O’Shaughnessy Asset Management is a quantitative money management firm based in Stamford, CT. In addition to delivering a broad range of equity portfolios, the firm manages a family of mutual funds.

This post analyzes each of the five funds in the family using the simplest variant of Alpholio™’s patented methodology. For each analyzed fund, a custom fixed-membership and constant-weight reference portfolio of several ETFs is constructed to most closely track periodic returns of the fund. Then the performance of the fund is compared to that of its reference portfolio to determine whether active management added value after adjustment for exposures. The evaluation period for each fund is determined by the availability of data.

O’Shaughnessy Market Leaders Value Fund (OFVIX)

This strategy focuses on shareholder yield. Due to a limited history (fund inception in late February 2016), the analysis of this fund is preliminary and approximate, as weekly instead of monthly returns had to be used. Nevertheless, the analysis provides early insights into the fund’s performance (to learn more about RealAlpha™ and other measures, please visit our FAQ).

Cumulative RealAlpha™ for O’Shaughnessy Market Leaders Value Fund (OFVIX)

The fund added a fair amount of value over its reference ETF portfolio that had a slightly lower volatility (measured by annualized standard deviation of returns). However, after a good run from April 2017 through May 2018, the cumulative RealAlpha™ began to decline; it remains to be seen if this recent trend will continue.

Reference Weights for O’Shaughnessy Market Leaders Value Fund (OFVIX)

The fund had equivalent positions in the Invesco S&P 500® Pure Value ETF (RPV), Invesco BuyBack Achievers™ ETF (PKW), Schwab U.S. Dividend Equity ETF (SCHD), and Industrial Select Sector SPDR® Fund (XLI). These fixed positions represented average exposures of the fund over the analysis period.

O’Shaughnessy Small Cap Value Fund (OFSIX)

This strategy seeks small-capitalization market-leading companies that are priced at a substantial valuation discount to peers. It was analyzed similarly to OFVIX.

Reference Weights for O’Shaughnessy Small Cap Value Fund (OFSIX)

So far, the fund substantially underperformed its reference ETF portfolio of comparable volatility.

Reference Weights for O’Shaughnessy Small Cap Value Fund (OFSIX)

The fund had equivalent positions in the iShares Core S&P Small-Cap ETF (IJR), WisdomTree U.S. SmallCap Earnings Fund (EES), and iShares Russell 2000 Value ETF (IWN).

O’Shaughnessy Enhanced Dividend® Fund (OFDIX)

This strategy screens for market-leading companies worldwide and selects those with the highest dividend yield. With inception in mid-August 2010, the fund had much more history than OFVIX or OFSIX.

Cumulative RealAlpha™ for O’Shaughnessy  Enhanced Dividend® Fund (OFDIX)

The fund added a modest amount of value over its reference ETF portfolio, mostly accrued in a short sub-period from mid-2017 through early 2018. However, the reference portfolio exhibited a markedly lower volatility than the fund.

Reference Weights for O’Shaughnessy  Enhanced Dividend® Fund (OFDIX)

The fund had equivalent positions in the First Trust Dow Jones Global Select Dividend Index Fund (FGD), WisdomTree International High Dividend Fund (DTH), WisdomTree U.S. Dividend ex-Financials Fund (DTN), and Invesco DB Oil Fund (DBO). The last ETF signified the fund’s elevated exposure to the energy sector; in particular, the oil industry.

O’Shaughnessy All Cap Core Fund (OFAAX)

This strategy is diversified across market caps and equity styles with exposure to large value, large growth, and small-mid cap stocks. Note that instead of the institutional share class (OFAIX), for this analysis we have purposely chosen class A shares (OFAAX), since it has a smaller initial investment requirement and is thus more accessible for individual investors.

Cumulative RealAlpha™ for O’Shaughnessy  All Cap Core Fund (OFAAX)

The fund considerably underperformed its reference ETF portfolio of comparable volatility.

Reference Weights for O’Shaughnessy  All Cap Core Fund (OFAAX)

The fund had equivalent positions in the SPDR® Dow Jones® Industrial Average ETF (DIA), Invesco Dynamic Market ETF (PWC), Invesco DWA Momentum ETF (PDP), and Technology Select Sector SPDR® Fund (XLK).

O’Shaughnessy Small-Mid Cap Growth Fund (OFMIX)

This strategy seeks to select reasonably-priced companies that have demonstrated a combination of strong earnings quality, earnings growth, and are appreciating faster than peers.

Cumulative RealAlpha™ for O’Shaughnessy Small-Mid Cap Growth Fund (OFMIX)

The fund significantly underperformed its reference ETF portfolio that had a slightly lower volatility.

Reference Weights for O’Shaughnessy Small-Mid Cap Growth Fund (OFMIX)

The fund had equivalent positions in the Invesco S&P MidCap 400® Pure Growth ETF (RFG), aforementioned PWC, Invesco DWA Industrials Momentum ETF (PRN), and iShares Micro-Cap ETF (IWC).

Conclusion

The O’Shaughnessy mutual funds are based on separately managed accounts (SMAs) launched as early as November 1996. Since periodic return data from these SMAs are not publicly available, this analysis had to solely rely on mutual fund data.

The fund prospectus states that since their inception the All Cap Core and Enhanced Dividend strategies had a net-of-fee annualized return lower than their benchmark indexes by 0.78% and 1.96%, respectively. On the other hand, the Market Leaders, Small Cap Value, and Small/Mid Cap Growth strategies beat their benchmarks by 2.24%, 2.33%, and 0.72%, respectively.

As usual, (distant) past performance is not an assurance of future success. That is especially true when mutual fund results are adjusted for multiple exposures implemented in accessible low-cost ETFs.

To learn more about the O’Shaughnessy and other mutual funds, please register on our website.


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