No. of Recommendations: 5
Mark19:
My understanding is that you can create more robust screens than you can in stock investor
pro. For example, creating O'Shaughnessy's composite value and composite earnings quality factors.No one has brought up O’Shaughnessy’s screens for quite a while. When he published his 4th edition of
What Works on Wall Street “marginofbuffett, tetranomad and others like myself” were trying out different
Versions in 2012. A few bad years and most disparaged the screens but for those that kept track his Trending value hasn’t done all that bad. Here is tetranomad’s from 2012.
https://gtr1.net/2013/?~TrendingValue_20120222_tet...From 19991220 till present 21.8% CAGR, Safe Annual Withdrawal Rate 11.4%, MDD -63%
This screen was developed on 2/22/2012 so post discovery results of the screen:
15.0% CAGR, SAWR 9.8%, MDD -63%
Very well thought out screens like this and YEY which has a 24.7% CAGR from 1987 till present but a similar
-67% MDD look spectacular as a backtest but are impossible for an individual looking at those drawdowns
to actually gamble his retirement nest egg in.
