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 screen with strong long-run returns, but materially higher drawdowns and weaker risk-adjusted results than the original version.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| CRH | CRH plc | Materials | 20.00% | +16.75 |
| RNR | RenaissanceRe Holdings Ltd. | Financials | 20.00% | +18.41 |
| FERG | Ferguson Enterprises Inc. | Industrials | 20.00% | +17.41 |
| WYNN | Wynn Resorts, Limited | Consumer Discretionary | 20.00% | +17.12 |
| CME | CME Group Inc. | Financials | 20.00% | +16.29 |
Sector Exposure
- Financials40.00%
- Materials20.00%
- Industrials20.00%
- Consumer Discretionary20.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- CRHCRH plc20.00% (+16.75)
- RNRRenaissanceRe Holdings Ltd.20.00% (+18.41)
- FERGFerguson Enterprises Inc.20.00% (+17.41)
- WYNNWynn Resorts, Limited20.00% (+17.12)
- CMECME Group Inc.20.00% (+16.29)
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 | 15.58% | 2.74% | 0.87 | -31.96% |
| Momentum Screen | 23.09% | 8.75% | 1.00 | -30.31% |
| Basic Value Screen | 15.91% | 2.66% | 0.73 | -41.16% |
| Combo Equal Screen | 15.72% | 2.04% | 0.73 | -49.13% |
vs Baseline: Annualized +0.32 · Alpha -0.08 · Sharpe -0.14
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -20.99% | -0.25% | -20.74 | 102.56 | 6 |
| 2023-03-31 | 6.89% | 7.90% | -1.01 | 100.19 | 6 |
| 2023-06-30 | 6.70% | -1.77% | +8.46 | 108.75 | 6 |
| 2023-09-30 | 7.61% | 10.11% | -2.50 | 102.93 | 6 |
| 2023-12-31 | 5.15% | 4.96% | +0.19 | 155.21 | 7 |
| 2024-03-31 | -0.51% | 2.31% | -2.82 | 54.28 | 5 |
| 2024-06-30 | 12.34% | 9.83% | +2.51 | 40.08 | 5 |
| 2024-09-30 | 1.22% | 2.76% | -1.54 | 21.62 | 6 |
| 2024-12-31 | -3.28% | -3.63% | +0.35 | 100.80 | 9 |
| 2025-03-31 | 11.75% | 9.22% | +2.53 | 103.39 | 9 |
| 2025-06-30 | -3.60% | 4.20% | -7.80 | 98.65 | 9 |
| 2025-09-30 | 4.18% | 1.49% | +2.70 | 51.72 | 7 |
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 CRH, RenaissanceRe, Ferguson, Wynn Resorts, and CME Group, each at 20% weight. That is very different from the baseline, where those names carried original weights of 3.25%, 1.59%, 2.59%, 2.88%, and 3.71%, respectively. The screen therefore shifted the portfolio toward cyclical and financial value exposure, with sector weights of 40% Financials, 20% Materials, 20% Industrials, and 20% Consumer Discretionary. Relative to the baseline’s larger positions in Amazon, Visa, Microsoft, and Boston Scientific, the value screen deemphasized the dominant compounders and concentrated instead in lower-multiple financial, materials, and discretionary names.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeightsstrategyViews.basic-value-screen.latestChangesstrategyViews.baseline.topHoldings↳ Compare the value screen holdings list against the baseline top holdings to see exactly which growth-heavy positions were replaced by cyclical value names.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
It likely improved value exposure by construction, but it did not preserve return quality as well as the baseline. The value screen’s annualized return was 15.91%, only slightly above the baseline’s 15.58%, while alpha slipped to 2.66 from 2.74. Risk-adjusted quality weakened, with Sharpe down to 0.73 from 0.87 and Sortino down to 0.95 from 1.08. The max drawdown worsened sharply to -41.16% from -31.96%, and beta rose to 1.07 from 0.96. The main offset is lower implementation drag: total estimated cost fell to 12.22 in the value strategy process and the notes cite 716 fewer trades than the original value candidate path. So the screen may have improved valuation style purity, but it did not improve the quality of returns in risk-adjusted terms.
strategyViews.basic-value-screen.metrics.annualizedReturnstrategyViews.basic-value-screen.metrics.alphastrategyViews.basic-value-screen.metrics.sharpestrategyViews.basic-value-screen.metrics.sortinostrategyViews.basic-value-screen.metrics.maxDrawdownstrategyViews.basic-value-screen.metrics.betastrategyViews.basic-value-screen.metricDeltastrategyViews.baseline.metrics.annualizedReturnstrategyViews.baseline.metrics.alphastrategyViews.baseline.metrics.sharpestrategyViews.baseline.metrics.sortinostrategyViews.baseline.metrics.maxDrawdownstrategyViews.baseline.metrics.beta↳ Review the value screen’s Sharpe, Sortino, beta, and drawdown against the baseline before assuming cheaper-looking stocks produced a better investor experience.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The value screen’s result was driven by a few very large swings tied to its five-name concentration. The clearest negative period was 2022-12-31, when it lost 20.99% versus just -0.25% for the benchmark, a -20.74 point excess shortfall. It then rebounded with +14.00% in 2023-03-31 and +6.70% in 2023-06-30, but it lagged again in 2024-06-30 by -5.95 points and in 2024-09-30 by -1.54 points. Holdings-wise, the whole portfolio was concentrated in CRH, RenaissanceRe, Ferguson, Wynn Resorts, and CME Group at equal 20% weights, so those five names were effectively the entire source of both upside and downside.
strategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.concentration↳ Use the value screen’s quarterly results and selected holdings together to test whether the drawdown came from one bad cyclical theme or from several value bets failing at once.
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.