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Price Momentum Screen 30 Qualifying

Price Momentum is a momentum investing strategy first credited to research by academics Narasimhan Jegadeesh and Sheridan Titman in their paper, Returns to buying winners and selling losers. As its core measure it looks for the top 25% of stocks in the market ranked by their relative price strength over six and 12 months. Research into momentum strategies has shown that previously winning stocks have a tendency to keep rising in price over the medium term, while previous losers tend to keep falling. Academics and professionals have credited this anomaly to investors being slow to absorb the implications of positive news about stocks, which causes prices to drift up over time. In their 1993 paper, Jegadeesh and Titman wrote: "The strategy we examine in most detail, which selects stocks based on their past 6-month returns and holds them for 6 months, realises a compounded excess return of 12.01% per year on average."

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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 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 1.2% 13.1% -1.1% -0.2% -1.2% -1.8% -6.0% -0.3%
1 month 2.8% 26.3% -1.8% 6.9% 4.0% 2.4% 1.2% 1.6%
3 months 5.2% 30.5% -7.1% - - - - 5.1%
6 months 6.7% 39.6% -19.5% - - - - -1.9%
1 year 6.5% 29.7% -39.7% - - - - -10.7%
2 years 11.5% 31.8% - - - - - -8.5%
Annualised 14.4% 19.6% -30.0% 113.5% 48.8% 32.4% 15.1%
 
Risks
Max Drawdown -28.9% -27.5% -54.6% -3.2% -5.9% -4.9% -9.7%
Avg Holdings 24.7 24.2 24.7 21 2 25 22
Diversification Good Good Good Good Low 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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30 Qualifying

Ticker Name Mkt Cap £m RS 1y RS 6m RS 1m Sector Flag
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Healthcare Australia
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Technology Germany
Subscriber Subscriber Technology Sweden
Subscriber Subscriber Consumer Defensives India
Subscriber Subscriber Basic Materials Poland
Subscriber Subscriber Industrials Australia
Subscriber Subscriber Basic Materials Sweden
Subscriber Subscriber Consumer Cyclicals Sweden
Subscriber Subscriber Consumer Cyclicals Sweden
Subscriber Subscriber Energy Australia
Subscriber Subscriber Technology Japan
Subscriber Subscriber Telecoms Czech Republic
Subscriber Subscriber Consumer Cyclicals Denmark
Subscriber Subscriber Technology Australia
Subscriber Subscriber Consumer Defensives Australia
Subscriber Subscriber Technology Hong Kong
Subscriber Subscriber Technology Singapore
Subscriber Subscriber Healthcare Japan
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Financials Japan
Subscriber Subscriber Energy United Kingdom
Subscriber Subscriber Industrials Hong Kong
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Energy Australia
Subscriber Subscriber Industrials Canada
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Consumer Defensives India
Subscriber Subscriber Industrials Sweden

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.



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