• Financials30.88%
• Information Technology20.86%
• Health Care12.25%
• Consumer Staples8.60%
• Industrials7.22%
• Materials6.33%
• Utilities6.01%
• Consumer Discretionary3.97%

• FCNC.AFirst Citizens BancShares, Inc.10.39% (+6.35)
• DLTRDollar Tree, Inc.8.60% (+5.26)
• TCBITexas Capital Bancshares, Inc.8.49% (+5.19)
• LASRnLIGHT, Inc.8.08% (+4.94)
• NVSTEnvista Holdings Corporation7.45% (+4.55)
• AXSAXIS Capital Holdings Limited7.22% (+4.41)
• CACICACI International Inc7.22% (+4.41)
• MIRMirion Technologies, Inc.7.11% (+4.34)
• CCKCrown Holdings, Inc.6.33% (+3.87)
• BEPCBrookfield Renewable Corporation6.01% (+3.67)
• TRMBTrimble Inc.5.67% (+3.46)
• TFXTeleflex Incorporated4.80% (+2.94)
• LPLALPL Financial Holdings Inc.4.78% (+2.92)
• VFCV.F. Corporation3.97% (+2.43)
• SUISun Communities, Inc.3.88% (+2.37)

vs Baseline: Annualized +4.49 · Alpha -0.25 · Sharpe -0.11

• momentum13FChat AI

  Which names did the momentum screen keep, and how does that reflect a momentum tilt?

  The momentum screen kept a concentrated subset led by FCNC.A, DLTR, TCBI, LASR, NVST, AXS, CACI, MIR, CCK, and BEPC. These top 10 names alone account for 76.90% of the portfolio, versus just 29.95% in the baseline, so the screen expresses momentum partly through concentration rather than broad diversification. The top five weights were pushed to 10.39%, 8.60%, 8.49%, 8.08%, and 7.45%, meaning the screen heavily favored a small group of winners relative to the original disclosed weights of 4.04%, 3.34%, 3.30%, 3.14%, and 2.90%. Sector-wise, it leans toward Financials at 30.88% and Information Technology at 20.86%, with the rest concentrated in Health Care, Consumer Staples, Industrials, Materials, and Utilities.

  strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.concentration.top10strategyViews.baseline.concentration.top10strategyViews.momentum-screen.sectorWeights

  ↳ Compare the momentum screen’s kept names with the baseline’s removed or down-weighted names and show which had the strongest trailing trend and sector clustering.

• momentum13FChat AI

  Did the momentum screen improve returns enough to justify its drawdown and concentration risk?

  It improved returns dramatically, but whether that justifies the added risk depends on your tolerance for much deeper losses. Annualized return rose to 10.76% from 6.27%, and totalReturn increased to 167.03 from 79.42, a gain of 87.61 percentage points. However, the cost was a much worse maxDrawdown of -44.84% versus -19.46%, weaker Sharpe of 0.62 versus 0.73, lower Sortino of 0.70 versus 0.90, and top10 concentration of 76.90% versus 29.95% in the baseline. So the momentum screen clearly increased absolute performance, but it did not improve risk-adjusted quality enough to make the decision obvious for a conservative investor.

  strategyViews.momentum-screen.metrics.annualizedReturnstrategyViews.momentum-screen.metrics.totalReturnstrategyViews.momentum-screen.metrics.maxDrawdownstrategyViews.momentum-screen.metrics.sharpestrategyViews.momentum-screen.metrics.sortinostrategyViews.momentum-screen.metricDeltastrategyViews.momentum-screen.concentration.top10strategyViews.baseline.metrics.annualizedReturnstrategyViews.baseline.metrics.totalReturnstrategyViews.baseline.metrics.maxDrawdownstrategyViews.baseline.metrics.sharpestrategyViews.baseline.metrics.sortinostrategyViews.baseline.concentration.top10

  ↳ Show me the momentum screen’s best and worst rolling 12-month periods so I can judge whether the higher return compensates for the much deeper drawdowns.

• momentum13FChat AI

  Which periods or holdings most clearly explain the momentum screen's result?

  The strongest explanations come from its concentrated holdings and several high-turnover periods. The holdings side is obvious: FCNC.A at 10.39%, DLTR at 8.60%, TCBI at 8.49%, LASR at 8.08%, and NVST at 7.45% created a top5 concentration of 43.01% and top10 of 76.90%, far above baseline. Period-wise, weak recent windows include 2023-09-30 with 2.48% return versus SPY’s 10.11% (-7.63% excess) and 2024-12-31 with just 0.14% in baseline but the momentum screen still carrying high concentration risk even when excess return was positive in some windows. The artifact’s risk notes also flag especially severe turnover in bad periods, and the turnoverSeries confirms spikes such as 89.90 in 2023-03-31 and 67.49 in 2023-12-31, which likely amplified timing risk around delayed momentum signals.

  strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.concentration.top5strategyViews.momentum-screen.concentration.top10strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.turnoverSeriesstrategyViews.momentum-screen.riskNotes

  ↳ Break down the momentum screen’s strongest and weakest periods by top holding contribution and turnover so I can see whether stock selection or timing drove the outcome.