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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:

  1. Universe selection
    1. Starting universe: all NYSE stocks
    2. Exclude financials, ADRs, REITs
    3. Liquidity screen: select top N percent of stocks by market cap (N=60)
  2. Apply value screen: select cheapest N percent of stocks by enterprise multiple (EV/EBIT) (N=10)
  3. Rank by quality: of the value stocks, select the N percent with the highest quality, as ranked by Piotroski F-Score (N=50)
  4. Apply equal weights
  5. Rebalance portfolio quarterly