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
Concentrated mid-cap momentum portfolio with higher total return than the original plan, but weaker risk-adjusted results and deeper drawdowns.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| RBC | RBC Bearings Incorporated | Industrials | 20.00% | +9.28 |
| CPNG | Coupang, Inc. | Consumer Discretionary | 15.79% | +9.91 |
| APG | APi Group Corporation | Industrials | 15.74% | +9.88 |
| XPO | XPO, Inc. | Industrials | 14.82% | +9.34 |
| CVNA | Carvana Co. | Consumer Discretionary | 11.27% | +7.29 |
| AYI | Acuity Inc. | Industrials | 8.92% | +5.93 |
| TECH | Bio-Techne Corporation | Health Care | 4.81% | +3.55 |
| APP | AppLovin Corporation | Information Technology | 4.47% | +3.36 |
| BKNG | Booking Holdings Inc. | Consumer Discretionary | 4.19% | +3.19 |
Sector Exposure
- Industrials59.48%
- Consumer Discretionary31.25%
- Health Care4.81%
- Information Technology4.47%
Weight Changes
Notable position adjustments in the latest snapshot.
- RBCRBC Bearings Incorporated20.00% (+9.28)
- CPNGCoupang, Inc.15.79% (+9.91)
- APGAPi Group Corporation15.74% (+9.88)
- XPOXPO, Inc.14.82% (+9.34)
- CVNACarvana Co.11.27% (+7.29)
- AYIAcuity Inc.8.92% (+5.93)
- TECHBio-Techne Corporation4.81% (+3.55)
- APPAppLovin Corporation4.47% (+3.36)
- BKNGBooking Holdings Inc.4.19% (+3.19)
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 | 5.85% | 1.81% | 0.64 | -18.12% |
| Momentum Screen | 6.36% | 0.77% | 0.46 | -32.87% |
| Basic Value Screen | 15.25% | 6.95% | 0.82 | -34.89% |
| Combo Equal Screen | 8.90% | 2.39% | 0.48 | -39.03% |
vs Baseline: Annualized +0.51 · Alpha -1.04 · Sharpe -0.18
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -0.42% | -0.25% | -0.17 | 65.97 | 15 |
| 2023-03-31 | 13.40% | 7.90% | +5.49 | 85.59 | 18 |
| 2023-06-30 | -0.90% | -1.77% | +0.87 | 54.70 | 14 |
| 2023-09-30 | 9.47% | 10.11% | -0.63 | 52.26 | 14 |
| 2023-12-31 | -2.50% | 4.96% | -7.46 | 89.54 | 17 |
| 2024-03-31 | -0.86% | 2.31% | -3.18 | 71.12 | 15 |
| 2024-06-30 | 4.90% | 9.83% | -4.93 | 74.35 | 14 |
| 2024-09-30 | -2.14% | 2.76% | -4.90 | 76.93 | 13 |
| 2024-12-31 | -3.85% | -3.63% | -0.22 | 84.79 | 13 |
| 2025-03-31 | 4.71% | 9.22% | -4.51 | 67.00 | 14 |
| 2025-06-30 | -3.63% | 4.20% | -7.83 | 70.01 | 13 |
| 2025-09-30 | 0.70% | 1.49% | -0.78 | 67.85 | 11 |
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 a much smaller, more aggressive set of names and heavily upweighted the strongest trend exposures. Its top holdings are RBC at 20.0%, CPNG at 15.79%, APG at 15.74%, XPO at 14.82%, CVNA at 11.27%, and AYI at 8.92%, with smaller positions in TECH (4.81%), APP (4.47%), and BKNG (4.19%). Relative to the baseline, these are huge active increases: CPNG +9.91 pts, APG +9.88, XPO +9.34, RBC +9.28, and CVNA +7.29. Sector weights show the tilt clearly: Industrials are 59.48% and Consumer Discretionary 31.25%, while the top 5 holdings alone are 77.62%, so the screen expresses momentum through concentrated cyclical winners rather than broad diversification.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.latestChangesstrategyViews.momentum-screen.sectorWeightsstrategyViews.momentum-screen.concentration↳ Can you compare the momentum screen’s kept names against the baseline names it effectively deemphasized or dropped?
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
Only partly. The momentum screen did improve total return from 39.56% in the baseline to 43.57% and annualized return from 5.85% to 6.36%, but the risk cost was steep. Max drawdown worsened from -18.12% to -32.87%, beta rose from 0.31 to 0.47, Sharpe fell from 0.64 to 0.46, Sortino fell from 0.88 to 0.63, and alpha dropped from 1.81 to 0.77. Concentration also jumped, with the top 5 at 77.62% versus the baseline’s 37.05%. So the extra 4.01 pts of total return and 0.51 pts of annualized return did not come with better risk-adjusted quality.
strategyViews.baseline.metricsstrategyViews.momentum-screen.metricsstrategyViews.momentum-screen.metricDeltastrategyViews.baseline.concentrationstrategyViews.momentum-screen.concentration↳ Can you quantify how much of the momentum screen’s extra return came before the worst drawdown period versus after it?
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The result is explained by a few strong rebound periods and several painful lag periods. A standout positive quarter was 2023-03-31, when the momentum screen returned 13.40% versus SPY’s 7.90% for +5.49% excess. But weak periods included 2023-12-31 at -2.50% versus SPY +4.96% (-7.46% excess) and 2025-06-30 at -3.63% versus +4.20% (-7.83% excess). On the holdings side, the latest portfolio shows the screen was driven by oversized positions in RBC (20.0%), CPNG (15.79%), APG (15.74%), XPO (14.82%), and CVNA (11.27%), so those names likely explain much of both the upside and the deep -32.87% drawdown.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.metrics↳ Can you tie the momentum screen’s best and worst quarters to the largest positions like RBC, CPNG, APG, XPO, and CVNA?
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.