Morgan Stanley analyst Ronan Carr looks at a backtest of an EEMEA Joel Greenblatt strategy in a recent report. Carr indicates that the strategy has produced 12.6% annualized long/short return over the last 5 years. Carr looks at both longs and shorts a brief excerpt on the topic with some charts (including specific stocks) below.
The ‘short’ screen has delivered consistent underperformance while the ‘long’ screen has begun outperforming in recent months following a 6-month period of underperformance.
