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 portfolio with exceptional backtested upside, improved efficiency, and very high drawdown risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| DE | Deere & Company | Industrials | 50.00% | +49.15 |
| IBKR | Interactive Brokers Group, Inc. | Financials | 50.00% | +34.67 |
Sector Exposure
- Industrials50.00%
- Financials50.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- DEDeere & Company50.00% (+49.15)
- IBKRInteractive Brokers Group, Inc.50.00% (+34.67)
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 | 10.60% | -3.23% | 0.47 | -58.55% |
| Momentum Screen | 53.18% | 39.81% | 1.02 | -53.47% |
| Basic Value Screen | 14.77% | 5.30% | 0.54 | -60.53% |
| Combo Equal Screen | 16.01% | 2.74% | 0.58 | -76.74% |
vs Baseline: Annualized +42.58 · Alpha +43.04 · Sharpe +0.55
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2023-03-31 | 255.61% | 7.90% | +247.71 | 200.22 | 2 |
| 2023-06-30 | -30.30% | -1.77% | -28.53 | 0.08 | 1 |
| 2023-09-30 | 26.05% | 10.11% | +15.95 | 200.00 | 3 |
| 2023-12-31 | 1.40% | 4.96% | -3.56 | 100.23 | 3 |
| 2024-03-31 | 21.06% | 2.31% | +18.75 | 200.15 | 3 |
| 2024-06-30 | 42.34% | 9.83% | +32.51 | 100.26 | 2 |
| 2024-09-30 | 3.84% | 2.76% | +1.08 | 100.11 | 3 |
| 2024-12-31 | -2.79% | -3.63% | +0.84 | 100.15 | 3 |
| 2025-03-31 | 1.86% | 9.22% | -7.36 | 100.15 | 3 |
| 2025-06-30 | -8.06% | 4.20% | -12.26 | 133.48 | 4 |
| 2025-09-30 | 0.27% | 1.46% | -1.19 | 133.56 | 5 |
| 2025-12-31 | 13.88% | 9.57% | +4.32 | 66.87 | 4 |
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 53.18%, alpha 39.81%, beta 1.11, Sharpe 1.02, Sortino 1.58, and max drawdown -53.47%. Versus baseline, annualized return changed by 42.58%, alpha changed by 43.04%, Sharpe changed by 0.55, Sortino changed by 0.98, drawdown improved by 5.08%. Average recent turnover is about 125.54%, 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
Which names did the momentum screen keep for RV Capital AG, and what tilt does that create?
The momentum screen currently emphasizes DE (Deere & Company) 50.00%, and IBKR (Interactive Brokers Group, Inc.) 50.00%. It still overlaps the baseline through DE, IBKR, while sector exposure is Industrials 50.00%, and Financials 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
Which recent momentum periods most strongly shaped the result?
The strongest recent period was 2023-03-31 (255.61% strategy return, 7.90% benchmark, 247.71% excess, 200.22% turnover), while the weakest was 2023-06-30 (-30.30% strategy return, -1.77% benchmark, -28.53% excess, 0.08% turnover). The latest rebalance shows DE increase to 50.00%; IBKR increase to 50.00%, 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.