piotroski
An accounting professor created a nine-point checklist to separate winning value stocks from future bankruptcies. We ran it on US equities from 1985 to 2025. The high-quality basket (Score 8-9) returned 10.6% annually with a Sharpe of 0.297. The low-quality basket (Score 0-2) returned 10.9% with a
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
momentum investing
We ran the same quality momentum strategy across 17 global exchanges over 25 years. Same rules everywhere: ROE > 15%, D/E < 1.0, positive net income, positive operating cash flow, gross margin > 20%, then rank by 12-month price momentum. Top 30 stocks, equal weight, semi-annual rebalancing. Contents
momentum investing
Quality + momentum is one of the most studied factor combinations in academic finance. Screen for financially sound companies, then rank by which ones are already trending upward. In theory, quality reduces your drawdown risk; momentum captures stocks that are already working. In practice on US equities, the combination delivered 8.
momentum investing
Sweden's stock market doesn't get much attention in factor investing research. Most papers use US data; most backtests default to the S&P 500 universe. But the Stockholm Stock Exchange has characteristics that make quality momentum work reasonably well: a cluster of high-quality industrial and
momentum investing
South Africa's stock exchange (JNB) is dominated by mining, energy, and commodity companies. Anglo American, BHP, Glencore, Sasol. These are large, liquid companies that define the JSE. They're also structurally leveraged: mining operations require heavy capex, and debt-to-equity ratios above 1.0 are common. Contents 1.
momentum investing
The same strategy that delivered 8.27% annually on US stocks returned 19.03% on Indian stocks over the same period. That's 11.29% of annual alpha above the S&P 500 benchmark. Of the 17 exchanges we tested quality momentum on, India ranks first by a
value investing
We screened all US stocks (NYSE, NASDAQ, AMEX) for low leverage and high financial quality using D/E < 0.5 and a Piotroski F-Score of 7 or higher, then held the portfolio annually for 25 years. The result: 7.09% CAGR vs 7.83% for SPY. The strategy trailed
quality investing
We ran the low-leverage quality screen on LSE-listed UK stocks across 25 years. D/E < 0.5 and Piotroski F-Score >= 7 as the entry conditions. Annual July rebalance, equal weight, all qualifying stocks held. The result: 6.14% CAGR vs 7.83% for SPY. A deficit of -1.
quality investing
We screened all SET-listed stocks for D/E < 0.5 and Piotroski F-Score of 7 or higher, then held the portfolio annually from 2000 to 2025. The result: 3.30% CAGR vs 7.83% for SPY. The strategy trailed by 4.53% per year. Total return was 125.34%
quality investing
We screened all TAI and TWO-listed stocks for D/E < 0.5 and Piotroski F-Score of 7 or higher, then held the portfolio annually from 2000 to 2025. The result: 3.29% CAGR vs 7.83% for SPY. The strategy trailed by 4.54% per year. Total return was
quality investing
Switzerland produced the best Sharpe ratio of any exchange tested in this series: 0.429. The CAGR excess over SPY is a modest +0.30%, but on a risk-adjusted basis, Switzerland is the standout. 8.14% CAGR, 17.79% annualized volatility, 69.27% down capture. Never in cash across 25