Quantitative investing – going global

One of the great things about learning how to do your own Quantitative screening is that once you’ve mastered the basics and learned how to implement popular screens you can then customize screens to fit your investment style, new ideas, etc… In this post I’ll take a look at how we can modify the basic O’Shaugnnessy Value Composite 2 and Trending Value screens  to look outside the US for stocks. The basics of implementing the O’Shaughnessy screens can be found in this post and the previous posts referenced there.

The inspiration for this post comes from the apparent value in non US stocks  vs US stocks. Many investment managers and bloggers have commented on the value in non-US stocks recently. O’Shaughnnessy recently put out a piece on this very topic. The chart below compares US vs non-US dividend payers showing that non-US dividend stocks are a better value.

OSAM US vs Foreign valuation aug 2013

Similarly with other metrics, like CAPE (Cyclically Adjusted PE Ratio), the US markets are relatively more expensive than many global markets. See the chart in this post from Mebane Faber. Great, lets go find some cheap non-US stocks.

The biggest challenge to quantitative screening for non-US stocks is having access to data without paying high fees. I haven’t found a FINVIZ or Stock Investor Pro for any foreign markets. The closest one I’ve found is the one provided at the Financial Times. Fortunately, there are many foreign stocks that trade in the US markets. That means that we can use the same tools as before to find non-US stocks. Of course, that certainly limits our investment universe but it should be good enough to find enough non-US stocks with good value characteristics. Foreign stocks in the US either trade as ADRs or they trade on the OTC market. For this screen I limit the screens to ADRs only. OTC stocks may have data integrity issues since they are not subject to the same listing requirements as ADRs. Now, you can just run the Value Composite 2 and Trending Value screens and limit the database to ADRs only. Or you could exclude ADRs and screen only for US stocks. I did both of these to compare the relative valuation for US and non US stocks traded in the US markets. The results are below.

US vs Foreign stocks VC2 and TV screens aug 24 2013

These results confirm that non-US stocks are currently better valued than US stocks. And below is the results of the value composite 2 screen for non-US stocks only. As always, this is just an example run. I’ve done no further research on the stocks or backtesting of this screen.

Foreing VC2 screen results aug 24 2013



Lots of emerging market stocks on the list which also aligns with the list of low CAPE countries. And that’s it. Now you can screen for non-US value and trending value stocks. Currently, they are offering some great value which in the longer run leads to better investment results.

In summary, once you master the basics of stock screening you can extend your favorite screens to fit your investment style, your future outlook, etc… Here I showed how the O’Shaughnessy VC2 and TV screens can be used on non-US stocks. Obviously, this is just the beginning of what you could do but I do think it is important to stick with the basic factors that work over the long term; size, value, and momentum.

P.S. For non US readers of the blog. Are you aware of any tools like FINVIZ or Stock Investor Pro for your market?

Full Disclaimer - Nothing on this site should ever be considered advice, research or the invitation to buy or sell securities. These are my personal opinions only.

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14 Responses to Quantitative investing – going global

  1. donzidoug says:

    Although I have really been following this series of yours closely Paul I have to admit that I may not be able to perform these tasks as effectively as you do. Maybe its lack of confidence or just poor computer skills. But I do recognize the broader point that you are making and if I can find a way to commit part of my portfolio to it I do plan on doing so.

    You mention the need for the right screening ability and your search for resources that can help. I stumbled on this pay service and in looking around the website and forum I find it to be very current, active, and populated with some bright folks. You may find it interesting and it may contain some similar screens to what you are using. But also they have what appears to be in depth abilities to construct and backtest custom screens as you are describing in your great articles on the subject.


    Yes there is a cost but I signed up for a two week free trial. Looking forward to your thoughts if you do check it out.

    • libertatemamo says:

      Doug, I’ve tried portfolio123.com. It’s too expensive and hard to use for my tastes. Way harder than the simple excel calculations that I do once I have the basic data. For getting the raw data, I find Stock Investor Pro to be much easier to use and it is also way less expensive. Also, the wealth of pre-defined screens are quite good.


  2. Cecilia says:

    Hi Paul
    Just recently stumbled on your blog. very interesting, I too like to build my own excel sheets for different investments. could you tell me if you have done blog entry on the excel building that you do yet? I am very eager to learn how to build these models for myself, the google, yahoo can be so frustrating. I am also befuddled why no one invests in obviously undervalued low pe stocks like XIN, but I understand it is just a matter of trust, not knowing whether those countries’ accounting can be trusted.

    • libertatemamo says:


      I haven’t done a blog entry on building the excel sheet. Its basically exporting data from a screener and using one excel function, plus some basic sorting and filtering. I’ve posted and shared my Foreign Value 2 stock screen here that you can download and play with if you like. Feel free to ask me questions about what I did. All the data is from Stock Investor Pro but you can also get most of the same data from FINVIZ.


  3. Janna says:

    Paul–could you explain what you mean by this sentence from your blog post, Quantitative Investing In A Can, “Others choose to take a portfolio approach to using screens.” I understood about using the screens to research individual stocks but what do you mean by “portfolio approach”–even the cowboy is not sure! 🙂 We did subscribe to AAII.

    • libertatemamo says:

      Sure thing Janna. By the portfolio approach to screens I mean investing in the top X stocks, say the top 25, that result from the screen. And not cherry picking the stocks in the screens. Basically the approach talked about in “What Works on Wall Street”. This leads to better long term results with less risk, and also is a lot less work.

      Make sense?


      • Janna says:

        Makes total sense now to both me and the cowboy! Enjoy your time at Cape Blanco–we hope to see you both again this winter.

  4. Steve says:

    A question for you that has nothing to do with this post, but didn’t know how else to get it to you. I hope you don’t find it too personal.
    Do you make your investments in your own name(s) or have your formed a LLC (or other) from which to do your investing? And if an LLC (or other), why?

    • libertatemamo says:

      Hi Steve, all investments are in my and my wife’s name. We hold accounts jointly with right of survivorship.


      • Steve says:

        Thanks, that’s what we presently do as well. As I learn more about the pro’s/ and con’s of holding assets differently, I will let you know. Perhaps one of your other readers will chime in.

  5. I just found your blog and don’t know if you have already found this service for global stocks: value-investing.eu. It uses Reuter’s database but costs are quite reasonable.

    • libertatemamo says:

      Thanks Niklas. I hadn’t seen that site. Could be useful for European stocks. P123 is working on adding European stocks to their service but havent done so yet.


  6. Ben O says:

    Hi Paul, i just found your blog and love it… We have very similar interests in IVY like portfolios and quant investing! Found your posts very interesting.

    On the topic of international investing. I have recently seen a new site calle quant-investing.com that specifically has a screen for Trending Value in Europe if not globally and is quite reasonably priced.

    I also used to use Stock Investor Pro… But have now switched to P123 as I found that the data quality is sip is not great vs P123 which has Compustat data. The differences between the two sources were enough to lead to large differences in stocks held in my replication of the trending value portfolio.


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