O'Shaughnessy Cornerstone Value ScreenThe cornerstone value screen employs the value-uncovering strategies developed by James P O'Shaughnessy using over 40 years of stock data. His book What works on Wall Street: A Guide to the best-performing Investment Strategies of All Time provides a detailed examination of basic investment strategies, by revealing the test results of a number of value and growth screens on the S&P Compustat database covering a 40 year period. He goes on to show which screens within each strategy produced the best returns. The strategies require portfolio rebalancing on an annual basis. Latest results of over a hundred pre-defined screens for Indian stock market. You will need to request for a ValuePIckr UserID/Pwd as this is a Limited Alpha service currently We have all seen how high-growth, high margin stocks are often bid up to unrealistic levels. The recent crash (January 2008) and the subsequent bearish run has also shown us that value stocks are outperformimg other approaches during this bear-phase. Take PSU Banks for example. O'Shaughnessy's tests revealed that large cap universe outperformed the all-stocks universe for the cornerstone value approach. perhaps an indication that large caps usually have the resources (not available to small caps) to bounce back to glory! 
Check out latest Cornerstone Value Stock Screener selections for the India Stock Market. He tested a large number of simple value strategies like high dividend yields, low price to earnings ratios, low price to book value ratios and low price to sales to reveal pockets of value-price mismatch - stocks priced attractively in relation to these value measures. These led him onto identifying the combination of value-based strategies that worked best over the 40 year period, as enumerated below. The stock screen was applied to the large cap stocks universe. Stocks with market capitalisation that exceeded the avarage market capitalisation of the all-stocks universe, formed the large cap universe. The next value filter prescribed a stock liquidity measure - the number of shares outstanding be greater than the average stocks outstanding for the all-stocks universe. Oshaughnessy next specified filtering for cash flow per share exceeding the database avaerage. Next filter applied is for a firm to have total sales 1.5 times the database average sales. Finally O'Shaughnessy ranked the passing companies for highest dividend yields. Latest results of over a hundred pre-defined screens for Indian stock market. You will need to request for a ValuePIckr UserID/Pwd as this is a Limited Alpha service currently Learn more on practical stock screening Return from Cornerstone Value screen to Stock Screener, and check out more screens
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