Factor investing - the practice of isolating stocks which score highly on isolated risk-return metrics or 'factors' - has been much in vogue for the past five years or so, with a proliferation in so-called smart beta ETFs which aim to isolate factor returns. Arguably the investment phenomenon that excites academics the most is momentum, which is the process whereby rising share prices tend to beget more of the same.
In the past five years Investors Chronicle's Great Expectations screen, which is published annually in the magazine and online, has achieved strong performance of 220 per cent cumulative total returns, compared to 62 per cent for the FTSE 350. The Alpha momentum screens apply the same methodology to the FTSE All-Share, All Small and Aim indices, providing a starting point for looking at a wider range of companies demonstrating not just price, but also earnings, momentum. We will update the AlphaScreens results every month.
