Société Générale publishes a monthly update on the performance of several value orientated 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. Sign up to our free newsletter to receive updates when the rest of the screens are released.
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 average ranking based on return-on-capital (EBIT/(net working capital +net fixed assets) and earnings yield (EBIT to Enterprise Value). The 30 or so companies scoring most highly by this sum are then selected.
However, Société Générale’s quantitative method is not...
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