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
Highly concentrated momentum screen with positive alpha, but weak risk-adjusted results and extreme drawdown in the optimized backtest.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| MOH | Molina Healthcare, Inc. | Health Care | 100.00% | +60.89 |
Sector Exposure
- Health Care100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- MOHMolina Healthcare, Inc.100.00% (+60.89)
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 | 22.80% | 20.62% | 0.65 | -65.68% |
| Momentum Screen | 9.68% | 14.59% | 0.43 | -80.50% |
| Basic Value Screen | 6.99% | 16.78% | 0.42 | -86.78% |
| Combo Equal Screen | 15.76% | 5.46% | 0.61 | -46.57% |
vs Baseline: Annualized -13.12 · Alpha -6.03 · Sharpe -0.22
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2023-03-31 | 10.04% | 7.90% | +2.13 | 175.33 | 5 |
| 2023-06-30 | -7.02% | -1.77% | -5.25 | 156.48 | 8 |
| 2023-09-30 | 18.27% | 10.11% | +8.16 | 200.25 | 8 |
| 2023-12-31 | 9.64% | 4.96% | +4.68 | 200.25 | 8 |
| 2024-03-31 | -17.46% | 2.31% | -19.77 | 118.50 | 7 |
| 2024-06-30 | 7.85% | 9.83% | -1.98 | 150.22 | 4 |
| 2024-09-30 | 25.55% | 2.76% | +22.79 | 53.13 | 2 |
| 2024-12-31 | -11.77% | -3.63% | -8.14 | 100.06 | 3 |
| 2025-03-31 | 49.73% | 9.22% | +40.51 | 161.12 | 3 |
| 2025-06-30 | 0.47% | 4.20% | -3.73 | 0.16 | 1 |
| 2025-09-30 | -12.94% | 1.46% | -14.40 | 200.00 | 2 |
| 2025-12-31 | -29.68% | 9.57% | -39.25 | 200.35 | 2 |
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 9.68%, alpha 14.59%, beta 0.86, Sharpe 0.43, Sortino 0.61, and max drawdown -80.50%. Versus baseline, annualized return changed by -13.12%, alpha changed by -6.03%, Sharpe changed by -0.22, Sortino changed by -0.31, drawdown worsened by 14.82%. Average recent turnover is about 140.75%, 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.
- 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 Health Care 100.00%. Its leading holdings are MOH (Molina Healthcare, Inc.) 100.00%, 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 recent momentum periods most strongly shaped the result?
The strongest recent period was 2025-03-31 (49.73% strategy return, 9.22% benchmark, 40.51% excess, 161.12% turnover), while the weakest was 2025-12-31 (-29.68% strategy return, 9.57% benchmark, -39.25% excess, 200.35% turnover). The latest rebalance shows MOH increase to 100.00%, 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.