The Piotroski F-Score screen aims to identify deep bargain-bucket stocks that are in recovery. Josef Piotroski, a finance professor, recognized that, while it has long been shown that bargain stocks (having a low Price to Book Value) have strong collective returns, there is very wide individual variability. “Embedded in that mix of companies, you have some that are just stellar. Their performance turns around [but] half of the firms languish; they continue to perform poorly and eventually de-list or enter bankruptcy.” What he wondered was whether it was possible to weed out the poor performers and identify the winners in advance. He therefore sought to develop a simple accounting-based scoring system for evaluating a stock’s financial strength. Piotroski's F-Score looks at value stocks, i.e. the bottom 20% of the market in terms of price to book value, and tests nine variables from a company’s financial statements. One point is awarded for each test that a stock passes. Piotroski regards any stocks that scored eight or nine points as being the strongest. To learn more about this strategy please click here »
Associate professor of accounting at the Stanford University Graduate School of Business. Developed the F-Score.
The Use of Historical Financial Statement Information to Separate Winners from Losers
by Joseph Piotroski
Josef Piotroski published this paper as a professor of the University of Chicago Graduate School of Business. Follow the link to download the original paper and learn more about the strategy.
This screen is based on a UK dataset.
It uses the following criteria:
Results are sorted by:
And limited to the first 50 Results
Piotroski F-Score Price to Book Value Screen Graphical History Returns| Timeframe | Screen Returns | FTSE 100 | Outperformance |
|---|---|---|---|
| 1 week | 2.56% | 1.44% | 1.1% |
| 1 month | 5.27% | 6.08% | -0.8% |
| 3 months | -1.40% | 5.68% | -7.1% |
| 6 months | 29.74% | 19.31% | 10.4% |
| 1 year | 50.29% | 23.73% | 26.6% |
| Since inception | 64.92% | 25.9% | 39.0% |
| Annualised | 41.79% |
Risk| Maximum Drawdown | -17.78% |
| Average No. of Holdings | 16.1 |
| Diversification Level | Good |
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.
Can't see the share you expect? View this screen as a checklist to find out why.
