Quantitative Value
Quantitative Value 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 %20 per year* on average, with relatively low volatility, and low asset turnover.
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 Screener empowers investors to build a Quantitative Value portfolio which is expected to beat the market in the long term. It prunes thousands of SEC filings and performs fundamental analysis in a scale which no human can practically perform. The screen is unique as it allows the flexibility of adjusting the model to investor’s preferences for market cap and number of holdings. It allows modifying Value, Quality, Beta and Price Smoothness factors to result in a portfolio which matches your worldview and meets your specific taste for returns vs. volatility.
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.
Here’s what the historical results of Quantitative Value portfolio look like, based on a simulation spanning 18 years, from June 1999 to June 2017:
An amazing 19.19% average annual return vs. the S&P 500 returns of 5.13% during the same 18 year period. A Sharpe ratio of 1.29, with a lower max drawdown than the market. Moreover, those results are achieved with asset turnover of 31.67% (i.e., selling and buying only 32% of the holdings every year) which ensures low taxes and low transaction costs. We believe that the results are absolutely amazing.
Price and valuation multiples are updated in 20min delay.
Last update date – see rightmost column.
