Duplicate

Piotroski F-Score Price to Book Value Screen 50 Qualifying

The Piotroski F-Score P/B is the classic value strategy by famous finance academic Joseph Piotroski. Originally published in a 2000 research paper titled "Value Investing: The use of historical financial statement information to separate winners from losers", the strategy hunts for the highest quality shares amongst a deep value basket. In this version of the screen, the cheapest 20% of the market by their Price to Book ratio are first selected, and filtered further to find those with the most improving fundamental health trends using the Piotroski F-Score. Piotroski developed the F-Score system after observing that: "In that mix of bargain companies, you have some that are just stellar. Their performance turns around. People become optimistic about the stock, and it really takes off. However half of the firms languish; continue to perform poorly and eventually delist or enter bankruptcy." Piotroski's back-tests over 20 years showed that his formula could improve the returns from typical value investing strategies by at least 7.5% annually and is especially effective amongst small caps. Investors should beware the low liquidity shares in this screen can be expensive to trade.

To learn more about this strategy please click here »

This is an independent study based upon the methods of...
Picture of Josef Piotroski

Josef Piotroski

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 uses the following criteria:

  • Piotroski F-Score > 7
  • Rank ( P/B ) > 80%
  • Is Primary Listing == 1

Results are sorted by:

  • Piotroski F-Score in descending order


And limited to the first 50 Results


Can these rules be improved? Submit a suggestion »
Want to make your own version? Create a Duplicate

Performance Tracking


Returns FTSE 100
1 week -2.3% -4.3% -2.5% 2.0% -3.0% 1.8% -0.2% -0.8%
1 month -2.7% 0.0% -1.0% 1.9% 11.9% 6.8% 4.5% 1.3%
3 months 21.0% 5.5% 1.3% 22.8% 14.0% 13.4% 3.9% 6.4%
6 months 23.4% 9.5% 10.6% 11.4% 9.3% 21.3% 9.3% 6.0%
1 year 74.3% 32.1% 22.2% - - - - 23.5%
2 years 50.9% 52.8% -9.4% - - - - 4.2%
Annualised 13.4% 16.5% -7.9% 1.2% 66.7% 53.7% 140.6%
 
Risks
Max Drawdown -57.9% -29.5% -43.7% -26.1% -19.4% -10.0% -23.0%
Avg Holdings 14.2 20.3 24.4 6.8 3.7 25 4.4
Diversification Moderate Good Good Low Low Good Low

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



Please subscribe to see the companies that qualify for this independent study of the Piotroski F-Score Price to Book Value Screen Strategy.
Plans start from as little as $35 per month. 14 day FREE TRIAL available.

50 Qualifying

Ticker Name Mkt Cap £m Piotroski F-Score P/B Sector Flag
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials Germany
Subscriber Subscriber Financials Korea, Republic of
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Consumer Cyclicals United Kingdom
Subscriber Subscriber Consumer Cyclicals Cyprus
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Basic Materials United Kingdom
Subscriber Subscriber Consumer Defensives Japan
Subscriber Subscriber Consumer Cyclicals Korea, Republic of
Subscriber Subscriber Basic Materials Korea, Republic of
Subscriber Subscriber Healthcare Japan
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Healthcare Japan
Subscriber Subscriber Basic Materials Poland
Subscriber Subscriber Industrials Taiwan
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Industrials Greece
Subscriber Subscriber Technology Canada
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Technology United States
Subscriber Subscriber Basic Materials Korea, Republic of
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Defensives Hong Kong
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Basic Materials Korea, Republic of
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Cyclicals Bosnia Herzegovina
Subscriber Subscriber Industrials United States
Subscriber Subscriber Consumer Cyclicals Poland
Subscriber Subscriber Financials Turkey
Subscriber Subscriber Consumer Cyclicals Korea, Republic of
Subscriber Subscriber Industrials United Kingdom
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Consumer Cyclicals France
Subscriber Subscriber Basic Materials Hong Kong
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Consumer Cyclicals Denmark
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Industrials United States
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Consumer Defensives Japan
Subscriber Subscriber Basic Materials Korea, Republic of
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials Slovenia
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Industrials United Kingdom
Subscriber Subscriber Consumer Defensives Japan
Subscriber Subscriber Basic Materials Australia

Can't see the share you expect? View this screen as a checklist to find out why.

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.



Let’s get you setup so you get the most out of our service
Done, Let's add some stocks
Brilliant - You've created a folio! Now let's add some stocks to it.

  • Apple (AAPL)

  • Shell (RDSA)

  • Twitter (TWTR)

  • Volkswagon AG (VOK)

  • McDonalds (MCD)

  • Vodafone (VOD)

  • Barratt Homes (BDEV)

  • Microsoft (MSFT)

  • Tesco (TSCO)
Save and show me my analysis