From The Reformed Broker:
Last week, Barry and I were thrilled to have the chance to host James O'Shaughnessy, legendary equity portfolio manager and a quant before there even was such a thing, up at Fusion HQ.
James is out with the fourth edition of his classic
What Works on Wall Street, a book that both Barry and I frequently reference and go back to. The book is here at Amazon, if you don't already have a copy, this is your chance to own the updated version:
What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time
In the meantime, James did a column for MarketWatch today in which he lays out some of his most important metrics to find winners in the market. Check this out:
With this new research, we have refined the way that we measure characteristics in a way that boosts returns. We found that an updated combination of value and momentum strategies -- a tactic we call "Trending Value" -- is the best performing strategy since 1963.
Its annualized return of 20.58% through Sept. 30 crushes the All Stocks benchmark (an equally weighted benchmark of stocks with an inflation adjusted market cap great than $200 million), which has a return of 10.71%. Plus, the Trending Value approach achieves its return with a volatility of 17.69%, lower than the benchmark’s 18.26%.
The strategy makes use of one of the main innovations from the book...
Read full article...
More on stocks:
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You won't believe what top stock-picker Birinyi is recommending now
Read this before you even think about buying these beaten-down "value" stocks
