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 |
7.64% |
336.40 |
14.76% |
0.58 |
0.15 |
-52.56% |
1.55 |
0.84 |
-0.61 |
1.42 |
0.93 |
-0.06 |
0.00% |
1.00 |
F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
-7.77% | 8.43% | 9.68% | 10.16% | 8.93% | 8.24% | 8.67% | 7.97% |
-80.17 | 404.85 | 534.57 | 592.98 | 453.46 | 387.23 | 427.31 | 363.89 |
26.23% | 30.19% | 22.50% | 18.14% | 17.25% | 17.00% | 17.44% | 19.11% |
-0.18 | 0.42 | 0.52 | 0.63 | 0.58 | 0.55 | 0.57 | 0.50 |
-0.09 | 0.11 | 0.15 | 0.19 | 0.17 | 0.16 | 0.17 | 0.17 |
-90.71% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
0.78 | 1.42 | 1.57 | 1.69 | 1.62 | 1.57 | 1.59 | 1.47 |
-0.27 | 0.66 | 0.85 | 0.99 | 0.89 | 0.83 | 0.85 | 0.76 |
1.36 | 0.41 | 0.33 | -0.03 | -0.30 | -0.36 | -0.46 | -0.09 |
14.87 | 3.85 | 4.66 | 5.03 | 4.02 | 4.00 | 3.63 | 2.42 |
0.75 | 1.11 | 1.04 | 1.03 | 1.02 | 0.97 | 0.94 | 0.90 |
-0.13 | -0.13 | -0.10 | -0.08 | -0.07 | -0.07 | -0.07 | -0.08 |
-7.48% | 3.66% | 3.51% | 4.25% | 3.26% | 2.68% | 3.08% | 2.52% |
0.44 | 1.42 | 1.31 | 1.13 | 1.08 | 1.06 | 1.08 | 1.11 |