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<DIV><FONT color=#000000>Why do I get this message to my
mailaddres???</FONT></DIV>
<DIV><FONT color=#000000></FONT> </DIV>
<DIV>Chris Lindstedt</DIV>
<BLOCKQUOTE
style="BORDER-LEFT: #000000 solid 2px; MARGIN-LEFT: 5px; PADDING-LEFT: 5px">
<DIV><FONT face=Arial size=2><B>-----Ursprungligt
meddelande-----</B><BR><B>Från: </B>Alberto Torchio <<A
href="mailto:atorchio@xxxxxxxxx";>atorchio@xxxxxxxxx</A>><BR><B>Till:
</B>Realtraders <<A
href="mailto:REALTRADERS@xxxxxxxxxxxxxx";>REALTRADERS@xxxxxxxxxxxxxx</A>><BR><B>Kopia:
</B>metastock-list <<A
href="mailto:metastock-list@xxxxxxxxxxxxx";>metastock-list@xxxxxxxxxxxxx</A>><BR><B>Datum:
</B>den 3 augusti 1998 16:29<BR><B>Ämne: </B>Re: Stocks
Splits<BR><BR></DIV></FONT>Many thanks to all who replied to my earlier
posting.<BR><BR>Alberto Torchio<BR>Torino,
Italy<BR><BR></BLOCKQUOTE></BODY></HTML>
</x-html>From ???@??? Mon Aug 03 12:52:36 1998
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From: "Lionel Issen" <lissen@xxxxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Cc: "Rick Mortellra" <rmjapan@xxxxxxxxxxxxxxx>
Subject: Re: O'Shaughnessy
Date: Mon, 3 Aug 1998 12:45:49 -0500
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Rick:
Right on target.
One other point. In his analysis, O'shaughnessy is buying the whole universe
of stock in a particular class. The professional investor is selecting a
smaller number, 50 as you suggest.
Lionel
-----Original Message-----
From: Rick Mortellra <rmjapan@xxxxxxxxxxxxxxx>
To: MetaStock List <metastock@xxxxxxxxxxxxx>
Date: Sunday, August 02, 1998 9:55 PM
Subject: Re: O'Shaughnessy
>Hi Dan,
>
>O'Shaughnessy's book is a good example of how a little knowledge can
>sometimes be more harmful than helpful to the individual investor. The
>results of
>this study had been circulated among institutionals, its true audience, a
>few years prior to its release to the general public. One of the key points
>he makes but many readers tend to gloss over is the number of stocks to be
>held. Less than 5% of all private investment accounts have sufficient
>assets to hold 50 stocks in any meaningful quantity. Without the
>diversification provided by holding a large number of issues, the portfolio
>returns become erratic and the choice of strategy becomes no better than
>random chance and in some cases more dangerous. This is something he has
>repeatedly emphasized in interviews since the book was published. Even if
>your account is large enough to do it, actively trading more than a handful
>of positions properly is almost impossible for any one person. No, these
>results were meant for institutional clients staffed large enough to handle
>"back office" duties a portfolio of this size would require.
>
>I think if anything useful can be taken from his work you have to look past
>his statistical forest. First,deciding on an comprehensive investment
>strategy based on fundamentals, TA,or whatever, and *sticking to it* over
>the long hall through thick and thin is
>the key to success. The second important thing is that it is wise to employ
>different methods for choosing large cap and small cap issues. The last
>thing is that if his theory is correct, then it supports the methods of a
>couple of other Irish lads, Mike O'Higgins, of Dow Dogs fame and Bill
>O'Neil, founder of the CANSLIM.
>
>You might also want to reconsider by your desire for volatility as a
>"speculator" too, unless you are selling options perhaps, as this is really
>the "gamblers" mantra. The last thing you want is volatility in trading
>system returns. Ideally you want to see the equity curve plot for your
>trading system follow a nice smooth upward slope. Perhaps you confuse
>volatility in return with the daily true range of prices for your tradable.
>But even large values of range are not really desirable because it
indicates
>the security in most cases is no longer trending. Most of us are not nimble
>enough to trade non-trending stocks profitably and consistently. In
>addition, when stocks become "wide & loose," as characterized by daily
>higher highs and lower lows, they are virtually impossible to trade with
ANY
>system and represent only punts. For stocks that are in strong trends and
>with large values of range like the internet stocks this summer, stops have
>to placed so far out that in most cases any well designed money management
>rule would keep you out of the trade anyway. Even if you could take the
>trade, prices are generally moving so fast the slippage will eat you alive.
>Just some food for thought.
>
>regards,
>Rick,
>Tokyo, Japan
>
>-----Original Message-----useful
>From: HARELSDB@xxxxxxx <HARELSDB@xxxxxxx>
>To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
>Date: Sunday, August 02, 1998 5:06 PM
>Subject: Re: O'Shaughnessy
>
>
>
>
>>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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