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Josef Lakonishok Momentum Screen 200 Qualifying

Josef Lakonishok Momentum is a strategy that uses price and earnings momentum to identify undervalued companies just at the point when the market is starting to recognise them. It is inspired by detailed research by academic and fund manager Josef Lakonishok, who co-wrote the paper Contrarian Investment, Extrapolation, and Risk. The strategy combines value and momentum factors, including the price-to-earnings ratio, relative strength and earnings surprises. Lakonishok wrote: "Regardless of the reason, some investors get overly excited about stocks that have done very well in the past and buy them up, so that these 'glamour' stocks become overpriced. Similarly, they overreact to stocks that have done very badly, oversell them, and these out-of-favour 'value' stocks become underpriced." A Lakonishok-inspired strategy tracked by the American Association of Individual Investors returned 13.9% in the 10 years to the end of 2014, versus 5.4% for the S&P 500.

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This is an independent study based upon the methods of...
Picture of Josef Lakonishok

Josef Lakonishok

CEO and CIO of LSV Asset Management. Former Professor of Finance at the University of Illinois.

Contrarian Investment, Extrapolation, and Risk

by Josef Lakonishok

Featured in Jonathan Burton's Investment Titans, Josef Lakonishok has published numerous papers analysing why and how value & momentum strategies can outperform the market - they are available at this link.

This screen uses the following criteria:

  • P/E < Median P/E
  • RS 6m > 0
  • RS 3m > 0
  • EPS Surprise % Last Yr > 0
  • Mkt Cap £m > 30

Results are sorted by:

  • RS 6m in descending order


And limited to the first 200 Results


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Performance Tracking


Returns FTSE 100
1 week -0.6% -2.6% -0.0% -0.4% -0.9% -1.6% -1.7% -1.0%
1 month -0.9% -0.5% 0.9% 4.2% 0.7% -3.1% 4.0% -0.3%
3 months -1.2% -5.2% 9.0% -2.1% 0.6% -15.5% 4.1% -0.9%
6 months 8.0% -6.7% 12.3% -6.8% 3.8% -7.3% 14.6% 5.9%
1 year 11.1% -0.9% 11.3% 22.6% 8.8% -7.0% 7.3% 3.9%
2 years 48.1% 56.6% 31.2% 64.1% 53.6% 23.4% 17.0% 10.5%
Annualised 17.2% 24.1% 10.5% 34.7% 27.7% 16.1% 24.3%
 
Risks
Max Drawdown -14.6% -18.1% -18.4% -21.2% -14.8% -21.0% -11.7%
Avg Holdings 25 25 25 22.3 22.3 25 24.5
Diversification Good Good Good Good Good Good Good