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Altman Z-Score Screen 93 Qualifying in UK


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This is a short-selling strategy based on the Altman Z-score which combines five weighted business ratios to estimate the likelihood of financial distress. The idea is that, if the Altman Z-Score is close to or below 3, it is wise to do some serious due diligence. The Z-score results usually have the following "Zones" of interpretation: any Z-Score above 2.99 is considered to be a safe company. Anything below 1.80 is in the distress zone, with a strong likelihood of the company going bankrupt within the next two years, while anything between 1.80 and 2.99 is in a "grey zone". In line with Altman's result, this work is based on last annual reported results and does not factor any interim updates. According to the research, the Altman score does experience false positives (i.e. classifying the firm as bankrupt when it does not go bankrupt) in approximately 15-20% of cases. To learn more about this strategy please click here »

Picture of Edward Altman

About Edward Altman

Professor of Finance at NYU Stern School of Business. Best known for the development of the Z-Score.


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Managing Credit Risk: The Great Challenge for Global Financial Markets

by John B. Caouette, Edward I. Altman, Paul Narayanan, Robert Nimmo

Its initial test by Altman found that it was 72% accurate in predicting bankruptcy two years prior to the event, while subsequent examination has shown 80-90% accuracy.

This screen is based on a UK dataset. It uses the following criteria:

  • Altman Z Score (1) < 1.80
  • SIC1 Code >= 2000
  • SIC1 Code <= 3990

Results are sorted by:

  • P/B in descending order


And limited to the first 200 Results

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Altman Z-Score Screen Graphical History

Returns

Timeframe Screen Returns FTSE 100 Outperformance
1 week 0.95% 1.44% -0.5%
1 month -0.39% 6.08% -6.5%
3 months -6.82% 5.68% -12.5%
6 months -1.97% 19.31% -21.3%
1 year -1.82% 23.73% -25.6%
Since inception -1.05% 25.3% -26.4%
Annualised -0.74%

Risk

Maximum Drawdown-26.43%
Average No. of Holdings24
Diversification LevelGood

 Chart based on an equal weighted portfolio of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.

 Please note that 'short selling' strategies are designed to underperform the market - they are best used for hedging long portfolios rather than for absolute negative returns.


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93 Qualifying in

Ticker Name Mkt Cap £m Altman Z Score (1) SIC1 Code P/B Sector
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Subscriber Subscriber Energy  
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Subscriber Subscriber Basic Materials  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Technology  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Technology  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Energy  
Subscriber Subscriber Industrials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Basic Materials  
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You should consider the results of any screening process, including this one, as candidates for further research, not as a buy list. Screening helps to narrow a search based on pre-defined criteria. It is not a substitute for independent research reflecting your individual criteria for investing/trading. Please note that the screening criteria used represents Stockopedia's interpretation of the author's investment approach and are not determined or endorsed by the original strategist.



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