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James O'Shaughnessy Screens

Picture of James O'Shaughnessy

James O'Shaughnessy - Founder and CEO of O'Shaughnessy Asset Management (OSAM). Wrote the seminal 1996 book "What Works on Wall Street”.. Here follow a selection of stock screening strategies that we have modelled based on the writings of or about James O'Shaughnessy. These strategies are not endorsed by the author.

3 strategies sorted by
Tiny Titans

James O'Shaughnessy Tiny Titans is a small-cap momentum investing strategy set out by US fund manager James O'Shaughnessy in his 1996 book, What Works on Wall Street. It combines momentum and value factors and focuses on stocks capitalised at greater than £15m but less than £150m. Its key measures include the price to sales ratio and 1-year relative strength. O'Shaughnessy wrote: "Studies are nearly unanimous in their findings that small stocks (those in the lowest two deciles) do significantly better than large ones. We too have found tremendous returns from tiny stocks." He found that this strategy produced an annual compound return of 20.05% between 1963 and 2009. In 2012, O'Shaughnessy updated the strategy rules by replacing price-to-sales as the key value metric with 6 composited value factors. more »

Momentum Investing
5 Year Return: 112.8%
James O'Shaugnessy Cornerstone Growth

James O'Shaughnessy Cornerstone Growth is a growth investing strategy devised by US fund manager James O'Shaughnessy in his 1996 book, What Works on Wall Street. It combines value, momentum and growth factors, using the price-to-sales ratio, price momentum and earnings growth as its main rules. O'Shaughnessy wrote: "Marrying good value characteristics with price momentum is an excellent way to find 'cheap stocks on the mend'." He found that this strategy produced an annual compound return of 17% between 1963 and 2009. In 2012, O'Shaugnessy updated the strategy rules by replacing price-to-sales as the key value metric with 6 composited value factors. more »

Growth Investing
5 Year Return: 40.9%
James O'Shaugnessy's Cornerstone Value

James O'Shaughnessy Cornerstone Value is a value investing strategy presented by US fund manager James O'Shaughnessy in his 1996 book, What Works on Wall Street. His extensive backtesting found that value investing works particularly well with large capitalisation stocks with above average sales and cashflow, high levels of share liquidity, which were then sorted for the highest dividend yield. O'Shaughnessy said: "Generally speaking, when things are going against you, as they inevitably will, you have to stick to the underlying strategy? Only by doing so will you be around for when it comes rebounding back." He found that this value strategy produced an annual compound return of 15% between 1954 and 1996, compared to 8.3% for the S&P 500 index. O'Shaughnessy has continued to conduct detailed analysis of Standard & Poor's Compustat database to identify the most effective investing strategies. more »

Value Investing
5 Year Return: 12.0%
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  • Shell (RDSA)

  • Twitter (TWTR)

  • Volkswagon AG (VOK)

  • McDonalds (MCD)

  • Vodafone (VOD)

  • Barratt Homes (BDEV)

  • Microsoft (MSFT)

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