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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 -0.8% -3.7% 0.3% -0.9% 2.3% -2.1% 2.1% -0.6%
1 month 4.2% -6.6% 7.2% -1.2% 9.8% 0.9% 10.8% 4.8%
3 months 7.1% -7.7% 3.5% -2.5% 5.4% -2.4% 11.0% 6.7%
6 months 6.3% -6.4% -4.6% -3.5% 0.4% -3.7% 10.6% 4.3%
1 year 16.6% 9.8% 14.2% 26.9% 26.8% 14.6% 12.5% 2.8%
2 years 54.9% 80.8% 33.8% 110.5% 78.9% 65.5% 50.1% 24.3%
Annualised 18.1% 25.6% 8.9% 39.0% 32.2% 25.0% 26.0%
 
Risks
Max Drawdown -14.6% -18.1% -18.4% -21.2% -14.8% -15.2% -11.7%
Avg Holdings 25 25 25 23.2 22.2 25 24.4
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 Technology United Kingdom
Subscriber Subscriber Basic Materials Australia
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Technology Hong Kong
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Energy United States
Subscriber Subscriber Basic Materials Hong Kong
Subscriber Subscriber Financials United Kingdom
Subscriber Subscriber Technology Australia
Subscriber Subscriber Technology Taiwan
Subscriber Subscriber Financials United States
Subscriber Subscriber Basic Materials Korea, Republic of
Subscriber Subscriber