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 |
| 7.93% |
| 375.08 |
| 14.69% |
| 0.60 |
| 0.15 |
| -52.56% |
| 1.57 |
| 0.87 |
| -0.61 |
| 1.44 |
| 0.94 |
| -0.06 |
| 0.00% |
| 1.00 |
| F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
| -7.62% | 8.75% | 9.50% | 9.74% | 8.72% | 8.03% | 8.44% | 7.45% |
| -80.17 | 454.08 | 537.48 | 567.56 | 451.32 | 384.24 | 422.96 | 333.80 |
| 25.97% | 30.48% | 22.44% | 18.05% | 17.20% | 16.95% | 17.39% | 19.14% |
| -0.18 | 0.43 | 0.52 | 0.61 | 0.57 | 0.54 | 0.56 | 0.47 |
| -0.08 | 0.12 | 0.15 | 0.18 | 0.17 | 0.15 | 0.16 | 0.16 |
| -90.71% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
| 0.78 | 1.43 | 1.56 | 1.66 | 1.60 | 1.56 | 1.57 | 1.44 |
| -0.26 | 0.69 | 0.84 | 0.96 | 0.87 | 0.82 | 0.83 | 0.72 |
| 1.37 | 0.47 | 0.34 | -0.01 | -0.29 | -0.34 | -0.44 | -0.06 |
| 15.24 | 3.72 | 4.60 | 5.03 | 3.97 | 3.95 | 3.58 | 2.31 |
| 0.75 | 1.12 | 1.11 | 1.03 | 1.02 | 0.98 | 1.01 | 0.94 |
| -0.13 | -0.13 | -0.10 | -0.08 | -0.07 | -0.07 | -0.07 | -0.08 |
| -7.47% | 3.56% | 2.96% | 3.58% | 2.77% | 2.20% | 2.57% | 1.73% |
| 0.43 | 1.43 | 1.31 | 1.12 | 1.08 | 1.06 | 1.07 | 1.11 |
Login
