Create your own O'Shaughnessy-style factor!

21 May 2018

We've introduced quite a few composite factors to our stock screener over the years. First we introduced the Magic Formula and ERP5, which were based on a value rank of factors which we then combined. We then added O'Shaughnessy value composites 1, 2 and 3, which were percentile-based and first introduced in What works on Wall Street by O'Shaughnessy.

Even with this wide range of factors, members have requested more factors to be added. O'Shaughnessy for instance published new studies using factors such as OSAM Value and OSAM momentum, which when combined deliver significant outperformance.

We introduced custom factors based on value some time ago, but now users can create their own custom factors based on the O'Shaughnessy percentile based ranking algorithm. All you need to do is select the factors, select the percentile type and refresh the screener.

We're really excited about this functionality and hope you will like it. We prepared a short introduction video so you can see how it works.


Custom factor percentile from Olivier Dambrine on Vimeo