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.
AI Summary
Concentrated small-value tilt with strong long-run alpha and returns, but materially higher drawdowns and sector concentration than SPY.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| DASH | DoorDash, Inc. | Consumer Discretionary | 20.00% | +11.73 |
| MELI | MercadoLibre, Inc. | Consumer Discretionary | 20.00% | +13.68 |
| CVNA | Carvana Co. | Consumer Discretionary | 13.51% | +9.53 |
| FERG | Ferguson Enterprises Inc. | Industrials | 12.23% | +8.68 |
| AYI | Acuity Inc. | Industrials | 10.57% | +7.58 |
| Q | Qnity Electronics, Inc. | Information Technology | 8.62% | +6.28 |
| TECH | Bio-Techne Corporation | Health Care | 5.42% | +4.16 |
| APP | AppLovin Corporation | Information Technology | 5.01% | +3.89 |
| BKNG | Booking Holdings Inc. | Consumer Discretionary | 4.65% | +3.65 |
Sector Exposure
- Consumer Discretionary58.16%
- Industrials22.80%
- Information Technology13.63%
- Health Care5.42%
Weight Changes
Notable position adjustments in the latest snapshot.
- DASHDoorDash, Inc.20.00% (+11.73)
- MELIMercadoLibre, Inc.20.00% (+13.68)
- CVNACarvana Co.13.51% (+9.53)
- FERGFerguson Enterprises Inc.12.23% (+8.68)
- AYIAcuity Inc.10.57% (+7.58)
- QQnity Electronics, Inc.8.62% (+6.28)
- TECHBio-Techne Corporation5.42% (+4.16)
- APPAppLovin Corporation5.01% (+3.89)
- BKNGBooking Holdings Inc.4.65% (+3.65)
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 | 5.85% | 1.81% | 0.64 | -18.12% |
| Momentum Screen | 6.36% | 0.77% | 0.46 | -32.87% |
| Basic Value Screen | 15.25% | 6.95% | 0.82 | -34.89% |
| Combo Equal Screen | 8.90% | 2.39% | 0.48 | -39.03% |
vs Baseline: Annualized +9.40 · Alpha +5.14 · Sharpe +0.18
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 3.52% | -0.25% | +3.78 | 78.21 | 15 |
| 2023-03-31 | 7.95% | 7.90% | +0.04 | 39.86 | 14 |
| 2023-06-30 | -2.14% | -1.77% | -0.37 | 20.76 | 13 |
| 2023-09-30 | 10.58% | 10.11% | +0.47 | 8.43 | 11 |
| 2023-12-31 | -7.51% | 4.96% | -12.47 | 28.31 | 13 |
| 2024-03-31 | 0.38% | 2.31% | -1.93 | 33.31 | 13 |
| 2024-06-30 | 13.18% | 9.83% | +3.35 | 47.01 | 13 |
| 2024-09-30 | 0.55% | 2.76% | -2.21 | 55.05 | 14 |
| 2024-12-31 | -3.94% | -3.63% | -0.31 | 92.78 | 13 |
| 2025-03-31 | 8.93% | 9.22% | -0.29 | 67.26 | 14 |
| 2025-06-30 | -6.86% | 4.20% | -11.06 | 55.74 | 12 |
| 2025-09-30 | 6.62% | 1.49% | +5.13 | 47.82 | 13 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- value13FChat AI
Which names did the value screen keep, and what makes the result different from the baseline?
The value screen kept a concentrated set of consumer and industrial names, but unlike the baseline it massively reweighted them toward a few survivors. The top positions are DASH at 20.0%, MELI at 20.0%, CVNA at 13.51%, FERG at 12.23%, AYI at 10.57%, Q at 8.62%, TECH at 5.42%, APP at 5.01%, and BKNG at 4.65%. Versus the baseline, that means very large active increases: MELI +13.68 pts, DASH +11.73, CVNA +9.53, FERG +8.68, and AYI +7.58. The result differs from the baseline because the sector mix shifts to Consumer Discretionary at 58.16% and Industrials at 22.8%, while the top 5 concentration rises to 76.31% from the baseline’s 37.05%.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.latestChangesstrategyViews.basic-value-screen.sectorWeightsstrategyViews.basic-value-screen.concentrationstrategyViews.baseline.concentration↳ Can you show which baseline names were screened out by the value process and how much concentration moved into DASH, MELI, and CVNA?
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
Based on the available artifact, yes on return quality, but with much higher crash risk. The value screen lifted annualized return to 15.25% from the baseline’s 5.85%, total return to 129.76% from 39.56%, alpha to 6.95 from 1.81, Sharpe to 0.82 from 0.64, and Sortino to 1.19 from 0.88. However, max drawdown worsened sharply to -34.89% versus -18.12%, and concentration surged, with the top 5 at 76.31%. Since the artifact does not expose explicit weighted PE, PB, P/FCF, or EV/EBITDA outputs here, the strongest confirmed conclusion is that the screen improved returns and risk-adjusted return metrics, but did so by accepting much deeper drawdowns and a much narrower portfolio.
strategyViews.basic-value-screen.metricsstrategyViews.basic-value-screen.metricDeltastrategyViews.basic-value-screen.concentrationstrategyViews.baseline.metrics↳ Can you compare the value screen’s return improvement against its extra drawdown by looking at the worst downside windows and the best rebound windows?
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The value screen’s result is driven by strong compounding in several quarters plus a handful of very concentrated bets. Positive periods include 2022-12-31 at +3.52% versus SPY -0.25% (+3.78% excess), 2024-06-30 at +13.18% versus 9.83% (+3.35%), and 2025-09-30 at +6.62% versus 1.49% (+5.13%). The biggest setback was 2023-12-31, when the screen returned -7.51% against SPY +4.96% for -12.47% excess. The latest holdings imply that DASH (20.0%), MELI (20.0%), CVNA (13.51%), FERG (12.23%), and AYI (10.57%) were the dominant drivers because those five names make up 76.31% of the screen.
strategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.concentration↳ Can you link the value screen’s best periods to specific concentrated holdings like DASH, MELI, CVNA, and FERG?
استراتيجيات أخرى لهذا الصندوق
الخط الأساسي
Track disclosed holdings with the standard reporting lag and no active reweighting.
فلتر الزخم
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.
الفلتر المركّب المتساوي
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.