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 |
| 7.78% |
| 376.67 |
| 14.68% |
| 0.59 |
| 0.15 |
| -52.56% |
| 1.56 |
| 0.86 |
| -0.59 |
| 1.38 |
| 0.95 |
| -0.06 |
| 0.00% |
| 1.00 |
| F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
| -7.47% | 8.51% | 8.94% | 9.45% | 8.42% | 7.73% | 8.43% | 7.61% |
| -80.17 | 448.35 | 494.85 | 555.56 | 438.45 | 371.50 | 440.17 | 360.89 |
| 25.70% | 30.40% | 22.39% | 18.02% | 17.18% | 16.92% | 17.38% | 19.11% |
| -0.18 | 0.42 | 0.49 | 0.59 | 0.56 | 0.53 | 0.56 | 0.48 |
| -0.08 | 0.11 | 0.14 | 0.17 | 0.16 | 0.15 | 0.16 | 0.16 |
| -90.71% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
| 0.78 | 1.42 | 1.53 | 1.64 | 1.58 | 1.54 | 1.57 | 1.45 |
| -0.26 | 0.67 | 0.80 | 0.93 | 0.85 | 0.79 | 0.83 | 0.74 |
| 1.38 | 0.47 | 0.34 | -0.01 | -0.27 | -0.32 | -0.42 | -0.06 |
| 15.60 | 3.67 | 4.54 | 4.93 | 3.88 | 3.88 | 3.50 | 2.26 |
| 0.75 | 1.12 | 1.16 | 1.03 | 1.03 | 0.98 | 1.04 | 0.93 |
| -0.13 | -0.13 | -0.10 | -0.08 | -0.07 | -0.07 | -0.07 | -0.08 |
| -7.27% | 3.49% | 2.62% | 3.45% | 2.63% | 2.06% | 2.71% | 2.04% |
| 0.43 | 1.43 | 1.31 | 1.12 | 1.08 | 1.06 | 1.08 | 1.11 |