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
Low-beta momentum screen now behaves like a highly concentrated utilities bet, with muted returns and weaker risk-adjusted results versus SPY and the original plan.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| NEE | NextEra Energy, Inc. | Utilities | 20.00% | +5.97 |
| AEP | American Electric Power Company, Inc. | Utilities | 18.46% | +13.37 |
| ETR | Entergy Corporation | Utilities | 15.57% | +11.91 |
| DTE | DTE Energy Company | Utilities | 12.47% | +10.36 |
| EIX | Edison International | Utilities | 12.08% | +10.16 |
| NI | NiSource Inc. | Utilities | 11.47% | +9.86 |
| PNW | Pinnacle West Capital Corporation | Utilities | 9.95% | +9.09 |
Sector Exposure
- Utilities100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- NEENextEra Energy, Inc.20.00% (+5.97)
- AEPAmerican Electric Power Company, Inc.18.46% (+13.37)
- ETREntergy Corporation15.57% (+11.91)
- DTEDTE Energy Company12.47% (+10.36)
- EIXEdison International12.08% (+10.16)
- NINiSource Inc.11.47% (+9.86)
- PNWPinnacle West Capital Corporation9.95% (+9.09)
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 | 6.89% | -0.23% | 0.44 | -36.56% |
| Momentum Screen | 4.74% | -2.39% | 0.33 | -37.92% |
| Basic Value Screen | 5.52% | -1.72% | 0.37 | -42.47% |
| Combo Equal Screen | 7.42% | 0.38% | 0.47 | -35.72% |
vs Baseline: Annualized -2.15 · Alpha -2.16 · Sharpe -0.12
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | -2.36% | 3.75% | -6.10 | 65.39 | 9 |
| 2025-06-30 | 4.36% | 2.69% | +1.67 | 136.46 | 11 |
| 2025-07-31 | -7.13% | 2.05% | -9.18 | 81.71 | 10 |
| 2025-08-31 | 7.41% | 3.66% | +3.75 | 50.40 | 9 |
| 2025-09-30 | 2.89% | 2.05% | +0.84 | 121.07 | 11 |
| 2025-10-31 | -0.08% | 0.20% | -0.27 | 97.53 | 10 |
| 2025-11-30 | -3.33% | 0.99% | -4.32 | 106.92 | 11 |
| 2025-12-31 | -2.82% | 1.47% | -4.30 | 103.65 | 11 |
| 2026-01-31 | 12.05% | -1.35% | +13.40 | 118.32 | 11 |
| 2026-02-28 | -1.37% | -7.93% | +6.56 | 56.71 | 9 |
| 2026-03-31 | -1.80% | 9.42% | -11.22 | 53.83 | 9 |
| 2026-04-30 | -3.11% | 4.11% | -7.21 | 85.14 | 10 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Which recent momentum periods most strongly shaped the result?
The strongest recent period was 2026-01-31 (12.05% strategy return, -1.35% benchmark, 13.40% excess, 118.32% turnover), while the weakest was 2026-03-31 (-1.80% strategy return, 9.42% benchmark, -11.22% excess, 53.83% turnover). The latest rebalance shows AEP increase to 18.46%; ETR increase to 15.57%; DTE increase to 12.47%, 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 concentrate exposure in a few winners or sectors?
The current momentum book has top 5 78.58%, top 10 100.00%, top 20 100.00% and sector exposure of Utilities 100.00%. Its leading holdings are NEE (NextEra Energy, Inc.) 20.00%, AEP (American Electric Power Company, Inc.) 18.46%, ETR (Entergy Corporation) 15.57%, and DTE 12.47%, 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 XLU | S&P 500 Utilities Sector ETF, and what tilt does that create?
The momentum screen currently emphasizes NEE (NextEra Energy, Inc.) 20.00%, AEP (American Electric Power Company, Inc.) 18.46%, ETR (Entergy Corporation) 15.57%, DTE 12.47%, and EIX (Edison International) 12.08%. It still overlaps the baseline through AEP, ETR, NEE, while sector exposure is Utilities 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.