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-conviction momentum portfolio with strong long-run alpha and returns, but materially higher drawdown, beta, and concentration risk than the original plan.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| TER | Teradyne, Inc. | Information Technology | 20.00% | +16.86 |
| ILMN | Illumina, Inc. | Health Care | 18.46% | +17.08 |
| GOOGL | Alphabet Inc. | Communication Services | 15.86% | +14.68 |
| ABNB | Airbnb, Inc. | Consumer Discretionary | 12.61% | +11.70 |
| QCOM | QUALCOMM Incorporated | Information Technology | 4.96% | +4.67 |
| ISRG | Intuitive Surgical, Inc. | Health Care | 3.69% | +3.50 |
| CAT | Caterpillar Inc. | Industrials | 2.99% | +2.86 |
| AMGN | Amgen Inc. | Health Care | 2.59% | +2.49 |
| INCY | Incyte Corporation | Health Care | 2.48% | +2.39 |
| VRTX | Vertex Pharmaceuticals Incorporated | Health Care | 2.34% | +2.26 |
| TEVA | Teva Pharmaceutical Industries Limited | Health Care | 1.61% | +1.59 |
| ALGN | Align Technology, Inc. | Health Care | 1.45% | +1.44 |
| UPS | United Parcel Service, Inc. | Industrials | 1.45% | +1.44 |
| AME | AMETEK, Inc. | Industrials | 1.45% | +1.44 |
| ATI | ATI Inc. | Industrials | 1.34% | +1.34 |
| CRS | Carpenter Technology Corporation | Industrials | 1.34% | +1.34 |
| KMT | Kennametal Inc. | Industrials | 1.34% | +1.34 |
| REGN | Regeneron Pharmaceuticals, Inc. | Health Care | 1.34% | +1.34 |
| JBL | Jabil Inc. | Information Technology | 1.34% | +1.34 |
| EMN | Eastman Chemical Company | Materials | 1.34% | +1.34 |
Sector Exposure
- Health Care33.96%
- Information Technology26.30%
- Communication Services15.86%
- Consumer Discretionary12.61%
- Industrials9.91%
- Materials1.34%
Weight Changes
Notable position adjustments in the latest snapshot.
- TERTeradyne, Inc.20.00% (+16.86)
- ILMNIllumina, Inc.18.46% (+17.08)
- GOOGLAlphabet Inc.15.86% (+14.68)
- ABNBAirbnb, Inc.12.61% (+11.70)
- QCOMQUALCOMM Incorporated4.96% (+4.67)
- ISRGIntuitive Surgical, Inc.3.69% (+3.50)
- CATCaterpillar Inc.2.99% (+2.86)
- AMGNAmgen Inc.2.59% (+2.49)
- INCYIncyte Corporation2.48% (+2.39)
- VRTXVertex Pharmaceuticals Incorporated2.34% (+2.26)
- TEVATeva Pharmaceutical Industries Limited1.61% (+1.59)
- ALGNAlign Technology, Inc.1.45% (+1.44)
- UPSUnited Parcel Service, Inc.1.45% (+1.44)
- AMEAMETEK, Inc.1.45% (+1.44)
- ATIATI Inc.1.34% (+1.34)
- CRSCarpenter Technology Corporation1.34% (+1.34)
- KMTKennametal Inc.1.34% (+1.34)
- REGNRegeneron Pharmaceuticals, Inc.1.34% (+1.34)
- JBLJabil Inc.1.34% (+1.34)
- EMNEastman Chemical Company1.34% (+1.34)
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 | 16.25% | 7.86% | 1.12 | -22.24% |
| Momentum Screen | 32.69% | 14.49% | 1.09 | -40.38% |
| Basic Value Screen | 18.35% | 4.60% | 0.82 | -36.24% |
| Combo Equal Screen | 18.31% | 3.42% | 0.83 | -37.02% |
vs Baseline: Annualized +16.44 · Alpha +6.62 · Sharpe -0.03
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -6.52% | -0.25% | -6.27 | 86.77 | 27 |
| 2023-03-31 | 25.05% | 7.90% | +17.15 | 135.59 | 31 |
| 2023-06-30 | 2.32% | -1.77% | +4.09 | 84.14 | 27 |
| 2023-09-30 | 26.39% | 10.11% | +16.29 | 100.93 | 28 |
| 2023-12-31 | 6.40% | 4.96% | +1.44 | 122.55 | 27 |
| 2024-03-31 | 4.58% | 2.31% | +2.26 | 109.98 | 32 |
| 2024-06-30 | 31.67% | 9.83% | +21.84 | 104.99 | 32 |
| 2024-09-30 | 26.94% | 2.76% | +24.18 | 106.81 | 30 |
| 2024-12-31 | -5.17% | -3.63% | -1.54 | 48.71 | 28 |
| 2025-03-31 | 29.28% | 9.22% | +20.06 | 116.78 | 31 |
| 2025-06-30 | 3.99% | 4.20% | -0.21 | 130.11 | 32 |
| 2025-09-30 | 3.75% | 1.49% | +2.26 | 70.02 | 28 |
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?
Momentum Screen selected TER 20.00%, ILMN 18.46%, GOOGL 15.86%, ABNB 12.61%, QCOM 4.96%, ISRG 3.69%. That is a high-turnover momentum expression rather than a neutral rewrite of the fund. Sector exposure is Health Care 33.96%, Information Technology 26.30%, Communication Services 15.86%, Consumer Discretionary 12.61%. The screen is therefore asking whether these specific winners, not the full disclosed book, are the right way to express the manager's opportunity set.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeights↳ Explain why the selected holdings passed the momentum screen.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
My read is that Momentum Screen improved the return profile. It produced return 32.69%, alpha 14.49%, beta 1.30, Sharpe 1.09, Sortino 1.47, max drawdown -40.38%; compared with Baseline, annualized return changed by 16.44%, Sharpe by -0.03, and max drawdown by -18.14%. The high recent turnover also means implementation cost and stability matter.
strategyViews.momentum-screen.metricsstrategyViews.baseline.metricsstrategyViews.momentum-screen.periodPerformance↳ Compare momentum return improvement against drawdown, Sharpe, and turnover.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The driver evidence is uneven. Upside is best represented by 2024-09-30 (26.94% vs SPY 2.76%, excess 24.18%, turnover 106.81%), while downside/lag risk is shown by 2022-12-31 (-6.52% vs SPY -0.25%, excess -6.27%, turnover 86.77%). Current changes include ILMN raised by 17.08% to 18.46%; TER raised by 16.86% to 20.00% and no large named moves. If the selected list is narrow, those period outcomes are likely tied to just a few holdings rather than broad portfolio skill.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.latestChanges↳ Tie the strongest and weakest momentum periods to selected holdings.
이 펀드의 다른 전략
기준선
Track disclosed holdings with the standard reporting lag and no active reweighting.
기본 가치 스크린
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.
콤보 동일 스크린
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.