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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.

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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


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Performance Tracking


Returns FTSE 100
1 week 0.8% -2.6% -1.2% -4.4% -4.8% -2.2% -3.1% -0.7%
1 month 0.5% -3.9% 5.3% 14.5% -5.3% 1.9% -5.5% -1.1%
3 months -2.3% -8.7% 13.1% -3.6% -8.1% -0.3% -5.8% -2.4%
6 months 10.2% -3.8% 21.8% -16.3% 6.9% 1.3% -10.1% 4.8%
1 year 39.3% 5.6% 27.0% -9.0% -14.8% 8.8% 4.2% 3.6%
2 years 92.6% 25.0% 24.6% 11.8% -21.4% 51.2% -0.1% 10.7%
Annualised 17.8% 14.4% -1.8% 2.6% 7.4% 29.4% 41.7%
 
Risks
Max Drawdown -57.9% -29.5% -43.7% -37.4% -40.8% -10.0% -29.8%
Avg Holdings 14.6 21.1 24.5 10 8.9 25 6.8
Diversification Moderate Good Good Moderate Moderate Good Low