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 |
8.23% |
412.34 |
14.67% |
0.61 |
0.16 |
-52.56% |
1.59 |
0.91 |
-0.61 |
1.43 |
0.95 |
-0.06 |
0.00% |
1.00 |
G0 | G1 | G2 | G3 | G4 | G5 | G6 |
8.16% | 7.59% | 8.90% | 9.10% | 10.18% | 8.86% | 10.00% |
406.07 | 353.95 | 482.93 | 505.10 | 641.03 | 478.26 | 617.34 |
27.72% | 21.71% | 20.04% | 17.65% | 16.42% | 18.31% | 23.90% |
0.43 | 0.45 | 0.53 | 0.58 | 0.67 | 0.56 | 0.52 |
0.11 | 0.11 | 0.15 | 0.17 | 0.22 | 0.17 | 0.16 |
-75.31% | -66.39% | -61.02% | -55.12% | -47.03% | -50.80% | -63.61% |
1.47 | 1.45 | 1.55 | 1.62 | 1.71 | 1.59 | 1.54 |
0.63 | 0.66 | 0.81 | 0.89 | 1.07 | 0.86 | 0.85 |
-0.84 | -0.35 | -0.18 | -0.24 | -0.06 | -0.09 | 0.43 |
7.95 | 5.19 | 3.55 | 4.10 | 3.77 | 3.85 | 4.00 |
1.22 | 0.89 | 1.09 | 1.02 | 1.17 | 0.91 | 1.05 |
-0.12 | -0.09 | -0.09 | -0.07 | -0.07 | -0.08 | -0.10 |
4.14% | 1.26% | 2.30% | 2.71% | 3.94% | 2.40% | 2.86% |
1.15 | 1.24 | 1.21 | 1.11 | 1.04 | 1.14 | 1.39 |