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
Company Country Sector Mcap (mUSD) G&R (1,3,6)
VODAFONE GROUP United Kingdom Telecoms 97,088 3.0
BHP BILLITON PLC United Kingdom Basic Materials 64,930 3.0
TRANSOCEAN LTD Switzerland Oil & Gas 14,867 3.0
ENSCO PLC-CL A United States Oil & Gas 12,326 3.0
SEKISUI HOUSE Japan Consumer Goods 6,736 3.0
OMV AG Austria Oil & Gas 6,685 3.0
CHEUNG KG INFRAS Hong Kong Utilities 3,982 3.0
TOYOTA MOTOR Japan Consumer Goods 1,56,046 2.5
INTEL CORP United States Technology 1,28,302 2.5
BASF SE Germany Basic Materials 1,02,132 2.5
PORSCHE AUTO-PRF Germany Consumer Goods 15,729 2.5
DAIICHI SANKYO Japan Health Care 11,367 2.5
HOLLYFRONTIER CO United States Oil & Gas 8,996 2.5
NOBLE CORP PLC United States Oil & Gas 8,295 2.5
YARA INTL ASA Norway Basic Materials 8,000 2.5
MEADWESTVACO COR United States Industrials 6,695 2.5
SUMITOMO MET MIN Japan Basic Materials 6,587 2.5
SHIONOGI & CO Japan Health Care 5,544 2.5
DAI NIPPON PRINT Japan Consumer Services 5,382 2.0
TOPPAN PRINTING Japan Industrials 4,015 1.5

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