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 |
8.86% |
520.64 |
14.70% |
0.65 |
0.17 |
-52.56% |
1.63 |
0.97 |
-0.60 |
1.34 |
0.98 |
-0.06 |
0.00% |
1.00 |
G0 | G1 | G2 | G3 | G4 | G5 | G6 |
8.32% | 8.20% | 8.99% | 9.26% | 10.23% | 8.96% | 10.17% |
457.86 | 443.91 | 536.44 | 571.08 | 711.43 | 533.05 | 702.25 |
27.35% | 21.52% | 19.88% | 17.52% | 16.36% | 18.22% | 23.89% |
0.44 | 0.48 | 0.53 | 0.60 | 0.68 | 0.56 | 0.52 |
0.11 | 0.12 | 0.15 | 0.17 | 0.22 | 0.18 | 0.16 |
-75.31% | -66.39% | -61.02% | -55.12% | -47.03% | -50.80% | -63.61% |
1.48 | 1.48 | 1.55 | 1.64 | 1.71 | 1.59 | 1.54 |
0.64 | 0.71 | 0.82 | 0.91 | 1.08 | 0.88 | 0.87 |
-0.85 | -0.35 | -0.18 | -0.23 | -0.05 | -0.09 | 0.42 |
8.12 | 5.19 | 3.52 | 4.06 | 3.65 | 3.76 | 3.79 |
1.22 | 0.94 | 1.10 | 1.07 | 1.18 | 0.94 | 1.07 |
-0.12 | -0.09 | -0.09 | -0.07 | -0.07 | -0.08 | -0.10 |
3.80% | 1.20% | 1.78% | 2.30% | 3.44% | 1.90% | 2.27% |
1.12 | 1.23 | 1.20 | 1.10 | 1.04 | 1.13 | 1.39 |