Piotroski F-Score - US

Overview

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.

Data Highlights

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.

Performance Showcase

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
5.29%
135.02
13.87%
0.44
0.10
-50.83%
1.42
0.64
-0.46
2.62
0.99
-0.06
0.00%
1.00
F1 F2 F3 F4 F5 F6 F7 F8
-8.83% 10.79% 9.36% 10.45% 9.38% 8.55% 8.18% 8.82%
-78.41 447.19 340.84 420.18 342.13 289.73 268.17 305.98
28.25% 28.11% 20.68% 16.45% 15.99% 15.42% 15.77% 17.25%
-0.19 0.50 0.54 0.69 0.64 0.61 0.58 0.58
-0.10 0.15 0.15 0.19 0.18 0.16 0.16 0.19
-88.09% -74.38% -62.93% -54.75% -51.74% -52.02% -51.94% -46.51%
0.78 1.55 1.58 1.76 1.70 1.65 1.61 1.56
-0.28 0.86 0.86 1.10 0.99 0.94 0.88 0.90
1.33 0.89 0.25 -0.05 -0.24 -0.17 -0.31 -0.10
13.02 5.40 3.91 4.06 4.33 3.88 3.66 1.49
0.95 1.08 1.21 1.15 0.99 1.00 1.00 0.87
-0.14 -0.12 -0.09 -0.07 -0.07 -0.07 -0.07 -0.07
-9.21% 5.07% 2.94% 4.34% 3.45% 2.85% 2.54% 3.22%
0.63 1.47 1.33 1.14 1.11 1.07 1.08 1.10