks!
Thank You Patrick O'Shaughnessy, from Spain
insightful.
Cool video, 4/5 stars
I noted you screen out firms with high finance and Cap-ex requirements. Do you screen out firms which perform poorly on governance?
How do you screen for governance?
23:40 If you would invested in 2017 into those companies, you would crush the market with over 30% anualized return
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.
true, lot of impressive math but the results aren't that reassuring
What strategy do you implement?
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.
哪里可以看到OSAM的量化基金回报数据呢？
where CAN I FOUND OSAM's various quant fund returns?
Awoo
Invest in microphones
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.
i found this video really interesting. why would they be deleting comments?
@@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
@@superrugby2 4 out of 5 stars
wow this guy has really no idea about factor investing
But you have? Read his book.