Joel Greenblatt Magic Formula Shorts and Longs in EEMA

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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.

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