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Piotroski F-Score Price to Earnings Value Screen 50 Qualifying

The Piotroski F-Score P/E is a value strategy developed by the renowned finance professor Joseph Piotroski, 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 best quality shares amongst a deep value basket. In this version of the screen, the cheapest 20% of the market by their P/E ratio are selected, and filtered further for the highest scoring companies using a nine-point fundamental checklist called the Piotroski F-Score. Piotroski developed the 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/E ) > 80%

Results are sorted by:

  • Piotroski F-Score in descending order


And limited to the first 50 Results


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Performance Tracking


Returns FTSE 100
1 week -2.1% -2.4% -0.0% -5.1% -1.9% -3.3% -4.8% 1.3%
1 month -2.7% -3.4% 1.7% 1.9% 0.7% -3.3% -3.1% -1.0%
3 months 6.0% 1.7% -8.9% -5.4% 3.7% 3.7% 13.7% -1.7%
6 months 10.4% 5.6% -11.5% 6.3% 11.1% 1.9% 1.9% -0.2%
1 year 17.2% 17.2% 0.4% 34.7% 21.9% 30.2% 1.6% 5.5%
2 years 39.2% 71.9% 25.4% - - - - 23.2%
Annualised 12.9% 21.8% 4.0% 26.2% 19.6% 43.4% 39.5%
 
Risks
Max Drawdown -33.1% -13.3% -35.3% -30.9% -19.5% -10.8% -26.0%
Avg Holdings 17.9 23.8 24.8 20.9 5.7 25 8
Diversification Good Good Good Good 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.



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50 Qualifying

Ticker Name Mkt Cap £m Piotroski F-Score P/E Sector Flag
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Defensives Korea, Republic of
Subscriber Subscriber Consumer Defensives Korea, Republic of
Subscriber Subscriber Industrials Korea, Republic of
Subscriber Subscriber Consumer Defensives Korea, Republic of
Subscriber Subscriber Industrials Singapore
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials Korea, Republic of
Subscriber Subscriber Consumer Defensives Poland
Subscriber Subscriber Industrials Latvia
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Defensives Poland
Subscriber Subscriber Industrials Hong Kong
Subscriber Subscriber Consumer Defensives Korea, Republic of
Subscriber Subscriber Consumer Defensives Lithuania
Subscriber Subscriber Consumer Defensives India
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Basic Materials Hong Kong
Subscriber Subscriber Basic Materials Hong Kong
Subscriber Subscriber Consumer Cyclicals India
Subscriber Subscriber Financials Poland
Subscriber Subscriber Basic Materials Hong Kong
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Consumer Defensives India
Subscriber Subscriber Financials India
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Financials Switzerland
Subscriber Subscriber Basic Materials Cyprus
Subscriber Subscriber Basic Materials Latvia
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Financials Japan
Subscriber Subscriber Financials Japan
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Financials India
Subscriber Subscriber Financials Hong Kong
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Basic Materials United Kingdom
Subscriber Subscriber Financials Hong Kong
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Basic Materials Germany
Subscriber Subscriber Financials United Kingdom
Subscriber Subscriber Basic Materials Korea, Republic of
Subscriber Subscriber Financials Turkey
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Basic Materials Japan

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.



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