The Ledger
Every statement that passed quotation and attribution checks. Mix any filter with any other: certainty 1/5, debate potential 5/5, or both at once.
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O'Shaughnessy: Momentum forecasts fundamental growth better than valuation multiples
“What fascinates me about this is momentum does a better job of forecasting future fundamental growth than price does. So the highest momentum decile has better future fundamental growth than the most expensive, let's say PE decile or free cashflow yield decile…”
O'Shaughnessy: Momentum Alpha Exhausts Within One Year and Reverts to Negative Returns
“So you earn all of your momentum, all of your alpha, rather, in the first one year holding period, and then you actually need to get the hell out, because it reverts. And typically, depending on where you're looking at the data, within two years or so, it's ac…”
O'Shaughnessy: OSAM has almost zero portfolio overlap with AQR and LSV
“Our overlaps with other quants are shockingly low. Like we have this little cool program that we can show people this on the fly and they won't believe us. Like they'll ask about AQR and LSV and these other great managers, you know, really, really, really stro…”
O'Shaughnessy: S&P 500 still beats hedge funds on a Sharpe ratio basis
“I think on Sharpe ratio, it still would have been the S&P.”
O'Shaughnessy: Companies buying back 5%+ shares annually historically outperform peers
“Super normally high buyback yields, and a simple definition of this might be a company which is buying back five percent of its shares or more in a one-year period of time, which is a lot. That's a big deployment of capital. That kind of company historically h…”
O'Shaughnessy: Top Decile Momentum Stocks Show Supernormal Operational Growth in Year One
“All we know is that of the highest momentum decile stocks, just in very, very simple terms, those stocks in the next year have super normally high operational growth.”
O'Shaughnessy: Value Stocks Continue Generating Marginal Alpha for Up to 10 Years
“So if you buy in value today, you, on average, earn a little bit of alpha for a really long time. Most of it's early on, but you continue to earn marginal monthly alpha for up to 10 years.”
O'Shaughnessy: 10-year real equity returns strongly inversely correlate with Shiller P/E
“When you look at the correlation Correlation between the current Shiller P.E. And the future 10 years of real returns in the market, it's very high. It's something like .7 or point, maybe even higher than that.7. So pretty reliably, what that means is if you b…”
O'Shaughnessy: Shiller P/E at 30 marks only the third time ever
“And we're at 30 today. Only the third time ever at 30 today.”
O'Shaughnessy: Zero fund-of-funds fees would not have won the Buffett bet
“If the fund to fund fees had been zero, you still would have lost.”
O'Shaughnessy: DFA investors suffered a smaller behavior gap than S&P investors
“They've done an amazing job of convincing their investor base that they need to hold these strategies for the long term. Now, obviously, that works out well for DFA as a business, because they've got incredibly sticky money, but it has also worked out very wel…”
O'Shaughnessy: Key Investment Factors Historically Succeeded in Only 60-70% of Single Years
“In our research, luckily, those categories are honestly straightforward and simple. They're things like valuation, things like momentum, quality, return of capital. They're not crazy concepts. You just have to apply them with a lot of discipline, and I think t…”
O'Shaughnessy: Average Shiller P/E sits near 16-17, shifting higher post-1980
“Historically speaking, the average Shiller P.E. Is probably 1617, something like that. But there's definitely two regimes, and one is sort of pre-early 19 eighties, and one is post. And the average post, 19 eighties, is much higher.”
O'Shaughnessy: Constellation Software operates like a disciplined Berkshire for software
“Effectively what that is, is a, like Berkshire, an almost decentralized collection of software companies. So the parent Constellation, forgetting the CEO's name and his team are basically buying up individual assets, not, not micromanaging them. And they're ki…”