No. of Recommendations: 6
The MFI method has underperformed in the recent decade according to Mungofitch I think.Not according to GTR1 backtesting:
On 11/19/2015 borisnad posted post-discovery of some screens which included his version of Greenblatt's Magic Formula. Note I modified the friction to 0.35% per trade based on my experience.
gtr1.net: GTR1 Backtester - MagicForm_20140119_MarginOfBuffettCAGR 17.78 with a SAWR of 10.8% since 1997. CAGR 11.7 & SAWR 9.9%since the 2015 screen post. slightly less than SPY 11.95 CAGR but 0.5% better SAWR than SPY.
Later boris modified the screen based on a talk Greenblatt gave saying it works best with a ROIC>50% filter. The screen using this filter:
gtr1.net: GTR1 Backtester - Peak_ROICThis ups the CAGR slightly and SAWR to 13% from 1997 but dramatically to a 21.1% CAGR from 2015!
MI isn't as profitable as it was 15 years ago but it can still add a little spice to the mix.
RAM
