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 small-value momentum mix with modest absolute gains, but weak risk-adjusted results and clear underperformance versus SPY.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GOOGL | Alphabet Inc. | Communication Services | 20.00% | +12.65 |
| C | Citigroup Inc. | Financials | 18.94% | +12.84 |
| BIIB | Biogen Inc. | Health Care | 12.96% | +8.86 |
| ILMN | Illumina, Inc. | Health Care | 9.81% | +6.76 |
| UAL | United Airlines Holdings, Inc. | Industrials | 9.52% | +6.57 |
| GM | General Motors Company | Consumer Discretionary | 8.26% | +5.73 |
| MAT | Mattel, Inc. | Consumer Discretionary | 7.38% | +5.15 |
| EXPE | Expedia Group, Inc. | Consumer Discretionary | 6.72% | +4.71 |
| DAL | Delta Air Lines, Inc. | Industrials | 6.41% | +4.50 |
Sector Exposure
- Health Care22.77%
- Consumer Discretionary22.36%
- Communication Services20.00%
- Financials18.94%
- Industrials15.93%
Weight Changes
Notable position adjustments in the latest snapshot.
- GOOGLAlphabet Inc.20.00% (+12.65)
- CCitigroup Inc.18.94% (+12.84)
- BIIBBiogen Inc.12.96% (+8.86)
- ILMNIllumina, Inc.9.81% (+6.76)
- UALUnited Airlines Holdings, Inc.9.52% (+6.57)
- GMGeneral Motors Company8.26% (+5.73)
- MATMattel, Inc.7.38% (+5.15)
- EXPEExpedia Group, Inc.6.72% (+4.71)
- DALDelta Air Lines, Inc.6.41% (+4.50)
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 | 11.22% | 0.87% | 0.68 | -23.04% |
| Momentum Screen | 4.64% | -6.45% | 0.30 | -38.69% |
| Basic Value Screen | 14.22% | 1.98% | 0.62 | -36.97% |
| Combo Equal Screen | 17.36% | 2.71% | 0.72 | -35.87% |
vs Baseline: Annualized -6.59 · Alpha -7.33 · Sharpe -0.37
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -7.62% | -0.25% | -7.36 | 134.81 | 15 |
| 2023-03-31 | 18.33% | 7.90% | +10.43 | 121.65 | 14 |
| 2023-06-30 | -3.28% | -1.77% | -1.51 | 104.40 | 14 |
| 2023-09-30 | 14.29% | 10.11% | +4.18 | 66.23 | 13 |
| 2023-12-31 | 4.05% | 4.96% | -0.91 | 77.68 | 13 |
| 2024-03-31 | -5.96% | 2.31% | -8.27 | 152.15 | 15 |
| 2024-06-30 | 13.81% | 9.83% | +3.99 | 98.74 | 14 |
| 2024-09-30 | -1.34% | 2.76% | -4.10 | 186.35 | 16 |
| 2024-12-31 | -14.53% | -3.63% | -10.90 | 91.37 | 12 |
| 2025-03-31 | 8.45% | 9.22% | -0.77 | 104.16 | 13 |
| 2025-06-30 | -5.18% | 4.20% | -9.38 | 104.85 | 14 |
| 2025-09-30 | 8.59% | 1.49% | +7.10 | 144.84 | 16 |
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 very narrow set of leaders and then scaled them aggressively. Its top names are Alphabet at 20.0%, Citigroup at 18.94%, Biogen at 12.96%, Illumina at 9.81%, United Airlines at 9.52%, General Motors at 8.26%, Mattel at 7.38%, Expedia at 6.72%, and Delta at 6.41%. That is a classic momentum-style concentration outcome: instead of mirroring the baseline’s broader 20-name top set, it amplifies a few winners through large positive weight differences such as +12.65 for GOOGL, +12.84 for C, +8.86 for BIIB, and +6.76 for ILMN.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.latestChangesstrategyViews.momentum-screen.concentration↳ Compare the momentum screen’s kept names and weight increases against the baseline holdings list.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
No. The momentum screen underperformed the baseline on both absolute and risk-adjusted terms while taking much more risk. Annualized return fell to 4.64% from the baseline’s 11.22%, alpha dropped to -6.45 from 0.87, Sharpe fell to 0.30 from 0.68, and max drawdown worsened to -38.69% from -23.04%. Concentration also became extreme, with the top 5 at 71.23% and the top 10 at 100%. The screen did cut the portfolio down to a high-conviction set, but the result was not strong enough to justify the much deeper drawdown and higher beta of 1.09.
strategyViews.momentum-screen.metricsstrategyViews.momentum-screen.metricDeltastrategyViews.momentum-screen.concentrationstrategyViews.baseline.metrics↳ Show a side-by-side table of baseline versus momentum screen on return, alpha, Sharpe, beta, drawdown, and concentration.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The screen’s result is best explained by a few strong bursts followed by repeated reversals. It worked in 2023-03-31 with an 18.33% return and +10.43 points of excess return, and in 2025-09-30 with +8.59% and +7.1 points of excess return. But it failed badly in 2024-12-31 with -14.53% versus SPY’s -3.63%, and in 2025-06-30 with -5.18% versus +4.2% for SPY. Holdings concentration magnified those swings: GOOGL, C, BIIB, ILMN, and UAL alone account for 71.23% of assets, so momentum reversals in a handful of names can dominate the full portfolio outcome.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.concentration↳ Identify which of the momentum screen’s top holdings likely drove its best and worst quarters.
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.