Piotroski F-Score
NO EDGEWithin cheap (high B/M) stocks, nine simple accounting signals separate the recovering from the dying.
| THE STRATEGY | $SPX BUY & HOLD | |
|---|---|---|
| Growth a year (CAGR) | 8.6% | 9.1% |
| Return per unit of risk (Sharpe) | 0.54 | 0.65 |
| Worst fall (max drawdown) | -68.7% | -52.6% |
// GROWTH OF $1, LOG SCALE
Tested on years it never saw (from the split): 15.7% a year against 12.4% for the benchmark; Sharpe 0.37 in the training years, 0.76 after.
After 25 bps of trading costs: 7.6% a year. WITHIN RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 0.0% | 23.6% |
| 2000s | 2.2% | -2.6% |
| 2010s | 11.7% | 11.6% |
| 2020s | 21.2% | 14.1% |
// THE IDEA, AS PUBLISHED
Piotroski (2000), Journal of Accounting Research · 2000
- Universe: highest book-to-market quintile
- Score 0-9: ROA>0, CFO>0, rising ROA, CFO>ROA, lower leverage, higher current ratio, no equity issue, higher gross margin, higher asset turnover
- Buy F-Score 8-9; F-Score 0-1 is the avoid or short group
A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 20:48 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE NOT IN THIS UNIVERSE YET (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE.