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 semiconductor momentum portfolio with strong alpha and improved efficiency, but concentrated cyclical risk remains elevated.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| MU | Micron Technology, Inc. | Information Technology | 17.69% | +13.80 |
| AMD | Advanced Micro Devices, Inc. | Information Technology | 15.62% | +12.19 |
| INTC | Intel Corporation | Information Technology | 13.13% | +10.25 |
| LRCX | Lam Research Corporation | Information Technology | 7.73% | +6.03 |
| AMAT | Applied Materials, Inc. | Information Technology | 7.27% | +5.67 |
| TXN | Texas Instruments Incorporated | Information Technology | 5.50% | +4.29 |
| KLAC | KLA Corporation | Information Technology | 5.16% | +4.02 |
| ADI | Analog Devices, Inc. | Information Technology | 4.28% | +3.34 |
| STX | Seagate Technology Holdings plc | Information Technology | 3.59% | +2.80 |
| WDC | Western Digital Corporation | Information Technology | 3.43% | +2.67 |
| MRVL | Marvell Technology, Inc. | Information Technology | 3.12% | +2.43 |
| SBUX | Starbucks Corporation | Consumer Discretionary | 2.52% | +1.96 |
| CSX | CSX Corporation | Industrials | 1.75% | +1.37 |
| MPWR | Monolithic Power Systems, Inc. | Information Technology | 1.66% | +1.29 |
| NXPI | NXP Semiconductors N.V. | Information Technology | 1.57% | +1.22 |
| ROST | Ross Stores, Inc. | Consumer Discretionary | 1.54% | +1.20 |
| BKR | Baker Hughes Company | Energy | 1.33% | +1.04 |
| MCHP | Microchip Technology Incorporated | Information Technology | 1.13% | +0.88 |
| FANG | Diamondback Energy, Inc. | Energy | 1.12% | +0.87 |
| ODFL | Old Dominion Freight Line, Inc. | Industrials | 0.87% | +0.68 |
Sector Exposure
- Information Technology90.88%
- Consumer Discretionary4.06%
- Industrials2.62%
- Energy2.45%
Weight Changes
Notable position adjustments in the latest snapshot.
- MUMicron Technology, Inc.17.69% (+13.80)
- AMDAdvanced Micro Devices, Inc.15.62% (+12.19)
- INTCIntel Corporation13.13% (+10.25)
- LRCXLam Research Corporation7.73% (+6.03)
- AMATApplied Materials, Inc.7.27% (+5.67)
- TXNTexas Instruments Incorporated5.50% (+4.29)
- KLACKLA Corporation5.16% (+4.02)
- ADIAnalog Devices, Inc.4.28% (+3.34)
- STXSeagate Technology Holdings plc3.59% (+2.80)
- WDCWestern Digital Corporation3.43% (+2.67)
- MRVLMarvell Technology, Inc.3.12% (+2.43)
- SBUXStarbucks Corporation2.52% (+1.96)
- CSXCSX Corporation1.75% (+1.37)
- MPWRMonolithic Power Systems, Inc.1.66% (+1.29)
- NXPINXP Semiconductors N.V.1.57% (+1.22)
- ROSTRoss Stores, Inc.1.54% (+1.20)
- BKRBaker Hughes Company1.33% (+1.04)
- MCHPMicrochip Technology Incorporated1.13% (+0.88)
- FANGDiamondback Energy, Inc.1.12% (+0.87)
- ODFLOld Dominion Freight Line, Inc.0.87% (+0.68)
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 | 21.06% | 4.41% | 0.97 | -35.09% |
| Momentum Screen | 28.89% | 11.74% | 1.12 | -32.09% |
| Basic Value Screen | 10.50% | -2.43% | 0.59 | -33.23% |
| Combo Equal Screen | 17.75% | 2.12% | 0.85 | -34.86% |
vs Baseline: Annualized +7.82 · Alpha +7.33 · Sharpe +0.15
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | 1.16% | 3.75% | -2.59 | 70.22 | 27 |
| 2025-06-30 | 5.28% | 2.69% | +2.59 | 139.60 | 30 |
| 2025-07-31 | -2.91% | 2.05% | -4.97 | 41.85 | 27 |
| 2025-08-31 | 8.41% | 3.66% | +4.76 | 30.42 | 25 |
| 2025-09-30 | 11.69% | 2.05% | +9.64 | 69.99 | 28 |
| 2025-10-31 | -1.65% | 0.20% | -1.84 | 19.65 | 23 |
| 2025-11-30 | 0.28% | 0.99% | -0.71 | 48.28 | 24 |
| 2025-12-31 | 5.81% | 1.47% | +4.33 | 27.42 | 24 |
| 2026-01-31 | -2.16% | -1.35% | -0.80 | 96.13 | 27 |
| 2026-02-28 | -10.31% | -7.93% | -2.38 | 48.82 | 24 |
| 2026-03-31 | 32.46% | 9.42% | +23.05 | 99.74 | 28 |
| 2026-04-30 | 19.21% | 4.11% | +15.10 | 41.86 | 23 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify drawdown, concentration, and turnover?
The momentum result shows return 28.89%, alpha 11.74%, beta 1.15, Sharpe 1.12, Sortino 1.49, and max drawdown -32.09%. Versus baseline, annualized return changed by 7.82%, alpha changed by 7.33%, Sharpe changed by 0.15, Sortino changed by 0.25, drawdown improved by 3.00%. Average recent turnover is about 69.50%, and concentration is top 5 61.44%, top 10 83.40%, 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 61.44%, top 10 83.40%, top 20 100.01% and sector exposure of Information Technology 90.88%, Consumer Discretionary 4.06%, Industrials 2.62%, and Energy 2.45%. Its leading holdings are MU (Micron Technology, Inc.) 17.69%, AMD (Advanced Micro Devices, Inc.) 15.62%, INTC (Intel Corporation) 13.13%, and LRCX (Lam Research Corporation) 7.73%, 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 QQQ | Nasdaq-100 ETF | Nasdaq-100 Market Proxy, and what tilt does that create?
The momentum screen currently emphasizes MU (Micron Technology, Inc.) 17.69%, AMD (Advanced Micro Devices, Inc.) 15.62%, INTC (Intel Corporation) 13.13%, LRCX (Lam Research Corporation) 7.73%, and AMAT (Applied Materials, Inc.) 7.27%. It still overlaps the baseline through AMD, MU, while sector exposure is Information Technology 90.88%, Consumer Discretionary 4.06%, and Industrials 2.62%. 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.
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.