Adjusting for the Real World: Testing Variations of Piotroski's Screen
The Piotroski screen has been one of AAII’s top-performing screens for a number of years. While the S&P 500 was down 1.0% year-to-date as of February 28, 2010, AAII’s Piotroski screen gained an unbelievable 96.4%. The positive gain can be attributed to two companies: January’s single passing company, J. W. Mays Inc. (MAYS); and February’s single passing company, Highway Holdings Limited (HIHO). As of this writing, no stocks meet the Piotroski criteria.
The Piotroski screen was also the only AAII screen to post a positive gain in 2008 (+32.6%). Each of our benchmark indexes posted a loss that year as well. Since inception, the screen has returned 3,995.9%, the largest cumulative gain in the group.
While these returns are impressive, consider these statistics: the average number of monthly holdings is four; and since the beginning of 1998, the screen has had 20 months where no companies met the screen criteria. Taking a closer look at 2008, there were five months when no companies passed (August 31, 2008, through the end of 2008). As the S&P 500 fell close to 30% during those five months, this screen was not invested in the market at all.
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