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 momentum tilt delivered strong excess return and alpha, with higher volatility and notable single-period setbacks.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| COF | Capital One Financial Corporation | Financials | 20.00% | +14.21 |
| CRS | Carpenter Technology Corporation | Industrials | 20.00% | +14.37 |
| STX | Seagate Technology Holdings plc | Information Technology | 20.00% | +17.68 |
| NYT | The New York Times Company | Communication Services | 20.00% | +18.87 |
| GOOGL | Alphabet Inc. | Communication Services | 20.00% | +19.76 |
Sector Exposure
- Communication Services40.00%
- Financials20.00%
- Industrials20.00%
- Information Technology20.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- COFCapital One Financial Corporation20.00% (+14.21)
- CRSCarpenter Technology Corporation20.00% (+14.37)
- STXSeagate Technology Holdings plc20.00% (+17.68)
- NYTThe New York Times Company20.00% (+18.87)
- GOOGLAlphabet Inc.20.00% (+19.76)
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 | 15.58% | 2.74% | 0.87 | -31.96% |
| Momentum Screen | 23.09% | 8.75% | 1.00 | -30.31% |
| Basic Value Screen | 15.91% | 2.66% | 0.73 | -41.16% |
| Combo Equal Screen | 15.72% | 2.04% | 0.73 | -49.13% |
vs Baseline: Annualized +7.51 · Alpha +6.01 · Sharpe +0.13
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -4.06% | -0.25% | -3.81 | 150.23 | 7 |
| 2023-03-31 | 15.66% | 7.90% | +7.75 | 150.23 | 7 |
| 2023-06-30 | 3.07% | -1.77% | +4.84 | 52.10 | 5 |
| 2023-09-30 | 21.64% | 10.11% | +11.53 | 105.26 | 6 |
| 2023-12-31 | 13.13% | 4.96% | +8.17 | 152.51 | 7 |
| 2024-03-31 | 2.21% | 2.31% | -0.10 | 105.82 | 6 |
| 2024-06-30 | 16.98% | 9.83% | +7.15 | 120.15 | 7 |
| 2024-09-30 | 10.95% | 2.76% | +8.19 | 140.50 | 9 |
| 2024-12-31 | -7.99% | -3.63% | -4.36 | 126.64 | 10 |
| 2025-03-31 | 6.95% | 9.22% | -2.27 | 164.81 | 11 |
| 2025-06-30 | 17.78% | 4.20% | +13.58 | 108.44 | 9 |
| 2025-09-30 | 5.93% | 1.49% | +4.44 | 91.27 | 8 |
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 five names at equal 20% weights: Capital One Financial, Carpenter Technology, Seagate Technology, The New York Times, and Alphabet. That is a very different portfolio from the baseline, where those same names had much smaller original weights of 5.79%, 5.63%, 2.32%, 1.13%, and 0.24%, respectively. The resulting sector mix is 40% Communication Services, 20% Financials, 20% Industrials, and 20% Information Technology. This reflects a momentum tilt by aggressively concentrating in a small set of names whose historical strength was strong enough to survive the screen and then receive the full single-name cap.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeightsstrategyViews.momentum-screen.latestChangesstrategyViews.momentum-screen.concentration↳ Compare the momentum screen holdings with the baseline top holdings to see which large baseline names were dropped and which smaller names were promoted by trend strength.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
On pure returns, yes; on diversification and path risk, it is a much harder call. The momentum screen lifted annualized return to 23.09% from the baseline’s 15.58%, raised alpha to 8.75 from 2.74, improved Sharpe to 1.00 from 0.87, and increased total return to 636.13% from 301.99%. It also reduced estimated cost to 20.24 versus what would have been even higher trading without optimization, and strategy notes highlight 657 fewer trades than the original momentum candidate process. But the concentration risk is extreme: the top 5 are 100% of the portfolio, beta rose to 1.05, and the strategy still endured a -30.31% max drawdown. So the screen clearly improved return metrics, but it did so by accepting a very narrow and potentially fragile portfolio structure.
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.metrics.totalEstimatedCoststrategyViews.momentum-screen.metricDeltastrategyViews.momentum-screen.concentration↳ View the momentum screen’s concentration, drawdown, and excess-return metrics side by side before deciding whether the higher return is worth the much narrower portfolio.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The strongest evidence comes from the big positive-excess periods in 2023 and 2025 and from the extreme concentration in five names. Period-wise, 2023-09-30 returned 21.64% versus 10.11% for the benchmark, a +11.53 point excess, while 2025-06-30 returned 17.78% versus 4.20%, a +13.58 point excess. Earlier, 2023-03-31 also beat by +7.75 points. The flip side is 2022-12-31 at -4.06% versus -0.25% and 2024-12-31 at -7.99% versus -3.63%, showing how concentrated momentum can stumble. On holdings, the full 100% allocation was split across Capital One, Carpenter Technology, Seagate, New York Times, and Alphabet, so those names were effectively the entire result driver set.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.concentration↳ Open the momentum period-performance history and map the best and worst quarters back to the five selected names to see whether the edge came from one trend cluster or several independent winners.
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.