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
Highly concentrated momentum tilt with weaker risk-adjusted results than the original plan and deep drawdown risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| VFC | V.F. Corporation | Consumer Discretionary | 50.00% | +25.53 |
| YETI | YETI Holdings, Inc. | Consumer Discretionary | 50.00% | +27.10 |
Sector Exposure
- Consumer Discretionary100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- VFCV.F. Corporation50.00% (+25.53)
- YETIYETI Holdings, Inc.50.00% (+27.10)
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 | 2.77% | 0.87% | 0.41 | -15.55% |
| Momentum Screen | 0.41% | -3.22% | 0.14 | -59.60% |
| Basic Value Screen | 7.06% | 2.04% | 0.38 | -69.92% |
| Combo Equal Screen | 2.51% | 0.85% | 0.45 | -14.53% |
vs Baseline: Annualized -2.36 · Alpha -4.09 · Sharpe -0.27
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 6.75% | -0.25% | +7.01 | 4.54 | 1 |
| 2023-03-31 | -1.36% | 7.90% | -9.26 | 3.29 | 1 |
| 2023-06-30 | -4.20% | -1.77% | -2.44 | 0.02 | 1 |
| 2023-09-30 | 0.00% | 10.11% | -10.11 | 48.68 | 1 |
| 2023-12-31 | -12.69% | 4.96% | -17.65 | 100.00 | 2 |
| 2024-03-31 | 0.00% | 2.31% | -2.31 | 100.17 | 2 |
| 2024-06-30 | 6.05% | 9.83% | -3.78 | 33.33 | 1 |
| 2024-09-30 | 13.05% | 2.76% | +10.28 | 13.95 | 1 |
| 2024-12-31 | -21.22% | -3.63% | -17.59 | 6.04 | 1 |
| 2025-03-31 | 0.00% | 9.22% | -9.22 | 36.21 | 1 |
| 2025-06-30 | 17.93% | 4.20% | +13.73 | 100.00 | 1 |
| 2025-09-30 | 10.45% | 1.49% | +8.97 | 50.13 | 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 momentum screen kept only two names: V.F. Corporation and YETI Holdings, each at 50.0% weight. Both were already major baseline holdings, but the screen amplified them sharply from original weights of 24.47% and 22.9%, adding +25.53 and +27.1 points respectively. That creates a pure Consumer Discretionary momentum expression, with sector weight rising to 100%. The structure reflects a momentum tilt by concentrating entirely in the two names that survived the historically observable momentum filter rather than keeping the broader baseline basket.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeightsstrategyViews.momentum-screen.concentrationdefaultStrategies↳ Show me which baseline names were removed by the momentum screen and how much concentration increased as a result.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
No. The momentum screen did not improve returns enough to justify the added risk. Annualized return fell to 0.41% from the baseline’s 2.77%, total return dropped to 4.01% from 30.03%, and alpha declined to -3.22 from +0.87. At the same time, max drawdown exploded to -59.6% versus the baseline’s -15.55%, and concentration rose to 100% in just two names. Even though beta stayed below 1 at 0.48, the weak Sharpe of 0.14 and Sortino of 0.13 show that the screen’s much deeper drawdown was not compensated by better performance.
strategyViews.momentum-screen.metricsstrategyViews.momentum-screen.metricDeltastrategyViews.momentum-screen.concentrationstrategyViews.baseline.metrics↳ Compare baseline and momentum screen side by side on return, alpha, Sharpe, beta, and max drawdown.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The result is best explained by a mix of extreme two-stock concentration and very uneven period outcomes. The holdings side is simple: VFC and YETI are both 50% positions, so they fully drive outcomes. On the period side, 2025-06-30 stands out positively with +17.93% return and +13.73% excess versus SPY, while 2023-12-31 posted -12.69% return and -17.65% excess, and 2024-12-31 posted -21.22% return and -17.59% excess. The screen also had very high turnover in some periods, including 100.0 at 2023-12-31 and 2025-06-30, which reinforces how timing-sensitive the momentum result was.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.turnoverSeries↳ Highlight the momentum screen’s best and worst quarters and connect them back to its two kept 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.