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Value Momentum Screen 101 Qualifying in UK

Value & Momentum is a strategy that aims to find undervalued stocks with positive price momentum. It is inspired by research by AQR Capital Management as well as the American Association of Individual Investors' "Value on the Move" screen and Jack Hough's "Impatient Value" screen in his book, Your Next Great Stock. The strategy combines value and momentum, which are two disciplines that have been found to work very effectively when combined. It looks for a reasonably low PEG, positive relative strength and a share price within 10% of its 52-week high in companies with sales of more than £100 million. Value and momentum not only provide strong returns but are also negatively correlated. That means that when when one strategy works well, the other lags - one zigs when the other zags. Over time, this helps to create a smoother profit line, as the volatility of each strategy cancels the other out.

Your Next Great Stock: How to Screen the Market for Tomorrow's Top Performers

by Jack Hough

Jack Hough outlines this apporach in his excellent book, "Your Next Great Stock" (see link above). He cites the performance of the AAII equivalent screen, Value on the Move - this has seen a 13.6% return since inception (vs. 1.1% for the S&P 500).

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

  • PEG < 1.5
  • PEG > 0.2
  • % vs. 52w High > -10
  • Sales £m > 100
  • RS 1y > 0
  • 10d Avg Vol > 0.01

Results are sorted by:

  • PEG in ascending order


And limited to the first 200 Results


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Performance Tracking


Returns FTSE 100
1 week -2.1% -0.3% 0.1% -10.0%
1 month -2.2% -1.9% -5.0% -11.4%
3 months -2.6% -4.5% -11.4% -16.1%
6 months 6.1% -1.7% -10.6% -14.7%
1 year 17.9% 6.4% 6.0% -12.9%
2 years 39.6% 28.3% - -8.5%
Annualised 22.8% 14.7% 9.9%
 
Risks
Max Drawdown -13.9% -11.0% -21.2%
Avg Holdings 24.8 24.9 25
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.



Please subscribe to see the companies that qualify for this independent study of the Value Momentum Screen Strategy.
Plans start from as little as 25 per month. 14 day FREE TRIAL available.

Ticker Mkt Cap £m Name PEG % vs. 52w High Sales £m RS 1y 10d Avg Vol
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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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