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Altman Z Score

Updated quarterlyData needs: lowlong onlyshort onlylong short

1968

#102 altman_z_score — Altman 1968 bankruptcy-distress proxy (mkt-cap X4 variant).

In plain terms

A 5-ratio score that flags bankruptcy risk. High score = safe (long); low score = distressed (short). The market-cap version of the original 1968 formula.

How it works

Altman's Z-score combines five accounting ratios (working-capital/TA, retained-earnings/TA, EBIT/TA, market-cap-equity/total-liab, sales/TA) into a discriminant score that separates safe (Z>2.99) from distressed (Z<1.81) firms. The market-cap-equity X4 variant (vs Altman's original book-equity) is a stronger forward predictor and is the modern usage. Hilscher-Wilson 2017 J. Banking confirm the score still discriminates default risk in 2000s data.

Live results

2 times picked on its own · 20 times inside a blend (11 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 20 such blended picks (11 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Fundamentals quarterly
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: 3-5% ann. long-safe / short-distress
Tested over: 1968-present (Hilscher-Wilson 2017 OOS)

Hilscher-Wilson 2017: 3-5% ann. long-safe / short-distress spread post-2000.

Example tickers where this is likely to fire

AAPL MSFT T

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Ohlson O ScorePrice & Market Behavior

A bankruptcy logit score that's orthogonal to Altman's Z. We use both — they catch different distress flavors.

Beneish M Score ShortPrice & Market Behavior

Eight accounting red flags (sales receivables stretching faster than sales, margin compression, asset-quality drift, leverage jumps, accruals piling up) are combined into a single score. When the score crosses the manipulator threshold and the price chart already agrees, that's a short setup.

Piotroski F ScorePrice & Market Behavior

Score each company on 9 boring-but-important accounting checks (positive profit, improving margin, no new shares issued, less debt, etc.). Stocks that pass 7-9 of them are quality compounders; stocks that pass 0-2 are distressed. Long the strong, short the weak.

Explore Altman Z Score on alphactor.ai

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