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 large-growth momentum screen with exceptional backtested upside, but very high volatility and stock-specific risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| CVNA | Carvana Co. | Consumer Discretionary | 33.33% | +3.53 |
| GOOGL | Alphabet Inc. | Communication Services | 33.33% | +30.96 |
| CRM | Salesforce, Inc. | Information Technology | 33.33% | +32.65 |
Sector Exposure
- Consumer Discretionary33.33%
- Communication Services33.33%
- Information Technology33.33%
Weight Changes
Notable position adjustments in the latest snapshot.
- CVNACarvana Co.33.33% (+3.53)
- GOOGLAlphabet Inc.33.33% (+30.96)
- CRMSalesforce, Inc.33.33% (+32.65)
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 | 17.17% | 5.05% | 0.74 | -49.06% |
| Momentum Screen | 78.37% | 57.19% | 1.23 | -53.47% |
| Basic Value Screen | 25.38% | 14.24% | 0.74 | -60.53% |
| Combo Equal Screen | 22.61% | 8.81% | 0.71 | -76.74% |
vs Baseline: Annualized +61.19 · Alpha +52.14 · Sharpe +0.49
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 30.36% | -0.25% | +30.62 | 200.16 | 2 |
| 2023-03-31 | 255.61% | 7.90% | +247.71 | 200.22 | 2 |
| 2023-06-30 | -30.30% | -1.77% | -28.53 | 0.08 | 1 |
| 2023-09-30 | 32.05% | 10.11% | +21.94 | 200.00 | 3 |
| 2023-12-31 | 61.81% | 4.96% | +56.85 | 100.22 | 3 |
| 2024-03-31 | 21.02% | 2.31% | +18.70 | 60.93 | 2 |
| 2024-06-30 | 60.18% | 9.83% | +50.35 | 100.08 | 2 |
| 2024-09-30 | 3.84% | 2.76% | +1.08 | 100.09 | 3 |
| 2024-12-31 | -2.79% | -3.63% | +0.84 | 100.15 | 3 |
| 2025-03-31 | 1.86% | 9.22% | -7.36 | 100.15 | 3 |
| 2025-06-30 | -8.06% | 4.20% | -12.26 | 133.48 | 4 |
| 2025-09-30 | 1.81% | 1.49% | +0.33 | 133.56 | 5 |
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 just three names in the latest view: CVNA, GOOGL, and CRM, each at 33.33%. That is a major shift from the baseline, where GOOGL was only 2.37% and CRM only 0.68%, so the screen aggressively reallocated into names with stronger observable trend characteristics rather than preserving disclosed weights. The resulting sector mix is an equal split across Consumer Discretionary, Communication Services, and Information Technology, and concentration is effectively 99.99% in three stocks. This is a textbook momentum tilt because the strategy narrows the portfolio to a small set of winners and gives each the maximum practical influence.
strategyViews.momentum-screen.topHoldings.symbolstrategyViews.momentum-screen.topHoldings.weightstrategyViews.momentum-screen.topHoldings.originalWeightstrategyViews.momentum-screen.concentration.top5strategyViews.momentum-screen.sectorWeights↳ Compare the momentum screen’s selected names with the baseline holdings and highlight which big baseline positions were dropped.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
The momentum screen dramatically improved return metrics, but whether that justifies the risk depends on your tolerance for extreme concentration and drawdown. Annualized return jumped to 78.37%, alpha to 57.19%, Sharpe to 1.23, and total return to 5200.38%, which are all far above the baseline. However, the strategy still suffered a -53.47% max drawdown, beta rose to 1.19, volatility was very high in the summary, and the latest top 3 holdings account for essentially 100% of the portfolio. So the screen clearly improved returns and risk-adjusted performance statistically, but it did not solve the portfolio’s core fragility problem.
strategyViews.momentum-screen.metrics.annualizedReturnstrategyViews.momentum-screen.metrics.alphastrategyViews.momentum-screen.metrics.sharpestrategyViews.momentum-screen.metrics.totalReturnstrategyViews.momentum-screen.metrics.maxDrawdownstrategyViews.momentum-screen.metrics.betastrategyViews.momentum-screen.summarystrategyViews.momentum-screen.concentration.top5↳ Show me the momentum screen’s return and drawdown versus baseline by year so I can judge whether the extra concentration was worth it.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The momentum result was driven by a few explosive periods and an ultra-concentrated stock mix. In periodPerformance, 2023-03-31 posted 247.71% excess return versus SPY, 2023-09-30 added 21.94%, and 2023-12-31 added 56.85%, while all three came with very high turnover, including 200% in 2023-03-31 and 2023-09-30. The latest holdings show why the path is so unstable: CVNA, GOOGL, and CRM are all 33.33%, with GOOGL and CRM massively overweight versus their original baseline weights. The same concentration that produced huge upside also explains why drawdown still reached -53.47%.
strategyViews.momentum-screen.periodPerformance.periodIdstrategyViews.momentum-screen.periodPerformance.optimizedExcessstrategyViews.momentum-screen.periodPerformance.turnoverstrategyViews.momentum-screen.topHoldings.symbolstrategyViews.momentum-screen.topHoldings.weightstrategyViews.momentum-screen.topHoldings.originalWeightstrategyViews.momentum-screen.metrics.maxDrawdown↳ Break down the momentum screen’s best quarters by selected holding and tell me which stock likely mattered most.
該基金的其它策略
基準
Track disclosed holdings with the standard reporting lag and no active reweighting.
價值篩選
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.
綜合等權
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.