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Piotroski High F-Score Screen 50 Qualifying

The Piotroski F-Score Screen is a quality strategy outlined by the famed academic Professor Joseph Piotroski and investigated further in a 2011 paper titled "Identifying expectation errors in Value/Glamour stocks". The strategy hunts for the best quality shares in the market regardless of price. In this version of the screen we have selected the highest scoring stocks in the market using Piotroski's nine-point fundamental checklist called the F-Score. While the F-Score was originally used only for filtering value stocks, Piotroski discovered it was just as effective for filtering glamour stocks: "Firms experiencing the strongest improvement in fundamentals (FSCORE ?7) generate a mean size-adjusted return of 5.5 percent annually". What Piotroski essentially was saying was that the highest scoring stocks returned 5.5% more than the market - these findings have been backed up by independent research by Societe Generale. Perhaps as a result the F-Score has become extremely popular with investors and is a core component of the Stockopedia StockReports.

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 > 8

Results are sorted by:

  • RS 1y in descending order


And limited to the first 50 Results


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Performance Tracking


Returns FTSE 100
1 week 0.1% 0.5% -2.3% 0.3% -1.4% -4.0% 0.2% 1.3%
1 month -3.4% -4.9% -4.3% 4.9% -6.2% -5.8% -3.1% -1.8%
3 months 0.4% 3.6% 5.9% 15.0% -6.9% -1.3% -1.8% 0.2%
6 months 4.5% 9.9% 6.1% 31.9% 1.0% 11.2% 20.4% -0.8%
1 year 16.4% 54.4% 18.0% 67.9% 10.4% 30.6% 17.1% 6.7%
2 years 23.1% 99.6% 51.1% - - - - 20.5%
Annualised 12.6% 25.1% 15.6% 69.0% 28.8% 35.9% 33.6%
 
Risks
Max Drawdown -16.2% -18.0% -27.7% -24.3% -13.4% -18.4% -14.9%
Avg Holdings 23.5 23.9 24.7 21.7 17.6 25 13.8
Diversification Good Good Good Good Good Good Moderate

 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 RS 1y Sector Flag
Subscriber Subscriber Industrials Bulgaria
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Financials Germany
Subscriber Subscriber Financials Germany
Subscriber Subscriber Basic Materials Singapore
Subscriber Subscriber Consumer Defensives United Kingdom
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Industrials Italy
Subscriber Subscriber Consumer Defensives India
Subscriber Subscriber Industrials United States
Subscriber Subscriber Industrials Germany
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Consumer Defensives United States
Subscriber Subscriber Technology France
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Technology Japan
Subscriber Subscriber Consumer Defensives Turkey
Subscriber Subscriber Technology Turkey
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Energy Canada
Subscriber Subscriber Healthcare Greece
Subscriber Subscriber Basic Materials Hong Kong
Subscriber Subscriber Technology Taiwan
Subscriber Subscriber Technology Hong Kong
Subscriber Subscriber Technology Japan
Subscriber Subscriber Industrials Turkey
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals Spain
Subscriber Subscriber Technology Sweden
Subscriber Subscriber Industrials Australia
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Industrials India
Subscriber Subscriber Technology Germany
Subscriber Subscriber Industrials Austria
Subscriber Subscriber Consumer Cyclicals Bulgaria
Subscriber Subscriber Consumer Cyclicals Germany
Subscriber Subscriber Consumer Defensives India
Subscriber Subscriber Consumer Defensives Japan
Subscriber Subscriber Basic Materials Spain
Subscriber Subscriber Consumer Cyclicals United Kingdom
Subscriber Subscriber Technology United States
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Technology France
Subscriber Subscriber Industrials United Kingdom
Subscriber Subscriber Technology United States
Subscriber Subscriber Basic Materials Turkey
Subscriber Subscriber Basic Materials United Kingdom
Subscriber Subscriber Industrials Turkey
Subscriber Subscriber Consumer Cyclicals India

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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