Momentum Screen
Select holdings by historically observable momentum, targeting roughly one quarter of each period's original member count and no more than 20 names; when a period has over 100 members, pre-rank to the top 50 first.
AI Summary
High-return momentum screen with improved alpha, but extreme single-stock concentration and deeper drawdowns make risk very elevated.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| LULU | lululemon athletica inc. | Consumer Discretionary | 100.00% | +62.53 |
Sector Exposure
- Consumer Discretionary100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- LULUlululemon athletica inc.100.00% (+62.53)
Performance vs Benchmark
Strategy NAV vs benchmark — hover for exact values.
Alpha Trend
Excess return vs benchmark over time.
Drawdown Trend
Underwater curve and peak drawdown marker.
Turnover Trend
Per-period turnover with average reference.
Strategy Comparison
All four default strategies side-by-side.
| Strategy | Annualized | Alpha | Sharpe | Max DD |
|---|---|---|---|---|
| Baseline | 21.39% | 20.83% | 0.63 | -66.35% |
| Momentum Screen | 22.74% | 27.41% | 0.61 | -77.28% |
| Basic Value Screen | 12.00% | 21.94% | 0.48 | -86.78% |
| Combo Equal Screen | 20.19% | 10.33% | 0.77 | -47.73% |
vs Baseline: Annualized +1.35 · Alpha +6.59 · Sharpe -0.03
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -11.54% | -0.25% | -11.28 | 100.00 | 2 |
| 2023-03-31 | 10.04% | 7.90% | +2.13 | 175.17 | 5 |
| 2023-06-30 | -7.02% | -1.77% | -5.25 | 156.48 | 8 |
| 2023-09-30 | 9.08% | 10.11% | -1.03 | 150.25 | 7 |
| 2023-12-31 | 9.63% | 4.96% | +4.67 | 154.28 | 7 |
| 2024-03-31 | -17.46% | 2.31% | -19.77 | 118.49 | 7 |
| 2024-06-30 | 7.85% | 9.83% | -1.98 | 150.22 | 4 |
| 2024-09-30 | 25.55% | 2.76% | +22.79 | 53.13 | 2 |
| 2024-12-31 | -11.77% | -3.63% | -8.14 | 100.06 | 3 |
| 2025-03-31 | 49.73% | 9.22% | +40.51 | 161.12 | 3 |
| 2025-06-30 | 0.47% | 4.20% | -3.73 | 0.16 | 1 |
| 2025-09-30 | 0.00% | 1.49% | -1.49 | 100.00 | 1 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Which names did the momentum screen keep, and how does that reflect a momentum tilt?
The latest momentum screen ended up keeping only LULU, with a 100.0% weight versus its 37.47% original baseline weight, a +62.53 point active overweight. Sector exposure is therefore 100.0% Consumer Discretionary. That is a textbook momentum outcome in this artifact: instead of retaining all three disclosed names, the screen concentrated entirely in the one name that ranked well enough to survive its historical momentum filter.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeightsstrategyViews.momentum-screen.latestChangestopHoldings↳ Show me when LULU first became the sole momentum-screen holding and how its NAV path compared with the baseline after selection.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
Only partly. The momentum screen raised annualized return to 22.74% from the baseline’s 21.39%, improved alpha to 27.41 from 20.83, and increased total return to 615.94 from 543.82. But the cost was worse risk concentration and deeper losses: max drawdown deteriorated to -77.28% from -66.35%, beta rose to 0.75 from 0.57, and the latest portfolio became a 100% single-stock position in LULU. Sharpe also slipped to 0.61 from 0.63 and Sortino to 0.84 from 0.87. So the extra return came with materially worse drawdown and concentration, making the trade-off hard to justify for most users.
strategyViews.momentum-screen.metrics.annualizedReturnstrategyViews.baseline.metrics.annualizedReturnstrategyViews.momentum-screen.metrics.alphastrategyViews.baseline.metrics.alphastrategyViews.momentum-screen.metrics.totalReturnstrategyViews.baseline.metrics.totalReturnstrategyViews.momentum-screen.metrics.maxDrawdownstrategyViews.baseline.metrics.maxDrawdownstrategyViews.momentum-screen.metrics.betastrategyViews.baseline.metrics.betastrategyViews.momentum-screen.metrics.sharpestrategyViews.baseline.metrics.sharpestrategyViews.momentum-screen.metrics.sortinostrategyViews.baseline.metrics.sortinostrategyViews.momentum-screen.topHoldings↳ Quantify how much of the momentum screen’s excess return came from LULU versus how much extra drawdown it introduced.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The result is best explained by a few very large periods and by LULU’s latest dominance. In 2025-03-31, the momentum screen returned 49.73% versus SPY’s 9.22%, a +40.51% excess period with 154.69 turnover. In 2024-09-30, it gained 25.55% versus SPY’s 2.76%, adding +22.79% excess return with only 53.13 turnover. But weak stretches mattered too: 2023-06-30 delivered -7.02% versus -1.77% for SPY, and 2024-12-31 lost -11.77% versus -3.63%. The latest portfolio structure also shows the holding driver clearly: LULU is 100.0% of the screen today.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.topHoldings↳ Break the momentum screen into best and worst quarters and link each quarter’s return to the selected holdings at that time.
استراتيجيات أخرى لهذا الصندوق
الخط الأساسي
Track disclosed holdings with the standard reporting lag and no active reweighting.
فلتر القيمة الأساسي
Select holdings using PE, PB, P/FCF, and EV/EBITDA, targeting roughly one quarter of each period's original member count and no more than 20 names; when a period has over 100 members, pre-rank to the top 50 first.
الفلتر المركّب المتساوي
Filter for large-cap, quality, and low-leverage holdings, rank by composite quality/value/size score, keep the top 20 names, and equal-weight the selected names.