mohanram g score
What it checks
Growth-stock analogue to the Piotroski F-score: an 8-signal quality score that separates winning from losing growth stocks based on profitability, earnings stability, and accounting conservatism in R&D, capex, and SG&A spending.
Mechanism
8-signal score targeting GROWTH stocks (low B/M) analogous to Piotroski's F-score for value stocks. The score discriminates within-growth winners from losers across (i) profitability, (ii) earnings stability, (iii) accounting conservatism (R&D, capex, SG&A intensity).
Signal rule
G-score >= 5 or 6 + 60d uptrend fires LONG; G <= 2 or 3 + 60d downtrend fires SHORT, hold 90/180d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
key_metricsWorker data table, see services/worker schema.
Expected edge
- Paper alpha
- +21% top-vs-bottom within growth tertile
- Paper window
- T+1 to T+180d
Mohanram 2005; +21% over 1979-1999 for top-G vs bottom-G within the high-growth tertile.
Related families
piotroski f scoreQualityPiotroski (2000, JAR) showed that a 9-signal accounting score distinguishes winners from losers within the high-B/M (value) universe. Long F>=7 / avoid F<=2 added ~7.5% annualized over 1976-1996 inside the value tertile, and ~23% in the highest B/M decile. Modern replications through 2021 confirm the score still differentiates forward returns even without the value gate; works especially well in uncertainty regimes when low-quality distressed names are marked down faster.
novy marx gross profitabilityQuality(Revenue โ COGS) / total_assets โ gross profitability โ predicts cross-sectional returns as strongly as book-to-market, and has been the mainstream "profitability" leg of the FF5 model since 2015. Distinct from QMJ which composites profitability+growth+safety; standalone GP is the high-beta version that explains more of the cross-section. Status: alive. Decay debate is whether the spread has narrowed (yes: 30-50%) but the sign is intact and replicable across vendors.
quality minus junkQualityComposite QMJ score combining profitability (GP/A), growth (4Q YoY GP), safety (-D/E), and payout (|div|/NI), each ranked over trailing 8 quarters. Long top-quintile (composite percentile >= 0.75), short bottom-quintile (<= 0.25). AFP 2019 document +4-6% annual alpha on the long-short pair. Distinct from the existing #21 qmj which uses only GP/A + 12m momentum.
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