A backtest shows that using a composite Z-score, based on PC ... at backtested quantitative strategies for the S&P 500 based on price-to-book value (PTBV), price-to-earnings (PE) and price ...

Z-score is also known as the standard score. The statistical formula for a value's z-score is calculated using the following formula: Where: Calculating a z-score requires that you first determine ...

To screen out such weak companies, the DIY investors can make use of the Altman Z-score that predicts the ... 0.6 * (book value of equity/book value of total liabilities) + 1.0 * (sales/total ...