TNET
TRINET GROUP, INC.
stock NYSE

Vanilla Magic Formula alone underperformed the index in my runs: lower CAGR, lower Sharpe, \~30% win rate.
I added a Sortino ratio filter with a cutoff of >= 0.2 (not a high bar) over a trailing 252-day window. Sortino measures annual return per unit of downside volatility. Stocks below 0.2 tend to have persistent price deterioration despite good fundamentals, the classic value trap signature.
Concrete example: in 2023 the formula picked MED (Sortino: -1.48) and IRWD (Sortino: -0.16). Filtering them out promoted TNET and VGR, which returned 19% and 8% that year. These happens consistently: When a stock fails the Sortino cutoff, I replace it with the next highest-ranked Magic Formula name that passes. Same position count, better average quality.
Similar thinking applies to the Piotroski F-score. I require at least 3 out of 5 criteria to pass (I used a subset of 5 from the original 9, chosen based on data I already had available): EBIT > 0, EBIT higher than prior year, total debt lower than prior year, current ratio improved vs prior year, shares outstanding did not increase vs prior year.

Vanilla Magic Formula alone underperformed the index in my runs: lower CAGR, lower Sharpe, \~30% win rate.
I added a Sortino ratio filter with a cutoff of >= 0.2 (not a high bar) over a trailing 252-day window. Sortino measures annual return per unit of downside volatility. Stocks below 0.2 tend to have persistent price deterioration despite good fundamentals, the classic value trap signature.
Concrete example: in 2023 the formula picked MED (Sortino: -1.48) and IRWD (Sortino: -0.16). Filtering them out promoted TNET and VGR, which returned 19% and 8% that year. These happens consistently: When a stock fails the Sortino cutoff, I replace it with the next highest-ranked Magic Formula name that passes. Same position count, better average quality.
Similar thinking applies to the Piotroski F-score. I require at least 3 out of 5 criteria to pass (I used a subset of 5 from the original 9, chosen based on data I already had available): EBIT > 0, EBIT higher than prior year, total debt lower than prior year, current ratio improved vs prior year, shares outstanding did not increase vs prior year.