piotroski
Japan's Piotroski F-Score tells a familiar story with an important twist. High-scoring value stocks (8-9) returned 5.1% annually over 32 years, beating the Nikkei 225 (0.7%) by +4.4%. Low-scoring stocks (0-2) returned 3.5%. That's a +1.6% spread. But the real finding
piotroski
UK value stocks scoring 8-9 on the Piotroski F-Score returned 6.7% annually over 32 years. That's a reasonable absolute return, and it beats the FTSE 100 (4.0%) by +2.7%. But the unfiltered value universe returned 16.1%. The F-Score's selection signal cost you
piotroski
Hong Kong produces the largest Piotroski F-Score spread of any market we tested: +24.5%. Score 8-9 stocks returned 18.8% annually over 31 years. Score 0-2 stocks returned -5.7%. Against the Hang Seng (4.0%), Score 8-9 beats the local market by +14.7%. On the surface, this
piotroski
Australia is the clearest example of the Piotroski F-Score working purely as a risk filter. Over 32 years on the ASX, Score 8-9 stocks returned just 1.5% annually, trailing the ASX 200 (4.9%) by -3.5%. The unfiltered value universe returned 13.0%. That's an enormous
piotroski
We ran the same Piotroski F-Score backtest on nine exchanges using next-day close (MOC) execution and local benchmarks. The spread between Score 8-9 and Score 0-2 value stocks is positive on four of nine markets. On the other five, the signal inverts: low-scoring stocks beat high-scoring stocks. Contents 1. Method
backtests
When a large company spins off a division, index funds that owned the parent receive shares of the child entity. If the child is too small for the S&P 500, passive funds must sell, not because the business is bad, but because their mandate requires it. This forced
DCF
We ran the same DCF Threshold screen on 13 global stock exchanges. Same signal, same quality filters, same parameters on every market. The pattern that emerged is clear and consistent: the strategy adds value in Western markets and underperforms across most of Asia. The dividing line isn't random.
DCF
We added three quality filters to a classic FCF yield screen and tested it on 25 years of US stocks from NYSE, NASDAQ, and AMEX. The signal: buy the 30 most undervalued stocks by DCF discount that also have ROE above 8%, debt-to-equity below 1.5, and positive operating cash
DCF
We ran the DCF Threshold screen on 25 years of UK stocks from the London Stock Exchange. Buy the 30 most undervalued companies by Gordon Growth DCF discount, filtered for ROE above 8%, D/E below 1.5, and positive operating cash flow. The strategy found no qualifying stocks in
DCF
We ran the DCF Threshold screen on 25 years of Indian stocks from BSE and NSE. The signal: buy the 30 most undervalued companies by Gordon Growth DCF discount, filtered for ROE above 8%, D/E below 1.5, and positive operating cash flow. The strategy found no qualifying stocks
DCF
We ran the DCF Threshold screen on 25 years of Canadian stocks from the TSX. The signal: buy the 30 most undervalued companies by Gordon Growth DCF discount, filtered for ROE above 8%, D/E below 1.5, and positive operating cash flow. The strategy returned 9.32% annually vs
event study
Habitual earnings beaters drift +0.266% above the S&P 500 in the 10 trading days before they announce. Habitual missers fall -0.479%. That's a 74bp spread between two groups of stocks, both approaching the same event, in the same market, over the same window. Contents