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 consumer-discretionary momentum portfolio with modest absolute gains, weak risk-adjusted results, and clear SPY underperformance.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AMZN | Amazon.com, Inc. | Consumer Discretionary | 20.00% | -7.98 |
| SBUX | Starbucks Corporation | Consumer Discretionary | 9.78% | +7.08 |
| ORLY | O'Reilly Automotive, Inc. | Consumer Discretionary | 8.12% | +6.35 |
| MAR | Marriott International, Inc. | Consumer Discretionary | 8.09% | +6.34 |
| ROST | Ross Stores, Inc. | Consumer Discretionary | 7.91% | +6.26 |
| HLT | Hilton Worldwide Holdings Inc. | Consumer Discretionary | 7.89% | +6.25 |
| AZO | AutoZone, Inc. | Consumer Discretionary | 7.30% | +5.99 |
| EBAY | eBay Inc. | Consumer Discretionary | 6.93% | +5.83 |
| GRMN | Garmin Ltd. | Consumer Discretionary | 6.55% | +5.66 |
| TPR | Tapestry, Inc. | Consumer Discretionary | 6.06% | +5.45 |
| DRI | Darden Restaurants, Inc. | Consumer Discretionary | 5.88% | +5.37 |
| HAS | Hasbro, Inc. | Consumer Discretionary | 5.49% | +5.20 |
Sector Exposure
- Consumer Discretionary100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- AMZNAmazon.com, Inc.20.00% (-7.98)
- SBUXStarbucks Corporation9.78% (+7.08)
- ORLYO'Reilly Automotive, Inc.8.12% (+6.35)
- MARMarriott International, Inc.8.09% (+6.34)
- ROSTRoss Stores, Inc.7.91% (+6.26)
- HLTHilton Worldwide Holdings Inc.7.89% (+6.25)
- AZOAutoZone, Inc.7.30% (+5.99)
- EBAYeBay Inc.6.93% (+5.83)
- GRMNGarmin Ltd.6.55% (+5.66)
- TPRTapestry, Inc.6.06% (+5.45)
- DRIDarden Restaurants, Inc.5.88% (+5.37)
- HASHasbro, Inc.5.49% (+5.20)
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 | 12.27% | -2.18% | 0.64 | -39.39% |
| Momentum Screen | 5.05% | -6.92% | 0.34 | -45.73% |
| Basic Value Screen | 1.36% | -12.22% | 0.20 | -63.90% |
| Combo Equal Screen | 12.32% | -0.93% | 0.58 | -45.30% |
vs Baseline: Annualized -7.22 · Alpha -4.73 · Sharpe -0.30
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | 1.62% | 3.75% | -2.12 | 65.70 | 15 |
| 2025-06-30 | -0.83% | 2.69% | -3.52 | 73.49 | 16 |
| 2025-07-31 | 2.35% | 2.05% | +0.30 | 122.68 | 18 |
| 2025-08-31 | -2.02% | 3.66% | -5.67 | 109.32 | 16 |
| 2025-09-30 | -7.04% | 2.05% | -9.09 | 66.14 | 15 |
| 2025-10-31 | 2.53% | 0.20% | +2.34 | 132.64 | 18 |
| 2025-11-30 | 0.57% | 0.99% | -0.42 | 66.73 | 16 |
| 2025-12-31 | -1.46% | 1.47% | -2.93 | 54.35 | 16 |
| 2026-01-31 | 2.67% | -1.35% | +4.02 | 99.49 | 16 |
| 2026-02-28 | -6.59% | -7.93% | +1.33 | 73.98 | 16 |
| 2026-03-31 | 4.43% | 9.42% | -4.98 | 63.38 | 16 |
| 2026-04-30 | -2.50% | 4.11% | -6.61 | 99.29 | 16 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Which names did the momentum screen keep for XLY | S&P 500 Consumer Discretionary Sector ETF, and what tilt does that create?
The momentum screen currently emphasizes AMZN (Amazon.com, Inc.) 20.00%, SBUX (Starbucks Corporation) 9.78%, ORLY (O'Reilly Automotive, Inc.) 8.12%, MAR (Marriott International, Inc.) 8.09%, and ROST (Ross Stores, Inc.) 7.91%. It still overlaps the baseline through AMZN, MAR, ORLY, SBUX, while sector exposure is Consumer Discretionary 100.00%. 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
Did the momentum screen concentrate exposure in a few winners or sectors?
The current momentum book has top 5 53.90%, top 10 88.63%, top 20 100.00% and sector exposure of Consumer Discretionary 100.00%. Its leading holdings are AMZN (Amazon.com, Inc.) 20.00%, SBUX (Starbucks Corporation) 9.78%, ORLY (O'Reilly Automotive, Inc.) 8.12%, and MAR (Marriott International, Inc.) 8.09%, 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 2026-01-31 (2.67% strategy return, -1.35% benchmark, 4.02% excess, 99.49% turnover), while the weakest was 2025-09-30 (-7.04% strategy return, 2.05% benchmark, -9.09% excess, 66.14% turnover). The latest rebalance shows AMZN decrease to 20.00%; SBUX increase to 9.78%; ORLY increase to 8.12%, 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.