피오트로스키의 F-score를 이용하여 미국 시장에 백테스팅 해 볼 예정입니다.
피오트로스키는 재무제표에 대한 점수를 아래와 같이 나눕니다.
1. 수익성2. 재무건전성3. 효율성
How the Piotroski F-Score Stock Screen Works
The F-Score Test examines 9 tests in three areas: profitability, capital structure, and operating efficiency. Each test is given either 0 points for a fail or 1 point for a pass. All 9 tests can be derived from company financial statements.
Piotroski found that companies with 8 or 9 total points greatly improved the probability that the company had the ability to overcome challenges and eventually grow its stock price. Here are the 9 tests in the 3 areas:
Profitability (4 points)
Return on Assets
Return on assets (ROA) is net income before extraordinary items divided by total assets. If ROA is positive award 1 point; if negative, no points.
Cash Flow from Operations
Cash Flow From Operations is the cash inflows and outflows of a company’s core business operations. One point is awarded for positive cash flow from operations and none if it is negative.
Direction of Return on Assets
Did the return on assets increase this year over last year? Is so, award 1 point; if not, no points.
Accrual Accounting Check
Does the cash from operations exceed net income before extraordinary items? If yes, award 1 point, if not, no points.
Capital Structure (3 points)
Direction of Leverage
Did the long term debt to total assets ratio increase or decrease from the year before? If leverage decreased award 1 point; if it increased, no points.
Direction of Liquidity
Did the current ratio (current assets divided by current liabilities) increase or decrease from the prior year? If it increased, award 1 point; if it decreased, no points.
Issue Stock
When a company issues stock it dilutes the present shareholders stake and may indicate the company is unable to raise sufficient capital from operations. If the company has not issued stock in the past year award 1 point; if it issued stock, 0 points.
Operating Efficiency (2 points)
Direction of Margin
If the gross margin ratio has increased (year over year) that is a positive sign, award 1 point. Falling margins would be a warning sign, no points awarded.
Direction of Asset Turnover
An increase in asset turnover (sales divided by assets at the beginning of the year) from one year to another would indicate greater efficiency. Award 1 point for a higher asset turnover ratio than the previous year; 0 points if it has decreased.
