Hi, Shrewd!        Login  
Shrewd'm.com 
A merry & shrewd investing community
Best Of MIBest OfAll BoardsThe Shrewd’m WeeklyLearn to InvestHow to Become Shrewd
Search
Shrewd'm.com Merry shrewd investors
Search
Best Of MIBest OfAll BoardsThe Shrewd’m WeeklyLearn to InvestHow to Become Shrewd


The week's question
In December 2024, in the thread "Re: BRK: Why Not XOM?", BreckHutHigh asked the members: "What about the long road trips with kids?" This week it is put to everyone again. The button below opens the small thread re-asking it - read what others have said so far, then give your own answer as an ordinary reply.
Answer this questionContinue to Shrewd'mThis note won't appear again
Investment Strategies / Mechanical Investing
Unthreaded | Threaded | Whole Thread (12) |
Author: lizgdal   😊 😞
Number: of 6132 
Subject: Re: G-score backtest
Date: 11/10/24 3:11 PM
Post New | Post Reply | Report Post | Recommend It!
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."
cfauk.org - Man machine the evolution of fundamental scoring models and ml implications

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."
community.portfolio123.com - Man machine the evolution of fundamental scoring models and ml implications

In Febuary 2020, yuvaltaylor posted: "here’s my formula for the g-score"
community.portfolio123.com - Scoring system based on ranks
Post New | Post Reply | Report Post | Recommend It!
Print the post
Members reply directly to lizgdal here — and replies get answered. Reading is free; so is joining the conversation. Join Shrewd'm »
This community has written 6,115 posts about Mechanical Investing. The article-length ones it recommended most:
Dividend investing · 52 recs · 2025
Non-Mag7 screen · 34 recs · 2025
OT - Div yields and returns · 32 recs · 2024
Using AI to generate backtesting programs · 30 recs · 2025
Rankings for 19Dec2022 · 29 recs · 2022
Unthreaded | Threaded | Whole Thread (12) |


Announcements
Mechanical Investing FAQ
Contact Shrewd'm
Contact the developer of these message boards.

Best Of MI | Best Of | Favourites & Replies | All Boards | Followed Shrewds | Open Questions | Moving a community