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 |
| 7.95% |
| 267.21 |
| 13.39% |
| 0.64 |
| 0.15 |
| -52.56% |
| 1.63 |
| 0.93 |
| -0.80 |
| 2.21 |
| 1.01 |
| -0.06 |
| 0.00% |
| 1.00 |
| F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
| -8.62% | 11.10% | 9.82% | 10.78% | 9.71% | 9.04% | 8.81% | 9.54% |
| -78.41 | 498.77 | 391.47 | 469.69 | 382.93 | 335.33 | 320.24 | 370.99 |
| 27.90% | 28.01% | 20.56% | 16.29% | 15.89% | 15.29% | 15.71% | 17.19% |
| -0.19 | 0.51 | 0.56 | 0.71 | 0.66 | 0.64 | 0.62 | 0.62 |
| -0.10 | 0.15 | 0.16 | 0.20 | 0.19 | 0.17 | 0.17 | 0.21 |
| -88.08% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
| 0.78 | 1.56 | 1.61 | 1.80 | 1.73 | 1.69 | 1.66 | 1.60 |
| -0.28 | 0.87 | 0.90 | 1.14 | 1.03 | 1.00 | 0.94 | 0.96 |
| 1.34 | 0.86 | 0.23 | -0.06 | -0.25 | -0.19 | -0.32 | -0.12 |
| 13.41 | 5.33 | 3.93 | 4.18 | 4.45 | 3.96 | 3.63 | 1.47 |
| 0.93 | 1.09 | 1.25 | 1.15 | 1.01 | 1.01 | 1.01 | 0.88 |
| -0.14 | -0.12 | -0.09 | -0.07 | -0.07 | -0.06 | -0.07 | -0.07 |
| -9.36% | 4.58% | 2.66% | 4.07% | 3.19% | 2.76% | 2.57% | 3.33% |
| 0.63 | 1.47 | 1.33 | 1.14 | 1.11 | 1.07 | 1.08 | 1.10 |
Login
