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 |
8.77% |
497.21 |
14.71% |
0.65 |
0.17 |
-52.56% |
1.63 |
0.96 |
-0.60 |
1.37 |
0.98 |
-0.06 |
0.00% |
1.00 |
G0 | G1 | G2 | G3 | G4 | G5 | G6 |
8.04% | 8.41% | 9.22% | 9.42% | 10.41% | 9.06% | 10.65% |
416.97 | 455.72 | 551.81 | 577.73 | 720.64 | 531.89 | 758.32 |
27.46% | 21.62% | 19.95% | 17.59% | 16.41% | 18.28% | 23.91% |
0.43 | 0.48 | 0.54 | 0.60 | 0.69 | 0.57 | 0.54 |
0.11 | 0.13 | 0.15 | 0.17 | 0.22 | 0.18 | 0.17 |
-75.31% | -66.39% | -61.02% | -55.12% | -47.03% | -50.80% | -63.61% |
1.46 | 1.49 | 1.56 | 1.65 | 1.73 | 1.60 | 1.57 |
0.63 | 0.72 | 0.84 | 0.93 | 1.10 | 0.88 | 0.90 |
-0.84 | -0.36 | -0.18 | -0.24 | -0.06 | -0.09 | 0.42 |
8.05 | 5.13 | 3.49 | 4.04 | 3.65 | 3.74 | 3.83 |
1.22 | 0.93 | 1.10 | 1.06 | 1.19 | 0.95 | 1.07 |
-0.12 | -0.09 | -0.09 | -0.07 | -0.07 | -0.08 | -0.10 |
3.58% | 1.50% | 2.12% | 2.57% | 3.72% | 2.12% | 2.85% |
1.13 | 1.24 | 1.20 | 1.11 | 1.04 | 1.14 | 1.39 |