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Price Momentum Screen 30 Qualifying

Price Momentum is a momentum investing strategy first credited to research by academics Narasimhan Jegadeesh and Sheridan Titman in their paper, Returns to buying winners and selling losers. As its core measure it looks for the top 25% of stocks in the market ranked by their relative price strength over six and 12 months. Research into momentum strategies has shown that previously winning stocks have a tendency to keep rising in price over the medium term, while previous losers tend to keep falling. Academics and professionals have credited this anomaly to investors being slow to absorb the implications of positive news about stocks, which causes prices to drift up over time. In their 1993 paper, Jegadeesh and Titman wrote: "The strategy we examine in most detail, which selects stocks based on their past 6-month returns and holds them for 6 months, realises a compounded excess return of 12.01% per year on average."

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This is an independent study based upon the methods of...
Picture of Narasimhan Jegadeesh

Narasimhan Jegadeesh

Chair in Finance at the Goizueta Business School. Published extensively in the Journal of Finance.

Returns to Buying Winners and Selling Losers

by Jegadeesh and Titman

Jegadeesh and Titman’s 1993 paper “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency” generally get the credit for “discovering” the momentum effect in academic circles. Their work showed that simple relative strength strategies that rank stocks based on their past 3-12 month returns predicted relative performance over the next 3-12 months.

This screen uses the following criteria:

  • RS 1y > 0
  • RS 6m > 0
  • RS 1m < 0
  • Rank ( Mkt Cap £m ) > 25%
  • Spread (bps) < 1000

Results are sorted by:

  • RS 1y in descending order


And limited to the first 30 Results


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Performance Tracking


Returns FTSE 100
1 week 2.8% 3.6% -1.9% -10.9% 3.7% 2.6% -4.9% 2.8%
1 month 5.3% 0.6% 1.9% -9.8% 2.2% 4.4% -18.4% -0.9%
3 months 10.6% 3.7% 6.6% 5.4% 4.1% -2.5% 0.7% -0.0%
6 months 24.0% -1.3% 30.8% 8.2% -4.8% -14.6% -11.5% 8.5%
1 year 35.3% 3.3% 23.8% 18.1% -30.3% -14.7% 3.0% 2.8%
2 years 73.7% 45.3% 29.1% 42.5% -55.0% -18.9% 9.8% 8.7%
Annualised 20.5% 8.9% -1.8% 32.2% -20.0% -2.6% 9.0%
 
Risks
Max Drawdown -28.9% -53.5% -54.6% -29.3% -61.7% -32.6% -33.4%
Avg Holdings 24.8 23.8 24 24.6 19.2 25 24.7
Diversification Good Good Good Good Good Good Good