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The Momentum Strategy’s Trading List Selectors

The List Selector for the Momentum strategy is very similar to that defined for the Value & Growth strategy, so please refer to that for a detailed explanation of the terms. The key differences are:

  • Momentum requires a tighter spread of < 2% and picks larger cap companies with > £100M
  • Instead of selecting for good ROCE or CROCI results, the Momentum strategy picks shares whose 60 day price trend is growing at an annual rate greater than or equal to the threshold set in the Momentum strategy term Target Channel Growth Rate, which is defined as:

‘Target Channel Growth Rate’ = 20%

The Momentum list is also selected for liquidity and manageable debt in the same way as the V&G list:

‘Momentum Growth Shares’ list is the top 80 securities (in descending order of each listed security’s yearly % growth of the trend in its day’s price (P), over the last 60 days (ending today)) in the ‘High Liquidity’ list. These securities are selected every month; where:

  • ‘High Liquidity’ = the ‘High Growth’ list, after selecting those securities whose simple average of the trading volume, over the last 60 days, is greater than or equal to the nominal trade-size (£), MULTIPLIED by 100, DIVIDED by each listed security’s close price, MULTIPLIED by ‘Liquidity Cover’
  • ‘High Growth’ = the ‘Manageable Debt’ list, after selecting those securities whose yearly % growth of the trend in its day’s price (P), over the last 60 days (ending today), is greater than or equal to ‘Target Channel Growth Rate’
  • ‘Manageable Debt’ = the ‘Larger Cap’ list, after selecting those securities whose net gearing (ex. intangibles) is less than or equal to 80%, AND whose interest cover is greater than or equal to 2, OR whose net gearing (ex. intangibles) is equal to 0%, OR whose net gearing (ex. intangibles) is not defined
  • ‘Larger Cap’ = the trading universe list, after selecting those securities whose spread (average) is less than or equal to 2%, AND whose market capital (£) is greater than or equal to 100

[LINKED] ‘Index’ list is the empty list PLUS the instrument “FTSE All-Share (ASX)”. These securities are selected once

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