O’Shaughnessy Micro Cap Strategy?

A subscriber, referring to a March 2016 commentary stating that "microcap stocks offer investors one of the best opportunities for consistent, long-term excess returns," inquired about the performance of quality-value-momentum microcap strategy described therein. To assessment this strategy, we compare the self-reported annual performance of the O’Shaughnessy Micro Cap strategy (OSMC) as of June 2022 (now maintained by Franklin Templeton) to that of simply buying and holding SPDR S&P 500 ETF Trust (SPY). Using annual self-reported OSMC net returns and matched dividend-adjusted SPY returns during August 2007 through June 2022, we find that: