Magic Formula
Joel Greenblatt's Magic Formula

Joel Greenblatt was one of the pioneers of 'Quantitative Value'. He outlined a Magic Formula - one that picks stocks based on Return on Capital and Earnings Yield - in 'The Little Book That Beats the Market'

This Theme consists of an equally weighted portfolio of stocks that score well and pass our liquidity constraints.

It is a 'set it and forget it' portfolio. At the maximum, it is re-balanced once a year.

This model was created on 2013-Aug-18 and was last updated on 2024-Jul-15

Cumulative Returns
lookback (days) theme nifty 50 midcap 100
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Metrics
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risk-free rate: 2.5%; MAR: 0%; benchmark: NIFTY 50
Portfolio
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Drawdowns
From Trough To Depth Length To Trough Recovery
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Strategy vs. NIFTY 50 and MIDCAP 100
Returns through time
Returns & Portfolio Turnover