Altman Z-Score Backtest | Value Investing News

Altman Z-Score Backtest

The lowest 20 percent of stocks ranked by Altman Z-score are placed in the first quintile and the next 20 percent in the second quintile and so forth until we have five portfolios of stocks.
The first quintile seems to match the performance of S&P 500 equal weight benchmark for most years, but started underperforming in the second half of 2015 until then the end of 2017.
The top 20% of stocks as ranked by Altman Z-score surprisingly underperformed the benchmark in the 2000 to 2017 time period.

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