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Earnings Upgrade Momentum Screen 8 Qualifying in UK

A momentum screen based on buying stocks with rising analyst earnings estimate revisions in light of empirical findings that stocks with their estimates revised often outperform the market over at least the next 12 months. Although investing on the basis of broker recommendations alone does not appear to be a successful strategy because of the bias in those recommendations, research suggests that focusing on recent changes in broker recommendations is more fruitful, particularly in combination with other signals. You can read more here.  To learn more about this strategy please click here »

Picture of Phillipp McKnight

About Phillipp McKnight

American born financial theorist and university professor.

Analyst Forecasts and the Cross Section of European Stock Returns

by Philipp McKnight and Steven Todd

Research on European stock by Todd & McKnightwork found that the positive returns realized on a earnings upgrade portfolio were large and persistent, whereas the sell portfolio generated a near zero return, i.e. the bad news was quickly priced in whereas the good news diffused slowly. This may be because conflicts of interest encourage analysts to report overly optimistic earnings, and investors, aware of these biases, respond by being cynical and adopting a “wait-and-see” approach when it comes to good news.

This screen is based on a UK dataset. It uses the following criteria:

  • % 1m EPS Upgrade FY2 > 5
  • # 1m Upgrades > 1
  • # 1m Upgrades > # Downgrades (1m)
  • # Brokers > 3

Results are sorted by:

  • % 1m EPS Upgrade FY2 in descending order


And limited to the first 200 Results


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Earnings Upgrade Momentum Screen Graphical History in

Returns

Timeframe Screen Returns FTSE 100 Outperformance
1 week -0.85% 2.03% -2.9%
1 month -2.80% 1.79% -4.6%
3 months -2.11% -2.22% 0.1%
6 months -2.31% -0.31% -2.0%
1 year 14.19% 6.27% 7.9%
2 years 48.25% 15.64% 32.6%
Since inception 87.03% 24.4% 62.6%
Annualised 30.40%

Risk

Maximum Drawdown-17.17%
Average No. of Holdings11.1
Diversification LevelModerate

 Chart based on an equal weighted portfolio of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.


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8 Qualifying in

Ticker Name Mkt Cap £m P/E % 1m EPS Upgrade FY1 % 1m EPS Upgrade FY2 # 1m Upgrades # Downgrades (1m) # Brokers Sector
Subscriber Subscriber Energy  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Energy  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Industrials  

Can't see the share you expect? View this screen as a checklist to find out why.

You should consider the results of any screening process, including this one, as candidates for further research, not as a buy list. Screening helps to narrow a search based on pre-defined criteria. It is not a substitute for independent research reflecting your individual criteria for investing/trading. Please note that the screening criteria used represents Stockopedia's interpretation of the author's investment approach and are not determined or endorsed by the original strategist.