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 concentrated positions and deep drawdowns raise risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AGO | Assured Guaranty Ltd. | Financials | 20.00% | +19.02 |
| CMC | Commercial Metals Company | Materials | 9.54% | +9.19 |
| TKR | The Timken Company | Industrials | 8.57% | +8.27 |
| RL | Ralph Lauren Corporation | Consumer Discretionary | 8.48% | +8.18 |
| M | Macy's, Inc. | Consumer Discretionary | 7.65% | +7.38 |
| WCC | WESCO International, Inc. | Industrials | 6.37% | +6.15 |
| ATI | ATI Inc. | Industrials | 4.84% | +4.67 |
| AMTM | Amentum Holdings, Inc. | Industrials | 4.63% | +4.47 |
| EPAM | EPAM Systems, Inc. | Information Technology | 3.67% | +3.55 |
| ANF | Abercrombie & Fitch Co. | Consumer Discretionary | 3.34% | +3.23 |
| LEA | Lear Corporation | Consumer Discretionary | 3.33% | +3.22 |
| WFRD | Weatherford International plc | Energy | 2.97% | +2.87 |
| CRI | Carter's, Inc. | Consumer Discretionary | 2.74% | +2.65 |
| AROC | Archrock, Inc. | Energy | 2.52% | +2.44 |
| JBL | Jabil Inc. | Information Technology | 2.12% | +2.06 |
| BOKF | BOK Financial Corporation | Financials | 2.00% | +1.94 |
| ARES | Ares Management Corporation | Financials | 1.92% | +1.87 |
| R | Ryder System, Inc. | Industrials | 1.87% | +1.82 |
| JOE | The St. Joe Company | Real Estate | 1.79% | +1.74 |
| AXS | AXIS Capital Holdings Limited | Financials | 1.65% | +1.60 |
Sector Exposure
- Industrials26.28%
- Financials25.57%
- Consumer Discretionary25.54%
- Materials9.54%
- Information Technology5.79%
- Energy5.49%
- Real Estate1.79%
Weight Changes
Notable position adjustments in the latest snapshot.
- AGOAssured Guaranty Ltd.20.00% (+19.02)
- CMCCommercial Metals Company9.54% (+9.19)
- TKRThe Timken Company8.57% (+8.27)
- RLRalph Lauren Corporation8.48% (+8.18)
- MMacy's, Inc.7.65% (+7.38)
- WCCWESCO International, Inc.6.37% (+6.15)
- ATIATI Inc.4.84% (+4.67)
- AMTMAmentum Holdings, Inc.4.63% (+4.47)
- EPAMEPAM Systems, Inc.3.67% (+3.55)
- ANFAbercrombie & Fitch Co.3.34% (+3.23)
- LEALear Corporation3.33% (+3.22)
- WFRDWeatherford International plc2.97% (+2.87)
- CRICarter's, Inc.2.74% (+2.65)
- AROCArchrock, Inc.2.52% (+2.44)
- JBLJabil Inc.2.12% (+2.06)
- BOKFBOK Financial Corporation2.00% (+1.94)
- ARESAres Management Corporation1.92% (+1.87)
- RRyder System, Inc.1.87% (+1.82)
- JOEThe St. Joe Company1.79% (+1.74)
- AXSAXIS Capital Holdings Limited1.65% (+1.60)
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 | 2.42% | 0.03% | 0.66 | -7.64% |
| Momentum Screen | 14.07% | 0.67% | 0.69 | -40.16% |
| Basic Value Screen | 12.68% | -0.34% | 0.60 | -49.01% |
| Combo Equal Screen | 10.56% | 0.18% | 0.57 | -28.84% |
vs Baseline: Annualized +11.65 · Alpha +0.63 · Sharpe +0.03
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -2.51% | -0.25% | -2.26 | 141.95 | 33 |
| 2023-03-31 | 11.06% | 7.90% | +3.16 | 121.52 | 31 |
| 2023-06-30 | -6.40% | -1.77% | -4.64 | 80.67 | 29 |
| 2023-09-30 | 13.57% | 10.11% | +3.47 | 119.36 | 29 |
| 2023-12-31 | 1.64% | 4.96% | -3.32 | 111.70 | 29 |
| 2024-03-31 | -3.29% | 2.31% | -5.61 | 111.29 | 31 |
| 2024-06-30 | 10.83% | 9.83% | +1.01 | 111.43 | 29 |
| 2024-09-30 | -3.73% | 2.76% | -6.49 | 75.22 | 28 |
| 2024-12-31 | -3.97% | -3.63% | -0.35 | 101.99 | 29 |
| 2025-03-31 | 5.81% | 9.22% | -3.41 | 114.72 | 29 |
| 2025-06-30 | 2.28% | 4.20% | -1.92 | 102.53 | 31 |
| 2025-09-30 | 2.45% | 1.49% | +0.96 | 120.79 | 30 |
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?
Momentum Screen selected AGO 20.00%, CMC 9.54%, TKR 8.57%, RL 8.48%, M 7.65%, WCC 6.37%. That is a high-turnover momentum expression rather than a neutral rewrite of the fund. Sector exposure is Industrials 26.28%, Financials 25.57%, Consumer Discretionary 25.54%, Materials 9.54%. The screen is therefore asking whether these specific winners, not the full disclosed book, are the right way to express the manager's opportunity set.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeights↳ Explain why the selected holdings passed the momentum screen.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
My read is that Momentum Screen improved the return profile. It produced return 14.07%, alpha 0.67%, beta 1.07, Sharpe 0.69, Sortino 0.89, max drawdown -40.16%; compared with Baseline, annualized return changed by 11.65%, Sharpe by 0.03, and max drawdown by -32.52%. The high recent turnover also means implementation cost and stability matter.
strategyViews.momentum-screen.metricsstrategyViews.baseline.metricsstrategyViews.momentum-screen.periodPerformance↳ Compare momentum return improvement against drawdown, Sharpe, and turnover.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The driver evidence is uneven. Upside is best represented by 2023-09-30 (13.57% vs SPY 10.11%, excess 3.47%, turnover 119.36%), while downside/lag risk is shown by 2024-09-30 (-3.73% vs SPY 2.76%, excess -6.49%, turnover 75.22%). Current changes include AGO raised by 19.02% to 20.00%; CMC raised by 9.19% to 9.54% and no large named moves. If the selected list is narrow, those period outcomes are likely tied to just a few holdings rather than broad portfolio skill.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.latestChanges↳ Tie the strongest and weakest momentum periods to selected holdings.
Otras estrategias para este fondo
Baseline
Track disclosed holdings with the standard reporting lag and no active reweighting.
Basic Value Screen
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.
Combo Equal Screen
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.