Quantitative Value
Quantitative Value (QV) is an investing strategy which selects for investment the highest-quality cheapest stocks using state-of-the-art computer algorithm. Our implementation of Quantitative Value has generated returns of over %19 per year* on average, with relatively low volatility, and low asset turnover.
QV is a great place to find compelling investment ideas.
Value investing in general, and Quantitative Value in particular, has been proven to beat the market handily in the long term by both practitioners’ experience and academic research. A well-known version of a Quantitative Value strategy is featured in T. Carlisle and W. Grey’s book, Quantitative Value, + Web Site: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors.
The Quantitative Value algorithm selects stocks through a three-step process:
- Establishing a universe of stocks to choose from, per an investor’s market cap preferences. The algo also eliminates the riskiest stocks from the universe (based on insights from vast academic research).Sorting the universe for cheapness using TEV/EBIT valuation multiple and selecting the cheapest stocks
- Sorting the universe for cheapness using TEV/EBIT valuation multiple and selecting the cheapest stocks.
- Sorting the cheapest stocks based on composite Quality and Technical ranking system which include profitability and financial strength metrics, and selecting for investment the highest ranking stocks.
The following table shows the average returns of the top 30 stocks selected with the Quantitative Value Screener and held for a year, vs. the S&P 500 benchmark:
Quant Value Stocks Backtesting
In most years of the last two decades, the average Quantitative Value stock has beaten the S&P 500. The average yearly return of a QV stock during those 20 years is 17.05% vs. the S&P 500 with 6.88% (incl. dividends). The Excess returns (aka Alpha) is thus 10.17% (!!!).
By using the Quantitative Value screener to find new stock ideas, investors will both save time and increase their chances of finding winning stocks.
Price and valuation multiples are updated in 20min delay.
Last update date – see rightmost column
How to use the Quantitative Value Screener:
The stocks in the screener are sorted based on QV Quality Rank. The QV Quality Rank is based on a proprietary algorithm that analyzes tens of fundamental and technical stock factors, including margin figures, profitability ratios and financial stability indicators. The algorithm then ranks and sorts the stocks based on their analyzed quality. For example, a rank of 95% means that the stock has better quality than 95% of the stocks in the universe. Higher is better.
Another key factor is EV/EBIT Rank. Our Quantitative Value strategy filters the universe to result in the cheapest 25% of stocks in the universe. For example, EV/EBIT Rank of 85% means that the stock is cheaper (i.e., has a lower EV/EBIT) than 85% of the stocks in the universe. Higher is better.
To give a fuller picture of the company and the situation, we provide key Valuation and Quality indicators for each highlighter stock. Popular Valuation metrics are listed in light blue. Quality factors are listed in purple.
Feel free to use the sliders above the screener to filter the table per your own preferences.