Trading-Strategy-II-Fscore

F score trading strategy is based on the premise of taking into account of the several accounting parameters like ROA, accruals, CFO etc. In total there are points to score

The 9 metrics are as follows

Profitability

1-ROA(Return on Asset)

2-CFO(Cash Flow from Operations)

3-Delta ROA

4-Accruals

Capital Structure

1-Delta Leverage

2-Delta Current Ratio

3-EQ Offer(any split or public offering)

Operational Efficiency

1-Delta Margin

2-Delta Turnover

Strategy

Total Fscore is the sum of scores obtained in each of these metrics out of 9 So, I went long on stocks with F-score > 7 and shorted those firms with F-score < 3

Result

If we invested ₹100/- in the Fscore hedge during 2013-14, we would get a cummulative return of 92.3% in year 2019 with ₹192.3/-. The annual return would be 18.46%