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In a message dated 98-08-01 08:01:54 EDT, you write:
<< Dan, how long do you stay in? Do you give the O'Shaughnessy fundamentals
time enough to "work"? I think you need to hold for the long term on these
stocks; at least my observation of stocks picked on the O'Shaughnessy basis
in Telescan ProSearch suggests this is so.
Al
Al Stephens
>>
I try to catch intermediate term moves and stay in anywhere from a few weeks
to a few months. Technical considerations drive my buy and sell decisions. I
update my universe of stocks screened based on price to sales and relative
strength monthly. I use price to sales on the basis of "book learnin'" and I
am not sure how much this factor drives my results as opposed to high relative
strength.
In his book "What works on Wall Street", O'Shaughnessy found that by investing
in the 50 stocks in his universe with highest 1 year relative strength, he
obtained a compounded annual return of 14.45 percent over the life of his
study. The standard deviation of this average return was 30.14 percent.
When O'Shaughnessy limited himself to the 50 stocks that had earnings growth
for the last five years, a price to sales ratio below 1.5 and the highest 1
year relative strength, he obtained a compounded annual return of 18.22
percent with a standard deviation of 25.99 percent.
As a speculator, rather than a buy and hold investor, a higher standard
deviation is desirable because I make my money from price fluctuations. I
guess the only advantage to including the price to sales in my screen is that
it reduces the amount of data entry I have to perform. I am glad this forum
could help me to figure out I am better off, as a speculator, using technical
factors alone and that, as a speculator, fundementals are a bunch of crap.
Dan Harelson
Pocatello, ID USA
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