Creating an Investment Portfolio with F-Score for Investor

Abstract

The objective of this study is to creating an investment portfolio with tools that help choosing stocks. F-Score from the paper of Piotroski (2000) that converted from financial statement, can predict the return of stocks. Then select the stocks from the high F-Score to create an investment portfolio. Method for selecting the stocks are Book-to-market Ratio and Market Capitalization. The result will be measured by the return of portfolio which data are financial statement, stock price and SET TRI index between 2013 and 2018
The result show that high F-Score was mostly high market capitalization and the returns can be increased more than SET TRI but the risk also increased. In addition, 2 methods for selecting the stocks can be increase return more than SET TRI but the risk also increased.