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.
Stocks matching James O'Shaughnessy-inspired criteria
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 →