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
Explosive backtested returns, but the current optimized portfolio is effectively a single high-beta Consumer Discretionary bet.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| CVNA | Carvana Co. | Consumer Discretionary | 100.00% | +16.75 |
Sector Exposure
- Consumer Discretionary100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- CVNACarvana Co.100.00% (+16.75)
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 | 32.42% | 23.07% | 0.93 | -66.04% |
| Momentum Screen | 72.38% | 59.04% | 1.09 | -73.34% |
| Basic Value Screen | -9.78% | -4.74% | 0.27 | -98.99% |
| Combo Equal Screen | 17.94% | 12.36% | 0.89 | -46.49% |
vs Baseline: Annualized +39.95 · Alpha +35.98 · Sharpe +0.16
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -25.19% | -0.25% | -24.93 | 100.00 | 1 |
| 2023-03-31 | 255.61% | 7.90% | +247.71 | 200.20 | 2 |
| 2023-06-30 | -30.30% | -1.77% | -28.53 | 0.08 | 1 |
| 2023-09-30 | 0.00% | 10.11% | -10.11 | 100.00 | 1 |
| 2023-12-31 | 123.50% | 4.96% | +118.54 | 100.00 | 1 |
| 2024-03-31 | 21.00% | 2.31% | +18.68 | 0.06 | 1 |
| 2024-06-30 | 69.00% | 9.83% | +59.17 | 0.00 | 1 |
| 2024-09-30 | 13.29% | 2.76% | +10.53 | 0.00 | 1 |
| 2024-12-31 | 7.08% | -3.63% | +10.70 | 0.00 | 1 |
| 2025-03-31 | 17.64% | 9.22% | +8.42 | 0.00 | 1 |
| 2025-06-30 | -7.02% | 4.20% | -11.22 | 0.00 | 1 |
| 2025-09-30 | 0.00% | 1.49% | -1.49 | 100.00 | 1 |
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 keeps only one name: CVNA at 100.0% weight, up from an original 83.25%, a +16.75 active-weight increase. That is the purest possible momentum tilt because the screen removed all diversification and concentrated entirely in the strongest observable trend candidate from the original set. The artifact summary explicitly says the optimized portfolio is effectively a single high-beta Consumer Discretionary bet.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.latestChangesstrategyViews.momentum-screen.summary↳ Ask which original holdings were excluded by the momentum screen and whether CVNA’s trend signal was persistent or concentrated in a few windows.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
It improved headline returns dramatically, but only by taking far more concentration and drawdown risk. Annualized return rose to 72.38% from the baseline’s 32.42%, alpha to 59.04 from 23.07, and total return to 7112.27 from 808.52. Sharpe improved modestly to 1.09 from 0.93, but max drawdown worsened to -73.34% from -66.04%, beta jumped to 1.52 from 0.88, and the portfolio became 100% CVNA. So the screen improved return enough mathematically, but the risk profile became much harder to justify for anyone who cannot tolerate single-stock collapse risk.
strategyViews.momentum-screen.metricsstrategyViews.momentum-screen.metricDeltastrategyViews.baseline.metricsstrategyViews.momentum-screen.concentration↳ Ask for a side-by-side stress comparison of baseline versus momentum during the worst CVNA drawdowns.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The result is overwhelmingly explained by CVNA and by a few outsized quarters. CVNA is 100.0% of the current portfolio. In period performance, 2023-03-31 returned 255.61% versus SPY’s 7.90% (+247.71 excess), and 2023-12-31 returned 123.50% versus 4.96% (+118.54 excess). On the other hand, 2022-12-31 lost -25.19% versus -0.25%, and 2023-09-30 returned 0.0% versus SPY’s 10.11%, showing how the single-name structure can completely miss or lag periods as well.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.periodPerformance↳ Ask for the exact dates around the 2023-03 and 2023-12 surges to see how much of the momentum backtest came from short bursts in CVNA.
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.