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 small-value momentum mix with modest absolute gains, but weak risk-adjusted results and clear underperformance versus SPY.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GOOGL | Alphabet Inc. | Communication Services | 20.00% | +12.65 |
| C | Citigroup Inc. | Financials | 18.94% | +12.84 |
| BIIB | Biogen Inc. | Health Care | 12.96% | +8.86 |
| ILMN | Illumina, Inc. | Health Care | 9.81% | +6.76 |
| UAL | United Airlines Holdings, Inc. | Industrials | 9.52% | +6.57 |
| GM | General Motors Company | Consumer Discretionary | 8.26% | +5.73 |
| MAT | Mattel, Inc. | Consumer Discretionary | 7.38% | +5.15 |
| EXPE | Expedia Group, Inc. | Consumer Discretionary | 6.72% | +4.71 |
| DAL | Delta Air Lines, Inc. | Industrials | 6.41% | +4.50 |
Sector Exposure
- Health Care22.77%
- Consumer Discretionary22.36%
- Communication Services20.00%
- Financials18.94%
- Industrials15.93%
Weight Changes
Notable position adjustments in the latest snapshot.
- GOOGLAlphabet Inc.20.00% (+12.65)
- CCitigroup Inc.18.94% (+12.84)
- BIIBBiogen Inc.12.96% (+8.86)
- ILMNIllumina, Inc.9.81% (+6.76)
- UALUnited Airlines Holdings, Inc.9.52% (+6.57)
- GMGeneral Motors Company8.26% (+5.73)
- MATMattel, Inc.7.38% (+5.15)
- EXPEExpedia Group, Inc.6.72% (+4.71)
- DALDelta Air Lines, Inc.6.41% (+4.50)
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 | 11.22% | 0.87% | 0.68 | -23.04% |
| Momentum Screen | 4.64% | -6.45% | 0.30 | -38.69% |
| Basic Value Screen | 14.22% | 1.98% | 0.62 | -36.97% |
| Combo Equal Screen | 17.36% | 2.71% | 0.72 | -35.87% |
vs Baseline: Annualized -6.59 · Alpha -7.33 · Sharpe -0.37
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -7.62% | -0.25% | -7.36 | 134.81 | 15 |
| 2023-03-31 | 18.33% | 7.90% | +10.43 | 121.65 | 14 |
| 2023-06-30 | -3.28% | -1.77% | -1.51 | 104.40 | 14 |
| 2023-09-30 | 14.29% | 10.11% | +4.18 | 66.23 | 13 |
| 2023-12-31 | 4.05% | 4.96% | -0.91 | 77.68 | 13 |
| 2024-03-31 | -5.96% | 2.31% | -8.27 | 152.15 | 15 |
| 2024-06-30 | 13.81% | 9.83% | +3.99 | 98.74 | 14 |
| 2024-09-30 | -1.34% | 2.76% | -4.10 | 186.35 | 16 |
| 2024-12-31 | -14.53% | -3.63% | -10.90 | 91.37 | 12 |
| 2025-03-31 | 8.45% | 9.22% | -0.77 | 104.16 | 13 |
| 2025-06-30 | -5.18% | 4.20% | -9.38 | 104.85 | 14 |
| 2025-09-30 | 8.59% | 1.49% | +7.10 | 144.84 | 16 |
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 very narrow set of leaders and then scaled them aggressively. Its top names are Alphabet at 20.0%, Citigroup at 18.94%, Biogen at 12.96%, Illumina at 9.81%, United Airlines at 9.52%, General Motors at 8.26%, Mattel at 7.38%, Expedia at 6.72%, and Delta at 6.41%. That is a classic momentum-style concentration outcome: instead of mirroring the baseline’s broader 20-name top set, it amplifies a few winners through large positive weight differences such as +12.65 for GOOGL, +12.84 for C, +8.86 for BIIB, and +6.76 for ILMN.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.latestChangesstrategyViews.momentum-screen.concentration↳ Compare the momentum screen’s kept names and weight increases against the baseline holdings list.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
No. The momentum screen underperformed the baseline on both absolute and risk-adjusted terms while taking much more risk. Annualized return fell to 4.64% from the baseline’s 11.22%, alpha dropped to -6.45 from 0.87, Sharpe fell to 0.30 from 0.68, and max drawdown worsened to -38.69% from -23.04%. Concentration also became extreme, with the top 5 at 71.23% and the top 10 at 100%. The screen did cut the portfolio down to a high-conviction set, but the result was not strong enough to justify the much deeper drawdown and higher beta of 1.09.
strategyViews.momentum-screen.metricsstrategyViews.momentum-screen.metricDeltastrategyViews.momentum-screen.concentrationstrategyViews.baseline.metrics↳ Show a side-by-side table of baseline versus momentum screen on return, alpha, Sharpe, beta, drawdown, and concentration.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The screen’s result is best explained by a few strong bursts followed by repeated reversals. It worked in 2023-03-31 with an 18.33% return and +10.43 points of excess return, and in 2025-09-30 with +8.59% and +7.1 points of excess return. But it failed badly in 2024-12-31 with -14.53% versus SPY’s -3.63%, and in 2025-06-30 with -5.18% versus +4.2% for SPY. Holdings concentration magnified those swings: GOOGL, C, BIIB, ILMN, and UAL alone account for 71.23% of assets, so momentum reversals in a handful of names can dominate the full portfolio outcome.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.concentration↳ Identify which of the momentum screen’s top holdings likely drove its best and worst quarters.
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.