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 |
| 9.12% |
| 586.56 |
| 14.57% |
| 0.67 |
| 0.17 |
| -52.56% |
| 1.66 |
| 1.01 |
| -0.60 |
| 1.39 |
| 0.98 |
| -0.06 |
| 0.00% |
| 1.00 |
| F1 | F2 | F3 | F4 | F5 | F6 | F7 | F8 |
| -11.18% | 8.52% | 10.33% | 10.27% | 9.78% | 8.81% | 9.55% | 8.81% |
| -92.71 | 508.77 | 775.80 | 766.74 | 685.45 | 545.14 | 649.22 | 545.91 |
| 26.24% | 29.92% | 22.07% | 17.89% | 17.12% | 16.74% | 17.16% | 18.85% |
| -0.32 | 0.42 | 0.56 | 0.64 | 0.63 | 0.59 | 0.62 | 0.54 |
| -0.12 | 0.12 | 0.16 | 0.19 | 0.19 | 0.17 | 0.18 | 0.19 |
| -95.98% | -74.11% | -62.92% | -54.74% | -51.93% | -52.05% | -51.95% | -46.50% |
| 0.65 | 1.42 | 1.60 | 1.69 | 1.67 | 1.61 | 1.64 | 1.52 |
| -0.45 | 0.68 | 0.91 | 1.01 | 0.98 | 0.90 | 0.94 | 0.84 |
| 1.13 | 0.46 | 0.31 | -0.03 | -0.29 | -0.36 | -0.45 | -0.09 |
| 13.89 | 3.73 | 4.55 | 4.79 | 3.70 | 3.83 | 3.52 | 2.29 |
| 0.59 | 1.13 | 1.32 | 1.10 | 1.04 | 0.99 | 1.07 | 0.95 |
| -0.13 | -0.13 | -0.09 | -0.08 | -0.07 | -0.07 | -0.07 | -0.08 |
| -11.30% | 1.47% | 2.09% | 2.67% | 2.38% | 1.60% | 2.25% | 1.63% |
| 0.37 | 1.42 | 1.30 | 1.12 | 1.08 | 1.06 | 1.07 | 1.10 |