Screen stocks the James O'Shaughnessy way
O'Shaughnessy's quantitative research in 'What Works on Wall Street' proved that combining value (shareholder yield) with momentum (price performance) produces superior long-term returns. He buys cheap stocks that are already moving up — avoiding value traps by requiring price confirmation.
How this screen is built
Every result passes all filters
This screen applies all criteria simultaneously across 100,000+ stocks. Every result must pass all filters — not just one or two.
Shareholder Yield — Not Just Dividends
O'Shaughnessy proved shareholder yield (dividends + buybacks combined) is a better predictor of returns than dividend yield alone. Companies that buy back stock AND pay dividends signal financial strength and management confidence. This screen requires net payout yield above 3%.
Price Momentum as a Filter
O'Shaughnessy's key insight: cheap stocks with positive momentum dramatically outperform cheap stocks that are still falling. The 12-month price change above 15% filters out value traps — if the market is already recognising the value, it validates the thesis.
Earnings Yield — Classic Value
High earnings yield (above 8%) identifies undervalued stocks relative to their earnings power. This is the value component of the combination strategy. O'Shaughnessy showed this works best when combined with momentum — value alone is not enough.
Quantitative, Not Qualitative
Unlike Buffett or Smith, O'Shaughnessy doesn't care about the business story — only the numbers. His research covered 50+ years of US market data. This screen applies his proven quantitative factors globally, letting the data speak without narrative bias.
What Swalex adds on top
The Quality and Value composite scores from UncleStock's proprietary model provide an additional filter that O'Shaughnessy's original research didn't have access to. These scores synthesise hundreds of factors into two numbers, helping identify the strongest combinations in the screen.
Last screen results
What the James O'Shaughnessy screen surfaced
Results based on latest available data. Run the live screen for current results.
| Ticker | Name | Country | Quality | Value Score | Shareholder Yield | 12M Momentum | Earnings Yield | Revenue Growth |
|---|---|---|---|---|---|---|---|---|
| FROTO.IS | Ford Otomotiv | Turkey | 80% | 91% | 53% | 8% | 97% | 40% |
| GUBRA.CO | Gubra | Denmark | 93% | 68% | 18% | -17% | 30% | 64% |
| ITMG.JK | Indo Tambangraya | Indonesia | 66% | 72% | 9% | 19% | 13% | 1% |
| ULKER.IS | Ulker Biskvi | Turkey | 80% | 66% | 23% | 8% | 8% | 35% |
| YELP | Yelp | USA | 83% | 63% | 18% | -26% | 10% | 19% |
| NRDS | NerdWallet | USA | 83% | 62% | 16% | 3% | 11% | 34% |
| JET2.L | Jet2 | UK | 61% | 74% | 9% | -34% | 21% | 15% |
| UNTR.JK | United Tractors | Indonesia | 65% | 62% | 10% | 33% | 14% | 8% |
| HRTA.JK | Hartadinata Abadi | Indonesia | 84% | 61% | 1% | 335% | 12% | 34% |
| CHENNPETRO.BO | Chennai Petroleum | India | 61% | 63% | 4% | 56% | 21% | 4% |
This screen is inspired by publicly known quantitative research attributed to James O'Shaughnessy, including 'What Works on Wall Street'. Not affiliated with or endorsed by James O'Shaughnessy or O'Shaughnessy Asset Management. Not investment advice.