No. of Recommendations: 5
I don’t use O’Shaughnessy type screens but:
AAII Stock Investor Pro has 6 O’Shaughnessy Screens you can run if you have a subscription.
They publish the results after the end of the year. Results as of Dec 10 2024 where:
Screen 12_10_24 2023 2022 2021 2020 5Yr 10Yr SinceIncep RiskAdj Yrs>SP500 BullMkt BearMkt RiskIndex AvgStcks
O’Shaughnessy: SmCp Grth & Val 39.9 11.5 -11.4 180.6 5.5 32.5 18.6 18.7 15.2 70 74.7 -20.9 1.85 18
O'Shaughnessy: All Cap -1.2 19.1 -22.9 36.7 -3.3 3.7 5.1 9.7 8.9 44 29.7 -30 1.6 10
O'Shaughnessy: Growth II 59.1 14.3 8.5 80.4 15.5 32.7 18.3 17.2 14.8 63 105.1 -3.7 1.61 50
O'Shaughnessy: Grth Mkt Leaders 41.3 8.4 11.6 18.1 3.1 15.8 12.1 9.3 8.9 48 80.1 -5 1.22 3
O'Shaughnessy: Tiny Titans 40.8 31.9 13 61.9 42.4 37.1 22.2 24.5 18 81 113.9 -1.9 1.91 25
O'Shaughnessy: Value 18.2 7.9 1.6 21.1 2.2 8.4 5.2 5.7 4.1 41 48.2 -18.3 1.29 42
If you have a subscription to SIP you can run Trending Value on GTR1. Here is one version by tetranomad.
I ran a similar version for a couple of years way back when his last version of What Works on Wall Street came out.
19991220 to 20250708 Hold 20 CAGR 16.1, SAWR 8.4, MDD -58.6,Sharpe 0.74,AT 1.23
gtr1.net: GTR1 Backtester - TrendingValue_20120222_tetranomad_lessBCC 