Quality#104tier 2live in productionNew

`ohlson o score`

cadence: Quarterlydata: lowlong onlyshort onlylong short

JAR

1980

J. of Accounting Research

#103 ohlson_o_score — Ohlson 1980 JAR 9-variable logit bankruptcy index.

Citation only — paper link pending.

What it checks

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

Mechanism

Ohlson 1980 JAR built a 9-variable logit-style index orthogonal to Altman Z. Out-of-sample beats Z for 1-2 year bankruptcy prediction. Hilscher-Wilson 2017 confirm Z and O are both alive in 2000s data and diversify each other. Variables: size, leverage, working capital, current ratio, ROA, CFO/total-liab, two-year-negative-NI flag, technical-insolvency flag, Δ NI scaled.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.

Signal rule

9-variable O-score on TTM fundamentals; own-history 252d z; short high-O + 60d downtrend, long low-O + 60d uptrend.

Data dependencies

fundamentals_quarterly
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.

Expected edge

Paper alpha: Orthogonal to Z; combined yield 5-8% ann.
Paper window: 1970-1976 (in-sample)

Hilscher-Wilson 2017: orthogonal to Z; combined Z+O delivers 5-8% ann. spread.

Related families

altman z scoreQuality

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.

beneish m score shortQuality

Beneish (1999, FAJ) built an 8-variable logistic-style index that flags firms likely to be manipulating earnings (DSRI, GMI, AQI, SGI, DEPI, SGAI, LVGI, TATA). M > -1.78 → manipulator suspect. Beneish-Lee-Nichols 2013 FAJ confirm OOS the score predicts both SEC enforcement actions and forward underperformance. Used inside AQR's quality-minus-junk composite. Short-bias only — long-side from very-negative M is historically noisy.

piotroski f scoreQuality

Piotroski (2000, JAR) showed that a 9-signal accounting score distinguishes winners from losers within the high-B/M (value) universe. Long F>=7 / avoid F<=2 added ~7.5% annualized over 1976-1996 inside the value tertile, and ~23% in the highest B/M decile. Modern replications through 2021 confirm the score still differentiates forward returns even without the value gate; works especially well in uncertainty regimes when low-quality distressed names are marked down faster.

Explore `ohlson o score` on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 125 families

ohlson o score