Quality Momentum

The book the strategy actually owns right now, by reporting currency, in % of book (no dollar amounts). It is signal-driven and rebalanced daily, but each name is held until its signal says exit (hold-until-exit, anti-churn) — so turnover stays low. A book can hold fewer names than the model ranks: positions are sized by rule — a volatility target, whole-share lots, per-name caps — with the remainder in cash (the Cash badge).

What the strategy would pick if it rebalanced today.

The model ranks these names by signal daily; we hold the names we own until a name's signal says exit — the gap between this ranking and the Holdings above is our hold-until-exit (anti-churn) discipline. The ranking itself is the same for both tranches — the Aggressive/Conservative toggle only changes which signals trigger a trade, so it drives the Holdings and curve above, not this list. So this is a research signal, not a confirmed buy list.

How Quality Momentum picks names.

Buys companies that are both growing fast AND profitable. Momentum on its own catches glamour stocks that crash; profitability screens out hype. The pair has decades of academic support (Asness, Frazzini, Pedersen 2019; Novy-Marx 2013).

1. 01

   Universe filter

   US, European, and Polish listings above each market's size floor (market cap > $500M in the US, > $300M USD-equivalent in EU/PL), actively traded (not halted, not disabled). The V1.2 investability screen caps the share price at $600 (US) / €1,000 (EU) / 4,000 zł (PL), so every pick is buyable as a whole share within the strategy's fixed entry ticket. Under the current rules the cap also applies to held names: a position whose price outgrows it leaves the ranking and is sold.

2. 02

   12-1 momentum

   Return from 12 months ago to 1 month ago. Skipping the most recent month avoids the short-term reversal effect documented by Jegadeesh & Titman.

3. 03

   Quality screen

   Of the top momentum candidates, keep only those with non-negative ROE TTM and non-negative profit margin — a pass/fail gate, not a score. Filters out lottery-style rallies in unprofitable names.

4. 04

   Momentum ranking

   Survivors are ranked purely by 12-1 momentum. The quality screen is a pass/fail gate, not a score component — it exists to cut drawdown and turnover. The funnel narrows at each stage: roughly the top 150 momentum candidates enter the quality gate, and after the AI review at most 20 names per market reach the book.

5. 05

   AI research card

   Each pick gets a grounded research brief from live web search (Perplexity sonar-pro), then three independent AI models (Gemini, Claude, OpenAI) vote PROCEED / CAUTION / SKIP on that same brief. Two or more SKIP votes veto the pick; every vote, reason, and two material risks are logged before the order. On the rare day the research service is unavailable, the paper book trades on the quant ranking alone and the missing verdict is visible on the pick page.

Rebalance cadence

Signal-driven, rebalanced daily, hold-until-exit (anti-churn): each name is held until its signal says exit, so turnover stays low.

Universe

US, European, and Polish large-cap equity passing the quality screen