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
High-return momentum screen with improved alpha and efficiency, but current exposure is fully concentrated in a single large-growth stock.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GOOGL | Alphabet Inc. | Communication Services | 100.00% | +95.02 |
Sector Exposure
- Communication Services100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- GOOGLAlphabet Inc.100.00% (+95.02)
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 | 18.06% | 5.06% | 0.91 | -34.39% |
| Momentum Screen | 25.67% | 11.49% | 1.01 | -48.20% |
| Basic Value Screen | 14.20% | 4.11% | 0.60 | -43.89% |
| Combo Equal Screen | 17.54% | 3.69% | 0.75 | -38.39% |
vs Baseline: Annualized +7.61 · Alpha +6.43 · Sharpe +0.09
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 0.21% | -0.25% | +0.46 | 0.29 | 1 |
| 2023-03-31 | 12.39% | 7.90% | +4.49 | 200.00 | 2 |
| 2023-06-30 | 0.02% | -1.77% | +1.78 | 200.26 | 3 |
| 2023-09-30 | 8.63% | 10.11% | -1.47 | 99.33 | 2 |
| 2023-12-31 | 19.57% | 4.96% | +14.61 | 200.14 | 3 |
| 2024-03-31 | 2.75% | 2.31% | +0.44 | 84.35 | 2 |
| 2024-06-30 | 2.86% | 9.83% | -6.97 | 200.12 | 2 |
| 2024-09-30 | 15.42% | 2.76% | +12.66 | 200.29 | 2 |
| 2024-12-31 | 0.75% | -3.63% | +4.38 | 0.26 | 1 |
| 2025-03-31 | 17.26% | 9.22% | +8.04 | 200.00 | 2 |
| 2025-06-30 | 12.78% | 4.20% | +8.58 | 0.25 | 1 |
| 2025-09-30 | 13.28% | 1.49% | +11.79 | 200.00 | 2 |
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 currently kept only Alphabet, with GOOGL at 100.0% weight. That is an extreme momentum tilt because the screen removed every other baseline holding and replaced a 6-name baseline with a single Communication Services position. The weight difference is huge: Alphabet's momentum-screen weight is 100.0% versus only 4.98% in the baseline top holdings. The artifact summary explicitly notes the portfolio is fully concentrated in one large-growth stock, which is consistent with a pure trend-following outcome rather than diversified factor exposure.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeightsstrategyViews.momentum-screen.summary↳ Show which baseline holdings were removed by the momentum screen and what weights they had before removal.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
It improved returns a lot, but the trade-off is aggressive. The momentum screen raised annualized return to 25.67% from the baseline's 18.06%, lifted alpha to 11.49 from 5.06, and increased total return to 797.92% from 392.81%. However, max drawdown worsened to -48.20% from -34.39%, beta rose to 1.05 from 0.97, and the current portfolio became 100% concentrated in one stock. Sharpe only improved from 0.91 to 1.01, so the extra return was real but came with much more severe downside and concentration risk than the modest Sharpe improvement alone might justify.
strategyViews.momentum-screen.metricsstrategyViews.momentum-screen.metricDeltastrategyViews.baseline.metricsstrategyViews.momentum-screen.concentration↳ Compare momentum-screen and baseline on return, Sharpe, beta, drawdown, and current concentration in one table.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
Alphabet is the clearest holding-level driver because the latest momentum-screen portfolio is 100% GOOGL. At the period level, several recent quarters show why the backtest result became so strong: 2023-12-31 delivered 19.57% versus SPY's 4.96%, a +14.61-point excess, 2024-09-30 delivered +12.66 points of excess return, and 2025-09-30 delivered +11.79 points. But the turnover cost of that style is visible too: 2023-03-31, 2023-06-30, 2023-12-31, 2024-09-30, 2025-03-31, and 2025-09-30 all show turnover near or at 200%, which helps explain the strategy's higher execution sensitivity and concentrated risk.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.turnoverSeries↳ List the momentum screen’s best and worst excess-return quarters with turnover and trade count.
このファンドの他の戦略
ベースライン
Track disclosed holdings with the standard reporting lag and no active reweighting.
バリュースクリーン
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.
コンボ均等スクリーン
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.