Fundamental Inflection Fscore Delta
In plain terms
A rising Piotroski F-Score from a weak starting level signals fundamental recovery before the sell-side catches on.
How it works
A positive quarter-over-quarter change in Piotroski F-Score (improving from a low base) is a forward-looking inflection signal that precedes earnings revisions and analyst upgrades. The delta of the F-Score is more predictive than the level.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Fundamentals
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.
Expected edge
- Reported return
- ~23% ann. long-short (QMJ Asness-Frazzini-Pedersen)
- Tested over
- 1976-1996 (Piotroski); 1956-2012 (QMJ)
F-score delta positive inflection from low base: ~3-5% 6-month return in cross-section.
Related families
Companies where gross profit is rising while accruals are falling signal improving earnings quality that the market is slow to price.
Financially stressed firms with rising leverage and shrinking cash flow systematically underperform -- the short leg of the Piotroski F-Score screen.
Explore Fundamental Inflection Fscore Delta on alphactor.ai
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