G-Score — US

Earnings, profitability, cashflow, growth

product_id gscore_us · 4800+ stocks · daily refresh · since 2003-01-01 · 1 data columns · API/CSV

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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

Help investors screen for young or small companies that have above the average growth rate at a lower price.
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.
As G-Score increases, Sharpe ratio and Alpha also increase in the mid to top quantile.

Performance

Statistics

Metric	G0	G1	G2	G3	G4	G5	G6	SPY
CAGR	8.45%	8.51%	9.59%	10.00%	10.68%	9.39%	11.78%	9.37%
Cumulative Return	586.38	595.62	780.71	862.06	1014.30	741.90	1309.23	678.46
Annual Volatility	26.56%	20.88%	19.26%	17.08%	15.93%	17.71%	23.61%	14.47%
Sharpe	0.45	0.50	0.57	0.65	0.72	0.60	0.59	0.69
Calmar	0.11	0.13	0.16	0.18	0.23	0.18	0.19	0.18
Max Drawdown	-75.31%	-66.39%	-61.02%	-55.12%	-47.03%	-50.80%	-63.61%	-52.56%
Omega	1.49	1.50	1.60	1.70	1.76	1.63	1.62	1.68
Sortino	0.66	0.75	0.89	1.00	1.15	0.93	0.98	1.04
Skew	-0.82	-0.36	-0.19	-0.27	-0.08	-0.10	0.37	-0.61
Kurtosis	8.36	5.39	3.73	4.14	3.75	3.90	3.55	1.40
Tail	1.24	0.95	1.12	1.07	1.16	1.05	1.10	0.99
Value At Risk	-0.12	-0.09	-0.08	-0.07	-0.07	-0.08	-0.10	-0.06
Alpha	2.99%	0.46%	1.28%	1.98%	2.96%	1.23%	2.28%	0.00%
Beta	1.07	1.19	1.17	1.08	1.02	1.12	1.39	1.00

Data through 2026-10-26

Comparison

Statistics · Q0

Metric	G Score
CAGR	8.45%
Cumulative Return	586.38
Annual Volatility	26.56%
Sharpe	0.45
Calmar	0.11
Max Drawdown	-75.31%
Omega	1.49
Sortino	0.66
Skew	-0.82
Kurtosis	8.36
Tail	1.24
Value At Risk	-0.12
Alpha	2.99%
Beta	1.07

Data through 2026-10-26

Data

G-Score is calculated for all the tradable stock equities on the US stock exchanges, including major securities markets such as NYSE, Nasdaq and Dow Jones Industrial.

Coverage · top 10 sectors

Sector	Count	Type	Start date
Finance	1,126	Equities	Equities
Health Technology	768	Equities	Equities
Technology Services	391	Equities	Equities
Electronic Technology	387	Equities	Equities
Producer Manufacturing	303	Equities	Equities
Consumer Services	280	Equities	Equities
Energy Minerals	223	Equities	Equities
Commercial Services	220	Equities	Equities
Industrial Services	193	Equities	Equities
Process Industries	184	Equities	Equities

Delivery & access

G-Score is calculated daily. Data is available to download daily via API and CSV download.

Sample data

Documentation

Approach

For the G-Score, firms with stronger growth fundamentals have better future realizations of earnings and are less likely to delist for reasons related to poor performance. Strong firms are more likely to beat the earnings forecast and earn positive abnormal returns around future earnings announcements.

Factors evaluated

The G-Score consists of three sub-group of ratios. These are:

1. Earnings and Cash Flow Profitability

·ROA1: Return on Assets
·ROA2: Return on Assets with cash from operation (versus income)
·The relationship between a firm's cash flow from operations and net income.

2. Earning and Growth Stability

·The variance of a firm's Return on Assets in the past five years, compared with the industrial mean.
·The relationship between a firm's sale growth variability and the current industry mean.

3. Accounting Conservatism

·Actions that may depress current earnings and book values, but may boost future growth.

Methodology

From the universe of the entire US equities, G-Score is calculated for each equity, followed by ranking equities from the highest to the lowest G-Score; the ranking is normalized with Z-Score function.

Portfolio showcase is created by dividing the universe into 7 parts basing on stocks’ G-Score value, with the G6 representing the stocks with G-Score equal to 6 and the bottom G0 representing the stocks with G-Score equal to 0.

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