In Search of Information Content: Portfolio Performance of The 100 Best Stocks to Own in America
Financial Services Review 14, 97- 109. (Cited as recommended reading in the CFA Digest), April 2005
Anthony L. Loviscek, Ph.D. Department of Finance
Now in its seventh edition, The 100 Best Stocks to Own in America is an enduring and lucid reference for the active individual investor. Through the sixth edition, it had reportedly sold over 300,000 copies, indicating that it might contain information content, or stocks that can beat a broad market index on a risk-adjusted basis. Does it? As a response, we compare the out-of-sample Sharpe ratios of 30 portfolios constructed from the first six editions of Walden’s rankings to the Sharpe ratios of the S&P 500.