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
Highly concentrated large-growth momentum tilt with lower trading cost, but weak optimized backtest results versus SPY and the original approach.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AAPL | Apple Inc. | Information Technology | 33.33% | -18.08 |
| GOOGL | Alphabet Inc. | Communication Services | 33.33% | +29.93 |
| DIS | The Walt Disney Company | Communication Services | 33.33% | +32.86 |
Sector Exposure
- Communication Services66.66%
- Information Technology33.33%
Weight Changes
Notable position adjustments in the latest snapshot.
- AAPLApple Inc.33.33% (-18.08)
- GOOGLAlphabet Inc.33.33% (+29.93)
- DISThe Walt Disney Company33.33% (+32.86)
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 | 25.74% | 10.02% | 1.06 | -27.69% |
| Momentum Screen | -2.19% | -13.50% | 0.06 | -42.34% |
| Basic Value Screen | 11.08% | -0.41% | 0.48 | -48.85% |
| Combo Equal Screen | 17.00% | 3.56% | 0.70 | -34.61% |
vs Baseline: Annualized -27.93 · Alpha -23.52 · Sharpe -0.99
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -22.35% | -0.25% | -22.10 | 200.16 | 4 |
| 2023-03-31 | 7.30% | 7.90% | -0.60 | 200.38 | 4 |
| 2023-06-30 | -0.79% | -1.77% | +0.98 | 100.28 | 3 |
| 2023-09-30 | 9.57% | 10.11% | -0.54 | 2.62 | 2 |
| 2023-12-31 | 5.30% | 4.96% | +0.34 | 200.00 | 4 |
| 2024-03-31 | -20.37% | 2.31% | -22.69 | 200.28 | 4 |
| 2024-06-30 | 8.61% | 9.83% | -1.22 | 200.38 | 4 |
| 2024-09-30 | 16.29% | 2.76% | +13.53 | 100.28 | 3 |
| 2024-12-31 | -4.20% | -3.63% | -0.57 | 116.64 | 3 |
| 2025-03-31 | -1.74% | 9.22% | -10.95 | 200.18 | 4 |
| 2025-06-30 | -0.49% | 4.20% | -4.69 | 200.31 | 4 |
| 2025-09-30 | 4.46% | 1.49% | +2.97 | 200.31 | 4 |
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 only three names: AAPL, GOOGL, and DIS, each at 33.33%. That is a sharp departure from the baseline, where AAPL was 51.42%, GOOGL 3.4%, and DIS just 0.47%. The screen heavily boosted Communication Services to 66.66% and reduced the portfolio to a three-stock trend basket, which is consistent with a narrow price-momentum tilt rather than diversified factor exposure.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeightsstrategyViews.momentum-screen.latestChangesstrategyViews.baseline.topHoldings↳ Why did the momentum process elevate GOOGL and DIS so aggressively relative to their baseline weights?
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
No. The momentum screen did not justify its risk. It produced an annualized return of -2.19%, alpha of -13.5, Sharpe of 0.06, and max drawdown of -42.34%, versus the baseline's 25.74% annualized return, 10.02 alpha, 1.06 Sharpe, and -27.69% drawdown. Concentration also remained extreme, with the top 3 effectively 100% of the portfolio and one-third allocated to each of AAPL, GOOGL, and DIS. The return deterioration was far too large relative to the modest cost savings, with total estimated cost 5.3975 still not low enough to compensate for weak gross results.
strategyViews.momentum-screen.metricsstrategyViews.baseline.metricsstrategyViews.momentum-screen.concentrationstrategyViews.momentum-screen.summary↳ Compare momentum-screen and baseline in a side-by-side table for return, alpha, Sharpe, drawdown, and top-3 concentration.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
Several period results explain the weak momentum outcome. The screen had a severe -22.35% return in 2022-12-31 versus SPY at -0.25%, and a -20.37% return in 2024-03-31 while SPY gained 2.31%. Even its better periods were inconsistent: 2024-09-30 delivered +16.29% versus SPY's 2.76%, but 2025-03-31 lost -1.74% while SPY gained 9.22%. On holdings, the latest portfolio concentrated entirely in AAPL, GOOGL, and DIS, and the big weight jump into DIS from 0.47% to 33.33% is especially notable because it turned a minor baseline position into a core bet.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.latestChanges↳ Which momentum-screen periods contributed most to the negative alpha, and was DIS a recurring driver?
Outras estratégias para este fundo
Baseline
Track disclosed holdings with the standard reporting lag and no active reweighting.
Filtro de Valor Básico
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.
Filtro Combo Igualado
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.