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, healthcare-heavy momentum screen with lower beta, but weak risk-adjusted results and persistent SPY underperformance.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| JNJ | Johnson & Johnson | Health Care | 20.00% | +9.66 |
| UNH | UnitedHealth Group Incorporated | Health Care | 20.00% | +13.33 |
| PFE | Pfizer Inc. | Health Care | 11.07% | +8.24 |
| BMY | Bristol-Myers Squibb Company | Health Care | 9.11% | +6.89 |
| ELV | Elevance Health, Inc. | Health Care | 7.20% | +5.58 |
| CI | The Cigna Group | Health Care | 6.73% | +5.26 |
| BIIB | Biogen Inc. | Health Care | 3.79% | +3.24 |
| CNC | Centene Corporation | Health Care | 3.65% | +3.15 |
| WST | West Pharmaceutical Services, Inc. | Health Care | 3.49% | +3.03 |
| DGX | Quest Diagnostics Incorporated | Health Care | 3.31% | +2.91 |
| VTRS | Viatris Inc. | Health Care | 3.26% | +2.88 |
| MRNA | Moderna, Inc. | Health Care | 3.21% | +2.84 |
| ALGN | Align Technology, Inc. | Health Care | 2.73% | +2.52 |
| DVA | DaVita Inc. | Health Care | 2.45% | +2.32 |
Sector Exposure
- Health Care100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- JNJJohnson & Johnson20.00% (+9.66)
- UNHUnitedHealth Group Incorporated20.00% (+13.33)
- PFEPfizer Inc.11.07% (+8.24)
- BMYBristol-Myers Squibb Company9.11% (+6.89)
- ELVElevance Health, Inc.7.20% (+5.58)
- CIThe Cigna Group6.73% (+5.26)
- BIIBBiogen Inc.3.79% (+3.24)
- CNCCentene Corporation3.65% (+3.15)
- WSTWest Pharmaceutical Services, Inc.3.49% (+3.03)
- DGXQuest Diagnostics Incorporated3.31% (+2.91)
- VTRSViatris Inc.3.26% (+2.88)
- MRNAModerna, Inc.3.21% (+2.84)
- ALGNAlign Technology, Inc.2.73% (+2.52)
- DVADaVita Inc.2.45% (+2.32)
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 | 8.14% | -1.49% | 0.56 | -28.55% |
| Momentum Screen | 5.74% | -3.21% | 0.40 | -26.41% |
| Basic Value Screen | 6.92% | -2.01% | 0.45 | -38.07% |
| Combo Equal Screen | 10.42% | -1.06% | 0.58 | -30.54% |
vs Baseline: Annualized -2.41 · Alpha -1.71 · Sharpe -0.15
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | 0.24% | 3.75% | -3.50 | 103.60 | 21 |
| 2025-06-30 | -3.98% | 2.69% | -6.67 | 123.96 | 19 |
| 2025-07-31 | 2.04% | 2.05% | -0.01 | 70.09 | 21 |
| 2025-08-31 | -3.11% | 3.66% | -6.77 | 145.48 | 22 |
| 2025-09-30 | 2.47% | 2.05% | +0.42 | 143.88 | 21 |
| 2025-10-31 | 8.00% | 0.20% | +7.81 | 70.04 | 21 |
| 2025-11-30 | -1.29% | 0.99% | -2.28 | 137.62 | 23 |
| 2025-12-31 | -0.67% | 1.47% | -2.15 | 93.33 | 21 |
| 2026-01-31 | 3.82% | -1.35% | +5.18 | 75.68 | 20 |
| 2026-02-28 | -8.18% | -7.93% | -0.26 | 53.71 | 20 |
| 2026-03-31 | -5.85% | 9.42% | -15.27 | 81.69 | 21 |
| 2026-04-30 | 2.65% | 4.11% | -1.46 | 103.07 | 20 |
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 5.74%, alpha -3.21%, beta 0.70, Sharpe 0.40, Sortino 0.54, and max drawdown -26.41%. Versus baseline, annualized return changed by -2.41%, alpha changed by -1.71%, Sharpe changed by -0.15, Sortino changed by -0.20, drawdown improved by 2.14%. Average recent turnover is about 86.10%, and concentration is top 5 67.38%, top 10 88.35%, 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 XLV | S&P 500 Health Care Sector ETF, and what tilt does that create?
The momentum screen currently emphasizes JNJ (Johnson & Johnson) 20.00%, UNH (UnitedHealth Group Incorporated) 20.00%, PFE (Pfizer Inc.) 11.07%, BMY (Bristol-Myers Squibb Company) 9.11%, and ELV (Elevance Health, Inc.) 7.20%. It still overlaps the baseline through JNJ, UNH, while sector exposure is Health Care 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 67.38%, top 10 88.35%, top 20 100.00% and sector exposure of Health Care 100.00%. Its leading holdings are JNJ (Johnson & Johnson) 20.00%, UNH (UnitedHealth Group Incorporated) 20.00%, PFE (Pfizer Inc.) 11.07%, and BMY (Bristol-Myers Squibb Company) 9.11%, 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.
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.