Société Générale publishes a monthly update on the performance of several value-oriented fundamental trading strategies across both developed and emerging markets.
In this piece, I’m taking a look at Société Générale’s Joel Greenblatt’s ‘Magic Formula' screen.
Joel Greenblatt Screen - 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 an astonishing 30.8% per year over the 17 year period to 2004.
Nonetheless, the screen is based on the same principles.
Greenblatt’s formula uses a simple and systematic investing strategy based on a very understandable principle – that buying shares in cheap, good quality companies beats the market. Société Générale ranks companies by the...
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