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James O'Shaugnessy's Cornerstone Value 50 Qualifying in UK


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Cornerstone Value is a five criteria large-cap dividend yield-focused value screen outlined in James O'Shaughnessy’s seminal 1996 book What Works on Wall Street. His work showed that a large-caps stock portfolio with above average stock liquidity and cash flow per share which was ranked for high dividend yields performed best over the long term. Accordiing to his work, this value strategy outperformed the market producing an annual compound return of 15% from 1954 to 1996, compared to 8.3% for the S&P 500 Index (his Cornerstone Growth Strategy achieved 18% but with greater volatility). To learn more about this strategy please click here »

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About James O'Shaughnessy

Founder and CEO of O'Shaughnessy Asset Management (OSAM). Wrote the seminal 1996 book "What Works on Wall Street”.


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What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time

by James P. O'Shaughnessy

James O'Shaughnessy’s seminal 1996 book describes the strategies he developed in the 1990s using Standard & Poor's Compustat database to back-test the performance of dozens of stock-picking strategies between 1954 and 1996.

This screen is based on a UK dataset. It uses the following criteria:

  • Mkt Cap £m > 500
  • Sales £m > 1.5 * Average
  • Shares > Median
  • OCF PS £ > Average

Results are sorted by:

  • Yield % in descending order


And limited to the first 50 Results

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James O'Shaugnessy's Cornerstone Value Graphical History

Returns

Timeframe Screen Returns FTSE 100 Outperformance
1 week 1.84% 1.97% -0.1%
1 month 8.14% 7.46% 0.7%
3 months 4.13% 5.90% -1.8%
6 months 21.55% 17.74% 3.8%
1 year 35.72% 28.25% 7.5%
Since inception 49.18% 25.9% 23.3%
Annualised 32.20%

Risk

Maximum Drawdown-8.31%
Average No. of Holdings25
Diversification LevelGood

 Chart based on an equal weighted portfolio of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.


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Limited to 50 out of 114 total in

Ticker Name Mkt Cap £m Sales £m Shares OCF PS £ Yield %
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You should consider the results of any screening process, including this one, as candidates for further research, not as a buy list. Screening helps to narrow a search based on pre-defined criteria. It is not a substitute for independent research reflecting your individual criteria for investing/trading. Please note that the screening criteria used represents Stockopedia's interpretation of the author's investment approach and are not determined or endorsed by the original strategist.



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