G-Score - US

Overview

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."

Data Highlights

  1. Help investors screen for young or small companies that have above the average growth rate at a lower price.
  2. For investors interested in across market caps investment, as G-Score increases in the mid to top quantile, annual returns and cumulative return also increase.
  3. As G-Score increases, Sharpe ratio and Alpha also increase in the mid to top quantile.

Performance Showcase

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
5.29%
135.02
13.87%
0.44
0.10
-50.83%
1.42
0.64
-0.46
2.62
0.99
-0.06
0.00%
1.00
G0 G1 G2 G3 G4 G5 G6
8.70% 8.52% 9.12% 9.58% 10.39% 8.08% 9.34%
298.71 288.01 325.20 355.99 415.26 262.91 339.42
26.89% 20.75% 18.60% 16.33% 14.94% 16.82% 23.28%
0.46 0.50 0.56 0.64 0.74 0.55 0.50
0.12 0.13 0.15 0.17 0.22 0.16 0.15
-75.31% -66.40% -61.02% -55.12% -46.97% -50.73% -63.62%
1.52 1.52 1.60 1.71 1.80 1.58 1.54
0.66 0.78 0.87 1.00 1.19 0.85 0.81
-1.25 0.06 -0.15 -0.19 -0.07 0.01 0.44
10.24 5.24 3.51 3.99 3.19 4.03 5.50
1.26 0.97 1.09 1.04 1.13 0.93 1.08
-0.12 -0.09 -0.08 -0.07 -0.06 -0.07 -0.10
5.53% 2.21% 2.73% 3.53% 4.62% 2.14% 2.44%
1.11 1.33 1.26 1.14 1.05 1.15 1.50