Twelve Months Minus One Month Momentum Added To The Screener

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Twelve Months Minus One Month Momentum Added To The Screener (12-1 Month Momentum) by Tim du Toit, Quant Investing

We just added 12 months minus 1 month momentum (Price Index) to the screener.

It is also known as 12-1 month momentum

How it is calculated

In the screener we call momentum Price index and this is how it is calculated:

Price Index 12m Minus 1m = Share price 1 month ago / Share price 12 months ago.

For example

Assume the current date is 1 October 2016.

Price Index 12m Minus 1m = Share price on 1 September 2016 / Share price on 1 October 2015.

The ratio shows you the return of a share price over the past year but excluding the last month.

It is useful to screen out companies with a large jump in share price over the past month which studies have shown usually reverses shortly thereafter.

A value greater than 1 shows that there’s been a price increase over the period whereas a ratio smaller than one shows that there has been a price decrease.

Available as a slider and output column

The ratio is available as an item in the slider as well as an output column in the screener.

This means you can select 12m minus 1m momentum and refine your search with the slider as shown below:

Twelve Months Minus One Month Momentum

Or you can refine your search by sorting the values in the column (simply click the column heading) or by typing a value in the space below the heading and clicking the small funnel icon as shown in the screenshot below.

Twelve Months Minus One Month Momentum

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