- Spectacular carnage dealt out to my classic blue-chip momentum screen over the last three months (Longs -7 per cent, FTSE 100 +5 per cent, Shorts +37 per cen)
- ...but performance still looks good over a year (Longs -6 per cent, FTSE 100 -13 per cent, Shorts -24 per cent)
- 10 new blue-chip long and short picks
Anyone who follows goings-on in the 'quant' world (as this column's author nerdishly does) will already have got the message about momentum: it’s been whacked, and whacked bad. What is heralded by some as a 'great rotation' from 'growth' to 'value' has upended momentum strategies.
That’s no surprise because this approach to investing pegs its colours to whatever trend has been dominant in the recent past. So it comes off badly when dominant trends sharply reverse. My classic blue-chip momentum screen provides a front-row seat to the recent carnage.