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Price Momentum Screen 30 Qualifying in UK

A momentum screen based on buying prior winning stocks and selling short prior losers based on the empirical observation that Investments exhibit persistence in their relative performance. Buying winners inherently conflicts with the contrarian philosophy that is part and parcel of many successful investors. Nevertheless, it has long been noted by traders that good performing investments tend to continue to do so, whereas those that have performed relatively poorly tend to continue on the same path. This screen looks for high relative strength in the last six to twelve months compared with the market (top 25%) - relative strength doesn't work over short timeframes, such as one month. It excludes the most illiquid stocks, i.e. the bottom 25% of stocks based on market capitalisation. You can read more here.  To learn more about this strategy please click here »

This is an independent study based upon the methods of...
Picture of Narasimhan Jegadeesh

Narasimhan Jegadeesh

Chair in Finance at the Goizueta Business School. Published extensively in the Journal of Finance.

Returns to Buying Winners and Selling Losers

by Jegadeesh and Titman

Jegadeesh and Titman’s 1993 paper “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency” generally get the credit for “discovering” the momentum effect in academic circles. Their work showed that simple relative strength strategies that rank stocks based on their past 3-12 month returns predicted relative performance over the next 3-12 months.

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

  • RS 1y > 0
  • RS 6m > 0
  • RS 1m < 0
  • Rank ( Mkt Cap £m ) > 25%
  • Spread (bps) < 1000

Results are sorted by:

  • RS 1y in descending order


And limited to the first 30 Results


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Performance Tracking


Returns FTSE 100
1 week 0.1% 4.0% 0.3% 0.9%
1 month 5.6% 9.2% 5.4% 5.4%
3 months 1.0% 1.9% -8.7% -0.7%
6 months -1.4% -5.3% - -1.2%
1 year -7.7% 0.7% - 0.9%
2 years 22.1% - - 15.7%
Annualised 15.7% 15.5% -14.8%
 
Risks
Max Drawdown -28.0% -30.8% -26.3%
Avg Holdings 24.6 25 24.6
Diversification Good Good Good

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



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Limited to 30 out of 30 total in

Ticker Name Mkt Cap £m RS 1y RS 6m RS 1m Sector
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Energy  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Energy  
Subscriber Subscriber Energy  
Subscriber Subscriber Healthcare  
Subscriber Subscriber Consumer Defensives  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Technology  
Subscriber Subscriber Energy  
Subscriber Subscriber Financials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Consumer Cyclicals  
Subscriber Subscriber Energy  
Subscriber Subscriber Industrials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Healthcare  
Subscriber Subscriber Financials  
Subscriber Subscriber Basic Materials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Financials  
Subscriber Subscriber Financials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Technology  
Subscriber Subscriber Industrials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Industrials  
Subscriber Subscriber Healthcare  
Subscriber Subscriber Energy  

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.