No. of Recommendations: 3
G-score can be summarized as:
Cash flow from operations exceeds net income.
High Return on Assets (ROA) and Cash flow ROA.
Low Earnings variability and Sales growth variability.
High R&D and Capital expenditures.
some links:
Man+Machine – The evolution of fundamental scoring models and ML implications, October 8, 2021
1968 Altman’s Z-Score: "praised at the time for a significant level of accuracy of 94% in predicting company bankruptcy one year before the event"
1996 Sloan ratio: "Sloan’s main conclusion is that earnings driven by accruals are less persistent than those low accruals."
1999 Beneish’s M-Score: "easy and quick way to spot the probability of earnings manipulation of a stock"
2014 SEC Account Quality Model: "AQM is designed to detect whether a company’s financial disclosures differ greatly from its industry peers."
2000 Piotroski’s F-Score: "main purpose is to deliver a single metric to allow investors to adopt a systematic approach to fundamental value investing... Piotroski’s model inherently favours an investment style with a clear value tilt"
2005 Mohanram’s G-Score: "with the objective of finding a systematic way of investing in growth stocks"
"A recently published study by Amor-Tapia and Tascon in 2016 tests multiple scoring models using four different European stock markets. Surprisingly, Mohanram’s G-Score and Piotroski’s F-Score were the only ones surviving an out-of-sample backtesting delivering statistically significant alpha despite the other rejected models being developed at a later date."
https://www.cfauk.org/pi-listing/man-machine-the-e...In January 2024, yuvaltaylor posted: "I wrote about the F-Score at length here: Why Piotroski's F-Score No Longer Works. There are a number of other X-Score thingies out there. I use a modified version of Beneish’s M-Score, which I outlined here: Detecting Financial Fraud: A Close Look at the Beneish M-Score, as well as Ohlson’s O-Score and Dechow’s F-Score. There’s also Altman’s Z Score. They all have merits and problems. One problem with these scores is that they mainly rely on multilinear regression rather than weighted ranking, and that’s just not as good a method."
https://community.portfolio123.com/t/man-machine-t...In Febuary 2020, yuvaltaylor posted: "here’s my formula for the g-score"
https://community.portfolio123.com/t/scoring-syste... 