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
Concentrated large-cap momentum portfolio with strong absolute returns and alpha, but higher drawdowns and thinner risk-adjusted gains after optimization.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GOOGL | Alphabet Inc. | Communication Services | 20.00% | +13.39 |
| NVDA | NVIDIA Corporation | Information Technology | 20.00% | +11.75 |
| MU | Micron Technology, Inc. | Information Technology | 7.55% | +6.22 |
| JNJ | Johnson & Johnson | Health Care | 5.46% | +4.62 |
| LRCX | Lam Research Corporation | Information Technology | 4.33% | +3.75 |
| KO | The Coca-Cola Company | Consumer Staples | 3.90% | +3.42 |
| MRK | Merck & Co., Inc. | Health Care | 3.72% | +3.28 |
| KLAC | KLA Corporation | Information Technology | 3.50% | +3.12 |
| PEP | PepsiCo, Inc. | Consumer Staples | 3.27% | +2.94 |
| AMGN | Amgen Inc. | Health Care | 3.05% | +2.77 |
| GILD | Gilead Sciences, Inc. | Health Care | 2.95% | +2.69 |
| UNP | Union Pacific Corporation | Industrials | 2.91% | +2.66 |
| NEM | Newmont Corporation | Materials | 2.71% | +2.50 |
| BMY | Bristol-Myers Squibb Company | Health Care | 2.62% | +2.44 |
| LMT | Lockheed Martin Corporation | Industrials | 2.54% | +2.38 |
| UPS | United Parcel Service, Inc. | Industrials | 2.35% | +2.23 |
| FTNT | Fortinet, Inc. | Information Technology | 2.33% | +2.22 |
| CL | Colgate-Palmolive Company | Consumer Staples | 2.32% | +2.21 |
| MSI | Motorola Solutions, Inc. | Information Technology | 2.27% | +2.17 |
| ALL | The Allstate Corporation | Financials | 2.22% | +2.13 |
Sector Exposure
- Information Technology39.98%
- Communication Services20.00%
- Health Care17.80%
- Consumer Staples9.49%
- Industrials7.80%
- Materials2.71%
- Financials2.22%
Weight Changes
Notable position adjustments in the latest snapshot.
- GOOGLAlphabet Inc.20.00% (+13.39)
- NVDANVIDIA Corporation20.00% (+11.75)
- MUMicron Technology, Inc.7.55% (+6.22)
- JNJJohnson & Johnson5.46% (+4.62)
- LRCXLam Research Corporation4.33% (+3.75)
- KOThe Coca-Cola Company3.90% (+3.42)
- MRKMerck & Co., Inc.3.72% (+3.28)
- KLACKLA Corporation3.50% (+3.12)
- PEPPepsiCo, Inc.3.27% (+2.94)
- AMGNAmgen Inc.3.05% (+2.77)
- GILDGilead Sciences, Inc.2.95% (+2.69)
- UNPUnion Pacific Corporation2.91% (+2.66)
- NEMNewmont Corporation2.71% (+2.50)
- BMYBristol-Myers Squibb Company2.62% (+2.44)
- LMTLockheed Martin Corporation2.54% (+2.38)
- UPSUnited Parcel Service, Inc.2.35% (+2.23)
- FTNTFortinet, Inc.2.33% (+2.22)
- CLColgate-Palmolive Company2.32% (+2.21)
- MSIMotorola Solutions, Inc.2.27% (+2.17)
- ALLThe Allstate Corporation2.22% (+2.13)
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 | 21.38% | 0.04% | 1.37 | -18.86% |
| Momentum Screen | 22.03% | 0.17% | 1.17 | -22.18% |
| Basic Value Screen | 11.95% | -1.58% | 0.82 | -18.43% |
| Combo Equal Screen | 24.09% | -0.26% | 1.23 | -22.99% |
vs Baseline: Annualized +0.65 · Alpha +0.13 · Sharpe -0.21
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | 0.13% | 3.75% | -3.62 | 68.90 | 24 |
| 2025-06-30 | 2.43% | 2.69% | -0.25 | 107.43 | 31 |
| 2025-07-31 | 1.38% | 2.05% | -0.67 | 76.74 | 27 |
| 2025-08-31 | 6.70% | 3.66% | +3.04 | 78.07 | 27 |
| 2025-09-30 | 4.32% | 2.05% | +2.28 | 28.67 | 26 |
| 2025-10-31 | 3.30% | 0.20% | +3.11 | 40.03 | 25 |
| 2025-11-30 | 1.01% | 0.99% | +0.02 | 42.34 | 23 |
| 2025-12-31 | 5.07% | 1.47% | +3.60 | 30.08 | 25 |
| 2026-01-31 | 0.95% | -1.35% | +2.31 | 64.42 | 25 |
| 2026-02-28 | -10.62% | -7.93% | -2.69 | 59.31 | 24 |
| 2026-03-31 | 6.39% | 9.42% | -3.03 | 67.69 | 23 |
| 2026-04-30 | 6.64% | 4.11% | +2.53 | 93.52 | 24 |
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 22.03%, alpha 0.17%, beta 1.02, Sharpe 1.17, Sortino 1.74, and max drawdown -22.18%. Versus baseline, annualized return changed by 0.65%, alpha changed by 0.13%, Sharpe changed by -0.21, Sortino changed by -0.09, drawdown worsened by 3.31%. Average recent turnover is about 67.47%, and concentration is top 5 57.34%, top 10 74.78%, 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 State Street SPDR S&P 500 ETF Trust, and what tilt does that create?
The momentum screen currently emphasizes GOOGL (Alphabet Inc.) 20.00%, NVDA (NVIDIA Corporation) 20.00%, MU (Micron Technology, Inc.) 7.55%, JNJ (Johnson & Johnson) 5.46%, and LRCX (Lam Research Corporation) 4.33%. It still overlaps the baseline through GOOGL, MU, NVDA, while sector exposure is Information Technology 39.98%, Communication Services 20.00%, and Health Care 17.80%. 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 57.34%, top 10 74.78%, top 20 100.00% and sector exposure of Information Technology 39.98%, Communication Services 20.00%, Health Care 17.80%, and Consumer Staples 9.49%. Its leading holdings are GOOGL (Alphabet Inc.) 20.00%, NVDA (NVIDIA Corporation) 20.00%, MU (Micron Technology, Inc.) 7.55%, and JNJ (Johnson & Johnson) 5.46%, 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.
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.