Values and Valuation
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Equity Models Based Upon O'Shaughnessy's Methods
Values and Valuation runs two model portfolios both based upon the work of James O'Shaugnessy's equity selection screens. The classic model is based upon O'Shaugnessy's Cornerstone Value approach and the aggressive model is based upon O'Shaugnessy's Cornerstone Growth approach. His insight was to popularize equity selection screens that combined value with momentum or relative performance strength - often investors would use strategies that employed only value or only momentum approaches.
In back testing the aggressive model returned 430% since 1999 with an annualized return of 12% and the classic model returned 378% with an annualized return of 11%. The classic model however carried a substantially higher dividend yield.
Aggressive Model
Classic Model
High Owner's Earnings (FCF) Yield Portfolio
The HOE/FCF Yield Portfolio is based upon valuation methods popularized by Joe Ponzio in the book F Wall Street. It looks at the cash yield of the company (average free cash flow over past years compared to entire market capitalization) as well as a margin of safety based upon DCF valuation.
