The Altman Z-Score is a checklist for identifying stocks that might be at risk of bankruptcy. It was created by US finance Professor Edward Altman and detailed in a book he co-authored, called Managing Credit Risk. The Z-Score is a red flag indicator that can be used as a short selling strategy. It analyses five weighted business ratios to estimate the likelihood of financial distress. Broadly, these checks examine a company's asset, strength, profitability, solvency, efficiency and ability to generate earnings. Altman wrote: "The detection of company operating and financial difficulties is a subject which has been particularly amenable to analysis with financial ratios." Tests over 31 years to 1999 found the Z-Score to be 80-90% accurate in predicting bankruptcy one year prior to the event. The Z-Score is one of the components used in another short selling strategy: James Montier Trinity of Risk.
To learn more about this strategy please click here »
Professor of Finance at NYU Stern School of Business. Best known for the development of the Z-Score.
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 uses the following criteria:
Results are sorted by:
And limited to the first 200 Results
| Returns |  |
 |
 |
 |
 |
 |
 |
FTSE 100 |
|---|---|---|---|---|---|---|---|---|
| 1 week | -0.1% | 0.4% | -5.5% | 7.5% | -3.4% | -1.5% | -5.9% | 0.8% |
| 1 month | -4.6% | -5.1% | -13.0% | 4.3% | -19.9% | -2.9% | -18.9% | -3.4% |
| 3 months | -25.0% | -22.0% | -18.2% | -13.0% | 15.6% | -15.7% | -15.3% | -7.2% |
| 6 months | -15.7% | -14.5% | -18.0% | -14.6% | 1.3% | -26.3% | -11.3% | -11.3% |
| 1 year | -21.2% | -18.2% | -13.2% | -34.8% | -11.9% | -27.4% | -18.7% | -9.3% |
| 2 years | -12.5% | -5.5% | -3.0% | -18.5% | -18.2% | -33.3% | 4.2% | -3.4% |
| Annualised | 3.0% | -1.2% | -9.7% | 3.6% | -4.5% | -16.1% | 3.9% | |
| Risks | ||||||||
| Max Drawdown | -27.6% | -38.2% | -44.7% | -51.4% | -43.8% | -44.0% | -26.7% | |
| Avg Holdings | 24.8 | 24.9 | 24.9 | 25 | 25 | 25 | 25 | |
| Diversification | Good | Good | Good | Good | Good | Good | Good | |
