Out-of-Sample Test of What Works on Wall Street (O’Shaughnessy’s Cornerstone Strategies)
August 6, 2013 - Fundamental Valuation, Momentum Investing
How well does stock screening research translate into performance? In the mid-1990s, James O’Shaughnessy identified “cornerstone value” and “cornerstone growth” as best-of-breed equity investment strategies. The former emphasizes dividends among large-capitalization stocks, and the latter momentum/earnings growth for a broader universe. Based on Standard and Poor’s Compustat data, he found that the value (growth) strategy… Keep Reading