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.
Piotroski F-Score performance is demonstrated by comparing portfolios that are comprised of equities with a specific F-Score. For example, portfolio F1 contains equities that have a F-Score of 1, portfolio F2 contains equities that have a F-Score of 2, and so on.
While the F-Score is a rating between 0 to 9, in the US market there are few to none companies that have displayed a F-Score of 0 or 9. Thus, below only portfolios with an F-Score of 1 to 8 are displayed.
Portfolios were rebalanced monthly using a market-cap weighted method, with 20 bps deducted as costs per transaction.
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 |
9.07% |
605.25 |
14.58% |
0.67 |
0.17 |
-52.56% |
1.65 |
1.00 |
-0.59 |
1.33 |
0.99 |
-0.06 |
0.00% |
1.00 |
F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
-11.64% | 8.32% | 10.45% | 10.09% | 9.79% | 8.78% | 9.54% | 9.10% |
-93.83 | 504.17 | 835.22 | 769.62 | 718.26 | 564.31 | 676.80 | 609.79 |
26.18% | 29.69% | 21.91% | 17.76% | 17.01% | 16.66% | 17.07% | 18.76% |
-0.34 | 0.42 | 0.56 | 0.63 | 0.64 | 0.59 | 0.62 | 0.56 |
-0.12 | 0.11 | 0.17 | 0.18 | 0.19 | 0.17 | 0.18 | 0.20 |
-96.59% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
0.63 | 1.42 | 1.61 | 1.68 | 1.67 | 1.61 | 1.65 | 1.54 |
-0.47 | 0.67 | 0.92 | 1.00 | 0.98 | 0.90 | 0.95 | 0.87 |
1.11 | 0.47 | 0.31 | -0.02 | -0.29 | -0.36 | -0.44 | -0.09 |
13.81 | 3.82 | 4.63 | 4.87 | 3.75 | 3.84 | 3.53 | 2.30 |
0.56 | 1.14 | 1.31 | 1.09 | 1.04 | 0.99 | 1.07 | 0.95 |
-0.13 | -0.13 | -0.09 | -0.07 | -0.07 | -0.07 | -0.07 | -0.08 |
-11.83% | 1.26% | 2.17% | 2.50% | 2.36% | 1.53% | 2.20% | 1.84% |
0.37 | 1.41 | 1.29 | 1.11 | 1.08 | 1.06 | 1.07 | 1.10 |