Testing the Piotroski, Beneish, Altman, and O-Metric Scores - Aussie Stock Forums

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  1. #1

    Default Testing the Piotroski, Beneish, Altman, and O-Metric Scores

    So basically this is a log of how the Piotroski, Beneish, Altman and O-Metric Scores has faired up since the 22nd of November 2013 on the ASX.

    For those who dont know what these are:

    Piotroski F-Score: http://www.investopedia.com/terms/p/piotroski-score.asp
    Beneish M-Score: http://www.investopedia.com/terms/b/beneishmodel.asp
    Altman Z-Score: http://www.investopedia.com/terms/a/altman.asp
    O-Metric Score: http://seekingalpha.com/article/9103...high-potential

    The screen was performed on the asxiq website. The selection criteria were that the stocks satisfy the following:

    Piotroski F-Score: 8 or above
    Beneish M-Score: -2.22 or less
    Altman Z-Score: 2.9 or above

    This resulted in 25 stocks on the ASX. Also calculated was the O-Metric for these stocks. Attached below is the results.

    ASF stocks.xlsx

    The aim was to place as close to $10,000 in each stock and leave it be. No stop loss was implemented due to the limited features of a simulated portfolio with CMC Markets. If a stop-loss had been implemented a lot of the stocks would not be still in play. Although I am concerned that there want much thought to risk management I was limited with a simulator, so I had no option.

    At the close of the 22nd Nov 2013 the:

    ASX200 was @ 5335.9
    All Ords was @ 5330.3

    Currently at the close of the 28th Feb:

    ASX200 is @ 5404.80
    All Ords is @ 5415.40

    Currently the portfolio has made $10,301 profit from $249,808.59. Thats a profit of 4.12%

    stock test 28th feb.xls

    ASX200 gain to date: 1.29%
    All Ords gain to date: 1.60%

    So far the portfolio has outperformed the Australian Market.

    I'll continue to update this through time to time. Its more of a project for me looking into medium-long term investing and thought I'd share for those who wanted to know. I found these scores interesting as I stumbled upon them learning how to invest etc and thought I'd give it a crack. Please excuse my mistakes or short falls in the trading system I am beginner and still learning. Any questions, queries and concerns just post away

    EDIT; I will have to chase up on CLO as I have just noticed there isnt a quote for it.

  2. #2

    Default Re: Testing the Piotroski, Beneish, Altman, and O-Metric Scores


    The portfolio is now 8.43% in the green

    At the close of the 22nd Nov 2013 the:

    ASX200 was @ 5335.9
    All Ords was @ 5330.3

    At the close of 25th March 2014:

    ASX200: 5346.90 (0.206%)
    All Ords: 5362.10 (0.597%)

    That means it has outperformed the ASX200 by just over 14 times and All Ords by over 40 times

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