Quality and Distress
13 algorithms in Fundamental Analysis and Valuation · 13 with asserted arithmetic.
In this family#
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Altman Z-Score verified
Computes the original 1968 five-factor Altman Z-Score for a public manufacturer, weighting working capital, retained earnings, EBIT and sales against total assets and market equity against total liabilities, and places the result in the distress, grey or safe zone.
altmanZScore(data) -
Piotroski F-Score verified
Scores the nine binary Piotroski signals covering profitability, leverage and liquidity, and operating efficiency across the current and prior year, and sums them into an F-Score from 0 to 9.
piotroskiFScore(data) -
Beneish M-Score verified
Builds the eight Beneish indices from a current and prior-year accounting pair and combines them into the M-Score with the 1999 eight-variable coefficients, reporting whether the score clears the screening cutoff.
beneishMScore(data) -
Sloan Accrual Measure verified
Computes Sloan's balance-sheet accrual measure as the change in non-cash working capital less the change in current debt and taxes payable, less depreciation and amortisation, all scaled by average total assets.
sloanAccrualMeasure(data) -
Ohlson O-Score verified
Computes Ohlson's 1980 Model 1 O-Score from nine accounting variables, including the two indicator terms for negative equity and two consecutive loss years, and maps the linear index through a logistic function to a bankruptcy probability.
ohlsonOScore(data) -
Zmijewski X-Score verified
Computes Zmijewski's 1984 three-variable probit index from return on assets, leverage and the current ratio, and converts it to a distress probability through the standard normal CDF.
zmijewskiXScore(data) -
Springate S-Score verified
Computes Springate's 1978 four-ratio discriminant S-Score from working capital, EBIT, pre-tax profit and sales, and reports which side of the 0.862 cutoff the score falls on.
springateSScore(data) -
Taffler Z-Score verified
Computes the transformed Taffler UK industrial Z-Score from profitability, working-capital adequacy, financial risk and the no-credit interval, and reports which side of the zero cutoff the score falls on.
tafflerZScore(data) -
Fulmer H-Score verified
Computes Fulmer's 1984 nine-factor small-firm H-Score, including the two base-10 logarithm terms on tangible assets and interest coverage, and reports which side of the zero cutoff the score falls on.
fulmerHScore(data) -
Grover G-Score verified
Computes the Grover G-Score, a three-variable re-estimation over working capital to assets, EBIT to assets and return on assets, and bands the result as distress, grey or non-distress.
groverGScore(data) -
Dechow F-Score for Misstatement Risk verified
Computes the Dechow et al. 2011 Model 1 misstatement logit from three consecutive accounting periods and divides the fitted probability by the unconditional misstatement rate to give the F-Score.
dechowFScoreForMisstatementRisk(data) -
Dechow-Dichev Accrual Quality verified
Runs the firm-specific Dechow-Dichev regression of scaled working-capital accruals on lagged, current and leading operating cash flow, and reports the residual standard deviation as the accrual-quality measure.
dechowDichevAccrualQuality(data) -
Modified Jones Discretionary Accrual Model verified
Fits the modified Jones accrual model on an industry-year peer group, excluding the target firm, then applies the fitted coefficients to the target to split its scaled total accruals into non-discretionary and discretionary parts.
modifiedJonesDiscretionaryAccrualModel(data)
What they share#
Every topic here is a record-transform, so once you have
called one the rest follow the same shape. Import paths differ only in the final segment:
import { altmanZScore } from "fintech-algorithms/fundamental-analysis-and-valuation/quality-and-distress/altman-z-score";
import { piotroskiFScore } from "fintech-algorithms/fundamental-analysis-and-valuation/quality-and-distress/piotroski-f-score";Read them in the order above — the sequence is pedagogical, not alphabetical.
Where this sits#
Fundamental Analysis and Valuation collects 52 algorithms across 6 families. For the concept behind this family rather than the call signatures, see the concept guides.