Josef Piotroski came up with a simple nine criteria scoring system to help identify bargain stocks in recovery. It is known as the F-Score and is used extensively throughout Stockopedia on Stock Reports and in screens as a measure of an improving financial health trend. But while his now famous original strategy (which we have modelled here) focused on applying the F-Score filter to only the cheapest stocks in the market, other analysts have discovered that the highest F-Scoring companies in the market in aggregate also outperform. We have filtered the market in this strategy to just highlight the companies showing a Piotroski F-Score of 9. 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 High F-Score Screen Graphical History Returns| Timeframe | Screen Returns | FTSE 100 | Outperformance |
|---|---|---|---|
| 1 week | 2.85% | 1.97% | 0.9% |
| 1 month | 6.20% | 7.46% | -1.3% |
| 3 months | 8.55% | 5.90% | 2.7% |
| 6 months | 25.37% | 17.74% | 7.6% |
| 1 year | 39.36% | 28.25% | 11.1% |
| Since inception | 46.92% | 25.9% | 21.0% |
| Annualised | 30.80% |
Risk| Maximum Drawdown | -12.48% |
| Average No. of Holdings | 25 |
| 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.
