Micron Technology: Lone Tech Stock To Top The Piotroski F-Score With Graham Enhancement For January

Includes: CVRR, HCR, MU, PAR, RE, TYL
by: JD Henning

Micron Technology was the only technology stock to make the January 2019 selection portfolio for top value characteristics.

Micron Technology has been a favorite stock over the years for the tremendous value it offers, now it has one of the highest Piotroski F-Scores with the Benjamin Graham enhancement.

This Stanford value algorithm has been tested to outperform all other value challengers in the financial literature now for more than 16 years.

3 other top stock selections are provided from the full monthly tracking portfolio.

Every two months, I generate a new Piotroski-Graham enhanced portfolio as an ongoing test and active monitoring process for members to evaluate changing conditions of value stocks using one of the best fundamental value models in the financial literature. I like to bring the academic studies to the trading floor for real results.

Piotroski Value Portfolio YTD Returns

These January 2019 selections are the 11th portfolio since 2017 formed to test the one-year buy/hold portfolios as intended by the scholar who designed the model. Each portfolio was formed using the original criteria to evaluate the annual results of the Joseph Piotroski Value algorithm that remains one of the best performing value-based selection models in financial research.

Retests of the Piotroski model continue to outperform all other top value algorithm models as most recently shown in the financial literature according to Amor-Tapia, B. & Tascón, M.T. (2016). The January 2018 Piotroski portfolio ended the one-year tracking period this month with a return of -14% as shown on the chart below on the blue bar for January 2018.

Dashboard Returns

(Value & Momentum Dashboard)

The drawdown of this portfolio through some of the worst months on record in the past year remains relatively low and safe compared to many other portfolios and hedge funds returns in 2018. I am continuing to watch to see if the top value stock selections come back into favor as market conditions change for 2019.

The January 2017 portfolio ended today with only 2 of the 13 stocks originally selected remaining positive for the full year. They included PAR Technology Corporation (PAR) +129.43% and Tyler Technologies, Inc. (TYL) +4.92%.

On a comparable basis of this model, my V&M Piotroski - Graham enhanced portfolio for 2018 has again outperformed the American Association of Individual Investors version of the Piotroski high F-score portfolio for the second year in a row. Details are linked below.

January Enhanced Piotroski - Graham Value Selections

It is very unusual to have a technology stock among the top value selections in this model based on the research I have conducted so far. My theory is that something quite positive may be in store for Micron in the coming year.

Each formation period 8 new selections are found that have the highest Piotroski F-Scores of all the stocks screened across the US markets with a share price above $2 and average daily volume over 100k shares.

In addition, the Benjamin Graham enhancements have been applied on the basis that these characteristics are well documented to deliver excess annual market returns. More information on the Graham Number formula and selection criteria can be found at the end of the article.

The four of eight stocks released here for consideration from this quantitative value model of high value/oversold stocks are listed as follows:

1. Hi-Crush Partners (HCLP) - Basic Materials/Industrial Metals & Minerals

For HCLP, the Graham % value difference places an estimated price target of $6.15/share on the stock. This is not far removed from the technical resistance target in the chart of $10/share. Multiple quantitative models show strong value potential for this stock.

2. Micron Technology (MU) - Technology/Semiconductor - Memory Chips

For MU, the Graham % value difference places an estimated price target of $40.29/share on the stock. This is not far removed from the technical resistance target in the chart of $47/share. Multiple quantitative models show strong value potential for this stock.

3. CVR Refining (CVRR) - Basic Materials/Oil & Gas Refining & Marketing

For CVRR, the Graham % value difference places an estimated price target of $15.20/share on the stock. This is not far removed from the technical resistance target in the chart of $17/share. Multiple quantitative models show strong value potential for this stock.

4. Everest Re Group (RE) - Financial/Property & Casualty Insurance

For RE, the Graham % value difference places an estimated price target of $276.55/share on the stock. This would bring the stock price to multi-year highs based on current value.

Introduction to Piotroski F-Score Methodology

This article continues my series of testing the best value investment models over a one-year time horizon for well documented and substantial value investing returns. This study is testing the Piotroski F-score model to see how many of the different value portfolios formed each month can outperform the market over a year-long period. So far, it appears that my momentum model stocks are outperforming the value category of stocks that are currently performing well below their 22.4% annualized return over 16 years.

These Piotroski value selections are designed as a more stable, long-term investment approach to identify highly oversold stocks, in contrast to the Weekly Breakout Forecast based on highly volatile, short-term momentum stocks. The value selection formulas have been well documented in the financial literature over the past 17 years to consistently outperform benchmark indexes.

  • The Piotroski stock selections above build on the findings from the Amor-Tapia & Tascon (2016) research that evaluates top selection models in more detail in the initial August report that found the Piotroski model to be one of the best models tested for value investment selections.
  • The American Association of Individual Investors also documents their own multi-year test results of the Piotroski F-score as one of the best performing models with 16-year annualized total returns of 22.4% from among dozens of selection models that they monitor.
  • The Enhanced Piotroski portfolios selected here are outperforming the AAII Piotroski portfolio for all monthly test portfolios and also outperformed the AAII Piotroski 2018 returns of -17.10%

Background on Value Scoring Systems

Calculating scores and assigning values to stocks based on fundamental data remain one of the most popular methods for value stock investing. Most of us are familiar with such scoring systems as the Value Line Rank (started in 1965), the CANSLIM composite ranking system (started in 1988), the Zacks Rank (started in 1982, first made public in 1992), and many other popular systems that have given us good results over the years. To this day, it is not uncommon to find substantial overlap among the best stocks identified by different value ranking methodologies. Most medium- to long-term investors are well served by taking these models into consideration.

Less well-known are the academic composite value models based on fundamentals that continue to be rigorously tested in peer-reviewed financial literature. Some of these published models have their measurement scoring integrated into publicly available stock screens from various stock analysis websites. One of the best academic models retested recently by Amor-Tapia and Tascon (2016) is the Piotroski score model created by Joseph Piotroski in 2000:

The Piotroski (2000) F-Score: The Score consists of aggregating nine individual binary signals derived from accounting variables related to profitability. The most favorable value score is 9 and the least favorable is zero.

(Amor-Tapia & Tascon, 2016)

The Graham Number: The Graham Number value score results from a formula developed by Benjamin Graham that is based on his assessment that good value stocks should have a P/E ratio below 15 and a P/B ratio below 1.5:

This Graham Number value equals the square root of 22.5 x EPS x P/B. Because it leaves out many other important characteristics, it is better applied as an enhancement to the highly successful Piotroski F-Score value selection model.


The Piotroski F-Score model has been well documented in the financial literature and by practitioners to generate significant abnormal returns on an annual basis. This value model remains one of the top selection models among dozens also tracked by the American Association of Individual Investors. For the second year in a row, this enhanced Piotroski model has outperformed the AAII Piotroski selection model. The enhanced model selections also eliminate financial outliers and low-priced stocks that may jeopardize the best performance results possible. This is the monthly selection report for subscribers.

As always, I trust this will be a profitable contribution to your investment objectives!

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All the very best and have a great week of trading!

JD Henning, PhD, MBA, CFE, CAMS


Amor-Tapia, B. & Tascon, M.T. (2016). Separating winners from losers: Composite indicators based on fundamentals in the European context *. Finance a Uver, 66(1), 70-94.

Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 38, 1-41.

Graham, B. (1949). The Intelligent Investor: The Definitive Book on Value Investing

Disclosure: I/we have no positions in any stocks mentioned, but may initiate a long position in HCLP, MU, CVRR, RE over the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article.