These selections continue as an ongoing test and active portfolios for members looking for value stocks using one of the best fundamental value models in the financial literature.
Piotroski Value Portfolio YTD Returns
The November 2019 selections comprise the 16th portfolio since 2017 formed to test the one-year buy/hold portfolios of the Joseph Piotroski Value algorithm that remains one of the best-performing value-based selection models in financial research.
The benefits to financial statement analysis are concentrated in small and medium-sized firms, companies with low share turnover, and firms with no analyst following, yet this superior performance is not dependent on purchasing firms with low share prices. A positive relationship between the sign of the initial historical information and both future firm performance and subsequent quarterly earnings announcement reactions suggests that the market initially underreacts to the historical information. ~ Joseph Piotroski
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. and Tascón M.T. (2016). The selections offered here also have been enhanced to include the Benjamin Graham enhancements described in the methods section below.
The one-year buy/hold from last year's November 2018 Piotroski-Graham portfolio was formed during the major market declines from October to December and returned -14.40% compared to the S&P 500 +12.02% over the same period.
Piotroski-Graham Portfolio Returns Over Three Years
This chart depicts the returns of each of the 15 tested Piotroski portfolios. Columns in blue represent the eight completed portfolios' annual returns. The black line represents returns since the formation of each portfolio. Average annual returns of all the completed one-year portfolios are -0.21% with 4 of 10 portfolios beating the S&P 500 in their respective one-year time periods.
Of the active portfolios that have not completed a
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