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
Large-growth momentum mix delivered strong absolute returns, but optimization added concentration and drawdown risk with only marginal return improvement.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AAPL | Apple Inc. | Information Technology | 20.00% | +12.91 |
| GOOGL | Alphabet Inc. | Communication Services | 15.90% | +13.32 |
| LLY | Eli Lilly and Company | Health Care | 9.87% | +8.37 |
| JNJ | Johnson & Johnson | Health Care | 6.34% | +5.46 |
| CAT | Caterpillar Inc. | Industrials | 4.08% | +3.60 |
| MRK | Merck & Co., Inc. | Health Care | 4.02% | +3.56 |
| LRCX | Lam Research Corporation | Information Technology | 3.56% | +3.18 |
| AMAT | Applied Materials, Inc. | Information Technology | 3.44% | +3.08 |
| APP | AppLovin Corporation | Information Technology | 3.21% | +2.89 |
| AMGN | Amgen Inc. | Health Care | 3.15% | +2.84 |
| TJX | The TJX Companies, Inc. | Consumer Discretionary | 3.09% | +2.80 |
| ACN | Accenture plc | Information Technology | 3.04% | +2.75 |
| KLAC | KLA Corporation | Information Technology | 2.98% | +2.70 |
| GILD | Gilead Sciences, Inc. | Health Care | 2.92% | +2.65 |
| UNP | Union Pacific Corporation | Industrials | 2.75% | +2.51 |
| NEM | Newmont Corporation | Materials | 2.52% | +2.32 |
| BMY | Bristol-Myers Squibb Company | Health Care | 2.52% | +2.32 |
| LMT | Lockheed Martin Corporation | Industrials | 2.40% | +2.22 |
| UPS | United Parcel Service, Inc. | Industrials | 2.17% | +2.03 |
| COR | Cencora, Inc. | Health Care | 2.05% | +1.94 |
Sector Exposure
- Information Technology36.23%
- Health Care30.87%
- Communication Services15.90%
- Industrials11.40%
- Consumer Discretionary3.09%
- Materials2.52%
Weight Changes
Notable position adjustments in the latest snapshot.
- AAPLApple Inc.20.00% (+12.91)
- GOOGLAlphabet Inc.15.90% (+13.32)
- LLYEli Lilly and Company9.87% (+8.37)
- JNJJohnson & Johnson6.34% (+5.46)
- CATCaterpillar Inc.4.08% (+3.60)
- MRKMerck & Co., Inc.4.02% (+3.56)
- LRCXLam Research Corporation3.56% (+3.18)
- AMATApplied Materials, Inc.3.44% (+3.08)
- APPAppLovin Corporation3.21% (+2.89)
- AMGNAmgen Inc.3.15% (+2.84)
- TJXThe TJX Companies, Inc.3.09% (+2.80)
- ACNAccenture plc3.04% (+2.75)
- KLACKLA Corporation2.98% (+2.70)
- GILDGilead Sciences, Inc.2.92% (+2.65)
- UNPUnion Pacific Corporation2.75% (+2.51)
- NEMNewmont Corporation2.52% (+2.32)
- BMYBristol-Myers Squibb Company2.52% (+2.32)
- LMTLockheed Martin Corporation2.40% (+2.22)
- UPSUnited Parcel Service, Inc.2.17% (+2.03)
- CORCencora, Inc.2.05% (+1.94)
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 | 19.10% | 0.15% | 1.24 | -18.86% |
| Momentum Screen | 19.25% | 0.12% | 1.06 | -22.18% |
| Basic Value Screen | 3.57% | -8.05% | 0.30 | -18.43% |
| Combo Equal Screen | 14.97% | -5.21% | 0.83 | -22.99% |
vs Baseline: Annualized +0.15 · Alpha -0.02 · Sharpe -0.19
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-01-31 | -3.42% | -2.79% | -0.63 | 80.89 | 24 |
| 2025-02-28 | -6.78% | -6.48% | -0.29 | 91.76 | 28 |
| 2025-03-31 | -0.78% | -0.91% | +0.13 | 68.74 | 28 |
| 2025-04-30 | -0.25% | 6.28% | -6.53 | 57.80 | 24 |
| 2025-05-31 | 0.13% | 3.75% | -3.62 | 68.90 | 24 |
| 2025-06-30 | 2.43% | 2.69% | -0.25 | 107.43 | 31 |
| 2025-07-31 | 1.38% | 2.05% | -0.67 | 76.74 | 27 |
| 2025-08-31 | 6.70% | 3.66% | +3.04 | 78.07 | 27 |
| 2025-09-30 | 4.32% | 2.05% | +2.28 | 28.67 | 26 |
| 2025-10-31 | 3.30% | 0.20% | +3.11 | 40.03 | 25 |
| 2025-11-30 | 1.01% | 0.99% | +0.02 | 42.34 | 23 |
| 2025-12-31 | 0.00% | 0.00% | 0 | 30.08 | 25 |
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 a narrow set of strong recent winners and then amplified them aggressively. Its top names are AAPL at 20.0%, GOOGL at 15.9%, LLY at 9.87%, JNJ at 6.34%, CAT at 4.08%, MRK at 4.02%, LRCX at 3.56%, AMAT at 3.44%, and APP at 3.21%. Compared with original weights, the biggest active increases are AAPL +12.91, GOOGL +13.32, LLY +8.37, and JNJ +5.46. Sector weights also tilt heavily toward Information Technology 36.23%, Health Care 30.87%, and Communication Services 15.9%, which is consistent with a trend-following screen that concentrated in a few sectors with strong relative strength.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.latestChangesstrategyViews.momentum-screen.sectorWeights↳ Ask which original baseline leaders were dropped or sharply de-emphasized by the momentum screen.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
Not really. The momentum screen lifted annualized return only slightly, from 19.10% in baseline to 19.25%, and total return from 66.16% to 66.76%, but Sharpe fell from 1.24 to 1.06 and max drawdown worsened from -18.86% to -22.18%. Concentration risk also jumped sharply, with top 5 at 56.19% and top 10 at 73.57%, versus baseline top 10 at 38.83%. So the screen added only about +0.15 annualized return and +0.60 total return while taking materially more drawdown and concentration risk.
strategyViews.baseline.metricsstrategyViews.momentum-screen.metricsstrategyViews.momentum-screen.metricDeltastrategyViews.baseline.concentrationstrategyViews.momentum-screen.concentration↳ Ask for a side-by-side risk budget showing how much extra concentration and drawdown was taken for the momentum screen’s small return gain.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The momentum result is best explained by two things: a few oversized winners and several very weak periods. On the holdings side, AAPL at 20.0% and GOOGL at 15.9% dominate the portfolio, while health-care names like LLY 9.87% and JNJ 6.34% also became major active bets. On the period side, the worst evidence against the screen is 2025-04, when it returned -0.25% versus SPY +6.28% for a -6.53 excess, and 2025-05, when it lagged by -3.62. The strongest recovery periods were 2025-08 (+3.04 excess), 2025-09 (+2.28), and 2025-10 (+3.11), but those came after the strategy had already accepted a deeper -22.18% max drawdown.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.metrics↳ Ask for the specific holdings that hurt the momentum screen most in 2025-04 and helped it most in 2025-08 to 2025-10.
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.