Twelve months minus one month momentum added to the screener (12-1 month momentum)
We just added 12 months minus 1 month (12-1 month) momentum to the Quant Investing stock screener.
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.
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 value smaller than one shows that there has been a price decrease.
Available as a slider and output column
The ratio is available as a primary ratio which you can select using the slider, as well as an output column (so that you can screen for exact values) in the screener.
This means you can select 12m minus 1m momentum and refine your search with the slider as shown below:
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.