A momentum screen based on buying stocks with rising analyst earnings estimate revisions in light of empirical findings that stocks with their estimates revised often outperform the market over at least the next 12 months. Although investing on the basis of broker recommendations alone does not appear to be a successful strategy because of the bias in those recommendations, research suggests that focusing on recent changes in broker recommendations is more fruitful, particularly in combination with other signals. You can read more here. To learn more about this strategy please click here »
American born financial theorist and university professor.
Analyst Forecasts and the Cross Section of European Stock Returns
by Philipp McKnight and Steven Todd
Research on European stock by Todd & McKnightwork found that the positive returns realized on a earnings upgrade portfolio were large and persistent, whereas the sell portfolio generated a near zero return, i.e. the bad news was quickly priced in whereas the good news diffused slowly. This may be because conflicts of interest encourage analysts to report overly optimistic earnings, and investors, aware of these biases, respond by being cynical and adopting a “wait-and-see” approach when it comes to good news.
This screen is based on a UK dataset.
It uses the following criteria:
Results are sorted by:
And limited to the first 200 Results
Earnings Upgrade Momentum Screen Graphical History Returns| Timeframe | Screen Returns | FTSE 100 | Outperformance |
|---|---|---|---|
| 1 week | 5.66% | 1.44% | 4.2% |
| 1 month | 13.18% | 6.08% | 7.1% |
| 3 months | 29.04% | 5.68% | 23.4% |
| 6 months | 51.38% | 19.31% | 32.1% |
| 1 year | 59.21% | 23.73% | 35.5% |
| Since inception | 84.48% | 25.3% | 59.2% |
| Annualised | 53.70% |
Risk| Maximum Drawdown | -17.17% |
| Average No. of Holdings | 10.9 |
| Diversification Level | Moderate |
Chart based on an equal weighted portfolio of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.
| Ticker | Name | Mkt Cap £m | % EPS Upgrade FY1, last month | % EPS Upgrade FY2, last month | # Upgrades (1m) | # Downgrades (1m) | # Brokers | Sector | |
|---|---|---|---|---|---|---|---|---|---|
| Subscriber | Subscriber | Energy | |||||||
| Subscriber | Subscriber | Consumer Cyclicals | |||||||
| Subscriber | Subscriber | Consumer Cyclicals | |||||||
| Subscriber | Subscriber | Technology | |||||||
| Subscriber | Subscriber | Industrials | |||||||
| Subscriber | Subscriber | Energy | |||||||
| Subscriber | Subscriber | Energy | |||||||
| Subscriber | Subscriber | Financials | |||||||
| Subscriber | Subscriber | Energy | |||||||
| Subscriber | Subscriber | Financials | |||||||
| Subscriber | Subscriber | Consumer Cyclicals | |||||||
| Subscriber | Subscriber | Energy | |||||||
| Subscriber | Subscriber | Financials | |||||||
| Subscriber | Subscriber | Technology | |||||||
| Subscriber | Subscriber | Industrials | |||||||
| Subscriber | Subscriber | Financials | |||||||
| Subscriber | Subscriber | Industrials | |||||||
| Subscriber | Subscriber | Technology | |||||||
| Subscriber | Subscriber | Financials | |||||||
| COMPARE | |||||||||
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