PS · Composite accounting · Piotroski (2000)
Piotroski F-score
Long minus short decile portfolio, value-weighted, market-adjusted. Quarterly, 1972Q1 to 2024Q4.
Expected return · posterior mean, % per year, averaged over the window
Next quarter
2026Q4
8.22%
95% interval 0.84% to 15.41%
Next year
2026Q4–2027Q3
8.23%
95% interval 0.72% to 15.41%
Next five years
2026Q4–2031Q3
8.28%
95% interval 0.24% to 15.50%
Forecast made 16 Sep 2026, conditioning on this portfolio's OAP returns, which end 2024Q4. The 7 quarters between then and 2026Q4 are unobserved and are integrated out under the model.
Cumulative market-adjusted return
+6,935% since 1972Q1 · log scale
Past performance, annualized
| 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 |
Forecast Sharpe ratio, annualized
| Window | Mean | 95% interval | P(neg) |
|---|---|---|---|
| 2026Q4 | 0.25 | −0.12 – 0.56 | 0.09 |
| 2026Q4–2027Q3 | 0.25 | −0.11 – 0.56 | 0.09 |
| 2026Q4–2031Q3 | 0.25 | −0.08 – 0.56 | 0.08 |
| 2026Q4 | 0.25 | −0.12 – 0.55 | 0.09 |
| 2026Q4–2027Q3 | 0.25 | −0.11 – 0.56 | 0.09 |
| 2026Q4–2031Q3 | 0.25 | −0.08 – 0.56 | 0.07 |
| 2026Q4 | 0.33 | 0.03 – 0.62 | 0.01 |
| 2026Q4–2027Q3 | 0.33 | 0.03 – 0.62 | 0.02 |
| 2026Q4–2031Q3 | 0.31 | 0.01 – 0.61 | 0.02 |
| 2026Q4 | 0.33 | 0.04 – 0.62 | 0.01 |
| 2026Q4–2027Q3 | 0.33 | 0.03 – 0.62 | 0.02 |
| 2026Q4–2031Q3 | 0.31 | 0.01 – 0.62 | 0.02 |