Joel Greenblatt Screen – SocGen’s Stocks For January

Joel Greenblatt screener………. Société Générale publishes a monthly update on the performance of several value orientated fundamental trading strategies (search ‘SocGen’ in the search bar above) across both developed and emerging markets.

In this piece, I’m taking a look at Société Générale’s Joel Greenblatt‘s ‘Magic Formula’ screen.

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The screen’s results for the past six months can be found at the links below:

Historic Joel Greenblatt screener

• SocGen’s Joel Greenblatt Screen For December
• SocGen’s Joel Greenblatt Screen For November
• SocGen’s Joel Greenblatt Screen For October
• SocGen’s Joel Greenblatt Screen For September
• SocGen’s Developed And Emerging Market Greenblatt Screen For August
• SocGen’s Developed And Emerging Market Joel Greenblatt Screen For July
• SocGen’s Developed And Emerging Market Greenblatt Screen For June
• SocGen’s Developed And Emerging Market Greenblatt Screen For May
• SocGen’s Developed And Emerging Market Greenblatt Screen For April

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 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.

Joel Greenblatt screener -- Qualifying stocks in developed markets

For developed market equities, Société Générale’s Greenblatt screen covers the universe of FTSE World Developed and FTSE 350 stocks.

Since 2002, the stocks qualifying for the screen have returned 12.5% per annum, outperforming the wider universe of FTSE World Developed and FTSE 350 stocks by 2.6% per annum.

Performance is shown on US$ gross total return basis and assumes monthly rebalancing. All financial companies are excluded from the Greenblatt screen and the universe. Here’s the list of developed market stocks that currently meet the Greenblatt screening criteria according to the December screen (as of 01/04/2016).

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Joel Greenblatt screener emerging markets

Société Générale also applies the Greenblatt screen to FTSE World Emerging stocks. Once again all financial companies are excluded. The portfolio is subject to a monthly rebalancing and the screen 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).

Since 2002, the emerging market Greenblatt screen has outperformed by 6.4% per annum compared to the wider universe. Drawdown figures are lower, but volatility is higher than the developed market screen.

Here’s the list of emerging market stocks that currently meet Société Générale’s Greenblatt screening criteria (as of 01/04/2016).

(click to enlarge)

The post Joel Greenblatt Screen – SocGen’s Stocks For January appeared first on ValueWalk.

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