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 improvement, but the current portfolio is effectively a single-stock bet with elevated drawdown risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GPI | Group 1 Automotive, Inc. | Consumer Discretionary | 100.00% | +68.60 |
Sector Exposure
- Consumer Discretionary100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- GPIGroup 1 Automotive, Inc.100.00% (+68.60)
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 | 7.80% | 0.43% | 0.53 | -23.60% |
| Momentum Screen | 24.18% | 12.06% | 0.86 | -37.18% |
| Basic Value Screen | 21.43% | 6.77% | 0.68 | -61.17% |
| Combo Equal Screen | 8.10% | 1.59% | 0.46 | -26.80% |
vs Baseline: Annualized +16.38 · Alpha +11.63 · Sharpe +0.33
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 8.24% | -0.25% | +8.50 | 100.07 | 3 |
| 2023-03-31 | 12.74% | 7.90% | +4.83 | 50.14 | 2 |
| 2023-06-30 | -5.25% | -1.77% | -3.48 | 156.22 | 3 |
| 2023-09-30 | 19.12% | 10.11% | +9.02 | 101.16 | 2 |
| 2023-12-31 | 19.06% | 4.96% | +14.10 | 0.12 | 1 |
| 2024-03-31 | -4.35% | 2.31% | -6.66 | 0.00 | 1 |
| 2024-06-30 | 22.12% | 9.83% | +12.29 | 0.00 | 1 |
| 2024-09-30 | 12.78% | 2.76% | +10.02 | 0.00 | 1 |
| 2024-12-31 | -2.96% | -3.63% | +0.66 | 0.00 | 1 |
| 2025-03-31 | 3.33% | 9.22% | -5.89 | 0.00 | 0 |
| 2025-06-30 | -17.37% | 4.20% | -21.57 | 0.00 | 1 |
| 2025-09-30 | 0.00% | 1.49% | -1.49 | 100.00 | 1 |
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 currently kept only one name: Group 1 Automotive (GPI), which is 100.0% of the portfolio after rising from an originalWeight of 31.4%, a +68.6 point weightDiff. That is an extreme momentum expression because the screen removed all diversification and turned the strategy into a single Consumer Discretionary bet. The sector weight is therefore 100.0% Consumer Discretionary, and the screen’s own risk notes acknowledge that top1 and top5 concentration are both 100.0%.
strategyViews.momentum-screen.topHoldings.symbolstrategyViews.momentum-screen.topHoldings.weightstrategyViews.momentum-screen.topHoldings.originalWeightstrategyViews.momentum-screen.topHoldings.weightDiffstrategyViews.momentum-screen.sectorWeights.sectorstrategyViews.momentum-screen.sectorWeights.weightstrategyViews.momentum-screen.riskNotes↳ Explain why GPI may have dominated the momentum ranking and what users should monitor before trusting a one-stock momentum result.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify its drawdown and concentration risk?
It improved returns dramatically, but whether that justifies the risk depends on the user’s tolerance for extreme concentration. Annualized return jumped to 24.18% from the baseline’s 7.8%, totalReturn rose to 255.89% from 55.29%, alpha improved to 12.06, and sharpe rose to 0.86. But the cost was a much worse maxDrawdown of -37.18% versus -23.6% for baseline and a 100% single-stock portfolio in the latest snapshot. So the return improvement is real, but it came with a portfolio structure that is far riskier than most users should copy mechanically.
strategyViews.momentum-screen.metrics.annualizedReturnstrategyViews.baseline.metrics.annualizedReturnstrategyViews.momentum-screen.metrics.totalReturnstrategyViews.baseline.metrics.totalReturnstrategyViews.momentum-screen.metrics.alphastrategyViews.momentum-screen.metrics.sharpestrategyViews.momentum-screen.metrics.maxDrawdownstrategyViews.baseline.metrics.maxDrawdownstrategyViews.momentum-screen.concentration.top5↳ Compare the momentum screen’s return gains to its worst drawdown path so I can judge whether the payoff was too dependent on one trade.
- momentum13FChat AI
Which periods or holdings most clearly explain the momentum screen's result?
The result is most clearly explained by a few strong winning periods and by GPI’s current dominance. In periodPerformance, the screen beat SPY by +14.1% in 2023-12-31 and +12.29% in 2024-06-30, while also posting +10.02% excess in 2024-09-30 and +9.02% in 2023-09-30. But it also suffered major setbacks, including -21.57% excess in 2025-06-30 and -5.89% in 2025-03-31. The latest topHoldings show GPI at 100%, so whatever made the screen work or fail recently is overwhelmingly tied to that single stock and the Consumer Discretionary sleeve.
strategyViews.momentum-screen.periodPerformance.periodIdstrategyViews.momentum-screen.periodPerformance.optimizedExcessstrategyViews.momentum-screen.topHoldings.symbolstrategyViews.momentum-screen.topHoldings.weightstrategyViews.momentum-screen.sectorWeights.sector↳ Show me the momentum screen’s best and worst periods alongside the selected holdings for each period.
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.