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 |
7.76% |
351.25 |
14.77% |
0.58 |
0.15 |
-52.56% |
1.55 |
0.85 |
-0.60 |
1.39 |
0.94 |
-0.06 |
0.00% |
1.00 |
G0 | G1 | G2 | G3 | G4 | G5 | G6 |
8.58% | 8.15% | 9.20% | 9.14% | 10.08% | 8.85% | 10.06% |
425.88 | 385.40 | 489.65 | 483.18 | 594.14 | 452.91 | 591.71 |
27.77% | 21.83% | 20.12% | 17.77% | 16.51% | 18.45% | 24.05% |
0.45 | 0.47 | 0.54 | 0.58 | 0.67 | 0.55 | 0.52 |
0.11 | 0.12 | 0.15 | 0.17 | 0.21 | 0.17 | 0.16 |
-75.31% | -66.39% | -61.02% | -55.12% | -47.03% | -50.80% | -63.61% |
1.49 | 1.48 | 1.57 | 1.62 | 1.70 | 1.59 | 1.54 |
0.65 | 0.70 | 0.83 | 0.89 | 1.06 | 0.86 | 0.85 |
-0.85 | -0.37 | -0.19 | -0.24 | -0.06 | -0.09 | 0.43 |
8.12 | 5.21 | 3.59 | 4.06 | 3.77 | 3.81 | 3.99 |
1.22 | 0.87 | 1.08 | 1.01 | 1.18 | 0.92 | 1.02 |
-0.12 | -0.09 | -0.09 | -0.08 | -0.07 | -0.08 | -0.10 |
5.04% | 2.29% | 3.09% | 3.24% | 4.33% | 2.90% | 3.54% |
1.15 | 1.25 | 1.21 | 1.11 | 1.04 | 1.14 | 1.39 |