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James O'Shaugnessy's Cornerstone Value 50 Qualifying

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.

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This is an independent study based upon the methods of...
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”.

What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time

by James O'Shaughnessy

From 1951 through 2004, the strategy had a real average annual return of almost 19%. However, the downside to that kind of performance was the volatility. The standard deviation from the average return (24.6% when not adjusted for inflation) was about 39%.

This screen uses the following criteria:

  • Mkt Cap £m > 500
  • Sales £m > 1.5 x Average Sales £m
  • Shares Out > Median Shares Out
  • OCF PS £ > Average OCF PS £

Results are sorted by:

  • Yield % in descending order


And limited to the first 50 Results


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Performance Tracking


Returns FTSE 100
1 week -3.0% -2.4% 1.3% 1.1% 0.5% -0.3% 0.4% -1.4%
1 month -1.2% 1.8% 8.9% 8.4% 3.9% 6.8% 3.3% -0.9%
3 months -3.9% -1.6% 11.7% 4.5% 4.6% 2.4% 6.9% -2.9%
6 months 3.6% 0.1% 17.9% -4.5% 3.5% 5.7% 3.0% 3.6%
1 year -2.5% -3.1% 16.3% -1.5% -8.3% 4.2% -9.2% 2.3%
2 years 4.3% 39.8% 15.4% 16.1% -9.0% 23.1% -6.4% 10.2%
Annualised 8.9% 6.3% 11.3% 16.2% 6.1% 19.4% 10.0%
 
Risks
Max Drawdown -27.3% -37.9% -44.3% -19.6% -28.0% -16.6% -20.8%
Avg Holdings 24.1 22.6 22.8 24.1 25 25 25
Diversification Good Good Good Good Good Good Good