Mohanram G-score
✓ aliveMSQuality· Accounting data
See code for details. MS is only evaluated for low BM firms and comes from combining three signals related to profitability and cash flow, two signals related to income volatility, and three signals related to investment.
IS Sharpe (1974–2004)
0.677
+12.3% p.a.
OOS Sharpe (2005–2024)
0.578
+6.1% p.a.
Sharpe decay
+14.6%
(IS − OOS) / |IS|
IS vol
18.2%
annualized
Cumulative return (last 40 years, monthly)
+4235%1984-012024-12
Publication details
AuthorsMohanram
PaperMohanram (2005)
JournalReview of Accounting Studies
Publication year2005
Original sample1978–2001
IS T-statistic9.14
More Quality anomalies
gross profits / total assets+0.81Percent Total Accruals+0.79Return on assets (qtrly)+0.74Change in order backlog+0.74operating profits / book equity+0.55Operating profitability R&D adjusted+0.55
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