Mohanram G-Score and O`Shaugnessy Tiny Titans

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TeemuR
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Joined: Thu Mar 12, 2015 4:43 am

Mohanram G-Score and O`Shaugnessy Tiny Titans

Postby TeemuR » Wed Mar 25, 2015 12:57 am

Hi All,

I have a problem about how can I program these strategies? I´m doing research about Mohanram G-Score and O´Shaughnessy Tiny Titans.

Calculation of the G-Score
Companies which ranks in the bottom 20% of book to market ratios are then scored 1 or 0 according to the following growth criteria. The total score for a company in a given year therefore ranges from 0 to 8.

Score 1 if Return on Assets is above average for the industry
Score 1 if Cash Flow Return on Assets is above average for the industry – this is added as earnings may be less meaningful than cash flows for early stage firms, many of which are growth firms
Score 1 if cash flow from operations exceeds net income. Research has shown the importance of accruals by demonstrating that firms with a greater accrual component in their earnings generally underperform in the future, potentially because of the lower quality of their earnings.
Score 1 if ROA variability over the past five years is below average for the industry
Score 1 if sales growth variability over the past five years is below average for the industry
Score if R&D Intensity (R&D expenditure / total assets) is above average for the industry
Score 1 if Capital Expenditure Intensity (capital expenditure / total assets) is above average for the industry
Score 1 if Advertising Intensity (advertising expenditure / total assets) is above average for the industry.

And then take a long position firms with growth stock scores 6,7 and 8, and short firms with scores 0 and 1.


Calculation of Tiny Titans
Market value 25-250 million
Price/sales ration >1
From this list, the idea is to take the top 25 sorted by 12 month price appreciation (momentum) and equally weight them.

If you have any idea how can I do this please help me! I have a data attached.

Thank you!

-Teemu
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Data example.png
Data
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