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
Defensive momentum screen now sits almost entirely in Consumer Staples, with modest returns, lower market beta, and weak benchmark-relative efficiency.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| WMT | Walmart Inc. | Consumer Staples | 20.00% | +7.92 |
| COST | Costco Wholesale Corporation | Consumer Staples | 20.00% | +10.54 |
| KO | The Coca-Cola Company | Consumer Staples | 14.33% | +7.92 |
| MDLZ | Mondelez International, Inc. | Consumer Staples | 11.46% | +6.48 |
| MO | Altria Group, Inc. | Consumer Staples | 10.70% | +6.10 |
| TGT | Target Corporation | Consumer Staples | 8.95% | +5.23 |
| ADM | Archer-Daniels-Midland Company | Consumer Staples | 6.41% | +3.96 |
| CHD | Church & Dwight Co., Inc. | Consumer Staples | 4.42% | +2.97 |
| BG | Bunge Global SA | Consumer Staples | 3.74% | +2.63 |
Sector Exposure
- Consumer Staples100.01%
Weight Changes
Notable position adjustments in the latest snapshot.
- WMTWalmart Inc.20.00% (+7.92)
- COSTCostco Wholesale Corporation20.00% (+10.54)
- KOThe Coca-Cola Company14.33% (+7.92)
- MDLZMondelez International, Inc.11.46% (+6.48)
- MOAltria Group, Inc.10.70% (+6.10)
- TGTTarget Corporation8.95% (+5.23)
- ADMArcher-Daniels-Midland Company6.41% (+3.96)
- CHDChurch & Dwight Co., Inc.4.42% (+2.97)
- BGBunge Global SA3.74% (+2.63)
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 | 5.07% | -2.08% | 0.41 | -24.95% |
| Momentum Screen | 5.57% | -0.89% | 0.43 | -29.00% |
| Basic Value Screen | -0.84% | -7.08% | 0.04 | -31.76% |
| Combo Equal Screen | 8.30% | 0.14% | 0.51 | -24.23% |
vs Baseline: Annualized +0.51 · Alpha +1.20 · Sharpe +0.02
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | -0.92% | 3.75% | -4.67 | 17.82 | 10 |
| 2025-06-30 | -0.16% | 2.69% | -2.85 | 81.88 | 12 |
| 2025-07-31 | 2.09% | 2.05% | +0.03 | 79.23 | 12 |
| 2025-08-31 | -3.92% | 3.66% | -7.58 | 61.27 | 11 |
| 2025-09-30 | -2.09% | 2.05% | -4.14 | 63.58 | 11 |
| 2025-10-31 | 3.66% | 0.20% | +3.46 | 62.17 | 12 |
| 2025-11-30 | -0.48% | 0.99% | -1.47 | 51.53 | 11 |
| 2025-12-31 | 7.73% | 1.47% | +6.25 | 52.08 | 11 |
| 2026-01-31 | 3.17% | -1.35% | +4.53 | 57.19 | 11 |
| 2026-02-28 | -10.62% | -7.93% | -2.70 | 108.91 | 13 |
| 2026-03-31 | 1.78% | 9.42% | -7.64 | 153.58 | 14 |
| 2026-04-30 | -0.42% | 4.11% | -4.53 | 100.64 | 12 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Did the momentum screen concentrate exposure in a few winners or sectors?
The current momentum book has top 5 76.49%, top 10 100.01%, top 20 100.01% and sector exposure of Consumer Staples 100.01%. Its leading holdings are WMT (Walmart Inc.) 20.00%, COST (Costco Wholesale Corporation) 20.00%, KO (The Coca-Cola Company) 14.33%, and MDLZ (Mondelez International, Inc.) 11.46%, 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 XLP | S&P 500 Consumer Staples Sector ETF, and what tilt does that create?
The momentum screen currently emphasizes WMT (Walmart Inc.) 20.00%, COST (Costco Wholesale Corporation) 20.00%, KO (The Coca-Cola Company) 14.33%, MDLZ (Mondelez International, Inc.) 11.46%, and MO (Altria Group, Inc.) 10.70%. It still overlaps the baseline through COST, KO, MDLZ, MO, WMT, while sector exposure is Consumer Staples 100.01%. 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 2025-12-31 (7.73% strategy return, 1.47% benchmark, 6.25% excess, 52.08% turnover), while the weakest was 2026-03-31 (1.78% strategy return, 9.42% benchmark, -7.64% excess, 153.58% turnover). The latest rebalance shows COST increase to 20.00%; WMT increase to 20.00%; KO increase to 14.33%, 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.