Hi Jurgis,
Although I always value your input, I have seen this run as a screen since around 2003 (I first saw it in Smart Money magazine a long time back ), and it appears from below that it originated as a stock screen.
Here is the write-up from Wikipedia on the Piotroski screen/research:
The (Piotroski) paper examined whether a simple accounting-based fundamental analysis stock selection strategy, when applied to a broad portfolio of high book-to-market firms, could impact returns for investors. He began by limiting his search to firms whose book/market ratios (the inverse of the price/book ratio) were in the top 20% of the market. He then ran those firms through an array of tests involving their balance sheets and income statements, using such metrics as the return on assets rate, current ratio, change in gross margin, and change in asset turnover.Through back-testing, Piotroski found that buying the top stocks in the market according to his methodology and shorting those that got the worst scores would have resulted in 23% annualized gains from 1976 through 1996, more than double the S&P 500 broad market index return. His findings were made available to a wider audience via SmartMoney magazine and Bloomberg BusinessWeek.
So net-net, it was developed as a screen, and I am going to use it as a screen. You can use it however you want.
MC |
