Two uncorrelated factors in one score: a valuation composite finds the cheap stocks, momentum shows when the market starts to discover them.
Save the strategy and StockScorer checks its rules for you every day. You'll get a heads-up whenever a stock crosses the upper or lower score threshold.
Once enough history is available, the backtest chart for this strategy will appear here.
Every stock runs through the same disclosed rules. The points add up to a score, traceable down to the individual rule.
Each rule checks a metric against a threshold, for example ROE above 15 %.
You decide how much each rule counts: from +1 to +3 or −1 to −3.
The sum is the score. Above the upper threshold: a high match with the profile.
These terms describe only the match with the criteria, not a recommendation to buy or sell.
Six metrics (P/E, P/B, EV/Sales, FCF yield, EV/EBITDA, payout) earn one point each.
The 6-month relative strength versus the market delivers up to +5 points as the timing signal.
An intact downtrend costs points: cheap and still falling is the classic trap.
Being expensive on P/E, P/B and EV/EBITDA at the same time earns a hard deduction.
For systematic investors who want to harvest value premia without waiting years for the re-rating. The momentum trigger means more portfolio turnover than pure value strategies; if you rarely want to look at your portfolio, the classic valuation strategies are a better fit.
Single valuation metrics mislead: a low P/E can be a cyclical earnings peak, a low P/B a write-down candidate. James O'Shaughnessy showed empirically that a composite of several metrics ("Value Composite") is more reliable than any single figure, and that coupling it to a stubborn price momentum defuses the classic value trap: you do not buy the cheapest, but the cheap that the market has just begun to correct. StockScorer implements this Trending Value principle with six valuation points and a momentum ladder.
The value composite awards one point each for: P/E below 12, P/B below 1.5, EV/Sales below 1.2, FCF yield above 6.7% (equivalent to a price below 15 times free cash flow), EV/EBITDA below 8 and a payout yield above 2.5%. Being expensive or without a value on P/E, P/B and EV/EBITDA simultaneously earns −3: the most expensive corner of the market.
Momentum provides the timing: a 6-month relative strength above +20% versus the market earns +5 points, +10 to +20% still +3; lagging by more than 10% costs 2 points. The upper threshold (6 points for large caps, 8 for mid, 9 for small caps) is only reachable with both: cheap valuation AND an uptrend under way.
Value composite (each +1): P/E 0–12, P/B 0–1.5, EV/Sales 0–1.2, FCF yield > 6.7%, EV/EBITDA 0–8, payout yield > 2.5%.
Broad expensive deduction (−3): P/E above 25, P/B above 3 and EV/EBITDA above 15 at the same time; missing values count to the expensive side.
Momentum ladder: 6-month relative strength > +20% (+5), +10–20% (+3), below −10% (−2).
The original ("Trending Value") ranks the universe in two percentile stages: first the value composite of six metrics, then momentum. StockScorer translates both ranks into absolute thresholds: one binary cheapness point per metric, momentum in fixed tiers. Three metrics are replaced by close relatives: EV/Sales instead of price/sales, FCF yield instead of price/FCF, and the dividend yield as a proxy for shareholder yield (buybacks are not included).
Relative strength is measured live against the world market; in the backtest raw stock returns stand in for it, a documented approximation. The heavy momentum weight makes the strategy higher-turnover than pure value approaches: positions often lose their momentum signal after a few quarters.
For rule-based investors who want to combine the value factor with a trend filter and are prepared to follow the system through more frequent signal changes.