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Strategies & Market Trends : What Works on Wall Street (O'Shaugnessy)
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To: John Langston who wrote (2)1/25/1997 3:32:00 AM
From: College Boy   of 109
 
John, <p> O'Shaugnessy's primary finding was that "The cornerstone growth strategy, which buys stocks with persistent earnings gains, low price-to-sales ratios, and strong relative strength, was the best-performing of all the strategies (p. 280)." His cornerstone growth strategy had a Sharpe ratio of 60. He also said that "Uniting growth and value stocks is the best way to diversify your portfolio and improve your risk-adjusted return (p. 271)." This combined strategy had a Sharpe ratio of 65. His Cornerstone growth strategy had a compounded return of 18.22% and a Sharpe ratio of 60. The United cornerstone strategies had a compound return of 16.74% with a Sharpe ratio of 65, and the cornerstone value strategy had a compound return of 14.62% with a Sharpe ratio of 61. <p>College Boy
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