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.
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.