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52 Week High Momentum Screen 50 Qualifying

52 Week High Momentum is momentum strategy that was explored in a paper called The 52-Week High and Momentum Investing by academics Thomas George and Chuan-Yang Hwang. It capitalises on the positive momentum effect which appears to cause stocks that are at, or close to, their 52 week high prices continuing to outperform. It is believed to work because investors tend to under-react to positive news about previously successful stocks and are reluctant to bid their prices higher, even if the positive news warrants it. When the full impact of the information prevails, and the 52 week high is broken, the market "wakes up" and prices see further gains. George and Hwang wrote: "Our results indicate that the 52-week measure has predictive power whether or not individual stocks have had extreme past returns. This suggests that price level is important, and is consistent with an anchor-and-adjust bias." The original research found that, between 1963 - 2001, the average monthly gain to this strategy assuming a 6 month hold was 0.45% - "about twice as large as those associated with other momentum strategies".

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This is an independent study based upon the methods of...
Picture of Thomas George

Thomas George

Finance Professor at University of Houston’s C. T. Bauer College of Business.

The 52-Week High and Momentum Investin

by George & Hwang

Work by researchers George and Hwang published in the Journal of Finance found that, between 1963 – 2001, the average monthly gain to this strategy assuming a 6 month hold was 0.45% - “about twice as large as those associated with other momentum strategies”. Returns were also very persistent. Work by JP Morgan came to similar conclusions about the effectiveness of the strategy.

This screen uses the following criteria:

  • Rank ( % vs. 52w High ) > 90%
  • Is Primary Listing == 1
  • Mkt Cap £m > 25
  • Spread (bps) < 500

Results are sorted by:

  • % vs. 52w High in descending order


And limited to the first 50 Results


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Performance Tracking


Returns FTSE 100
1 week 1.5% 0.2% -0.7% -0.6% -0.4% -1.8% -2.6% 1.3%
1 month -2.8% -0.5% 3.3% -0.9% -0.8% 2.2% -4.0% -1.8%
3 months -1.7% -0.9% 15.0% 19.2% 0.5% 11.6% 9.5% 0.2%
6 months 6.6% 4.7% 13.5% 29.4% 6.3% 15.1% 22.6% -0.8%
1 year 21.0% 26.2% 23.6% 62.2% 8.4% 21.3% 31.2% 6.7%
2 years 28.4% 64.5% 52.5% - - - - 20.5%
Annualised 14.4% 22.0% 24.1% 57.5% 22.1% 12.5% 32.7%
 
Risks
Max Drawdown -15.0% -14.5% -12.8% -20.4% -11.2% -15.2% -10.2%
Avg Holdings 24.7 24.5 24.7 25 21.4 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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50 Qualifying

Ticker Name Mkt Cap £m % vs. 52w High Momentum Rank Spread (bps) P/E Sector Flag
Subscriber Subscriber Healthcare United Kingdom
Subscriber Subscriber Technology Japan
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials Italy
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Financials Netherlands
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Consumer Cyclicals Portugal
Subscriber Subscriber Financials Australia
Subscriber Subscriber Financials Japan
Subscriber Subscriber Financials Singapore
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Financials Singapore
Subscriber Subscriber Financials Australia
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals Germany
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Financials United States
Subscriber Subscriber Financials Ireland
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Financials Denmark
Subscriber Subscriber Telecoms Australia
Subscriber Subscriber Financials Switzerland
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Consumer Cyclicals Australia
Subscriber Subscriber Consumer Cyclicals Australia
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Financials France
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Financials Japan
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Financials Australia
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Technology Australia
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Technology Hong Kong
Subscriber Subscriber Technology France
Subscriber Subscriber Technology Korea, Republic of
Subscriber Subscriber Technology Japan
Subscriber Subscriber Technology Switzerland
Subscriber Subscriber Technology Taiwan
Subscriber Subscriber Technology Taiwan
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Industrials Japan

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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