The Top VM Rank screen looks for shares that are both “cheap” and “improving” based on high ratings for both the ValueRank and the MomentumRank. These shares have the highest overall exposures to two of the most powerful profit drivers in the stock market: Value and Momentum. The idea is that these shares are attractively valued but have already caught the attention of other investors and are rising in price. This is the territory of some of the biggest names in quantitative factor-driven investing, such as James O’Shaughnessy.
This screen uses the following criteria:
Results are sorted by:
And limited to the first 200 Results
| Returns |  |
 |
 |
 |
 |
 |
 |
FTSE 100 |
|---|---|---|---|---|---|---|---|---|
| 1 week | 4.0% | 1.1% | 3.4% | 4.1% | 1.6% | 0.6% | 6.6% | 2.6% |
| 1 month | 11.8% | 8.7% | 5.8% | 12.3% | 5.7% | 1.0% | 21.4% | 2.8% |
| 3 months | 17.5% | 8.0% | 9.4% | 16.9% | 3.7% | 7.1% | 32.7% | 0.6% |
| 6 months | 40.6% | 24.8% | 28.3% | 58.4% | 34.3% | 33.2% | 65.9% | 14.9% |
| 1 year | 80.3% | 33.7% | 94.6% | 196.0% | 93.0% | 82.5% | 152.1% | 18.4% |
| 2 years | 41.1% | 17.0% | 35.7% | 104.3% | 56.2% | -2.2% | 68.3% | -6.9% |
| Annualised | 21.8% | 14.4% | 18.1% | 31.2% | 22.2% | 15.3% | 7.0% | |
| Risks | ||||||||
| Max Drawdown | -47.0% | -25.8% | -45.9% | -47.7% | -40.1% | -62.7% | -54.3% | |
| Avg Holdings | 25 | 25 | 25 | 25 | 25 | 25 | 25 | |
| Diversification | Good | Good | Good | Good | Good | Good | Good | |
