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Question about value investing and underlying business metrics
Jonathan Whitmore
posted Jul 15, 2014

I was wondering if there was any way to get other information about a stock beside the price. For example, if you read the very interesting white paper here: http://www.eyquem.net/portfolio/simple-but-not-easy/

I'm looking for things like "price to book" or "price to earnings" to weight the holdings within an S&P 500-like strategy. Of course it would be even better if there were a way to implement the other ratios they mention in the paper:

  • price to earnings
  • price to book
  • enterprise value-to-free cash flow ("EV/FCF")
  • enterprise value to earnings before interest, taxes, depreciation, and amortization ("EV/EBITDA") especially interested in this one
  • enterprise value-to-gross profit ("EV/GP").

So if this is straightfoward to get, or straightforward to implement, please let me know!

3 responses
Alisa Deychman
Jul 15, 2014

Hi Jonathan,

You can use the Fetcher feature to pull in external CSV data to your algorithm. The imported data can either be security information for stocks in our universe or a trading signal time series. Here is a sample algorithm with the function.

The ratios you mentioned are not currently available in our backtester. We're adding corporate fundamental data and are actively working right now to implement this on the platform. I don't have an ETA on the project but it's underway!

Alisa

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chan john
Oct 12, 2015

enterprise value to earnings before interest, taxes, depreciation, and amortization ("EV/EBITDA") filtering process... how can we separate value trap form the one's bouncing back. Specially in small stocks.

Rob Leggett
Oct 12, 2015

I don't know if your questions pertains to Quantopian's dashboard or obtaining the ratios in general. Here's the quick way to get your ratios without pulling in data. It has everything you would want concerning real time financial ratios. How you interpret the ratios is another question.

http://finviz.com/

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.