Rating: 
Summary: What Works on Wall Street works in Canada
Review: The O'Shaughnessy approach, as put together in the three Bear Stearns mutual funds that the Royal Bank (RBC Mutual Funds) sells in Canada has provided superior returns over the past 5 years. I agree that building and managing your own portfolio using O'Shaughnessy's approach would be difficult for most investors.
Rating: 
Summary: Better than "How to Retire Rich" but not much better.
Review: This book is for long term investors who want to rotate their portfolios once per year. Basically the author looked at several strategies ranging from low p/e's to high annualized growth rates and everything in between. He back tested the strategies from 12/31/1954-12/31/1996 he then would purchase the bottom 50 and the top 50 for that screening category and ranked the results. The highest strategy was Price to Sales ratio under 1, with high relative strength, this strategy returned a compound interest of 18.62% over the 45 year time span. Thus a $10,000 investment would become $12,999,698!Now if I were you I'd just go to the library and check out the book since only the results are really the important part of the book. Reed Floren
Rating: 
Summary: What doesn't work on Wall St.
Review: This book is just another example of why non-statisticians shouldn't write books on statistical subjects. It's best-selling status confirms P.T.Barnum's famous phrase. What the author does is use year-end prices covering 45 years to "prove" all sorts of useless things about various simple strategies centering around value investing. Forty-five data points, whether it be daily data or yearly data, is not enough (by more than at least a factor of ten!) to reach any significant conclusion about anything such as the financial markets, where any signal present is swamped by noise. But O'Shaughnessy is quite tickled that he's proven all the experts wrong with his measly sample. What's even worse is that the spuriousness of his "profound" results is right there staring him in his face: he frequently comes up with numbers like 14.59%, with a standard deviation of 23.24% -- not realizing that this means the real answer is likely anywhere between -8.65% and +37.83%; in other words, it's consistent with a 0% return for that particular strategy. To compound the folly, O'Shaughnessy then goes on to continually draw conclusions based on differences of a few percent or less (a small fraction of the standard deviation) between competing strategies, not realizing that this is utterly meaningless. On top of these fatal flaws, O'Shaughnessy also commits the most common sin of model testing: he fails to forward-test his strategy on data which the model hasn't yet seen. This just about guarantees that future results will disappoint, as indeed has been the case the last several years with the mutual funds which he launched based on the ideas in this book after its first edition. I give it 1 1/2 - 2 stars because even a crummy strategy is better than none at all.
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