The disappointing run from my blue-chip momentum screen has continued over the past three months. Not only have the long picks underperformed the FTSE 100 (the third time this has happened in the past five three-month screening periods), but the shorts have once again outperformed (the fourth time they've done this in the past five quarters). The market's nervousness has really not suited the strategy, with one period's favoured bets quickly becoming yesterday's news. Meanwhile, swift turns in sentiment mean the short portfolio has racked up strong gains over recent periods, most notably due to the incredible rally in resources stocks.
| LONGS | SHORTS | ||
|---|---|---|---|
| Name | 15 Mar - 9 Jun 2016 | Name | 15 Mar - 9 Jun 2016 |
| Anglo American | 37% | Legal & General | 1.7% |
| Glencore | -1.0% | Marks and Spencer | -6.1% |
| Randgold Resources | 4.9% | Whitbread | 6.8% |
| Fresnillo | 31% | Inmarsat | -23% |
| Tesco | -16% | Berkeley | 3.7% |
| Rolls-Royce | -12% | Hikma Pharmaceuticals | 31% |
| Antofagasta | -18% | Royal Bank of Scotland | -5.2% |
| Pearson | -5.3% | Barclays | 7.7% |
| Burberry | -19% | Ashtead | 20% |
| Smiths | 4.5% | Sports Direct Int | -5.4% |
| Average | 0.5% | - | 3.1% |
| FTSE 100 | 1.6% | - | 1.6% |
Source: S&P Capital IQ