Joel Greenblatt

Joel Greenblatt

Joel Greenblatt is the founder, managing principal and Co-Chief Investment Officer of Gotham Asset Management in New York City. The Wharton School of Business graduate is also a faculty member at Columbia Business School, where he teaches a course entitled Value and Special Situation Investing. His most famous book is The Little Book that Beats the Market.

Summary

Greenblatt combines Warren Buffett’s and Benjamin Graham’s investing strategies and looks for stocks that are cheap and good. The cheap comes from Graham’s philosophy of finding stocks that are inexpensive relative to their earnings. The good comes from Buffett, who wants companies to be able to invest large amounts of capital at high rates of return.

Success Formula Magic Formula

  1. Financial and Utility companies are excluded
  2. MktCapM is >= US$ 300 million (basis year 2000) adjusted yearly
  3. Rank all stocks according to latest filing Return on Capital (ROC)
  4. Rank all stocks according to latest filing Earnings Yield (EY)
  5. Take the 200 stocks with the smallest sum [rank (ROC) + rank (EY)]

Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Historical monthly relative performance

How to read this graph:
A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month.

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Historical portfolio turnover

Data source: Bloomberg, Calculations: meetinvest

Books

Success Formula Magic Formula - Unrestricted

  1. MktCapM is >= US$ 300 million (basis year 2000) adjusted yearly
  2. Rank all stocks according to latest filing Return on Capital (ROC)*
  3. Rank all stocks according to latest filing Earnings Yield (EY)
  4. Take the 200 stocks with the smallest sum [rank (ROC) + rank (EY)]

 

* Calculated as:
Utilities: ((T12M Net Income + T12M Minority Interest + T12M Tax adjusted Interest Expense)/ Average of Total Capital)*100
Financials: ((T12M Net Income + T12M Minority Interest)/Average of Total Capital)*100

Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Historical monthly relative performance

How to read this graph:
A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month.

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Historical portfolio turnover

Data source: Bloomberg, Calculations: meetinvest

Books

Free Stock Screening Tool