Revise the value investing strategy of F-score

Piotroski (2000) selects samples that with lower book-to-market ratio and higher F-score to form value investing portfolio. This study modifies his procedure by two ways and use Taiwan data from 2001 to 2020 to test the performance. First, we select samples with high and increasing F-score. The annualized return is found to be 26.78% that is about 4.6% higher than the performance of Piotroski (2000). Second, we add addition indicators (P/E, momentum, and firm size) as third indicator, we show an annualized return of 29.16%. Such modification improves the efficiency of value investing. In addition, we suggest one-year evaluation period for samples and one-year holding for value investing. Our selection procedure generates limited candidates based on one-year cycle, benefiting retail investors who have no sufficient capital and suffer from frequent trading.