Financial Quality Screener

Methodology

The F-Score. It comes from Joseph Piotroski's 2000 paper "Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers". It is nine yes/no tests comparing a company's latest fiscal year (T) with the prior one (T-1), summed into a 0–9 score. Profitability (4): return on assets positive; operating cash flow positive; ROA improved year over year; operating cash flow exceeds net income (an earnings-quality check). Leverage & liquidity (3): long-term debt/total assets decreased; current ratio improved; no new shares issued. Operating efficiency (2): gross margin improved; asset turnover (revenue/total assets) improved. Each test scores 1 or 0.

Data. The universe is the S&P 500. Two years of annual BALANCE_SHEET and INCOME_STATEMENT data supply total assets, current assets and liabilities, long-term debt, shares outstanding, revenue, gross profit and net income. Annual CASH_FLOW supplies operating cash flow. One simplification from Piotroski's original: ROA uses ending total assets for both years, not the average of beginning and ending assets, because averaging for year T-1 would need a third year of balance-sheet data. A company is scored only if all nine inputs are available for both years, since a score out of fewer than 9 wouldn't be comparable. That excludes most banks and insurers, whose balance sheets don't have a conventional current-assets/current-liabilities split. It comes from applying a screen built for industrial and operating companies, not a sector exclusion.

Quality vs. momentum. The scatter is a single-snapshot cross-sectional check, not a forward-return test. It asks whether companies that screen as high quality also show stronger trailing 3-month relative price performance right now (using Relative Strength Leaders/Laggards). A positive relationship would fit the market currently rewarding quality. It says nothing about whether this quarter's F-Score predicts next quarter's return, which would need later return data. Pearson and Spearman are both shown, as on Factor Analysis.

This is a snapshot, not a continuously refreshed feed. It reflects the data as of the run that built it, and a fresh run needs the two underlying data jobs (a balance-sheet/income-statement pull, then a cash-flow pull) rerun manually.