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 momentum screen with strong long-run alpha, but extreme concentration and drawdown risk dominate the profile.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AMZN | Amazon.com, Inc. | Consumer Discretionary | 50.00% | +32.35 |
| FWON.K | Formula One Group | Communication Services | 50.00% | +42.16 |
Sector Exposure
- Consumer Discretionary50.00%
- Communication Services50.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- AMZNAmazon.com, Inc.50.00% (+32.35)
- FWON.KFormula One Group50.00% (+42.16)
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 | 17.93% | 5.14% | 0.66 | -69.59% |
| Momentum Screen | 15.85% | 8.29% | 0.55 | -83.10% |
| Basic Value Screen | 25.12% | 13.07% | 0.79 | -60.26% |
| Combo Equal Screen | 18.82% | 6.31% | 0.67 | -66.09% |
vs Baseline: Annualized -2.07 · Alpha +3.15 · Sharpe -0.11
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2023-03-31 | -34.68% | 7.90% | -42.58 | 200.00 | 2 |
| 2023-06-30 | -20.28% | -1.77% | -18.51 | 200.46 | 2 |
| 2023-09-30 | 14.94% | 10.11% | +4.84 | 200.37 | 2 |
| 2023-12-31 | 6.56% | 4.96% | +1.60 | 200.25 | 2 |
| 2024-03-31 | 4.70% | 2.31% | +2.39 | 200.28 | 3 |
| 2024-06-30 | 26.98% | 9.83% | +17.15 | 5.39 | 2 |
| 2024-09-30 | 13.79% | 2.76% | +11.03 | 9.73 | 2 |
| 2024-12-31 | 8.22% | -3.63% | +11.85 | 100.01 | 3 |
| 2025-03-31 | 11.40% | 9.22% | +2.18 | 200.14 | 4 |
| 2025-06-30 | -15.34% | 4.20% | -19.54 | 2.82 | 2 |
| 2025-09-30 | 0.00% | 1.46% | -1.46 | 100.00 | 2 |
| 2025-12-31 | 0.00% | 9.57% | -9.57 | 0.00 | 0 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Did the momentum screen concentrate exposure in a few winners or sectors?
The current momentum book has top 5 100.00%, top 10 100.00%, top 20 100.00% and sector exposure of Consumer Discretionary 50.00%, and Communication Services 50.00%. Its leading holdings are AMZN (Amazon.com, Inc.) 50.00%, and FWON.K (Formula One Group) 50.00%, so the user should decide whether this is diversified momentum or a concentrated bet on a small group of recent winners.
strategyViews.momentum-screen.concentrationstrategyViews.momentum-screen.sectorWeights↳ Compare momentum concentration with baseline concentration and benchmark sector exposure.
- momentum13FChat AI
Which names did the momentum screen keep for ShawSpring Partners, LLC, and what tilt does that create?
The momentum screen currently emphasizes AMZN (Amazon.com, Inc.) 50.00%, and FWON.K (Formula One Group) 50.00%. It still overlaps the baseline through AMZN, FWON.K, while sector exposure is Consumer Discretionary 50.00%, and Communication Services 50.00%. That makes the result a momentum-tilted subset rather than a simple copy of the baseline weights.
strategyViews.momentum-screen.topHoldingsstrategyViews.baseline.topHoldings↳ Compare the momentum top holdings with the baseline top holdings and sector allocation.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify drawdown, concentration, and turnover?
The momentum result shows return 15.85%, alpha 8.29%, beta 1.06, Sharpe 0.55, Sortino 0.76, and max drawdown -83.10%. Versus baseline, annualized return changed by -2.07%, alpha changed by 3.15%, Sharpe changed by -0.11, Sortino changed by -0.16, drawdown worsened by 13.51%. Average recent turnover is about 119.15%, and concentration is top 5 100.00%, top 10 100.00%, top 20 100.00%, so any return improvement should be tested against trading cost and crowded-winner reversal risk.
strategyViews.momentum-screen.metricsstrategyViews.momentum-screen.turnoverSeries↳ Break down momentum return, alpha, max drawdown, turnover, and trading cost against baseline.
Other strategies for this fund
Baseline
Track disclosed holdings with the standard reporting lag and no active reweighting.
Basic Value Screen
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.
Combo Equal Screen
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.