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 strong alpha, but current results rely on a very concentrated, higher-volatility portfolio.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AMZN | Amazon.com, Inc. | Consumer Discretionary | 50.00% | +44.85 |
| INTU | Intuit Inc. | Information Technology | 50.00% | +43.67 |
Sector Exposure
- Consumer Discretionary50.00%
- Information Technology50.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- AMZNAmazon.com, Inc.50.00% (+44.85)
- INTUIntuit Inc.50.00% (+43.67)
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 | 15.41% | 9.42% | 1.01 | -25.21% |
| Momentum Screen | 19.06% | 13.29% | 0.66 | -37.01% |
| Basic Value Screen | 13.56% | 4.25% | 0.51 | -74.29% |
| Combo Equal Screen | 23.92% | 14.49% | 0.98 | -26.48% |
vs Baseline: Annualized +3.64 · Alpha +3.87 · Sharpe -0.35
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -6.47% | -0.25% | -6.21 | 0.14 | 1 |
| 2023-03-31 | 8.08% | 7.90% | +0.18 | 0.00 | 1 |
| 2023-06-30 | 5.23% | -1.77% | +7.00 | 200.00 | 2 |
| 2023-09-30 | 14.90% | 10.11% | +4.79 | 0.28 | 1 |
| 2023-12-31 | 6.56% | 4.96% | +1.60 | 200.00 | 2 |
| 2024-03-31 | -0.58% | 2.31% | -2.89 | 100.28 | 2 |
| 2024-06-30 | 5.50% | 9.83% | -4.32 | 51.09 | 2 |
| 2024-09-30 | -4.55% | 2.76% | -7.31 | 52.83 | 2 |
| 2024-12-31 | -2.40% | -3.63% | +1.23 | 50.08 | 2 |
| 2025-03-31 | 11.39% | 9.22% | +2.17 | 148.21 | 3 |
| 2025-06-30 | -15.34% | 4.20% | -19.54 | 2.81 | 2 |
| 2025-09-30 | 0.00% | 1.49% | -1.49 | 100.00 | 2 |
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 momentum screen currently kept only two names: AMZN at 50.0% and INTU at 50.0%. Both are substantial increases versus the original disclosed weights of 5.15% for AMZN and 6.33% for INTU, meaning the screen amplified the trend winners instead of preserving the original diversified structure. The result is a pure two-stock portfolio split across Consumer Discretionary and Information Technology. That reflects a strong momentum tilt because the screen concentrated on the few holdings with historically observable price leadership and removed the rest of the baseline lineup, rather than spreading exposure across the broader 11-name disclosed book.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.latestChangesstrategyViews.momentum-screen.sectorWeights↳ Compare AMZN and INTU's recent momentum leadership against the baseline names the screen dropped.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
Only partially. The momentum screen clearly improved headline return: annualizedReturn rose to 19.06% from the baseline 15.41%, totalReturn increased to 230.94% from 167.4%, and alpha improved to 13.29 from 9.42. But the cost was severe: maxDrawdown widened to -37.01% from -25.21%, beta rose to 0.68 from 0.40, volatility increased to 35.6% per the artifact summary, and top holding concentration jumped to 50% with top 5 at 100%. Sharpe also fell to 0.66 from 1.01, so the extra return came with weaker efficiency. If the user values absolute return and can tolerate very high concentration, the screen worked; if they care about drawdown control and risk-adjusted quality, the baseline remains more defensible.
strategyViews.momentum-screen.metrics.annualizedReturnstrategyViews.momentum-screen.metrics.totalReturnstrategyViews.momentum-screen.metrics.alphastrategyViews.momentum-screen.metrics.maxDrawdownstrategyViews.momentum-screen.metrics.betastrategyViews.momentum-screen.metrics.sharpestrategyViews.momentum-screen.metricDeltastrategyViews.momentum-screen.concentration.top5strategyViews.baseline.metrics.annualizedReturnstrategyViews.baseline.metrics.totalReturnstrategyViews.baseline.metrics.alphastrategyViews.baseline.metrics.maxDrawdownstrategyViews.baseline.metrics.betastrategyViews.baseline.metrics.sharpe↳ Recalculate the momentum screen with a lower single-name cap and show how Sharpe and drawdown change.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The result is explained by a handful of high-impact periods and the two-stock concentration in AMZN and INTU. On the positive side, 2023-09-30 returned 14.9% versus 10.11% for SPY (+4.79% excess), 2023-06-30 delivered +7.0% excess, and 2025-03-31 added +2.17% excess. On the negative side, 2025-06-30 lost -15.34% against SPY's +4.2%, a massive -19.54% excess, while 2022-12-31 lagged by -6.21%. Turnover also shows how aggressive the screen was: 200.0 at 2023-06-30 and 2023-12-31, 148.21 at 2025-03-31, and 100.0 at 2025-09-30. Because the latest portfolio is only AMZN and INTU at 50% each, those holdings are the dominant explanation for both the upside bursts and the painful drawdown profile.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.turnoverSeriesstrategyViews.momentum-screen.topHoldings↳ Show me which of AMZN or INTU contributed more to the momentum screen's best and worst quarters.
Weitere Strategien für diesen Fonds
Basisstrategie
Track disclosed holdings with the standard reporting lag and no active reweighting.
Basis-Value-Screening
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.
Kombinations-Gleichgewichtung
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.