Strategy #0000000083 · Value and financial-statement quality
Fundamental scorecard: Piotroski F-score
Enter pass counts for profitability, leverage/liquidity and efficiency, plus assumed high/low score returns.
Piotroski’s F-score sums nine binary signals across profitability, leverage/liquidity and operating efficiency into a 0–9 score, often used to distinguish fundamentals among high book-to-market stocks. The G-score applies a related scorecard to growth firms. This simulator takes 0–3 passes in each signal group, then separates out assumed long/short returns.
Avoid look-ahead filings, industry mixing and value-universe selection; the score is not a probability of success.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How does a nine-signal F-score pair with assumed high/low-score portfolio returns?
Piotroski’s F-score sums nine binary signals across profitability, leverage/liquidity and operating efficiency into a 0–9 score, often used to distinguish fundamentals among high book-to-market stocks. The G-score applies a related scorecard to growth firms. This simulator takes 0–3 passes in each signal group, then separates out assumed long/short returns.
Enter pass counts for profitability, leverage/liquidity and efficiency, plus assumed high/low score returns.
Avoid look-ahead filings, industry mixing and value-universe selection; the score is not a probability of success.
- Signal metricEnter pass counts for profitability, leverage/liquidity and efficiency, plus assumed high/low score returns.
- Return scenarioAvoid look-ahead filings, industry mixing and value-universe selection; the score is not a probability of success.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
F=F_{profit}+F_{leverage/liquidity}+F_{efficiency},\quad F\in[0,9]
Each of nine signals is binary; this interface uses grouped pass counts and does not load statement data.
Greeks: the directional intuition
- 資料時點
- Measures sensitivity to implied volatility.
- 模型風險
- Measures sensitivity to implied volatility.
- 執行成本
- Measures sensitivity to implied volatility.
F=F_{profit}+F_{leverage/liquidity}+F_{efficiency},\quad F\in[0,9]
Practical context · published observations
Fundamental scorecard: Piotroski F-score: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
Avoid look-ahead filings, industry mixing and value-universe selection; the score is not a probability of success. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Related approaches use different horizons and data.
Compare ranking rules, holding periods and cost assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Core version | Signal sort | Piotroski’s F-score sums nine binary signals across profitability, leverage/liquidity and operating efficiency into a 0–9 score, often used to distinguish fundamentals among high book-to-market stocks. The G-score applies a related scorecard to growth firms. This simulator takes 0–3 passes in each signal group, then separates out assumed long/short returns. | Avoid look-ahead filings, industry mixing and value-universe selection; the score is not a probability of success. |
| Industry-neutral version | Relative ranking | Compare firms within similar industries. | Classification and small samples affect signals. |
| Multi-signal version | Factor combination | Combine with quality or liquidity signals. | Adds weight, collinearity and data-mining risk. |
Avoid look-ahead filings, industry mixing and value-universe selection; the score is not a probability of success.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.