Société Générale publishes a monthly update on the performance of several value orientated fundamental trading strategies across both developed and emerging markets. For deep value investors, one of the most interesting screens is the Graham & Rea deep value screen.
The screen is a strategy developed by Benjamin Graham and James Rea. It uses a set of ten basic investment criteria used to identify deep-value opportunities. These criteria are also known as Graham’s last will, and the Benjamin Graham deep value checklist.
Deep value in developed markets
For developed market equities, Société Générale’s deep value screen covers the universe of FTSE World Developed and FTSE 350 stocks. The screen shows companies that score 2.5 or better on Graham & Rea value and risk criteria. Financial stocks are excluded.
And the screen’s returns are highly impressive. Since 2002, the stocks qualifying for the screen have returned 17% per annum, outperforming the wider universe of FTSE World Developed and FTSE 350 stocks by 6.1%.
Performance is shown on US$ gross total return basis and assumes monthly rebalancing. Here’s the list of developed market stocks that currently meet the Graham & Rea screening criteria.
View the full article at http://www.valuewalk.com/2015/03/socgen-deep-value-screen/