The Piotroski F-Score is calculated based on 9 criteria divided into 3 groups:
- Leverage, Liquidity and Source of Funds
- Operating Efficiency
The score is calculated based on the 9 criteria listed below. A company gets 1 point for each criterion met, otherwise it gets 0 point. F-Score is calculated by summing up all points (number between 0-9), which measures a company's financial strength (9 be the strongest).
The Piotroski F-Score is calculated following below metrics:
We calculated the Piotroski F-Score for a universe of the largest 500 US equities by market capitalization and ranked each stock from the highest to the lowest by F Score.
The portfolio is rebalanced monthly, with 20 basis points as costs per transaction. Market cap weighting is used.
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