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 picks delivered positive returns, but optimized results lagged both SPY and the original screen.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AAPL | Apple Inc. | Information Technology | 20.00% | +6.16 |
| GOOGL | Alphabet Inc. | Communication Services | 20.00% | +13.98 |
| LLY | Eli Lilly and Company | Health Care | 20.00% | +15.61 |
| TSLA | Tesla, Inc. | Consumer Discretionary | 20.00% | +15.52 |
| JNJ | Johnson & Johnson | Health Care | 20.00% | +17.43 |
Sector Exposure
- Health Care40.00%
- Information Technology20.00%
- Communication Services20.00%
- Consumer Discretionary20.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- AAPLApple Inc.20.00% (+6.16)
- GOOGLAlphabet Inc.20.00% (+13.98)
- LLYEli Lilly and Company20.00% (+15.61)
- TSLATesla, Inc.20.00% (+15.52)
- JNJJohnson & Johnson20.00% (+17.43)
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 | 24.67% | 4.97% | 1.13 | -21.61% |
| Momentum Screen | 11.49% | -1.99% | 0.58 | -26.44% |
| Basic Value Screen | 4.10% | -4.63% | 0.33 | -12.97% |
| Combo Equal Screen | 34.72% | 12.69% | 1.39 | -22.83% |
vs Baseline: Annualized -13.18 · Alpha -6.96 · Sharpe -0.55
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-01-31 | -11.56% | -2.79% | -8.77 | 46.57 | 6 |
| 2025-02-28 | -8.70% | -6.48% | -2.22 | 120.08 | 8 |
| 2025-03-31 | 3.93% | -0.91% | +4.84 | 120.20 | 8 |
| 2025-04-30 | -2.29% | 6.28% | -8.58 | 7.42 | 5 |
| 2025-05-31 | -2.25% | 3.75% | -6.00 | 81.56 | 7 |
| 2025-06-30 | 3.63% | 2.69% | +0.95 | 160.12 | 9 |
| 2025-07-31 | -1.71% | 2.05% | -3.77 | 41.22 | 6 |
| 2025-08-31 | 7.00% | 3.66% | +3.35 | 42.89 | 6 |
| 2025-09-30 | 8.69% | 2.05% | +6.64 | 80.55 | 7 |
| 2025-10-31 | 1.49% | 0.20% | +1.30 | 40.78 | 6 |
| 2025-11-30 | -1.08% | 0.99% | -2.07 | 41.71 | 6 |
| 2025-12-31 | 0.00% | 0.00% | 0 | 40.22 | 6 |
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 five names and pushed each to a 20.0% weight: AAPL, GOOGL, LLY, TSLA, and JNJ. That is a very different structure from the baseline, where those names ranged from 2.57% to 13.84%. The screen especially amplified smaller baseline positions such as JNJ (+17.43 points), LLY (+15.61), TSLA (+15.52), and GOOGL (+13.98), creating a concentrated cross-sector basket with heavy Health Care exposure at 40% plus one large tech, one communication-services, and one consumer-discretionary name.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.latestChangesstrategyViews.momentum-screen.sectorWeights↳ Compare the momentum screen’s kept names with the baseline names it removed or sharply de-emphasized.
- 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 concentration and weak efficiency. Annualized return fell to 11.49% from the baseline’s 24.67%, alpha dropped to -1.99 from 4.97, and Sharpe fell to 0.58 from 1.13. Concentration became extreme, with top 5 at 100%, yet max drawdown worsened to -26.44%, deeper than the baseline’s -21.61%, even though beta was lower at 0.90. The strategy also incurred much higher estimated cost at 1.8842 versus 0.2625 for baseline.
strategyViews.momentum-screen.metricsstrategyViews.momentum-screen.concentrationstrategyViews.baseline.metrics↳ Show a side-by-side table of baseline versus momentum screen on return, alpha, Sharpe, drawdown, concentration, and costs.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The momentum screen’s result was shaped by a few sharp wins and several severe misses. The worst single period was 2025-01-31 at -11.56% versus SPY’s -2.79%, a -8.77% excess loss. Another major miss came in 2025-04-30 at -2.29% versus +6.28%, a -8.58% gap. The best offsets were 2025-09-30 at +8.69% versus +2.05% and 2025-03-31 at +3.93% versus -0.91%. Because the portfolio was just AAPL, GOOGL, LLY, TSLA, and JNJ at equal 20% weights, those five names fully explain the path, with Health Care alone representing 40% of assets.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeights↳ Break down the momentum screen by month and estimate which of the five holdings likely drove each big relative move.
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.