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Altman Z-Score Screen 200 Qualifying

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.

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This is an independent study based upon the methods of...
Picture of Edward Altman

Edward Altman

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:

  • Altman Z Score (1) < 1.8
  • Industry Group not in Bank ing Services, Investment Bank ing & Investment Services, Insurance,

Results are sorted by:

  • P/B in descending order


And limited to the first 200 Results


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Performance Tracking


Returns FTSE 100
1 week -1.6% -2.5% -0.8% 0.6% -4.0% -1.1% -2.0% 1.3%
1 month -6.4% -3.9% 8.0% 2.9% -1.1% -0.9% -7.5% -1.8%
3 months -5.3% -4.1% 2.4% 8.7% -1.8% -4.0% 15.7% 0.2%
6 months -0.2% 0.3% 6.0% 8.8% -10.6% -12.4% 15.6% -0.8%
1 year 8.0% 15.0% -14.1% 32.2% -8.4% -11.5% 23.6% 6.7%
2 years 18.6% 4.7% -13.7% - - - - 20.5%
Annualised 7.6% 3.0% -9.7% 37.4% -1.5% -10.2% 19.1%
 
Risks
Max Drawdown -26.4% -38.2% -44.7% -22.9% -24.6% -26.5% -25.9%
Avg Holdings 24.7 24.9 24.8 25 25 25 25
Diversification Good Good Good Good Good Good Good

 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 note that 'short selling' strategies are designed to underperform the market - they are best used for hedging long portfolios rather than for absolute negative returns.



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200 Qualifying

Ticker Name Mkt Cap £m Altman Z Score (1) P/B Sector Flag
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Financials United States
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Industrials Canada
Subscriber Subscriber Financials United States
Subscriber Subscriber Energy Singapore
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Industrials Singapore
Subscriber Subscriber Technology Canada
Subscriber Subscriber Technology United States
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Healthcare Australia
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Energy France
Subscriber Subscriber Basic Materials United States
Subscriber Subscriber Technology United States
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Industrials India
Subscriber Subscriber Healthcare Australia
Subscriber Subscriber Financials United States
Subscriber Subscriber Industrials Canada
Subscriber Subscriber Energy Canada
Subscriber Subscriber Industrials Canada
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Financials Australia
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Industrials United States
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Industrials United States
Subscriber Subscriber Telecoms United States
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Technology Canada
Subscriber Subscriber Technology United States
Subscriber Subscriber Telecoms Hong Kong
Subscriber Subscriber Consumer Cyclicals Turkey
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Technology Canada
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals United Kingdom
Subscriber Subscriber Basic Materials United States
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Industrials United States
Subscriber Subscriber Technology Korea, Republic of
Subscriber Subscriber Technology United States
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Healthcare Netherlands
Subscriber Subscriber Consumer Cyclicals Slovakia
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Healthcare India
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Consumer Defensives United States
Subscriber Subscriber Energy Canada
Subscriber Subscriber Technology United States
Subscriber Subscriber Industrials Canada
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Consumer Cyclicals Spain
Subscriber Subscriber Technology Australia
Subscriber Subscriber Consumer Cyclicals Spain
Subscriber Subscriber Industrials India
Subscriber Subscriber Consumer Cyclicals Australia
Subscriber Subscriber Technology Taiwan
Subscriber Subscriber Basic Materials United Kingdom
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Industrials United Kingdom
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Basic Materials United States
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Technology United States
Subscriber Subscriber Energy Australia
Subscriber Subscriber Consumer Defensives United States
Subscriber Subscriber Energy Hong Kong
Subscriber Subscriber Technology Spain
Subscriber Subscriber Technology Japan
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Consumer Defensives United States
Subscriber Subscriber Industrials Hong Kong
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Healthcare United Kingdom
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Healthcare France
Subscriber Subscriber Energy United States
Subscriber Subscriber Consumer Cyclicals Turkey
Subscriber Subscriber Technology Australia
Subscriber Subscriber Basic Materials Canada
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Industrials Canada
Subscriber Subscriber Technology United States
Subscriber Subscriber Technology Canada
Subscriber Subscriber Industrials Spain
Subscriber Subscriber Energy Australia
Subscriber Subscriber Consumer Cyclicals Italy