What Works on Wall Street (O'Shaugnessy) Message Board

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Strategies & Market Trends : What Works on Wall Street (O'Shaugnessy)

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To: The Irb who wrote (95)	3/16/1999 1:15:00 PM
From: sjemmeri	Read Replies (1) of 109

The Irb, Basically, I periodically run screens for value (based on P/S) and price momentum (% above 52 week low) and then cherry-pick. When I say 'a version', I just mean that I don't strictly follow the O'S rules as elaborated in his book and followed in his fund. For example, a) I run screens with different min and/or max market caps. Since I'm not investing millions, there's no reason to ignore small caps. Plus like you, I've got a substantial portion of holdings in S&P 500 so I often intentionally look for smaller individual stocks. b) I run screens frequently not just once a year. I can think of no good reason not to look for winners all year long. c) I don't hold for 1 year period. That's totally arbitrary and needs to be used for convenience for a study of historical data like O'S did. However, in following stocks showing up in the screen I've noticed that it doesn't take long to identify a loser - why hold them for a year? Plus on the positive side, I like taking some profits. So far, I haven't developed specific sell rules but if it gets too pricey or loses its momentum such that it wouldn't meet the screen requirements, it may be time to sell. d)I check recent company news for anything that might be a reason that recent price increase is a 1 time deal. e) I've tried other value measures besides P/S but still think that's best. It does tend to bias one away from certain sectors. I tried a price to enterprise value screen to try to include 'better businesses' but the results were terrible compared to P/S. When I've got some time, I'll post links to a couple tracking portfolios based on O'S screens including invertin O'S to look for potential losers. steve

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