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 only down in the UK, where it was down on a long/short basis by -1.3%.”

1-graham-rea-table developed markets

It may be noted that over the last 12 months this screener achieved the best results in Japan (+7.2%), and the worst in the Euro zone (-11.7%).

The performance of this model since December 2005 is shown in the chart below – clearly, the Eurozone is the best performer, and the US, the worst.

2-graham-rea-long-term developed markets

Largest stocks with at least 2.5 G&R Value and Risk scores
CompanyCountrySectorMcap (mUSD)G&R (1,3,6)
VODAFONE GROUPUnited KingdomTelecoms97,0883.0
BHP BILLITON PLCUnited KingdomBasic Materials64,9303.0
TRANSOCEAN LTDSwitzerlandOil & Gas14,8673.0
ENSCO PLC-CL AUnited StatesOil & Gas12,3263.0
SEKISUI HOUSEJapanConsumer Goods6,7363.0
OMV AGAustriaOil & Gas6,6853.0
CHEUNG KG INFRASHong KongUtilities3,9823.0
TOYOTA MOTORJapanConsumer Goods1,56,0462.5
INTEL CORPUnited StatesTechnology1,28,3022.5
BASF SEGermanyBasic Materials1,02,1322.5
PORSCHE AUTO-PRFGermanyConsumer Goods15,7292.5
DAIICHI SANKYOJapanHealth Care11,3672.5
HOLLYFRONTIER COUnited StatesOil & Gas8,9962.5
NOBLE CORP PLCUnited StatesOil & Gas8,2952.5
YARA INTL ASANorwayBasic Materials8,0002.5
MEADWESTVACO CORUnited StatesIndustrials6,6952.5
SUMITOMO MET MINJapanBasic Materials6,5872.5
SHIONOGI & COJapanHealth Care5,5442.5
DAI NIPPON PRINTJapanConsumer Services5,3822.0
TOPPAN PRINTINGJapanIndustrials4,0151.5

Greenblatt’s Magic Formula

Of all the screens, the Greenblatt Magic formula model yielded the best return, rising 4.2% across developed markets as a whole. The US advanced 5% while Japan returned 3.4%.

3-greenblatt-table

Across longer time-frames, the UK delivered a solid 18.8% total return over the last 12 months, and was also a top performer during the period beginning from December 2005, as shown in the graph below.

4-greenblatt-long-term