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
High-conviction momentum portfolio with strong long-run alpha, but concentrated tech exposure and higher volatility than SPY.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| MU | Micron Technology, Inc. | Information Technology | 20.00% | +11.37 |
| AMD | Advanced Micro Devices, Inc. | Information Technology | 10.81% | +6.99 |
| LRCX | Lam Research Corporation | Information Technology | 9.71% | +6.29 |
| INTC | Intel Corporation | Information Technology | 9.56% | +6.20 |
| CAT | Caterpillar Inc. | Industrials | 7.96% | +5.18 |
| SNDK | Sandisk Corporation | Information Technology | 6.81% | +4.44 |
| AMAT | Applied Materials, Inc. | Information Technology | 5.23% | +3.43 |
| STX | Seagate Technology Holdings plc | Information Technology | 5.11% | +3.36 |
| WDC | Western Digital Corporation | Information Technology | 4.88% | +3.21 |
| GEV | GE Vernova Inc. | Industrials | 4.39% | +2.90 |
| GLW | Corning Incorporated | Information Technology | 3.10% | +2.08 |
| ADI | Analog Devices, Inc. | Information Technology | 2.64% | +1.78 |
| CIEN | Ciena Corporation | Information Technology | 1.99% | +1.37 |
| PWR | Quanta Services, Inc. | Industrials | 1.73% | +1.20 |
| FIX | Comfort Systems USA, Inc. | Industrials | 1.73% | +1.20 |
| MPWR | Monolithic Power Systems, Inc. | Information Technology | 1.23% | +0.88 |
| TER | Teradyne, Inc. | Information Technology | 1.12% | +0.81 |
| EME | EMCOR Group, Inc. | Industrials | 0.81% | +0.62 |
| JBL | Jabil Inc. | Information Technology | 0.69% | +0.54 |
| BG | Bunge Global SA | Consumer Staples | 0.51% | +0.42 |
Sector Exposure
- Information Technology82.88%
- Industrials16.62%
- Consumer Staples0.51%
Weight Changes
Notable position adjustments in the latest snapshot.
- MUMicron Technology, Inc.20.00% (+11.37)
- AMDAdvanced Micro Devices, Inc.10.81% (+6.99)
- LRCXLam Research Corporation9.71% (+6.29)
- INTCIntel Corporation9.56% (+6.20)
- CATCaterpillar Inc.7.96% (+5.18)
- SNDKSandisk Corporation6.81% (+4.44)
- AMATApplied Materials, Inc.5.23% (+3.43)
- STXSeagate Technology Holdings plc5.11% (+3.36)
- WDCWestern Digital Corporation4.88% (+3.21)
- GEVGE Vernova Inc.4.39% (+2.90)
- GLWCorning Incorporated3.10% (+2.08)
- ADIAnalog Devices, Inc.2.64% (+1.78)
- CIENCiena Corporation1.99% (+1.37)
- PWRQuanta Services, Inc.1.73% (+1.20)
- FIXComfort Systems USA, Inc.1.73% (+1.20)
- MPWRMonolithic Power Systems, Inc.1.23% (+0.88)
- TERTeradyne, Inc.1.12% (+0.81)
- EMEEMCOR Group, Inc.0.81% (+0.62)
- JBLJabil Inc.0.69% (+0.54)
- BGBunge Global SA0.51% (+0.42)
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 | 20.86% | 6.03% | 1.06 | -29.77% |
| Momentum Screen | 19.74% | 5.60% | 0.89 | -30.45% |
| Basic Value Screen | 13.72% | 1.28% | 0.73 | -34.41% |
| Combo Equal Screen | 16.45% | 2.16% | 0.83 | -31.00% |
vs Baseline: Annualized -1.13 · Alpha -0.43 · Sharpe -0.17
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | 2.30% | 3.75% | -1.44 | 34.41 | 26 |
| 2025-06-30 | 5.17% | 2.69% | +2.48 | 110.25 | 30 |
| 2025-07-31 | -0.36% | 2.05% | -2.41 | 54.00 | 27 |
| 2025-08-31 | 6.11% | 3.66% | +2.45 | 49.45 | 24 |
| 2025-09-30 | 4.67% | 2.05% | +2.62 | 77.82 | 31 |
| 2025-10-31 | -4.47% | 0.20% | -4.66 | 41.29 | 28 |
| 2025-11-30 | -1.53% | 0.99% | -2.52 | 131.80 | 33 |
| 2025-12-31 | 0.21% | 1.47% | -1.27 | 74.77 | 26 |
| 2026-01-31 | 3.76% | -1.35% | +5.12 | 108.34 | 28 |
| 2026-02-28 | -8.27% | -7.93% | -0.34 | 83.23 | 30 |
| 2026-03-31 | 25.15% | 9.42% | +15.74 | 170.91 | 35 |
| 2026-04-30 | 21.81% | 4.11% | +17.70 | 65.01 | 26 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Which names did the momentum screen keep for SPMO | S&P 500 Momentum ETF, and what tilt does that create?
The momentum screen currently emphasizes MU (Micron Technology, Inc.) 20.00%, AMD (Advanced Micro Devices, Inc.) 10.81%, LRCX (Lam Research Corporation) 9.71%, INTC (Intel Corporation) 9.56%, and CAT (Caterpillar Inc.) 7.96%. It still overlaps the baseline through AMD, CAT, INTC, LRCX, MU, while sector exposure is Information Technology 82.88%, Industrials 16.62%, and Consumer Staples 0.51%. 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 2026-04-30 (21.81% strategy return, 4.11% benchmark, 17.70% excess, 65.01% turnover), while the weakest was 2025-10-31 (-4.47% strategy return, 0.20% benchmark, -4.66% excess, 41.29% turnover). The latest rebalance shows MU increase to 20.00%; AMD increase to 10.81%; LRCX increase to 9.71%, 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.
- momentum13FChat AI
Did the momentum screen improve returns enough to justify drawdown, concentration, and turnover?
The momentum result shows return 19.74%, alpha 5.60%, beta 1.03, Sharpe 0.89, Sortino 1.15, and max drawdown -30.45%. Versus baseline, annualized return changed by -1.13%, alpha changed by -0.43%, Sharpe changed by -0.17, Sortino changed by -0.18, drawdown worsened by 0.68%. Average recent turnover is about 90.87%, and concentration is top 5 58.04%, top 10 84.46%, top 20 100.01%, 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.
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.