| Year | Gotham | S&P 500 |
|---|---|---|
| 1985 | +70.4% | +31.6% |
| 1986 | +53.6% | +18.6% |
| 1987 | +29.4% | +5.1% |
| 1988 | +64.4% | +16.6% |
| 1989 | +31.9% | +31.7% |
| 1990 | +31.6% | -3.1% |
| 1991 | +28.5% | +30.5% |
| 1992 | +30.6% | +7.6% |
| 1993 | +115.2% | +10.1% |
| 1994 | +48.9% | +1.3% |
| Average | +50% | +14.4% |
Joel Greenblatt is one of my favorite investors and authors. I talk about him and his book a lot and find myself digging around for his returns, so I decided to just put them here so next time the subject comes up, I can say, just go to this website and you can see his returns.
This is from the book: You Can Be a Stock Market Genius
| Year | Largest 1000 stocks | Largest 3500 stocks | S&P 500 |
|---|---|---|---|
| 1988 | +29.4% | +27.1% | +16.6% |
| 1989 | +30.0% | +44.6% | +31.7% |
| 1990 | -6.0% | +1.7% | -3.1% |
| 1991 | +51.5% | +70.6% | +30.5% |
| 1992 | +16.4% | +32.4% | +7.6% |
| 1993 | +0.5% | +17.2% | +10.1% |
| 1994 | +15.3% | +22.0% | +1.3% |
| 1995 | +55.9% | +34.0% | +37.6% |
| 1996 | +37.4% | +17.3% | +23.0% |
| 1997 | +41.0% | +40.4% | +33.4% |
| 1998 | +32.6% | +25.5% | +28.6% |
| 1999 | +14.4% | +53.0% | +21.0% |
| 2000 | +12.8% | +7.9% | -9.1% |
| 2001 | +38.2% | +69.6% | -11.9% |
| 2002 | -25.3% | -4.0 | -22.1% |
| 2003 | +50.5% | +79.9% | +28.7% |
| 2004 | +27.6% | +19.3% | +10.9% |
| 2005 | +28.9% | +11.1% | +4.9% |
| 2006 | +18.1% | +28.5% | +15.8% |
| 2007 | +7.1% | -8.8 | +5.5% |
| 2008 | -38.8% | -39.3% | -37.0% |
| 2009 | +58.9% | +42.9 | +26.5% |
| Average | +19.7% | +23.8% | +9.5% |
| Group | Annualized Return (1988-2009) |
|---|---|
| Group 1 | +15.2% |
| Group 2 | +12.7% |
| Group 3 | +12.1% |
| Group 4 | +11.5% |
| Group 5 | +10.7% |
| Group 6 | +10.2% |
| Group 7 | +8.8% |
| Group 8 | +7.1% |
| Group 9 | +4.1% |
| Group 10 | -0.2% |
These figures are from The Little Book That Still Beats the Market. The first table shows the returns of this strategy from 1988 through 2009. The largest 1000 companies included companies with market caps above $1 billion and the 3500 largest included companies with market caps above $50 million. The general idea is to buy the companies with the highest returns on capital for the lowest price.
The second table shows the annualized returns of 2,500 stocks divided up into deciles; the most attractive companies in Group 1, the next most attractive group in Group 2 etc. This shows the amazing robustness of the strategy; the most attractive stocks had the highest returns and on down to the least attractive decile (with the lowest return).
There has been a lot of debate online about whether this strategy actually works; some have failed to duplicate the returns presented in Greenblatt's book. I don't know what to make of that as you can get very different results based on the database that you use. In terms of recent performance (I haven't seen any updates), Greenblatt has warned that this strategy can underperform for many years (and that's why it will work over the long term).