Quality has demonstrated the ability to reward long-term investors. Similarly, Quality tends to lag during low-quality rallies - or when the lowest-quality stocks lead the market in a rebound.
As a quality measurement, Piotroski F-Score is a number between 0-9 which is used to assess strength of company's financial condition. The F-Score is used by investors to find the best value stocks. If a company has a score of 8 or 9, it is considered a good value. If the score adds up to between 0-2 points, the stock is considered weak.
As researched by the American Association of Individual Investors where it tracks 63 separate stock picking strategies that include a mix of growth, value, momentum, changes in earnings estimates, and insider buying, the winning strategy for calendar year 2010 was one by using Piotroski F-Score with a 138.8% stock market gain over 12 months.
The compelling result comes from value investing and Piotroski F-Score's efficient calculation metrics to find the most valuable stocks.
| Annual Return |
| Cumulative Return |
| Volatility |
| Sharpe ratio |
| Calmar ratio |
| Max Drawdown |
| Omega ratio |
| Sortino ratio |
| Skew |
| Kurtosis |
| Tail ratio |
| Monthly value at risk |
| Alpha |
| Beta |
| SPY |
| 9.37% |
| 678.46 |
| 14.47% |
| 0.69 |
| 0.18 |
| -52.56% |
| 1.68 |
| 1.04 |
| -0.61 |
| 1.40 |
| 0.99 |
| -0.06 |
| 0.00% |
| 1.00 |
| F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
| -11.44% | 8.41% | 10.59% | 10.19% | 9.84% | 8.90% | 9.74% | 9.31% |
| -93.83 | 536.57 | 903.89 | 823.97 | 759.98 | 605.13 | 741.35 | 668.52 |
| 25.94% | 29.45% | 21.73% | 17.62% | 16.88% | 16.53% | 16.94% | 18.61% |
| -0.34 | 0.42 | 0.57 | 0.64 | 0.64 | 0.60 | 0.64 | 0.57 |
| -0.12 | 0.11 | 0.17 | 0.19 | 0.19 | 0.17 | 0.19 | 0.20 |
| -96.59% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
| 0.63 | 1.42 | 1.62 | 1.70 | 1.68 | 1.62 | 1.67 | 1.55 |
| -0.47 | 0.68 | 0.93 | 1.02 | 0.99 | 0.91 | 0.97 | 0.89 |
| 1.11 | 0.47 | 0.31 | -0.02 | -0.29 | -0.36 | -0.45 | -0.10 |
| 14.10 | 3.91 | 4.74 | 4.97 | 3.83 | 3.93 | 3.62 | 2.38 |
| 0.54 | 1.14 | 1.30 | 1.08 | 1.04 | 0.99 | 1.08 | 0.95 |
| -0.13 | -0.13 | -0.09 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
| -11.80% | 0.82% | 1.81% | 2.19% | 2.02% | 1.25% | 1.99% | 1.62% |
| 0.37 | 1.40 | 1.29 | 1.10 | 1.07 | 1.05 | 1.07 | 1.10 |