G-Score ranks highly valued stocks according to three sub-factor groups, with an aim to separate out the winning growth/glamour stocks from the rest of the herd.
G-Score helps investors screen for equities that are anticipated to grow at a rate above the average for the market. Investors seeking growth at a reasonable price look for stocks that they believe will deliver above-average growth, but are not expensive.
It is often more fashionable to seek out stocks with high growth rates that are trading at reasonable valuations. Like Warren Buffet famously said:" It's far better to buy a wonderful company at a fair price than a fair company at a wonderful price."
G-Score performance is demonstrated by comparing portfolios that are comprised of equities with a specific G-Score. For example, portfolio G0 contains equities that have a G Score of zero (0), portfolio G1 contains equities that have a G-Score of one (1), and so on. Portfolios were rebalanced monthly using a market-cap weighted method, with 20 basis points deducted as costs per transaction.
Annual Return |
Cumulative Return |
Volatility |
Sharpe ratio |
Calmar ratio |
Max Drawdown |
Omega ratio |
Sortino ratio |
Skew |
Kurtosis |
Tail ratio |
Monthly value at risk |
Alpha |
Beta |
SPY |
8.87% |
571.92 |
14.58% |
0.66 |
0.17 |
-52.56% |
1.64 |
0.98 |
-0.59 |
1.33 |
0.98 |
-0.06 |
0.00% |
1.00 |
G0 | G1 | G2 | G3 | G4 | G5 | G6 |
8.50% | 8.56% | 9.16% | 9.70% | 10.48% | 8.83% | 9.85% |
522.23 | 530.81 | 613.79 | 697.01 | 833.36 | 567.00 | 722.05 |
26.82% | 21.25% | 19.67% | 17.39% | 16.24% | 18.02% | 23.82% |
0.45 | 0.50 | 0.55 | 0.62 | 0.70 | 0.56 | 0.51 |
0.11 | 0.13 | 0.15 | 0.18 | 0.22 | 0.17 | 0.15 |
-75.31% | -66.39% | -61.02% | -55.12% | -47.03% | -50.80% | -63.61% |
1.50 | 1.50 | 1.56 | 1.67 | 1.73 | 1.58 | 1.52 |
0.66 | 0.74 | 0.84 | 0.96 | 1.11 | 0.87 | 0.84 |
-0.86 | -0.36 | -0.18 | -0.25 | -0.06 | -0.09 | 0.41 |
8.53 | 5.27 | 3.54 | 4.01 | 3.60 | 3.79 | 3.65 |
1.20 | 0.97 | 1.11 | 1.08 | 1.17 | 0.96 | 1.06 |
-0.12 | -0.09 | -0.08 | -0.07 | -0.07 | -0.08 | -0.10 |
3.62% | 1.16% | 1.57% | 2.34% | 3.33% | 1.41% | 1.46% |
1.09 | 1.22 | 1.19 | 1.10 | 1.04 | 1.13 | 1.40 |