Piotroski F-Score — US

Quality, value, growth, combined f score

product_id fscore_us · 4800+ stocks · daily refresh · since 2003-01-01 · 1 data columns · API/CSV

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Overview

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.

Data Highlights

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.

Performance

Statistics

Metric	F1	F2	F3	F4	F5	F6	F7	F8	SPY
CAGR	-8.30%	11.83%	11.38%	11.31%	10.08%	8.89%	9.79%	9.25%	9.37%
Cumulative Return	-87.24	1322.94	1192.48	1173.11	878.72	656.35	818.52	717.73	678.46
Annual Volatility	29.98%	33.88%	21.50%	17.79%	16.71%	16.38%	16.79%	18.37%	14.47%
Sharpe	-0.15	0.48	0.61	0.69	0.66	0.60	0.64	0.58	0.69
Calmar	-0.09	0.16	0.18	0.21	0.19	0.17	0.19	0.20	0.18
Max Drawdown	-96.59%	-74.11%	-62.92%	-54.74%	-51.93%	-52.05%	-51.95%	-46.50%	-52.56%
Omega	0.82	1.57	1.67	1.77	1.70	1.63	1.67	1.56	1.68
Sortino	-0.23	0.91	1.00	1.12	1.02	0.92	0.98	0.89	1.04
Skew	1.85	2.45	0.29	-0.00	-0.30	-0.37	-0.46	-0.10	-0.61
Kurtosis	13.58	19.93	4.79	4.59	3.89	3.96	3.63	2.47	1.40
Tail	0.81	1.18	1.31	1.21	1.05	0.99	1.08	0.96	0.99
Value At Risk	-0.15	-0.15	-0.09	-0.07	-0.07	-0.07	-0.07	-0.08	-0.06
Alpha	-6.98%	4.94%	2.60%	3.09%	2.22%	1.19%	1.98%	1.54%	0.00%
Beta	0.34	1.38	1.26	1.11	1.06	1.04	1.06	1.08	1.00

Data through 2026-10-26

Comparison

Statistics · Q1

Metric	Piotroski Fscore
CAGR	-8.30%
Cumulative Return	-87.24
Annual Volatility	29.98%
Sharpe	-0.15
Calmar	-0.09
Max Drawdown	-96.59%
Omega	0.82
Sortino	-0.23
Skew	1.85
Kurtosis	13.58
Tail	0.81
Value At Risk	-0.15
Alpha	-6.98%
Beta	0.34

Data through 2026-10-26

Data

Piotroski F-Scores are available for all the tradable stock equities on the US stock exchanges, including major securities markets such as NYSE, Nasdaq and Dow Jones Industrial.

Coverage · top 10 sectors

Sector	Count	Type	Start date
Finance	1,126	Equities	2003-01-01
Health Services	768	Equities	2003-01-01
Miscellaneous	391	Equities	2003-01-01
Process Industries	387	Equities	2003-01-01
Electronic Technology	303	Equities	2003-01-01
Communications	280	Equities	2003-01-01
Transportation	237	Equities	2003-01-01
Technology Services	223	Equities	2003-01-01
Non-Energy Minerals	220	Equities	2003-01-01
Utilities	193	Equities	2003-01-01

Delivery & access

Piotroski F-Scores are calculated daily for thousands of stocks.

This data is available via API and CSV download.

Sample data

Documentation

Approach

The Piotroski F-Score is calculated based on 9 criteria divided into 3 groups:

- Profitability - Leverage, Liquidity and Source of Funds - Operating Efficiency

The score is calculated based on the 9 criteria listed below. A company gets 1 point for each criterion met, otherwise it gets 0 point. F-Score is calculated by summing up all points (number between 0-9), which measures a company's financial strength (9 be the strongest).

Factors evaluated

The Piotroski F-Score is calculated following below metrics:

Profitability

·Positive Net Income (1 point)
·Positive return on assets in the current year (1 point)
·Positive operating cash flow in the current year (1 point)
·Cash flow from operations being greater than net Income (1 point)

Leverage, Liquidity and Source of Funds

·Lower ratio of long-term debt in the current period, compared to the previous year (1 point)
·Higher current ratio this year compared to the previous year (1 point)
·No new shares were issued in the last year (1 point).

Operating Efficiency:

·A higher gross margin compared to the previous year (1 point)
·A higher asset turnover ratio compared to the previous year (1 point)

Methodology

We calculated the Piotroski F-Score for a universe of the largest 500 US equities by market capitalization and ranked each stock from the highest to the lowest by F Score.

The portfolio is rebalanced monthly, with 20 basis points as costs per transaction. Market cap weighting is used.

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