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% |
| 271.66 |
| 14.14% |
| 0.59 |
| 0.15 |
| -52.56% |
| 1.58 |
| 0.86 |
| -0.71 |
| 2.02 |
| 0.98 |
| -0.06 |
| 0.00% |
| 1.00 |
| F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
| -8.24% | 8.81% | 9.54% | 10.12% | 9.02% | 8.16% | 8.11% | 8.16% |
| -78.41 | 350.96 | 407.50 | 458.32 | 366.38 | 304.76 | 301.48 | 304.81 |
| 27.24% | 28.98% | 22.67% | 18.17% | 17.22% | 16.78% | 17.32% | 19.00% |
| -0.18 | 0.43 | 0.52 | 0.62 | 0.59 | 0.55 | 0.54 | 0.51 |
| -0.09 | 0.12 | 0.15 | 0.18 | 0.17 | 0.16 | 0.16 | 0.18 |
| -88.08% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
| 0.78 | 1.46 | 1.57 | 1.71 | 1.65 | 1.59 | 1.57 | 1.49 |
| -0.27 | 0.70 | 0.83 | 0.98 | 0.89 | 0.83 | 0.80 | 0.78 |
| 1.37 | 0.50 | 0.31 | -0.04 | -0.33 | -0.38 | -0.47 | -0.05 |
| 14.20 | 5.12 | 5.05 | 5.61 | 4.64 | 4.84 | 4.29 | 2.90 |
| 0.82 | 1.06 | 1.00 | 1.08 | 1.02 | 0.97 | 0.94 | 0.89 |
| -0.13 | -0.13 | -0.10 | -0.08 | -0.07 | -0.07 | -0.07 | -0.08 |
| -8.21% | 3.35% | 2.73% | 3.74% | 2.94% | 2.27% | 2.21% | 2.34% |
| 0.50 | 1.42 | 1.37 | 1.16 | 1.11 | 1.08 | 1.09 | 1.12 |
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