Can the Piotroski F-Score help growth stock Returns?

//Can the Piotroski F-Score help growth stock Returns?

 

Over the past few decades the reasons for investments either out- or under performing the market has been a widely discusses academic topic with new ideas being tested (with various degrees of success) all the time.

 

Piotroski F-Score

One of the more recent factors is the F-Score (Piotroski, 2000), which has strong practical use in separating winners from losers in the undervalued (mainly price to book value) part of the stock market.

 

Quant Value uses the F-Score

We also make use of the F-Score in the investment model we use to select ideas for the Quant Value newsletter. You can read more on our research using the F-Score in our research paper Quantitative Value Investing In Europe: What Works for Achieving Alpha.

 

Can the F-Score also help you if you buy fast growing companies?

To see just how helpful the F-Score can be, in a research paper, our friend Jan Mohr tested and found evidence on the value of the F-Score in the growth (fast growing companies) part of the market.

Separating growth stocks by applying F-Score looks like a promising strategy. In constructing a market-neutral portfolio, buying high F-Score and shorting low F-Score growth stocks yield a positive return.

You can read the full version of this interesting research paper by clicking on the link below :

Utility of Piotroski F-Score for predicting Growth-Stock Returns (378 kb)

By | 2014-08-22T16:18:35+00:00 October 8th, 2012|