Nineteen momentum-value stocks to turn this screen around

Our Double Up screen, loosely based on a 2023 paper by Tobias Kalsbach and Steffen Windmüller of the Technical University of Munich, seeks to generate alpha from the so-called earnings drift.

This phenomenon is named for the tendency for investors to absorb earnings-impacting news more slowly than you’d assume efficient markets might. The German academics found that this effect is often prevalent when it involves stocks near 52-week highs (or lows), presumably because investors anchor their near-term price expectations to a recent ceiling (or floor).

The screen, which is applied quarterly to constituents of both the FTSE All-Share and Aim indices, is focused on the positive (high price) side of the dynamic. To do so, it uses two data sources that appear weekly in our Ideas Farm section: stocks at or near their one-year highs, and stocks with the largest one-month bumps in consensus earnings forecasts. The Double Up therefore restricts itself to a pair of rules: