Why It Ranks #92
The most data-driven investment book ever written. O'Shaughnessy eliminated opinion and tested pure evidence across 80+ years of market data, giving quantitative investors a definitive reference guide.
The Review
James O'Shaughnessy tested every quantitative investment strategy you have ever heard of against decades of market data and published the results. What Works on Wall Street is the most comprehensive back-testing study ever published for retail investors. The data shows that value strategies — buying stocks with low price-to-sales, high shareholder yield, and improving fundamentals — consistently beat the market over long periods.
Key Takeaways
- 1Price-to-sales ratio is the single best value metric for identifying cheap stocks over long periods
- 2Combining value and momentum factors produces the best risk-adjusted returns
- 3Single-factor strategies are inferior to multi-factor composites
- 4Investor behavior — not strategy — is the primary determinant of returns
Fun Facts
- •O'Shaughnessy founded OSAM (O'Shaughnessy Asset Management) to run the strategies from the book
- •The fourth edition expanded the data set to include 83 years of market history
- •Franklin Templeton acquired OSAM in 2021 based largely on the research in this book
Book Details
What Works on Wall Street by James P. O'Shaughnessy
Pages
688
Goodreads Rating
4.10/5
Copies Sold
300K+
First Published
1996
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