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
High-return small-value portfolio with strong upside capture, but materially higher concentration, volatility, and drawdown than the original approach.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| COIN | Coinbase Global, Inc. | Financials | 20.00% | +16.05 |
| ILMN | Illumina, Inc. | Health Care | 19.16% | +17.77 |
| BABA | Alibaba Group Holding Limited | Consumer Discretionary | 9.97% | +9.32 |
| LHX | L3Harris Technologies, Inc. | Industrials | 9.75% | +9.12 |
| TDY | Teledyne Technologies Incorporated | Information Technology | 3.96% | +3.81 |
| AMGN | Amgen Inc. | Health Care | 3.31% | +3.20 |
| INCY | Incyte Corporation | Health Care | 3.19% | +3.10 |
| CRM | Salesforce, Inc. | Information Technology | 3.19% | +3.10 |
| PYPL | PayPal Holdings, Inc. | Financials | 2.80% | +2.74 |
| ICE | Intercontinental Exchange, Inc. | Financials | 2.78% | +2.72 |
| HON | Honeywell International Inc. | Industrials | 2.51% | +2.47 |
| PTC | PTC Inc. | Information Technology | 2.36% | +2.33 |
| HPQ | HP Inc. | Information Technology | 2.25% | +2.24 |
| CHKP | Check Point Software Technologies Ltd. | Information Technology | 2.22% | +2.21 |
| ALGN | Align Technology, Inc. | Health Care | 2.17% | +2.16 |
| UPS | United Parcel Service, Inc. | Industrials | 2.16% | +2.15 |
| KMT | Kennametal Inc. | Industrials | 2.06% | +2.06 |
| REGN | Regeneron Pharmaceuticals, Inc. | Health Care | 2.06% | +2.06 |
| EMN | Eastman Chemical Company | Materials | 2.05% | +2.05 |
| Q | Qnity Electronics, Inc. | Information Technology | 2.05% | +2.05 |
Sector Exposure
- Health Care29.89%
- Financials25.58%
- Industrials16.48%
- Information Technology16.03%
- Consumer Discretionary9.97%
- Materials2.05%
Weight Changes
Notable position adjustments in the latest snapshot.
- COINCoinbase Global, Inc.20.00% (+16.05)
- ILMNIllumina, Inc.19.16% (+17.77)
- BABAAlibaba Group Holding Limited9.97% (+9.32)
- LHXL3Harris Technologies, Inc.9.75% (+9.12)
- TDYTeledyne Technologies Incorporated3.96% (+3.81)
- AMGNAmgen Inc.3.31% (+3.20)
- INCYIncyte Corporation3.19% (+3.10)
- CRMSalesforce, Inc.3.19% (+3.10)
- PYPLPayPal Holdings, Inc.2.80% (+2.74)
- ICEIntercontinental Exchange, Inc.2.78% (+2.72)
- HONHoneywell International Inc.2.51% (+2.47)
- PTCPTC Inc.2.36% (+2.33)
- HPQHP Inc.2.25% (+2.24)
- CHKPCheck Point Software Technologies Ltd.2.22% (+2.21)
- ALGNAlign Technology, Inc.2.17% (+2.16)
- UPSUnited Parcel Service, Inc.2.16% (+2.15)
- KMTKennametal Inc.2.06% (+2.06)
- REGNRegeneron Pharmaceuticals, Inc.2.06% (+2.06)
- EMNEastman Chemical Company2.05% (+2.05)
- QQnity Electronics, Inc.2.05% (+2.05)
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 | 16.25% | 7.86% | 1.12 | -22.24% |
| Momentum Screen | 32.69% | 14.49% | 1.09 | -40.38% |
| Basic Value Screen | 18.35% | 4.60% | 0.82 | -36.24% |
| Combo Equal Screen | 18.31% | 3.42% | 0.83 | -37.02% |
vs Baseline: Annualized +2.10 · Alpha -3.27 · Sharpe -0.30
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -13.62% | -0.25% | -13.37 | 43.60 | 25 |
| 2023-03-31 | 15.18% | 7.90% | +7.27 | 61.98 | 24 |
| 2023-06-30 | -13.25% | -1.77% | -11.48 | 90.69 | 23 |
| 2023-09-30 | 10.91% | 10.11% | +0.81 | 89.31 | 25 |
| 2023-12-31 | 13.11% | 4.96% | +8.15 | 123.54 | 25 |
| 2024-03-31 | -1.04% | 2.31% | -3.35 | 69.37 | 25 |
| 2024-06-30 | 10.17% | 9.83% | +0.35 | 84.52 | 23 |
| 2024-09-30 | 21.48% | 2.76% | +18.72 | 82.46 | 24 |
| 2024-12-31 | -2.11% | -3.63% | +1.52 | 101.77 | 23 |
| 2025-03-31 | 32.30% | 9.22% | +23.08 | 141.85 | 26 |
| 2025-06-30 | 3.21% | 4.20% | -0.99 | 111.23 | 28 |
| 2025-09-30 | 3.83% | 1.49% | +2.34 | 91.55 | 25 |
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 COIN 20.00%, ILMN 19.16%, BABA 9.97%, LHX 9.75%, TDY 3.96%, AMGN 3.31%. The result differs from Baseline because it narrows the portfolio around value-qualified names and changes the weight structure to top 5 62.84%, top 10 78.11%, top 20 100.00%. Sector exposure is Health Care 29.89%, Financials 25.58%, Industrials 16.48%, Information Technology 16.03%. 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 18.35%, alpha 4.60%, beta 1.08, Sharpe 0.82, Sortino 1.10, max drawdown -36.24%. Relative to Baseline, return changed by 2.10%, Sharpe by -0.30, and max drawdown by -14.00%. 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 2025-03-31 (32.30% vs SPY 9.22%, excess 23.08%, turnover 141.85%) on the upside and 2022-12-31 (-13.62% vs SPY -0.25%, excess -13.37%, turnover 43.60%) on the downside. The holding-change rows show ILMN raised by 17.77% to 19.16%; COIN raised by 16.05% to 20.00% 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.
Weitere Strategien für diesen Fonds
Basisstrategie
Track disclosed holdings with the standard reporting lag and no active reweighting.
Momentum-Screening
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.
Kombinations-Gleichgewichtung
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.