Société Générale publishes a monthly update on the performance of several value-oriented fundamental trading strategies across both developed and emerging markets.
I covered the bank’s top Graham & Rea deep value screen picks for May here **Link when published**. In this piece, I’m taking a look at Société Générale’s Joel Greenblatt’s ‘Magic Formula‘ screen. A list of the stocks that qualified for the March Greenblatt screen last month can be found here. The stocks that qualified at the beginning of April can be found here.
A quick recap
The Société Générale Greenblatt screen seeks to replicate Joel Greenblatt’s ‘Magic Formula’.
However, Société Générale’s quantitative method is not an exact replica of Greenblatt’s strategy, which Greenblatt claims would have returned...
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