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 |
| 8.86% |
| 377.84 |
| 14.20% |
| 0.67 |
| 0.17 |
| -52.56% |
| 1.68 |
| 1.00 |
| -0.67 |
| 2.02 |
| 0.99 |
| -0.06 |
| 0.00% |
| 1.00 |
| F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
| -8.08% | 11.65% | 11.42% | 11.71% | 10.24% | 9.39% | 9.34% | 9.08% |
| -78.83 | 661.15 | 633.07 | 668.49 | 502.10 | 422.47 | 418.15 | 396.00 |
| 26.82% | 29.16% | 22.81% | 18.19% | 17.15% | 16.73% | 17.25% | 18.87% |
| -0.18 | 0.52 | 0.59 | 0.70 | 0.66 | 0.62 | 0.61 | 0.56 |
| -0.09 | 0.16 | 0.18 | 0.21 | 0.20 | 0.18 | 0.18 | 0.20 |
| -88.56% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
| 0.78 | 1.57 | 1.68 | 1.83 | 1.74 | 1.69 | 1.66 | 1.55 |
| -0.27 | 0.86 | 0.96 | 1.12 | 1.00 | 0.95 | 0.91 | 0.86 |
| 1.38 | 0.48 | 0.32 | -0.04 | -0.33 | -0.38 | -0.48 | -0.07 |
| 14.70 | 4.81 | 4.76 | 5.47 | 4.62 | 4.81 | 4.27 | 2.89 |
| 0.74 | 1.15 | 1.10 | 1.12 | 1.04 | 0.98 | 0.96 | 0.90 |
| -0.13 | -0.13 | -0.10 | -0.08 | -0.07 | -0.07 | -0.07 | -0.08 |
| -8.48% | 4.67% | 3.29% | 4.16% | 3.11% | 2.48% | 2.41% | 2.25% |
| 0.49 | 1.43 | 1.38 | 1.17 | 1.11 | 1.08 | 1.09 | 1.12 |
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