QVAL: Quantitative Value¶
This tutorial will show you how to run a value investing strategy in Moonshot using Sharadar US fundamental and price data. The investing strategy is modeled on Alpha Architect's QVAL ETF and uses the enterprise multiple and Piotroski F-Score to target cheap, high-quality stocks.
The rules of the QVAL strategy as outlined in the Alpha Architect white paper are:
- Universe selection
- Starting universe: all NYSE stocks
- Exclude financials, ADRs, REITs
- Liquidity screen: select top N percent of stocks by market cap (N=60)
- Apply value screen: select cheapest N percent of stocks by enterprise multiple (EV/EBIT) (N=10)
- Rank by quality: of the value stocks, select the N percent with the highest quality, as ranked by Piotroski F-Score (N=50)
- Apply equal weights
- Rebalance portfolio quarterly