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 |
8.52% |
472.35 |
14.72% |
0.63 |
0.16 |
-52.56% |
1.61 |
0.94 |
-0.59 |
1.34 |
0.98 |
-0.06 |
0.00% |
1.00 |
G0 | G1 | G2 | G3 | G4 | G5 | G6 |
8.39% | 8.28% | 8.96% | 9.18% | 10.13% | 8.79% | 10.17% |
457.86 | 446.16 | 523.20 | 551.50 | 683.14 | 503.70 | 689.49 |
27.45% | 21.58% | 19.95% | 17.58% | 16.42% | 18.28% | 23.94% |
0.44 | 0.48 | 0.53 | 0.59 | 0.67 | 0.55 | 0.52 |
0.11 | 0.12 | 0.15 | 0.17 | 0.22 | 0.17 | 0.16 |
-75.31% | -66.39% | -61.02% | -55.12% | -47.03% | -50.80% | -63.61% |
1.48 | 1.48 | 1.55 | 1.63 | 1.70 | 1.58 | 1.54 |
0.65 | 0.72 | 0.82 | 0.91 | 1.07 | 0.86 | 0.86 |
-0.85 | -0.36 | -0.18 | -0.23 | -0.05 | -0.08 | 0.42 |
8.04 | 5.15 | 3.48 | 4.02 | 3.61 | 3.72 | 3.78 |
1.22 | 0.93 | 1.10 | 1.06 | 1.19 | 0.94 | 1.07 |
-0.12 | -0.09 | -0.09 | -0.07 | -0.07 | -0.08 | -0.10 |
4.22% | 1.67% | 2.13% | 2.58% | 3.68% | 2.11% | 2.71% |
1.12 | 1.23 | 1.20 | 1.11 | 1.04 | 1.14 | 1.40 |