In 2009, at the behest of investors, their Gotham Asset Management firm put out the welcome mat again, this time with a far more diversified approach. The current strategy is, on the surface, pretty simple. Buy more than 300 high-quality names trading at cheap prices, and short more than 300 stocks on the other end of that spectrum. The stock that ranks first on these attributes gets the largest weighting in the portfolio, while the second-best stock gets the No. 2 weighting, and so on.
"That's quite a bit different from the six to eight holdings we had once upon a time," says Greenblatt, 56. At the same time the original, highly focused strategy had limited capacity, it also came with extreme volatility. "Rob and I would wake up some days and lose 15% or 20% of our net worth," he adds. "Now it's more like 15 or 20 basis points." (A basis point is 1/100th of a percentage point.).................
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