No. of Recommendations: 6
Eric: “What, though, are the results strictly post-discovery: 20000101 to 20241107?”
Just put a starting date 20000103 in lizgdal’s G-Score high GTR1 link and I got:
CAGR 11.6, GSD 20.6, UI 9.2, SAWR 9.9%
In the paper fundamental equity analysis “Man+Machine – The evolution of fundamental scoring models and ML implications”.
Evolution of Fundamental Scoring Models | CFA UK
They state:
“Despite their many weaknesses and newly developed scoring models challenging their dominance flourishing over the last two decades, both Piotroski’s F-Score and Mohanram’s G-Score have not been ditched by investors. 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.”
You referenced P123’s Yuval Taylor post with his version of a G Score equation above which you can use in their ranking system or a simulation. But P123 Also has a Mohanram GScore Screen.
I just ran a Backtest using P123's GScore Screen for equities in the SP1500 from 1/3/2002.
25 stocks, 4 week rebalance, 0.25% slippage, CAGR 10.7% vs S&P 9.4% nice but not exceptional.
However almost all the outperformance came in the last 15 years.
Rerunning a rolling backtest(multiple start dates)
11/11/2014 – 11/11/2024
523 Samples, Start Frequency every Week, Holding Period 3 Months:
Scrn SP500
Annualized 20.06% 13.33%
One Month 4.46% 3.21%
Three Month 15.96% 12.58%
One Year 52.85% 39.75%
Three Year 23.57% 33.76%
Five Year 159.67% 109.17%
Total 522.85% 249.80%
Risk
Sharpe Ratio 0.91 0.74
Sortino Ratio 1.27 0.99
Max Drawdown -34.2% -33.7%
Standard Dev 19.6% 15.3%
Correlation 0.83 -
R-Squared 0.68 -
Beta 1.06 -
Alpha (annualized) 6.01%
