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 momentum screen with modest absolute alpha, lower beta than SPY, and improved returns at slightly higher volatility.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| CAT | Caterpillar Inc. | Industrials | 20.00% | +8.86 |
| UNH | UnitedHealth Group Incorporated | Health Care | 19.35% | +14.63 |
| AMZN | Amazon.com, Inc. | Consumer Discretionary | 16.04% | +12.66 |
| CVX | Chevron Corporation | Energy | 13.24% | +10.98 |
| WMT | Walmart Inc. | Consumer Staples | 11.66% | +10.04 |
| CSCO | Cisco Systems, Inc. | Information Technology | 10.62% | +9.42 |
| VZ | Verizon Communications Inc. | Communication Services | 9.10% | +8.51 |
Sector Exposure
- Industrials20.00%
- Health Care19.35%
- Consumer Discretionary16.04%
- Energy13.24%
- Consumer Staples11.66%
- Information Technology10.62%
- Communication Services9.10%
Weight Changes
Notable position adjustments in the latest snapshot.
- CATCaterpillar Inc.20.00% (+8.86)
- UNHUnitedHealth Group Incorporated19.35% (+14.63)
- AMZNAmazon.com, Inc.16.04% (+12.66)
- CVXChevron Corporation13.24% (+10.98)
- WMTWalmart Inc.11.66% (+10.04)
- CSCOCisco Systems, Inc.10.62% (+9.42)
- VZVerizon Communications Inc.9.10% (+8.51)
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 | 11.60% | -1.10% | 0.72 | -37.07% |
| Momentum Screen | 11.96% | 0.09% | 0.69 | -33.99% |
| Basic Value Screen | 12.88% | 0.71% | 0.70 | -37.10% |
| Combo Equal Screen | 12.68% | -0.08% | 0.69 | -34.52% |
vs Baseline: Annualized +0.37 · Alpha +1.18 · Sharpe -0.02
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | -1.53% | 3.75% | -5.28 | 37.51 | 8 |
| 2025-06-30 | 3.49% | 2.69% | +0.80 | 149.76 | 12 |
| 2025-07-31 | -0.54% | 2.05% | -2.59 | 28.63 | 8 |
| 2025-08-31 | 3.69% | 3.66% | +0.04 | 29.61 | 8 |
| 2025-09-30 | 5.69% | 2.05% | +3.64 | 102.09 | 11 |
| 2025-10-31 | 0.65% | 0.20% | +0.45 | 32.61 | 8 |
| 2025-11-30 | 1.08% | 0.99% | +0.09 | 58.85 | 9 |
| 2025-12-31 | 6.44% | 1.47% | +4.97 | 67.63 | 9 |
| 2026-01-31 | 3.90% | -1.35% | +5.25 | 56.69 | 9 |
| 2026-02-28 | -3.66% | -7.93% | +4.26 | 54.30 | 9 |
| 2026-03-31 | -1.51% | 9.42% | -10.93 | 37.74 | 8 |
| 2026-04-30 | 2.14% | 4.11% | -1.97 | 93.54 | 10 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Which names did the momentum screen keep for DIA | Dow Jones Industrial Average ETF | Dow 30 Market Proxy, and what tilt does that create?
The momentum screen currently emphasizes CAT (Caterpillar Inc.) 20.00%, UNH (UnitedHealth Group Incorporated) 19.35%, AMZN (Amazon.com, Inc.) 16.04%, CVX (Chevron Corporation) 13.24%, and WMT (Walmart Inc.) 11.66%. It still overlaps the baseline through CAT, UNH, while sector exposure is Industrials 20.00%, Health Care 19.35%, and Consumer Discretionary 16.04%. 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 11.96%, alpha 0.09%, beta 0.88, Sharpe 0.69, Sortino 0.88, and max drawdown -33.99%. Versus baseline, annualized return changed by 0.37%, alpha changed by 1.18%, Sharpe changed by -0.02, Sortino changed by 0.03, drawdown improved by 3.09%. Average recent turnover is about 75.45%, and concentration is top 5 80.29%, top 10 100.01%, top 20 100.01%, 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.
- momentum13FChat AI
Did the momentum screen concentrate exposure in a few winners or sectors?
The current momentum book has top 5 80.29%, top 10 100.01%, top 20 100.01% and sector exposure of Industrials 20.00%, Health Care 19.35%, Consumer Discretionary 16.04%, and Energy 13.24%. Its leading holdings are CAT (Caterpillar Inc.) 20.00%, UNH (UnitedHealth Group Incorporated) 19.35%, AMZN (Amazon.com, Inc.) 16.04%, and CVX (Chevron Corporation) 13.24%, 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.
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.