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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.

To learn more about this strategy please click here »

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 < Industry GroupMedian
  • 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 1.9% 3.0% 1.1% -4.5% 0.7% 4.9% 0.8% 1.1%
1 month -3.9% -4.8% -8.2% -5.7% -4.8% -4.0% -3.8% -6.3%
3 months 1.3% 1.2% -8.2% 1.0% -4.7% 0.7% -2.3% -1.9%
6 months 3.1% 7.0% 0.5% 20.4% 5.1% 5.5% -7.9% -1.1%
1 year 20.5% 27.0% 1.2% 43.0% 9.9% 15.7% -9.0% -0.7%
2 years 51.4% 97.5% 24.3% - - - - 21.8%
Annualised 17.5% 29.2% 8.2% 46.7% 33.6% 29.1% 22.2%
 
Risks
Max Drawdown -14.6% -18.1% -18.0% -21.2% -12.6% -15.2% -11.7%
Avg Holdings 25 25 25 23.8 21.8 25 24.3
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 Name Mkt Cap £m P/E P/FCF P/B P/S RS 6m RS 3m EPS Surprise % Last Yr Sector Flag
Subscriber Subscriber Energy United Kingdom
Subscriber Subscriber Basic Materials United Kingdom
Subscriber Subscriber Financials Hong Kong
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Energy Australia
Subscriber Subscriber Technology India
Subscriber Subscriber Industrials Austria
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Financials Canada
Subscriber Subscriber Technology United Kingdom
Subscriber Subscriber Healthcare United States
Subscriber Subscriber Technology Hong Kong
Subscriber Subscriber Energy Hong Kong
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Industrials United Kingdom
Subscriber Subscriber Healthcare Hong Kong
Subscriber Subscriber Energy Hong Kong
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Consumer Cyclicals Hong Kong
Subscriber Subscriber Consumer Cyclicals United Kingdom
Subscriber Subscriber Financials United Kingdom
Subscriber Subscriber Technology United States
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Energy Japan
Subscriber Subscriber Consumer Cyclicals Sweden
Subscriber Subscriber Basic Materials India
Subscriber Subscriber Technology Korea, Republic of
Subscriber Subscriber Utilities Hong Kong
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Financials United Kingdom
Subscriber Subscriber Technology Japan
Subscriber Subscriber Industrials France
Subscriber Subscriber Consumer Cyclicals United States
Subscriber Subscriber Healthcare Hong Kong
Subscriber Subscriber Technology Canada
Subscriber Subscriber Consumer Defensives Korea, Republic of
Subscriber Subscriber Energy United Kingdom
Subscriber Subscriber Healthcare Korea, Republic of
Subscriber Subscriber Energy Sweden
Subscriber Subscriber Financials Japan
Subscriber Subscriber Basic Materials