We have been running a live Piotroski "Active" Strategy since 20 Nov 2008. Basically, once a month we run a scan on the JSE. Those shares that have a Piotroski score of 8 or 9, and a Price/Book less than 1, are added to the portfolio. Shares already in the portfolio that no longer meet the strict financial health and value criteria are sold out the portfolio.

Since inception the strategy has bought 25 shares and sold 14 shares, to yield a total of 39 transactions in the last 274 days (roughly one trade per week). The ability of the strategy to pick winners is shown in the below table which shows each share sold from the portfolio, the profit made and the number of days held in the portfolio.

We note that the winning pick success rate is 64.3%. But more importantly, the winners grew on average 67.9% versus the losers average 10.7% loss. As a whole, with winners and losers, the strategy delivered an average 39.9 profit per trade, inclusive of all transaction fees. The Total Return Index of the model portfolio appears below: