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Value Momentum Screen 200 Qualifying

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 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 -0.6% -3.0% -2.1% -3.8% -1.9% -4.4% -1.9% 1.3%
1 month -0.9% -4.3% -2.0% -0.4% 0.5% -3.1% -2.4% -1.0%
3 months 1.8% -2.7% -4.6% 1.6% 5.6% -0.5% 2.0% -1.7%
6 months 9.2% 3.4% -5.0% 16.1% 10.3% 3.0% -0.2% -0.2%
1 year 23.2% 26.2% 2.3% 35.4% 17.2% 22.6% 10.7% 5.5%
2 years 34.2% 76.7% 27.5% - - - - 23.2%
Annualised 20.3% 22.7% 11.6% 60.3% 30.7% 35.5% 26.8%
 
Risks
Max Drawdown -14.0% -11.0% -21.2% -19.9% -11.4% -8.5% -9.2%
Avg Holdings 24.9 24.8 25 23.5 24.8 25 25
Diversification Good Good Good Good 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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200 Qualifying

Ticker Mkt Cap £m Name PEG % vs. 52w High Sales £m RS 1y 10d Avg Vol Flag
Subscriber Subscriber Japan
Subscriber Subscriber United States
Subscriber Subscriber Spain
Subscriber Subscriber Italy
Subscriber Subscriber Korea, Republic of
Subscriber Subscriber Hong Kong
Subscriber Subscriber United States
Subscriber Subscriber Italy
Subscriber Subscriber United Kingdom
Subscriber Subscriber United States
Subscriber Subscriber United States
Subscriber Subscriber United States
Subscriber Subscriber United Kingdom
Subscriber Subscriber Korea, Republic of
Subscriber Subscriber Germany
Subscriber Subscriber Japan
Subscriber Subscriber United States
Subscriber Subscriber Italy
Subscriber Subscriber United States
Subscriber Subscriber France
Subscriber Subscriber France
Subscriber Subscriber Italy
Subscriber Subscriber Hong Kong
Subscriber Subscriber Belgium
Subscriber Subscriber United States
Subscriber Subscriber Japan
Subscriber Subscriber Sweden
Subscriber Subscriber United States
Subscriber Subscriber Hong Kong
Subscriber Subscriber Austria
Subscriber Subscriber United Kingdom
Subscriber Subscriber France
Subscriber Subscriber Korea, Republic of
Subscriber Subscriber Japan
Subscriber Subscriber Korea, Republic of
Subscriber Subscriber United States
Subscriber Subscriber United States
Subscriber Subscriber United Kingdom
Subscriber Subscriber Hong Kong
Subscriber Subscriber United Kingdom
Subscriber Subscriber United States
Subscriber Subscriber Ireland
Subscriber Subscriber Italy
Subscriber Subscriber United Kingdom
Subscriber Subscriber Japan
Subscriber Subscriber Japan
Subscriber Subscriber United States
Subscriber Subscriber Germany
Subscriber Subscriber United States
Subscriber Subscriber United States
Subscriber Subscriber Poland
Subscriber Subscriber United States
Subscriber Subscriber Hong Kong
Subscriber Subscriber Canada
Subscriber Subscriber Hong Kong
Subscriber Subscriber Japan
Subscriber Subscriber United Kingdom
Subscriber Subscriber United States
Subscriber Subscriber United States
Subscriber Subscriber Japan
Subscriber Subscriber Germany
Subscriber Subscriber United States
Subscriber Subscriber Netherlands
Subscriber Subscriber Spain
Subscriber Subscriber Hong Kong
Subscriber Subscriber Norway
Subscriber Subscriber Japan
Subscriber Subscriber Hong Kong
Subscriber Subscriber United States
Subscriber Subscriber Canada
Subscriber Subscriber Estonia
Subscriber Subscriber Taiwan
Subscriber Subscriber United States
Subscriber Subscriber Netherlands
Subscriber Subscriber Netherlands
Subscriber Subscriber United Kingdom
Subscriber Subscriber United States
Subscriber Subscriber Korea, Republic of
Subscriber Subscriber Spain
Subscriber Subscriber Japan
Subscriber Subscriber Hong Kong
Subscriber Subscriber Japan
Subscriber Subscriber Sweden
Subscriber Subscriber Canada
Subscriber Subscriber Norway
Subscriber Subscriber United States
Subscriber Subscriber Poland
Subscriber Subscriber Canada
Subscriber Subscriber Japan
Subscriber Subscriber United States
Subscriber Subscriber Australia
Subscriber Subscriber United States
Subscriber Subscriber Hong Kong
Subscriber Subscriber United States
Subscriber Subscriber Japan
Subscriber Subscriber United States
Subscriber Subscriber Japan
Subscriber Subscriber United Kingdom
Subscriber Subscriber Germany
Subscriber Subscriber Germany
Subscriber Subscriber Hong Kong
Subscriber Subscriber Canada
Subscriber Subscriber United States
Subscriber Subscriber United States
Subscriber Subscriber Sweden
Subscriber Subscriber Australia
Subscriber Subscriber Canada
Subscriber Subscriber Singapore
Subscriber Subscriber United States
Subscriber Subscriber United States
Subscriber Subscriber Canada
Subscriber Subscriber Hong Kong