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- 2007-1-15
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O'Shaughnessy 系列（一）
那我就开贴了。
我作下简单的介绍吧。首先你要看一下《what works on wall street》，这个是基础，光看网上的结论是一个简单的办法，但是如果你不知道他背后的理论基础的话使用和进行修改的话就可能偏离轨道。可以先看下《what works on wall street》的中文版（修订版，应该是第二版）。如果有时间再看2005的英文版，这个是没有中文版的（第三版），基本和第二版可以对应上的，理论基础没有什么变化，但是更细了些，对比的策略更多，周期更短，加了章中小市场的选股，应该是tiny titans的前身。
James O'Shaughnessy is recognized as a leading expert and pioneer in quantitative equity analysis, he is the author of the 1996 book "What Works on Wall Street." O'Shaughnessy researched the returns produced by a variety of stock-selection schemes from 1951 through 1994. He tried picking stocks based on market capitalization, a variety of valuation ratios, dividend yields, earnings growth, profitability ratios and well, just about anything. He tried high and low values of each parameter separately, and in combination with each other. O'Shaughnessy found that the best-performing strategy was a blend of two seemingly conflicting investing styles: value and momentum. As a result of the research presented in this book and revised in 1997, O'Shaughnessy began the Cornerstone Growth fund.
The Cornerstone approach looks for stocks with low price/sales ratios (P/S), a criterion usually used to pinpoint value-priced stocks, and high relative strength, a hallmark of momentum investing. Those two factors, along with a modest earnings growth requirement, formed the selection strategy he dubbed Cornerstone Growth. Cornerstone Growth returned 18% on average, annually, compared with 13% for the S&P 500 index. What does that mean in real dollars? If you start with $1,000, after 20 years compounded at 13%, you would end up with $11,500. Nice return however nothing like the $27,400 you'd have it if your money earned 18% compounded annually.
As an exercise this week I will use a combination of the parameters mentioned below and what is available on the Prudent Trader site. This is just the highlights of this approach, if you wish more detail include "What Works on Wall Street" in your library.
Relative Strength:
Relative strength plays a large role in a stock's price momentum. Relative strength measures how well a stock has performed versus a benchmark over a certain time frame. O'Shaughnessy picks the top 10 stocks with the greatest 12-month relative strength (of those that fit all his criteria), for his final portfolio. He found that stocks with the highest relative strength over the past year tend to produce the highest returns the following year. Although this can be a very effective filter, he warns that it is a highly volatile approach. Stocks with high relative strength may be at or close to their peaks meaning they may have smaller upside and larger downside potential. NOTE: O'Shaughnessy later sold the funds to Neil Hennessy who tweaked the relative strength component to a combination of 3, 6, and 12 month relative strength. O'Shaughnessy became Senior Managing Director of Systematic Equity Investments for Bear Stearns Asset Management Inc., sub-advisor to the RBC O'Shaughnessy Funds.
Cash Flow Per Share:
O'Shaughnessy's Market Leaders stocks also have higher cash flow per share than the average stock. This ratio is calculated by adding depreciation and amortization to income before extraordinary items, then dividing by the fully diluted average number of common shares outstanding. Cash flow measures the actual inflows and outflows of cash by taking out non-cash items that can boost net income (a number that is then used in earnings per share calculations). This is a harder number to manipulate and can be a more truthful measure of financial strength.
Sales:
The final Market Leading criterion is stocks with overall sales that are 1.5 times greater than the average stock. O'Shaughnessy places emphasis on strong sales and a low price-to-sales ratio-the current stock price divided by the sales per share for the last four fiscal quarters (trailing 12 months). Unlike earnings, sales are less subject to management assumptions, therefore more difficult to manipulate, and are often less volatile.
All viable companies have sales, so the majority of companies will have a meaningful price-to-sales ratio. A low price-to-sales ratio is a way to identify "cheap" stocks. In "What Works on Wall Street", O'Shaughnessy found that the price-to-sales ratio was a very effective screen for stocks of all market-cap sizes and that low ratios consistently produced higher returns.
Earnings:
Earnings per share growth (revenues minus cost of sales, operating expenses and taxes, over a given period of time) is a popular way to measure a company's growth potential. Earnings per share play a critical role in a stock's price mainly due to market expectations. Low or negative earnings are often signs of young companies; however, these start-ups attempt to grow earnings quickly and can be profitable investments. The earnings growth requirement is very modest and all stocks with positive earnings growth are considered.
For members unaware, one search you can easily perform at Prudent Trader is the top 100 stocks by relative strength over the last six months and over the last twelve months. |
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发表于 2007-4-20 15:40
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