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
Higher absolute return than the original screen, but weaker risk-adjusted results and deep drawdowns versus SPY.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| FCNC.A | First Citizens BancShares, Inc. | Financials | 10.78% | +6.74 |
| DLTR | Dollar Tree, Inc. | Consumer Staples | 8.93% | +5.58 |
| TCBI | Texas Capital Bancshares, Inc. | Financials | 8.81% | +5.51 |
| LASR | nLIGHT, Inc. | Information Technology | 8.39% | +5.24 |
| NVST | Envista Holdings Corporation | Health Care | 7.73% | +4.83 |
| AXS | AXIS Capital Holdings Limited | Financials | 7.49% | +4.68 |
| CACI | CACI International Inc | Industrials | 7.49% | +4.68 |
| CCK | Crown Holdings, Inc. | Materials | 6.57% | +4.11 |
| EVRG | Evergy, Inc. | Utilities | 6.39% | +3.99 |
| RRX | Regal Rexnord Corporation | Industrials | 5.61% | +3.51 |
| ADEA | Adeia Inc. | Information Technology | 5.43% | +3.40 |
| LPLA | LPL Financial Holdings Inc. | Financials | 4.96% | +3.10 |
| VFC | V.F. Corporation | Consumer Discretionary | 4.12% | +2.58 |
| SUI | Sun Communities, Inc. | Real Estate | 4.03% | +2.52 |
| DBRG | DigitalBridge Group, Inc. | Financials | 3.28% | +2.05 |
Sector Exposure
- Financials35.32%
- Information Technology13.82%
- Industrials13.10%
- Consumer Staples8.93%
- Health Care7.73%
- Materials6.57%
- Utilities6.39%
- Consumer Discretionary4.12%
Weight Changes
Notable position adjustments in the latest snapshot.
- FCNC.AFirst Citizens BancShares, Inc.10.78% (+6.74)
- DLTRDollar Tree, Inc.8.93% (+5.58)
- TCBITexas Capital Bancshares, Inc.8.81% (+5.51)
- LASRnLIGHT, Inc.8.39% (+5.24)
- NVSTEnvista Holdings Corporation7.73% (+4.83)
- AXSAXIS Capital Holdings Limited7.49% (+4.68)
- CACICACI International Inc7.49% (+4.68)
- CCKCrown Holdings, Inc.6.57% (+4.11)
- EVRGEvergy, Inc.6.39% (+3.99)
- RRXRegal Rexnord Corporation5.61% (+3.51)
- ADEAAdeia Inc.5.43% (+3.40)
- LPLALPL Financial Holdings Inc.4.96% (+3.10)
- VFCV.F. Corporation4.12% (+2.58)
- SUISun Communities, Inc.4.03% (+2.52)
- DBRGDigitalBridge Group, Inc.3.28% (+2.05)
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 | 6.98% | -0.62% | 0.64 | -26.88% |
| Momentum Screen | 8.37% | -3.24% | 0.49 | -44.28% |
| Basic Value Screen | 9.73% | -3.31% | 0.51 | -56.65% |
| Combo Equal Screen | 30.52% | 14.35% | 0.93 | -53.76% |
vs Baseline: Annualized +1.39 · Alpha -2.62 · Sharpe -0.14
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2023-03-31 | 3.37% | 7.90% | -4.53 | 106.60 | 22 |
| 2023-06-30 | -11.54% | -1.77% | -9.77 | 56.40 | 19 |
| 2023-09-30 | 4.51% | 10.11% | -5.59 | 58.84 | 16 |
| 2023-12-31 | 4.44% | 4.96% | -0.52 | 67.06 | 17 |
| 2024-03-31 | -0.38% | 2.31% | -2.70 | 56.94 | 19 |
| 2024-06-30 | 4.15% | 9.83% | -5.68 | 81.86 | 21 |
| 2024-09-30 | -0.27% | 2.76% | -3.03 | 44.31 | 16 |
| 2024-12-31 | -1.43% | -3.63% | +2.20 | 60.56 | 15 |
| 2025-03-31 | 1.65% | 9.22% | -7.56 | 54.48 | 13 |
| 2025-06-30 | 0.54% | 4.20% | -3.66 | 76.86 | 16 |
| 2025-09-30 | 1.27% | 1.46% | -0.19 | 86.64 | 15 |
| 2025-12-31 | -1.63% | 9.57% | -11.20 | 55.93 | 12 |
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 8.37%, alpha -3.24%, beta 0.93, Sharpe 0.49, Sortino 0.59, and max drawdown -44.28%. Versus baseline, annualized return changed by 1.39%, alpha changed by -2.62%, Sharpe changed by -0.14, Sortino changed by -0.20, drawdown worsened by 17.40%. Average recent turnover is about 79.11%, and concentration is top 5 44.64%, top 10 78.19%, 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 44.64%, top 10 78.19%, top 20 100.01% and sector exposure of Financials 35.32%, Information Technology 13.82%, Industrials 13.10%, and Consumer Staples 8.93%. Its leading holdings are FCNC.A (First Citizens BancShares, Inc.) 10.78%, DLTR (Dollar Tree, Inc.) 8.93%, TCBI (Texas Capital Bancshares, Inc.) 8.81%, and LASR (nLIGHT, Inc.) 8.39%, 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 recent momentum periods most strongly shaped the result?
The strongest recent period was 2024-12-31 (-1.43% strategy return, -3.63% benchmark, 2.20% excess, 60.56% turnover), while the weakest was 2025-12-31 (-1.63% strategy return, 9.57% benchmark, -11.20% excess, 55.93% turnover). The latest rebalance shows FCNC.A increase to 10.78%; DLTR increase to 8.93%; TCBI increase to 8.81%, which helps reveal whether the model is adding new winners or merely resizing existing leaders.
strategyViews.momentum-screen.periodPerformancestrategyViews.momentum-screen.latestChanges↳ Show recent period performance and holdings changed during the strongest and weakest periods.
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.