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 value-leaning portfolio with strong absolute backtest gains, but high drawdowns and only modest risk-adjusted edge versus SPY.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| AGO | Assured Guaranty Ltd. | Financials | 20.00% | +19.02 |
| TGNA | TEGNA Inc. | Communication Services | 9.03% | +8.73 |
| M | Macy's, Inc. | Consumer Discretionary | 8.08% | +7.81 |
| RNR | RenaissanceRe Holdings Ltd. | Financials | 7.79% | +7.53 |
| FHI | Federated Hermes, Inc. | Financials | 5.37% | +5.20 |
| SIG | Signet Jewelers Limited | Consumer Discretionary | 5.35% | +5.18 |
| HRB | H&R Block, Inc. | Consumer Discretionary | 4.73% | +4.58 |
| BPOP | Popular, Inc. | Financials | 4.67% | +4.52 |
| WRB | W. R. Berkley Corporation | Financials | 4.44% | +4.30 |
| BBWI | Bath & Body Works, Inc. | Consumer Discretionary | 4.04% | +3.91 |
| ANF | Abercrombie & Fitch Co. | Consumer Discretionary | 3.56% | +3.45 |
| LEA | Lear Corporation | Consumer Discretionary | 3.55% | +3.44 |
| MOH | Molina Healthcare, Inc. | Health Care | 3.30% | +3.20 |
| PHM | PulteGroup, Inc. | Consumer Discretionary | 3.10% | +3.01 |
| CRI | Carter's, Inc. | Consumer Discretionary | 2.94% | +2.85 |
| KHC | The Kraft Heinz Company | Consumer Staples | 2.26% | +2.19 |
| BOKF | BOK Financial Corporation | Financials | 2.17% | +2.11 |
| R | Ryder System, Inc. | Industrials | 2.03% | +1.97 |
| AXS | AXIS Capital Holdings Limited | Financials | 1.80% | +1.75 |
| GNTX | Gentex Corporation | Consumer Discretionary | 1.79% | +1.74 |
Sector Exposure
- Financials46.24%
- Consumer Discretionary37.14%
- Communication Services9.03%
- Health Care3.30%
- Consumer Staples2.26%
- Industrials2.03%
Weight Changes
Notable position adjustments in the latest snapshot.
- AGOAssured Guaranty Ltd.20.00% (+19.02)
- TGNATEGNA Inc.9.03% (+8.73)
- MMacy's, Inc.8.08% (+7.81)
- RNRRenaissanceRe Holdings Ltd.7.79% (+7.53)
- FHIFederated Hermes, Inc.5.37% (+5.20)
- SIGSignet Jewelers Limited5.35% (+5.18)
- HRBH&R Block, Inc.4.73% (+4.58)
- BPOPPopular, Inc.4.67% (+4.52)
- WRBW. R. Berkley Corporation4.44% (+4.30)
- BBWIBath & Body Works, Inc.4.04% (+3.91)
- ANFAbercrombie & Fitch Co.3.56% (+3.45)
- LEALear Corporation3.55% (+3.44)
- MOHMolina Healthcare, Inc.3.30% (+3.20)
- PHMPulteGroup, Inc.3.10% (+3.01)
- CRICarter's, Inc.2.94% (+2.85)
- KHCThe Kraft Heinz Company2.26% (+2.19)
- BOKFBOK Financial Corporation2.17% (+2.11)
- RRyder System, Inc.2.03% (+1.97)
- AXSAXIS Capital Holdings Limited1.80% (+1.75)
- GNTXGentex Corporation1.79% (+1.74)
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 | 2.42% | 0.03% | 0.66 | -7.64% |
| Momentum Screen | 14.07% | 0.67% | 0.69 | -40.16% |
| Basic Value Screen | 12.68% | -0.34% | 0.60 | -49.01% |
| Combo Equal Screen | 10.56% | 0.18% | 0.57 | -28.84% |
vs Baseline: Annualized +10.26 · Alpha -0.37 · Sharpe -0.05
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -6.56% | -0.25% | -6.30 | 50.78 | 25 |
| 2023-03-31 | 14.15% | 7.90% | +6.24 | 47.36 | 25 |
| 2023-06-30 | -12.65% | -1.77% | -10.88 | 50.73 | 23 |
| 2023-09-30 | 10.23% | 10.11% | +0.12 | 71.30 | 27 |
| 2023-12-31 | 3.01% | 4.96% | -1.95 | 87.85 | 26 |
| 2024-03-31 | -4.97% | 2.31% | -7.28 | 76.13 | 25 |
| 2024-06-30 | 15.57% | 9.83% | +5.74 | 31.65 | 23 |
| 2024-09-30 | -2.53% | 2.76% | -5.29 | 28.72 | 24 |
| 2024-12-31 | -2.25% | -3.63% | +1.37 | 70.27 | 25 |
| 2025-03-31 | 9.62% | 9.22% | +0.40 | 80.89 | 26 |
| 2025-06-30 | 5.67% | 4.20% | +1.47 | 35.69 | 26 |
| 2025-09-30 | 3.66% | 1.49% | +2.17 | 54.15 | 26 |
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?
Basic Value Screen kept AGO 20.00%, TGNA 9.03%, M 8.08%, RNR 7.79%, FHI 5.37%, SIG 5.35%. The result differs from Baseline because it narrows the portfolio around value-qualified names and changes the weight structure to top 5 50.27%, top 10 73.50%, top 20 100.00%. Sector exposure is Financials 46.24%, Consumer Discretionary 37.14%, Communication Services 9.03%, Health Care 3.30%. This is useful only if the retained names are genuine valuation opportunities rather than simply statistically cheap holdings.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.concentrationstrategyViews.basic-value-screen.sectorWeights↳ List the Baseline holdings removed by the value screen and why the retained names may qualify.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
The value screen looks better than Baseline on return. It shows return 12.68%, alpha -0.34%, beta 1.09, Sharpe 0.60, Sortino 0.80, max drawdown -49.01%. Relative to Baseline, return changed by 10.26%, Sharpe by -0.06, and max drawdown by -41.37%. A value tilt is attractive when alpha or return improves without a severe drawdown penalty; here the decision should hinge on that exact trade-off.
strategyViews.basic-value-screen.metricsstrategyViews.baseline.metrics↳ Judge the value screen using return, alpha, Sharpe, Sortino, and max drawdown together.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The clearest value-screen periods are 2023-03-31 (14.15% vs SPY 7.90%, excess 6.24%, turnover 47.36%) on the upside and 2023-06-30 (-12.65% vs SPY -1.77%, excess -10.88%, turnover 50.73%) on the downside. The holding-change rows show AGO raised by 19.02% to 20.00%; TGNA raised by 8.73% to 9.03% and no large named moves. That combination helps distinguish a broad value effect from a result driven by one or two selected names.
strategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.latestChanges↳ Trace the value-screen result to the best/worst periods and selected holdings.
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.