PS · Composite accounting · Piotroski (2000)

Piotroski F-score

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q1 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.26%

95% interval −0.36% to 2.85%

Next year

1.31%

95% interval −0.29% to 2.83%

Next five years

1.47%

95% interval −0.10% to 2.89%

Next quarter

1.27%

95% interval −0.36% to 2.82%

Next year

1.32%

95% interval −0.28% to 2.81%

Next five years

1.48%

95% interval −0.10% to 2.87%

Next quarter

2.21%

95% interval 0.65% to 3.85%

Next year

2.21%

95% interval 0.57% to 3.86%

Next five years

2.23%

95% interval 0.27% to 4.00%

Next quarter

2.20%

95% interval 0.63% to 3.84%

Next year

2.21%

95% interval 0.55% to 3.87%

Next five years

2.23%

95% interval 0.27% to 4.01%

Cumulative market-adjusted return

+1,607% since 1972Q1 · log scale

Window	Mean	Vol.	Sharpe	t
1972Q1–2024Q4	7.35%	20.03%	0.37	2.67
2020Q1–2024Q4	−10.79%	19.57%	−0.55	−1.23
2024Q1–2024Q4	−0.93%	18.52%	−0.05	−0.05
1972Q1–2024Q4	7.35%	20.03%	0.37	2.67
2020Q1–2024Q4	−10.79%	19.57%	−0.55	−1.23
2024Q1–2024Q4	−0.93%	18.52%	−0.05	−0.05
1972Q1–2024Q4	10.97%	24.73%	0.44	3.23
2020Q1–2024Q4	−2.50%	27.88%	−0.09	−0.20
2024Q1–2024Q4	32.45%	26.57%	1.22	1.22
1972Q1–2024Q4	10.97%	24.73%	0.44	3.23
2020Q1–2024Q4	−2.50%	27.88%	−0.09	−0.20
2024Q1–2024Q4	32.45%	26.57%	1.22	1.22

Horizon	Mean	95% interval	P(neg)
Next quarter	0.126	−0.036 – 0.284	0.07
Next year	0.131	−0.029 – 0.283	0.05
Next five years	0.147	−0.010 – 0.288	0.03
Next quarter	0.127	−0.035 – 0.282	0.07
Next year	0.132	−0.028 – 0.281	0.05
Next five years	0.147	−0.010 – 0.287	0.03
Next quarter	0.179	0.052 – 0.311	0.00
Next year	0.179	0.046 – 0.313	0.00
Next five years	0.181	0.022 – 0.323	0.01
Next quarter	0.179	0.051 – 0.311	0.00
Next year	0.179	0.045 – 0.313	0.00
Next five years	0.180	0.022 – 0.324	0.01