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 real estate momentum portfolio with lower beta, but weak risk-adjusted returns and persistent benchmark lag.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| WELL | Welltower Inc. | Real Estate | 20.00% | +9.78 |
| EQIX | Equinix, Inc. | Real Estate | 20.00% | +12.81 |
| DLR | Digital Realty Trust, Inc. | Real Estate | 14.77% | +10.13 |
| PSA | Public Storage | Real Estate | 14.33% | +9.88 |
| IRM | Iron Mountain Incorporated | Real Estate | 13.28% | +9.29 |
| SBAC | SBA Communications Corporation | Real Estate | 9.70% | +7.27 |
| KIM | Kimco Realty Corporation | Real Estate | 7.92% | +6.26 |
Sector Exposure
- Real Estate100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- WELLWelltower Inc.20.00% (+9.78)
- EQIXEquinix, Inc.20.00% (+12.81)
- DLRDigital Realty Trust, Inc.14.77% (+10.13)
- PSAPublic Storage14.33% (+9.88)
- IRMIron Mountain Incorporated13.28% (+9.29)
- SBACSBA Communications Corporation9.70% (+7.27)
- KIMKimco Realty Corporation7.92% (+6.26)
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 | 4.19% | -5.72% | 0.30 | -38.51% |
| Momentum Screen | 1.90% | -7.00% | 0.19 | -38.97% |
| Basic Value Screen | 0.22% | -10.91% | 0.14 | -53.78% |
| Combo Equal Screen | 3.92% | -3.97% | 0.29 | -40.50% |
vs Baseline: Annualized -2.29 · Alpha -1.28 · Sharpe -0.11
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | -0.35% | 3.75% | -4.10 | 51.41 | 9 |
| 2025-06-30 | 1.08% | 2.69% | -1.61 | 87.90 | 10 |
| 2025-07-31 | -1.65% | 2.05% | -3.70 | 88.99 | 10 |
| 2025-08-31 | 2.45% | 3.66% | -1.20 | 112.13 | 11 |
| 2025-09-30 | -8.70% | 2.05% | -10.75 | 76.42 | 10 |
| 2025-10-31 | 4.41% | 0.20% | +4.21 | 96.93 | 10 |
| 2025-11-30 | -0.64% | 0.99% | -1.63 | 46.12 | 9 |
| 2025-12-31 | 1.74% | 1.47% | +0.27 | 31.24 | 8 |
| 2026-01-31 | 7.09% | -1.35% | +8.44 | 81.25 | 10 |
| 2026-02-28 | -6.84% | -7.93% | +1.09 | 51.81 | 9 |
| 2026-03-31 | 7.00% | 9.42% | -2.41 | 138.26 | 12 |
| 2026-04-30 | -0.36% | 4.11% | -4.47 | 88.26 | 10 |
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 1.90%, alpha -7.00%, beta 0.74, Sharpe 0.19, Sortino 0.26, and max drawdown -38.97%. Versus baseline, annualized return changed by -2.29%, alpha changed by -1.28%, Sharpe changed by -0.11, Sortino changed by -0.13, drawdown worsened by 0.46%. Average recent turnover is about 74.18%, and concentration is top 5 82.38%, 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
Did the momentum screen concentrate exposure in a few winners or sectors?
The current momentum book has top 5 82.38%, top 10 100.00%, top 20 100.00% and sector exposure of Real Estate 100.00%. Its leading holdings are WELL (Welltower Inc.) 20.00%, EQIX (Equinix, Inc.) 20.00%, DLR (Digital Realty Trust, Inc.) 14.77%, and PSA (Public Storage) 14.33%, 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 XLRE | S&P 500 Real Estate Sector ETF, and what tilt does that create?
The momentum screen currently emphasizes WELL (Welltower Inc.) 20.00%, EQIX (Equinix, Inc.) 20.00%, DLR (Digital Realty Trust, Inc.) 14.77%, PSA (Public Storage) 14.33%, and IRM (Iron Mountain Incorporated) 13.28%. It still overlaps the baseline through DLR, EQIX, PSA, WELL, while sector exposure is Real Estate 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.
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.