value investing
We screened NYSE, NASDAQ, and AMEX for D/E < 0.5 and Piotroski F-Score >= 7, then held the portfolio annually for 25 years. The result: 7.20% CAGR vs 7.85% for SPY, with max drawdown of -32.32% vs -38.01%. Lower return, but meaningfully better downside protection.
backtests
We ran a low-debt + Piotroski F-Score screen on 13 exchanges over 25 years. India leads at 14.05% CAGR with -2.02% down capture. Canada is the biggest surprise. Switzerland has the best Sharpe. Here''s the full global breakdown.
piotroski
We ran the Piotroski F-Score on US value stocks from 1997 to 2024. Score 8-9 returned 6.1% vs 9.4% for SPY. Selection alpha is -1.6% per year. Avoidance alpha is +2.8%. The F-Score works as a floor (skip Score 0-2) but not as a ceiling in large-cap US.
piotroski
The Piotroski F-Score inverts in India. Score 8-9 returned 2.2% CAGR over 27 years on NSE. Score 0-2 returned 9.4%. The spread is -7.2%. Both trail the Sensex (10.9%). India's growth-driven market punishes the quality signal.
piotroski
The Piotroski F-Score works in Hong Kong. Score 8-9 returned 7.6% CAGR with Sharpe 0.207 over 27 years, beating Hang Seng (2.7%) by +4.87%. Score 0-2 returned 2.1% with -76.5% max drawdown. The +5.5% spread is one of the strongest in our study.
piotroski
Japan's Piotroski F-Score spread is +1.1% over 27 years. Score 8-9 beats the Nikkei 225 by +1.31%. The alpha comes from avoidance (+6.7%), not selection (-5.5%). Score 8-9 underperformed All Value (9.9%). The F-Score on JPX is a filter, not a stock picker.
piotroski
UK Score 8-9 returned 4.8% CAGR over 27 years, beating the FTSE 100 (1.3%) by +3.48%. But the unfiltered value universe returned 6.9% and Score 0-2 returned 8.3%. Spread: -3.5%. Selection alpha -2.1%, avoidance alpha -1.3%.
piotroski
We ran the Piotroski F-Score on 15 exchanges with MOC execution and data quality guards. Spread is positive on 9, negative on 6. Score 8-9 beats the local benchmark on 10 of 15. Range: +12.0% (Thailand) to -7.2% (India). Avoidance works on 12 of 15.
piotroski
Australia has the strongest avoidance signal of any market we tested. Score 0-2 returned -0.7% annually over 32 years. Avoidance alpha: +13.7%. But Score 8-9 returned just 1.5%, trailing ASX 200 by 3.5% and All Value by 11.5%. The F-Score picks the wrong stocks on the ASX.
value investing
D/E < 0.5 + Piotroski F-Score >= 7 on NSE, backtested 2000-2025. 13.78% CAGR vs Sensex 12.06%, +1.72% annual excess. Max drawdown -16.61% vs Sensex -32.20%. India delivers sustained alpha with half the drawdown.
value investing
We built a systematic quality-value screen using seven quantitative criteria and backtested it across all US exchanges from 2000 to 2025. QARP returned 10.42% annually vs 7.77% for the S&P 500.