A momentum screen based on buying prior winning stocks and selling short prior losers based on the empirical observation that Investments exhibit persistence in their relative performance. Buying winners inherently conflicts with the contrarian philosophy that is part and parcel of many successful investors. Nevertheless, it has long been noted by traders that good performing investments tend to continue to do so, whereas those that have performed relatively poorly tend to continue on the same path. This screen looks for high relative strength in the last six to twelve months compared with the market (top 25%) - relative strength doesn't work over short timeframes, such as one month. It excludes the most illiquid stocks, i.e. the bottom 25% of stocks based on market capitalisation. You can read more here. To learn more about this strategy please click here »
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 is based on a UK dataset.
It uses the following criteria:
Results are sorted by:
And limited to the first 30 Results
| Timeframe | Screen Returns | FTSE 100 | Outperformance |
|---|---|---|---|
| 1 week | 1.76% | 1.97% | -0.2% |
| 1 month | 5.78% | 7.46% | -1.7% |
| 3 months | 6.51% | 5.90% | 0.6% |
| 6 months | 12.30% | 17.74% | -5.4% |
| 1 year | 30.87% | 28.25% | 2.6% |
| Since inception | 40.52% | 26.8% | 13.7% |
| Annualised | 26.74% |
| Maximum Drawdown | -11.40% |
| Average No. of Holdings | 24.6 |
| Diversification Level | Good |
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.
Can't see the share you expect? View this screen as a checklist to find out why.
