James O'Shaughnessy
Systematic Factor Composite
James O'Shaughnessy's work replaces forecasts and stories with broad, repeatable tests of market data. The recurring conclusion is that a diversified combination of independently useful characteristics is more robust than relying on one valuation ratio: buy stocks that are cheap in several ways, return cash to owners, and retain favorable price momentum, then rebalance the rules consistently.
Methodology fidelity
Faithful adaptationSources reviewed 2026-08-24The six signals use the value-composite components and six-month momentum documented in O'Shaughnessy Asset Management research and are ranked against the eligible company universe, not judged against invented absolute cutoffs. The app's top-decile pass bar, factor-group equal weighting, annual company universe, and omission of OSAM's proprietary quality exclusions, sector constraints and portfolio weighting are disclosed implementation choices. This is a transparent public-data adaptation, not a reproduction of a current OSAM portfolio.
Valuation Method
No O'Shaughnessy per-share intrinsic value
No investor formulaThe published process ranks securities by relative characteristics and constructs diversified portfolios. It does not solve for a single-company intrinsic value, so the app does not invent one.
Screening implementation (6 criteria)
| # | Criterion | Metric | Threshold | Data Source |
|---|---|---|---|---|
| 1 | Sales-to-Price Rank | Revenue / Market Capitalization | Top 10% of the eligible universe (higher is cheaper) | Income Statement: Revenue; point-in-time Market Capitalization |
| 2 | EBITDA-to-EV Rank | (EBIT + Depreciation and Amortization) / Enterprise Value | Top 10% of the eligible universe (higher is cheaper) | Income and Cash Flow Statements: EBIT and D&A; Balance Sheet: Debt and Cash; point-in-time Market Capitalization |
| 3 | Earnings-to-Price Rank | Net Income / Market Capitalization | Top 10% of the eligible universe (higher is cheaper) | Income Statement: Net Income; point-in-time Market Capitalization |
| 4 | Free-Cash-Flow-to-Price Rank | (Operating Cash Flow - Capital Expenditures) / Market Capitalization | Top 10% of the eligible universe (higher is cheaper) | Cash Flow Statement: Operating Cash Flow and Capital Expenditures; point-in-time Market Capitalization |
| 5 | Shareholder Yield Rank | Dividend Yield + Net Share-Retirement Yield | Top 10% of the eligible universe | Cash Flow Statement: Dividends Paid; split-adjusted net share-count change; point-in-time Market Capitalization |
| 6 | Six-Month Price Appreciation Rank | Trailing six-month price return through the evaluation date | Top 10% of the split-certified eligible universe | Point-in-time market prices. Windows whose split basis cannot be certified are excluded rather than assigned a weak rank. |
Verdict Logic
Each available signal is ranked within the same fiscal-year universe. A criterion passes in the top decile. Value components are combined before factor groups receive equal weight; portfolio backtests consume the stored historical ranks and never substitute current ranks for earlier years.
What Would James O'Shaughnessy Buy Today?
Sources
The Generational Dislocation in Value Stocks
primary2022O'Shaughnessy Asset Management
Official OSAM research defines the cited value composite as sales-to-price, EBITDA-to-enterprise value, earnings-to-price, free-cash-flow-to-price, and shareholder yield, and evaluates its top and bottom deciles.
View source →The Factor Archives: Momentum
primary2019O'Shaughnessy Asset Management
Official OSAM research describes six-month price appreciation as a momentum signal and explains how systematic momentum complements value.
View source →Philosophy & Process
primaryCurrent methodologyO'Shaughnessy Asset Management
Official methodology explains cross-sectional factor scoring, composite value measures, value/momentum/shareholder-yield selection, quality exclusions, and regular rebalancing.
View source →The Myth of the Most Efficient Market
primary2013O'Shaughnessy Asset Management
Official methodology paper describes multiple valuation measures, shareholder yield, financial-strength and earnings-quality overlays, and the rules-based portfolio construction process.
View source →