Piotroski F-Score - US

Approach

The Piotroski F-Score is calculated based on 9 criteria divided into 3 groups:

- Profitability
- 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).

Factors Evaluated

The Piotroski F-Score is calculated following below metrics:

Profitability

Positive Net Income (1 point)

Positive return on assets in the current year (1 point)

Positive operating cash flow in the current year (1 point)

Cash flow from operations being greater than net Income (1 point)

Leverage, Liquidity and Source of Funds

Lower ratio of long-term debt in the current period, compared to the previous year (1 point)

Higher current ratio this year compared to the previous year (1 point)

No new shares were issued in the last year (1 point).

Operating Efficiency:

A higher gross margin compared to the previous year (1 point)

A higher asset turnover ratio compared to the previous year (1 point)

Methodology

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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