Adjusting for the Real World: Testing Variations of Piotroski's Screen

by Cara Scatizzi

Adjusting For The Real World: Testing Variations Of Piotroski's Screen Splash image

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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Cara Scatizzi is a former associate financial analyst at AAII.


Tom Brackett from North Carolina posted over 3 years ago:

Has anyone edited the Stock Investor Pro Screen to reflect Cara Scatizzi's proposed adjustments (score of 8, using TTM) ?


Hovhannes from California posted over 3 years ago:

Why are these screens not reflected in SIPRO?
One would think that all the stocks should be rated with their respective Piotroski scores. Or, at least include the score of 8 screen as is presented on the website.

Jeff from Colorado posted over 3 years ago:

I understand that it is normally important to do due dilligence, but do you really think that it is important to do your homework when following a stock screening strategy such as Piotroski high F-score? I am using this method right now and am not willing to investigate 8 or 10 stocks every month (I understand that many of them stay the same month after month), but rather I am relying on the performance of the screen. The screen's results have been obtained without any extra investigation into the stocks, and I think the strategy is sound enough and I understand that there will be some horrible losers in the bunch, but they will be in the minority.

The fact is, if a person had invested in every single stock that passes the screen each month from the beginning, that person would be very rich right now. What does anyone else think?

Anthony from New York posted over 3 years ago:

I envy Jeff for having the time to do the work and trade his stocks along the Piotroski model. I, however, would like to find a mutual fund, ETF, whatevr, that purports to use the screen blindly, and invest with that fund. Although the author's comment that Piotroski is not an efficient investment strategy because of its high risk, I think a fund/ETF that uses it with just 7 of the 9 factors would make a good investment for a small portion of one's portfolio. Anyone out there listening? Fidelity? Vanguard? Goldman Sachs? Anyone?

Mark from California posted over 3 years ago:

Anthony, the reason mutual fund companies won't do a Piotroski fund is probably because the float on many of the stocks chosen is too small for them to buy a significant number of shares. A multi-million dollar fund would have to buy up all of some companies' shares to really do a Piotroski.

Jean from Illinois posted over 3 years ago:

Thomas & Hovhannes: There is a Piotroski High F Score screen programmed into SI Pro. It is set up to filter for an F score of 8 or higher, based on fiscal-year data. However, you can edit the screen to use an F score based on trailing 12-month data.

Dean from North Carolina posted over 2 years ago:

I see from the historical chart (at; tab Chart) that P-9 can be a highly cyclical screen. For example, from mid-2007 (when the broad market neared a peak) to early 2009 when the market hit bottom, P-9 went from +1500% of 1998 to +500% of 1998, a decline of more than 60%. Is it the case that the P-9 screen passed relatively few stocks in mid to late 2007 (compared to the 2003 to 2006 period)? And if so, could the screen's volatility be reduced (and average returns improved) by moving from P-9 to cash (say) when very few stocks pass the screen? That is, is the number of stocks that pass the screen itself a market indicator?

SS108 from Illinois posted over 2 years ago:

Hello All,

A quick and very basic question- I take it that we only stay invested in a particular holding as long as it shows up in the screen? So a minimum of at least 1 month as we check the screen once a month at the end of the month? Is that right?

Thank you.

Charles from Illinois posted over 2 years ago:

Shambaag - There are two schools of thought regarding the screens. The first is that you buy whatever passes the screen and hold onto the stock until it no longer passes. The problem with this approach is that screens are simply database filters and do not consider anything outside of the criteria. This is why I belong to the second school of thought, which is that screens are merely starting points and additional research is required. If a good company passes a screen and meets your requirements, buy it and hold onto it until you have a clear reason for selling it (e.g., a negative change in business conditions, excessive valuation, etc.). -Charles Rotblut

Nathan Spear from Oregon posted 10 months ago:

I'm a new subscriber to and find this topic fascinating and hard to follow. Would someone that follows the Piotroski (or simply understands it) care to explain it to me? An aspect that is confusing me is the site shows 4 stocks meeting the criteria currently, however at there is a list of hundreds of stocks. Perhaps one of the screens is broken, perhaps they are different Piotroski screens. That is the first confusion. The second is the strategy rules for investing. Are the stocks invested in the ones appearing on the screen on the first day, or the last day of the month?

I'd be grateful for an explanation of how to invest in the screen. What are the rules of investment.

I'd appreciate the answer sent to my email,, since I don't think I'll be notified of an update to this post.

Thank you for your time and knowledge.

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