Value investing : A Practical Test of Asness et al. (2015)

Composite Value Strategies in Action

In this post, I explore how combining multiple valuation metrics into a composite score can improve traditional value strategies. Using QuantConnect, I compare a simple P/E-based approach with a composite z-score model applied to the 1,000 most liquid U.S. stocks. The result?

• +2.1% increase in CAGR

• Sharpe Ratio improvement (0.32 vs 0.28)

• Same universe, sma…