Hi All, 
I have just finished reading "What works on Wall Street" by James O'Shaugnessy (highly recommended) and have been thinking about how to construct a portfolio based on some of the factors he believes to consistently effective, specifically using some of the composite value factors and 6 month price momentum.  However before I dive in headfirst I was wondering if anyone on here had any success building and running such a portfolio?

Additionally quite a specific book related question and a broader portfolio construction question

Firstly the value factor I was looking at was the Value Composite Two Indicator. Considering this is ranking of the ratios: Price/Book, Price/Sales, EBITDA/EV, Price/Cash Flow, P/E and a Shareholder Yield, would you substitute in the Stockopedia Value rank as they are quite similar? (P/B, P/S, P/FCF, P/E, Div and Earnings Yield). If not any tips on setting it up as a screener? 

Also O'Shaugnessy recommends using 25 stocks. I see a minimum position size of £800 as smaller than that, the annual dealing makes a severe dent in any profitability (based upon HL fees of £11.95 per trade, 2 trades per year = 3% of position). Do you have to take the plunge and commit £20k? Or is it possible to construct such a portfolio over time? Or take fewer positions without increasing the risk too significantly?


Thanks in advance for any help

James


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