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...
This content is exclusively for paying members of Hedge Fund Alpha
Insider Strategies and Letters to Shareholders from the Top Hedge Funds and Maximize Your Portfolio Growth with Hedge Fund Alpha
Don’t have an account?
Subscribe now and get 7 days free!This article is only available for Premium Members
Subscribe today and get :
Insider Strategies and Letters to Shareholders from the Top Hedge Funds
Exclusive Access to coverage of Private, Closed-Door Investor Conferences
Hedge Fund Manager Research Currently Producing 21% – 40% Returns Annually
Insider Strategies and Letters to Shareholders from the Top Hedge Funds
Exclusive Access to coverage of Private, Closed-Door Investor Conferences
Hedge Fund Manager Research Currently Producing 21% – 40% Returns Annually
