piotroski
The Piotroski F-Score works in Hong Kong. Score 8-9 returned 7.6% CAGR with Sharpe 0.207 over 27 years, beating Hang Seng (2.7%) by +4.87%. Score 0-2 returned 2.1% with -76.5% max drawdown. The +5.5% spread is one of the strongest in our study.
piotroski
Japan's Piotroski F-Score spread is +1.1% over 27 years. Score 8-9 beats the Nikkei 225 by +1.31%. The alpha comes from avoidance (+6.7%), not selection (-5.5%). Score 8-9 underperformed All Value (9.9%). The F-Score on JPX is a filter, not a stock picker.
piotroski
UK Score 8-9 returned 4.8% CAGR over 27 years, beating the FTSE 100 (1.3%) by +3.48%. But the unfiltered value universe returned 6.9% and Score 0-2 returned 8.3%. Spread: -3.5%. Selection alpha -2.1%, avoidance alpha -1.3%.
piotroski
We ran the Piotroski F-Score on 15 exchanges with MOC execution and data quality guards. Spread is positive on 9, negative on 6. Score 8-9 beats the local benchmark on 10 of 15. Range: +12.0% (Thailand) to -7.2% (India). Avoidance works on 12 of 15.
piotroski
Preliminary analysis under revision due to FMP adjClose data issues on ASX. Score 0-2 returned -0.7% annually over 32 years. Avoidance alpha: +13.7%. Score 8-9 returned just 1.5%, trailing ASX 200 by 3.5% and All Value by 11.5%. Numbers may be inflated by data artifacts.
piotroski
We ran the Piotroski F-Score on US value stocks from 1997 to 2024. Score 8-9 returned 6.1% vs 9.4% for SPY. Selection alpha is -1.6% per year. Avoidance alpha is +2.8%. The F-Score works as a floor (skip Score 0-2) but not as a ceiling in large-cap US.
quality investing
We ran our FCF Conversion screen on JPX-listed stocks from 2000-2025. 4.89% CAGR in JPY, beating the Nikkei 225 (3.31%) by 1.58% annually. 52% win rate, 51% down capture. $10K grew to ~$33K vs ~$23K for the Nikkei.
quality investing
We ran our FCF Conversion screen on TWSE stocks from 2000-2025. 3.69% CAGR in TWD, trailing the TAIEX (4.09%) by just 0.39%. Max drawdown of -22.6% is the shallowest of any exchange. Similar returns to the index with significantly lower risk, but 7 cash periods drag performance.
quality investing
We ran our FCF Conversion screen on SET stocks from 2000-2025. 3.30% CAGR in THB, trailing the SET Index (5.13%) by 1.83%. 40% win rate, 80.54% down capture. $10K grew to ~$23K vs ~$35K for the index. The signal doesn't work well here.
quality investing
We ran the same FCF Conversion screen on 15 exchanges from 2000-2025 with MOC execution and local benchmarks. 11 of 15 beat their local index. Top alpha in UK (+7.42% vs FTSE), Switzerland (+6.35% vs SMI), India (+6.13% vs Sensex).
value investing
Same earnings yield screen, 13 exchanges. Among foreign markets only India (+6.40% vs SPY) and South Africa (+1.06%) beat the S&P 500 CAGR. vs local benchmarks, all 13 show positive excess. Context matters: the strategy beats local markets but the US market itself was exceptional.
india stocks
D/E reduction + ROE > 8% screen delivers +3.85% annually vs the Sensex in India. CAGR 14.97%, down capture 77%, total return 3,534%. The signal works here because balance sheet discipline is genuinely scarce in India's growth economy.