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 large-growth momentum portfolio with strong absolute and excess returns, but materially higher drawdown and concentration risk than the original plan.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GOOGL | Alphabet Inc. | Communication Services | 20.00% | +8.19 |
| AMZN | Amazon.com, Inc. | Consumer Discretionary | 14.49% | +6.29 |
| NVDA | NVIDIA Corporation | Information Technology | 12.90% | +5.61 |
| SE | Sea Limited | Consumer Discretionary | 12.36% | +5.38 |
| TTWO | Take-Two Interactive Software, Inc. | Communication Services | 9.42% | +4.11 |
| AVGO | Broadcom Inc. | Information Technology | 6.31% | +2.78 |
| APO | Apollo Global Management, Inc. | Financials | 5.71% | +2.52 |
| APP | AppLovin Corporation | Information Technology | 5.54% | +2.45 |
| LRCX | Lam Research Corporation | Information Technology | 4.27% | +1.90 |
| GEV | GE Vernova Inc. | Industrials | 4.08% | +1.82 |
| CPAY | Corpay, Inc. | Financials | 3.40% | +1.53 |
| AMAT | Applied Materials, Inc. | Information Technology | 1.54% | +0.73 |
Sector Exposure
- Information Technology30.56%
- Communication Services29.42%
- Consumer Discretionary26.85%
- Financials9.11%
- Industrials4.08%
Weight Changes
Notable position adjustments in the latest snapshot.
- GOOGLAlphabet Inc.20.00% (+8.19)
- AMZNAmazon.com, Inc.14.49% (+6.29)
- NVDANVIDIA Corporation12.90% (+5.61)
- SESea Limited12.36% (+5.38)
- TTWOTake-Two Interactive Software, Inc.9.42% (+4.11)
- AVGOBroadcom Inc.6.31% (+2.78)
- APOApollo Global Management, Inc.5.71% (+2.52)
- APPAppLovin Corporation5.54% (+2.45)
- LRCXLam Research Corporation4.27% (+1.90)
- GEVGE Vernova Inc.4.08% (+1.82)
- CPAYCorpay, Inc.3.40% (+1.53)
- AMATApplied Materials, Inc.1.54% (+0.73)
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 | 18.63% | 7.27% | 1.04 | -33.94% |
| Momentum Screen | 22.15% | 7.46% | 0.89 | -46.74% |
| Basic Value Screen | 20.62% | 5.01% | 0.85 | -50.14% |
| Combo Equal Screen | 19.64% | 4.44% | 0.76 | -65.63% |
vs Baseline: Annualized +3.52 · Alpha +0.20 · Sharpe -0.15
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 0.95% | -0.25% | +1.20 | 89.95 | 13 |
| 2023-03-31 | 15.99% | 7.90% | +8.09 | 101.03 | 20 |
| 2023-06-30 | 6.21% | -1.77% | +7.97 | 118.85 | 16 |
| 2023-09-30 | 27.29% | 10.11% | +17.19 | 85.38 | 15 |
| 2023-12-31 | 1.20% | 4.96% | -3.76 | 99.43 | 15 |
| 2024-03-31 | 1.02% | 2.31% | -1.29 | 96.29 | 13 |
| 2024-06-30 | 8.51% | 9.83% | -1.32 | 55.93 | 11 |
| 2024-09-30 | 0.83% | 2.76% | -1.94 | 145.42 | 15 |
| 2024-12-31 | -7.02% | -3.63% | -3.39 | 113.48 | 15 |
| 2025-03-31 | 11.64% | 9.22% | +2.42 | 147.78 | 17 |
| 2025-06-30 | 3.61% | 4.20% | -0.59 | 120.16 | 16 |
| 2025-09-30 | 4.61% | 1.49% | +3.12 | 58.22 | 15 |
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 much tighter list of leaders and then overweighted them aggressively. Its top positions are GOOGL at 20.0%, AMZN at 14.49%, NVDA at 12.9%, SE at 12.36%, and TTWO at 9.42%, followed by AVGO at 6.31%, APO at 5.71%, APP at 5.54%, LRCX at 4.27%, and GEV at 4.08%. That structure is classic momentum behavior: fewer names, higher weights, and heavier concentration in existing winners. Sector exposure confirms it, with Information Technology at 30.56%, Communication Services at 29.42%, and Consumer Discretionary at 26.85%, while the top 10 concentration jumps to 95.08%.
strategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.sectorWeightsstrategyViews.momentum-screen.concentration.top10↳ Compare the momentum screen's selected names and weights against the baseline portfolio.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
The momentum screen clearly improved absolute return, but the trade-off is harsh. Annualized return rose to 22.15% from the baseline's 18.63%, and total return increased to 583.84 from 416.37, with alpha slightly higher at 7.46 versus 7.27. But risk worsened materially: beta climbed to 1.14 from 0.81, max drawdown deepened to -46.74% from -33.94%, and Sharpe fell to 0.89 from 1.04. Concentration also became extreme, with 69.17% in the top 5 and 95.08% in the top 10. So the screen improved returns, but whether it justified the extra risk depends on whether the user can tolerate an additional 12.81 percentage points of drawdown and much higher single-name concentration.
strategyViews.momentum-screen.metricsstrategyViews.momentum-screen.metricDeltastrategyViews.momentum-screen.concentrationstrategyViews.baseline.metrics↳ Show the momentum screen versus baseline on return, Sharpe, beta, max drawdown, and concentration.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The momentum result is best explained by a few high-excess quarters and the concentrated winners it leaned into. In 2023-09-30 the strategy returned 27.29% versus 10.11% for SPY, a 17.19-point excess return. In 2023-06-30 it added 7.97 points of excess return, and in 2023-03-31 it added 8.09 points. Those gains were powered by heavy weights in GOOGL (20.0%), AMZN (14.49%), NVDA (12.9%), SE (12.36%), and TTWO (9.42%). But the downside is visible in weaker periods like 2023-12-31, when excess return was -3.76, and the overall max drawdown hit -46.74%, showing that the same concentration that drove upside also amplified reversals.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.topHoldingsstrategyViews.momentum-screen.metrics.maxDrawdown↳ Highlight the momentum screen's best and worst quarters alongside its biggest positions at the time.
该基金的其它策略
基准
Track disclosed holdings with the standard reporting lag and no active reweighting.
价值筛选
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.
综合等权
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.