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%.”
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.
| 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%.
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.
