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 strong alpha, but concentrated positions and deep drawdowns raise risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AGO | Assured Guaranty Ltd. | Financials | 20.00% | +19.02 |
| CMC | Commercial Metals Company | Materials | 9.54% | +9.19 |
| TKR | The Timken Company | Industrials | 8.57% | +8.27 |
| RL | Ralph Lauren Corporation | Consumer Discretionary | 8.48% | +8.18 |
| M | Macy's, Inc. | Consumer Discretionary | 7.65% | +7.38 |
| WCC | WESCO International, Inc. | Industrials | 6.37% | +6.15 |
| ATI | ATI Inc. | Industrials | 4.84% | +4.67 |
| AMTM | Amentum Holdings, Inc. | Industrials | 4.63% | +4.47 |
| EPAM | EPAM Systems, Inc. | Information Technology | 3.67% | +3.55 |
| ANF | Abercrombie & Fitch Co. | Consumer Discretionary | 3.34% | +3.23 |
| LEA | Lear Corporation | Consumer Discretionary | 3.33% | +3.22 |
| WFRD | Weatherford International plc | Energy | 2.97% | +2.87 |
| CRI | Carter's, Inc. | Consumer Discretionary | 2.74% | +2.65 |
| AROC | Archrock, Inc. | Energy | 2.52% | +2.44 |
| JBL | Jabil Inc. | Information Technology | 2.12% | +2.06 |
| BOKF | BOK Financial Corporation | Financials | 2.00% | +1.94 |
| ARES | Ares Management Corporation | Financials | 1.92% | +1.87 |
| R | Ryder System, Inc. | Industrials | 1.87% | +1.82 |
| JOE | The St. Joe Company | Real Estate | 1.79% | +1.74 |
| AXS | AXIS Capital Holdings Limited | Financials | 1.65% | +1.60 |
Sector Exposure
- Industrials26.28%
- Financials25.57%
- Consumer Discretionary25.54%
- Materials9.54%
- Information Technology5.79%
- Energy5.49%
- Real Estate1.79%
Weight Changes
Notable position adjustments in the latest snapshot.
- AGOAssured Guaranty Ltd.20.00% (+19.02)
- CMCCommercial Metals Company9.54% (+9.19)
- TKRThe Timken Company8.57% (+8.27)
- RLRalph Lauren Corporation8.48% (+8.18)
- MMacy's, Inc.7.65% (+7.38)
- WCCWESCO International, Inc.6.37% (+6.15)
- ATIATI Inc.4.84% (+4.67)
- AMTMAmentum Holdings, Inc.4.63% (+4.47)
- EPAMEPAM Systems, Inc.3.67% (+3.55)
- ANFAbercrombie & Fitch Co.3.34% (+3.23)
- LEALear Corporation3.33% (+3.22)
- WFRDWeatherford International plc2.97% (+2.87)
- CRICarter's, Inc.2.74% (+2.65)
- AROCArchrock, Inc.2.52% (+2.44)
- JBLJabil Inc.2.12% (+2.06)
- BOKFBOK Financial Corporation2.00% (+1.94)
- ARESAres Management Corporation1.92% (+1.87)
- RRyder System, Inc.1.87% (+1.82)
- JOEThe St. Joe Company1.79% (+1.74)
- AXSAXIS Capital Holdings Limited1.65% (+1.60)
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 | 2.42% | 0.03% | 0.66 | -7.64% |
| Momentum Screen | 14.07% | 0.67% | 0.69 | -40.16% |
| Basic Value Screen | 12.68% | -0.34% | 0.60 | -49.01% |
| Combo Equal Screen | 10.56% | 0.18% | 0.57 | -28.84% |
vs Baseline: Annualized +11.65 · Alpha +0.63 · Sharpe +0.03
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -2.51% | -0.25% | -2.26 | 141.95 | 33 |
| 2023-03-31 | 11.06% | 7.90% | +3.16 | 121.52 | 31 |
| 2023-06-30 | -6.40% | -1.77% | -4.64 | 80.67 | 29 |
| 2023-09-30 | 13.57% | 10.11% | +3.47 | 119.36 | 29 |
| 2023-12-31 | 1.64% | 4.96% | -3.32 | 111.70 | 29 |
| 2024-03-31 | -3.29% | 2.31% | -5.61 | 111.29 | 31 |
| 2024-06-30 | 10.83% | 9.83% | +1.01 | 111.43 | 29 |
| 2024-09-30 | -3.73% | 2.76% | -6.49 | 75.22 | 28 |
| 2024-12-31 | -3.97% | -3.63% | -0.35 | 101.99 | 29 |
| 2025-03-31 | 5.81% | 9.22% | -3.41 | 114.72 | 29 |
| 2025-06-30 | 2.28% | 4.20% | -1.92 | 102.53 | 31 |
| 2025-09-30 | 2.45% | 1.49% | +0.96 | 120.79 | 30 |
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 AGO 20.00%, CMC 9.54%, TKR 8.57%, RL 8.48%, M 7.65%, WCC 6.37%. That is a high-turnover momentum expression rather than a neutral rewrite of the fund. Sector exposure is Industrials 26.28%, Financials 25.57%, Consumer Discretionary 25.54%, Materials 9.54%. 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 14.07%, alpha 0.67%, beta 1.07, Sharpe 0.69, Sortino 0.89, max drawdown -40.16%; compared with Baseline, annualized return changed by 11.65%, Sharpe by 0.03, and max drawdown by -32.52%. 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 2023-09-30 (13.57% vs SPY 10.11%, excess 3.47%, turnover 119.36%), while downside/lag risk is shown by 2024-09-30 (-3.73% vs SPY 2.76%, excess -6.49%, turnover 75.22%). Current changes include AGO raised by 19.02% to 20.00%; CMC raised by 9.19% to 9.54% 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.