Joel Greenblatts Two-Factor Screen
The quantitative value strategy of ranking the investable universe on return on invested capital and earnings yield independently, summing the two ranks, and buying a basket of the highest-combined-rank names. The strategy combines a quality factor with a price factor in the most parsimonious way possible and has a genuine long-run edge in the published literature. The structural reason few professional managers run it in pure form is the well-documented multi-year underperformance windows that exceed typical institutional evaluation horizons.
Lessons that use this term
Related terms
Ambiguity Aversion · Anchored Assumption · Asset Beta · Bank ROE Spread · Banker Pitch Deck · Beta
Open this term in the app → — no account needed; browse the full glossary while you research.