// STUDY RESULT · 1998-01 TO 2026-09

Piotroski F-Score

TRADE-OFF

Within cheap (high B/M) stocks, nine simple accounting signals separate the recovering from the dying.

How this run differs from the source: Liquid stocks only, 8 of the 9 signals, re-formed monthly; the paper found the effect in small, thinly traded firms held a year.

	THE STRATEGY	$SPXTR BUY & HOLD
CAGR	11.2%	9.3%
Sharpe ratio	0.65	0.66
Max drawdown	-50.8%	-50.9%

// GROWTH OF $1, LOG SCALE

AMBER: THE STRATEGY · GREY: $SPXTR BUY & HOLD

Out-of-sample (from the split): CAGR 10.2% against 14.0% for the benchmark; Sharpe 0.72 in-sample, 0.56 out-of-sample.

After 25 bps of trading costs: 9.6% a year. EDGE OVER RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	0.0%	20.9%
2000s	11.8%	-0.8%
2010s	10.3%	14.0%
2020s	15.2%	15.2%

// YEAR BY YEAR, LOSING YEARS IN RED

1998*0.0%27.2%

19990.0%21.0%

20008.0%-9.1%

20012.8%-11.9%

20026.5%-22.1%

200353.6%28.7%

200434.9%10.9%

200513.2%4.9%

200613.1%15.8%

20076.3%5.5%

2008-33.4%-37.0%

200943.3%26.5%

201024.3%15.1%

2011-4.1%2.1%

201226.1%16.0%

201328.4%32.4%

201411.8%13.7%

2015-15.3%1.4%

201614.4%12.0%

201726.1%21.8%

2018-13.1%-4.4%

201919.1%31.5%

20203.2%18.4%

202130.3%28.7%

2022-0.9%-18.1%

202336.7%26.3%

20242.4%25.0%

202516.1%17.9%

2026*12.4%11.8%

Losing years: 2008 (-33.4%), 2011 (-4.1%), 2015 (-15.3%), 2018 (-13.1%), 2022 (-0.9%). Each cell: the strategy, then the benchmark below it. * a part year.

// 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

RUN IT YOURSELF ▸ IN THE LIBRARY

A real computation on the QuantGPT warehouse, walk-forward. A study across the whole market includes only part of the companies that later delisted from 1998 (survivors only before); a study on your own list of tickers is not affected. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-11-09 05:18 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE ONLY PARTLY IN THIS UNIVERSE (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE. PRIVACY