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Value Momentum Screen 75 Qualifying in UK

This is a combined value/momentum screen loosely based on the AAII "Value on the Move" screen and Jack Hough's "Impatient Value" screen in "Your Next Great Stock". It tries to uncover stocks that are bargain priced but avoid "value trap" stocks, which may languish for years until the market recognizes their “true” worth. Value and momentum investing styles might seem to have little in common but, in fact, research also indicates that momentum can be a catalyst to value.  The screen looks for two attributes: A share price within 10% cent of its 52-week high (the momentum part of the equation), and a PEG ratio – price-earnings to growth – of less than 1.5 (the value part). The PEG ratio is simply the forward price-to-earnings multiple divided by the projected growth rate in earnings.  

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 0.8% 1.9% 1.6% 0.7%
1 month 1.0% 2.1% 12.4% 5.5%
3 months -3.8% -2.3% 11.5% -1.8%
6 months 0.4% -4.3% - -2.8%
1 year 0.4% 3.8% - -0.6%
2 years 62.4% - - 16.0%
Annualised 21.0% 14.7% 45.8%
 
Risks
Max Drawdown -13.9% -11.6% -9.8%
Avg Holdings 24.8 25 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.



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75 Qualifying in

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.