Developed Markets: How Value-Driven Investment Screens Fared In March

SocGen Global Quantitative Research analysts Andrew Lapthorne, Rui Antunes, John Carson, Georgios Oikonomou, Michael Suen, Josh Cherian and Yohan Le Jalle report on how their popular screens fared across the developed markets in their April 8, 2014 ‘Popular Investment Screens’ research note.

This article looks at the results generated for the value-oriented screeners for the Greenblatt Magic Formula and the Graham & Rea models.

Graham & Rea

“The Graham & Rea model had the worst performance among our screens last month, but still the global model was up on a long/short basis by 1.1%,” remark the analysts.  “It was...