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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 -1.7% -3.3% -3.2% 0.6% -1.5% 1.5% -1.3% -1.5%
1 month -2.9% -5.8% -3.1% -0.1% -4.8% -0.4% 0.1% -1.4%
3 months -9.3% -10.3% -10.5% -19.1% -13.9% -5.9% -5.7% -8.5%
6 months -8.5% -9.5% 1.3% -12.7% -4.1% -6.1% -2.0% -10.7%
1 year 0.6% -2.6% 0.4% -10.0% -7.9% -2.4% 2.4% -6.0%
2 years 20.9% 20.1% 23.9% 45.4% 2.0% 12.7% 31.9% 2.5%
Annualised 12.3% 17.2% 17.9% 28.4% 10.8% 6.5% 21.4%
 
Risks
Max Drawdown -15.0% -14.5% -12.8% -23.4% -15.7% -15.2% -13.1%
Avg Holdings 24.7 24.6 24.8 25 22.7 25 25
Diversification Good Good Good Good Good Good Good