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 five-stock momentum portfolio with strong absolute returns and alpha, but weaker risk-adjusted results than the original screen.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GOOGL | Alphabet Inc. | Communication Services | 20.00% | +6.43 |
| AVGO | Broadcom Inc. | Information Technology | 20.00% | +14.91 |
| MU | Micron Technology, Inc. | Information Technology | 20.00% | +16.27 |
| WMT | Walmart Inc. | Consumer Staples | 20.00% | +17.46 |
| XOM | Exxon Mobil Corporation | Energy | 20.00% | +17.32 |
Sector Exposure
- Information Technology40.00%
- Communication Services20.00%
- Consumer Staples20.00%
- Energy20.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- GOOGLAlphabet Inc.20.00% (+6.43)
- AVGOBroadcom Inc.20.00% (+14.91)
- MUMicron Technology, Inc.20.00% (+16.27)
- WMTWalmart Inc.20.00% (+17.46)
- XOMExxon Mobil Corporation20.00% (+17.32)
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 | 25.14% | 2.87% | 1.20 | -21.61% |
| Momentum Screen | 23.44% | 7.08% | 1.05 | -26.44% |
| Basic Value Screen | 16.82% | 5.74% | 1.08 | -12.97% |
| Combo Equal Screen | 38.62% | 12.53% | 1.54 | -22.83% |
vs Baseline: Annualized -1.70 · Alpha +4.21 · Sharpe -0.16
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | -2.25% | 3.75% | -6.00 | 81.56 | 7 |
| 2025-06-30 | 3.63% | 2.69% | +0.95 | 160.12 | 9 |
| 2025-07-31 | -1.71% | 2.05% | -3.77 | 41.22 | 6 |
| 2025-08-31 | 7.00% | 3.66% | +3.35 | 42.89 | 6 |
| 2025-09-30 | 8.69% | 2.05% | +6.64 | 80.55 | 7 |
| 2025-10-31 | 1.49% | 0.20% | +1.30 | 40.78 | 6 |
| 2025-11-30 | -1.08% | 0.99% | -2.07 | 41.71 | 6 |
| 2025-12-31 | 1.12% | 1.47% | -0.36 | 40.22 | 6 |
| 2026-01-31 | 2.44% | -1.35% | +3.79 | 81.72 | 7 |
| 2026-02-28 | -3.62% | -7.93% | +4.31 | 6.71 | 5 |
| 2026-03-31 | 8.67% | 9.42% | -0.75 | 80.01 | 7 |
| 2026-04-30 | 8.83% | 4.11% | +4.72 | 90.27 | 7 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- momentum13FChat AI
Did the momentum screen concentrate exposure in a few winners or sectors?
The current momentum book has top 5 100.00%, top 10 100.00%, top 20 100.00% and sector exposure of Information Technology 40.00%, Communication Services 20.00%, Consumer Staples 20.00%, and Energy 20.00%. Its leading holdings are GOOGL (Alphabet Inc.) 20.00%, AVGO (Broadcom Inc.) 20.00%, MU (Micron Technology, Inc.) 20.00%, and WMT (Walmart Inc.) 20.00%, 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 recent momentum periods most strongly shaped the result?
The strongest recent period was 2025-09-30 (8.69% strategy return, 2.05% benchmark, 6.64% excess, 80.55% turnover), while the weakest was 2025-05-31 (-2.25% strategy return, 3.75% benchmark, -6.00% excess, 81.56% turnover). The latest rebalance shows WMT increase to 20.00%; XOM increase to 20.00%; MU increase to 20.00%, 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
Which names did the momentum screen keep for iShares Trust - iShares Top 20 U.S. Stocks ETF, and what tilt does that create?
The momentum screen currently emphasizes GOOGL (Alphabet Inc.) 20.00%, AVGO (Broadcom Inc.) 20.00%, MU (Micron Technology, Inc.) 20.00%, WMT (Walmart Inc.) 20.00%, and XOM (Exxon Mobil Corporation) 20.00%. It still overlaps the baseline through AVGO, GOOGL, MU, while sector exposure is Information Technology 40.00%, Communication Services 20.00%, and Consumer Staples 20.00%. 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.