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-conviction momentum portfolio with strong long-run alpha and returns, but materially higher drawdown, beta, and concentration risk than the original plan.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| TER | Teradyne, Inc. | Information Technology | 20.00% | +16.86 |
| ILMN | Illumina, Inc. | Health Care | 18.46% | +17.08 |
| GOOGL | Alphabet Inc. | Communication Services | 15.86% | +14.68 |
| ABNB | Airbnb, Inc. | Consumer Discretionary | 12.61% | +11.70 |
| QCOM | QUALCOMM Incorporated | Information Technology | 4.96% | +4.67 |
| ISRG | Intuitive Surgical, Inc. | Health Care | 3.69% | +3.50 |
| CAT | Caterpillar Inc. | Industrials | 2.99% | +2.86 |
| AMGN | Amgen Inc. | Health Care | 2.59% | +2.49 |
| INCY | Incyte Corporation | Health Care | 2.48% | +2.39 |
| VRTX | Vertex Pharmaceuticals Incorporated | Health Care | 2.34% | +2.26 |
| TEVA | Teva Pharmaceutical Industries Limited | Health Care | 1.61% | +1.59 |
| ALGN | Align Technology, Inc. | Health Care | 1.45% | +1.44 |
| UPS | United Parcel Service, Inc. | Industrials | 1.45% | +1.44 |
| AME | AMETEK, Inc. | Industrials | 1.45% | +1.44 |
| ATI | ATI Inc. | Industrials | 1.34% | +1.34 |
| CRS | Carpenter Technology Corporation | Industrials | 1.34% | +1.34 |
| KMT | Kennametal Inc. | Industrials | 1.34% | +1.34 |
| REGN | Regeneron Pharmaceuticals, Inc. | Health Care | 1.34% | +1.34 |
| JBL | Jabil Inc. | Information Technology | 1.34% | +1.34 |
| EMN | Eastman Chemical Company | Materials | 1.34% | +1.34 |
Sector Exposure
- Health Care33.96%
- Information Technology26.30%
- Communication Services15.86%
- Consumer Discretionary12.61%
- Industrials9.91%
- Materials1.34%
Weight Changes
Notable position adjustments in the latest snapshot.
- TERTeradyne, Inc.20.00% (+16.86)
- ILMNIllumina, Inc.18.46% (+17.08)
- GOOGLAlphabet Inc.15.86% (+14.68)
- ABNBAirbnb, Inc.12.61% (+11.70)
- QCOMQUALCOMM Incorporated4.96% (+4.67)
- ISRGIntuitive Surgical, Inc.3.69% (+3.50)
- CATCaterpillar Inc.2.99% (+2.86)
- AMGNAmgen Inc.2.59% (+2.49)
- INCYIncyte Corporation2.48% (+2.39)
- VRTXVertex Pharmaceuticals Incorporated2.34% (+2.26)
- TEVATeva Pharmaceutical Industries Limited1.61% (+1.59)
- ALGNAlign Technology, Inc.1.45% (+1.44)
- UPSUnited Parcel Service, Inc.1.45% (+1.44)
- AMEAMETEK, Inc.1.45% (+1.44)
- ATIATI Inc.1.34% (+1.34)
- CRSCarpenter Technology Corporation1.34% (+1.34)
- KMTKennametal Inc.1.34% (+1.34)
- REGNRegeneron Pharmaceuticals, Inc.1.34% (+1.34)
- JBLJabil Inc.1.34% (+1.34)
- EMNEastman Chemical Company1.34% (+1.34)
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 | 16.25% | 7.86% | 1.12 | -22.24% |
| Momentum Screen | 32.69% | 14.49% | 1.09 | -40.38% |
| Basic Value Screen | 18.35% | 4.60% | 0.82 | -36.24% |
| Combo Equal Screen | 18.31% | 3.42% | 0.83 | -37.02% |
vs Baseline: Annualized +16.44 · Alpha +6.62 · Sharpe -0.03
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -6.52% | -0.25% | -6.27 | 86.77 | 27 |
| 2023-03-31 | 25.05% | 7.90% | +17.15 | 135.59 | 31 |
| 2023-06-30 | 2.32% | -1.77% | +4.09 | 84.14 | 27 |
| 2023-09-30 | 26.39% | 10.11% | +16.29 | 100.93 | 28 |
| 2023-12-31 | 6.40% | 4.96% | +1.44 | 122.55 | 27 |
| 2024-03-31 | 4.58% | 2.31% | +2.26 | 109.98 | 32 |
| 2024-06-30 | 31.67% | 9.83% | +21.84 | 104.99 | 32 |
| 2024-09-30 | 26.94% | 2.76% | +24.18 | 106.81 | 30 |
| 2024-12-31 | -5.17% | -3.63% | -1.54 | 48.71 | 28 |
| 2025-03-31 | 29.28% | 9.22% | +20.06 | 116.78 | 31 |
| 2025-06-30 | 3.99% | 4.20% | -0.21 | 130.11 | 32 |
| 2025-09-30 | 3.75% | 1.49% | +2.26 | 70.02 | 28 |
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 TER 20.00%, ILMN 18.46%, GOOGL 15.86%, ABNB 12.61%, QCOM 4.96%, ISRG 3.69%. That is a high-turnover momentum expression rather than a neutral rewrite of the fund. Sector exposure is Health Care 33.96%, Information Technology 26.30%, Communication Services 15.86%, Consumer Discretionary 12.61%. 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 32.69%, alpha 14.49%, beta 1.30, Sharpe 1.09, Sortino 1.47, max drawdown -40.38%; compared with Baseline, annualized return changed by 16.44%, Sharpe by -0.03, and max drawdown by -18.14%. 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 2024-09-30 (26.94% vs SPY 2.76%, excess 24.18%, turnover 106.81%), while downside/lag risk is shown by 2022-12-31 (-6.52% vs SPY -0.25%, excess -6.27%, turnover 86.77%). Current changes include ILMN raised by 17.08% to 18.46%; TER raised by 16.86% to 20.00% 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.
Autres stratégies pour ce fonds
Référence
Track disclosed holdings with the standard reporting lag and no active reweighting.
Filtre Valeur de base
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.
Filtre Combo Égal
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.