Baseline
Track disclosed holdings with the standard reporting lag and no active reweighting.
AI Summary
Low-beta small-value portfolio with shallow drawdowns, modest absolute returns, and persistent SPY underperformance.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| ACA | Arcosa, Inc. | Industrials | 1.45% | 0 |
| KWR | Quaker Chemical Corporation | Materials | 1.15% | 0 |
| JBTM | JBT Marel Corporation | Industrials | 1.11% | 0 |
| ESAB | ESAB Corporation | Industrials | 1.11% | 0 |
| MKSI | MKS Inc. | Information Technology | 1.09% | 0 |
| AGO | Assured Guaranty Ltd. | Financials | 0.98% | 0 |
| LCII | LCI Industries | Consumer Discretionary | 0.88% | 0 |
| CRUS | Cirrus Logic, Inc. | Information Technology | 0.88% | 0 |
| IGIC | International General Insurance Holdings Ltd. | Financials | 0.87% | 0 |
| SEIC | SEI Investments Company | Financials | 0.82% | 0 |
| UFPI | UFP Industries, Inc. | Industrials | 0.81% | 0 |
| ESE | ESCO Technologies Inc. | Industrials | 0.78% | 0 |
| IESC | IES Holdings, Inc. | Industrials | 0.74% | 0 |
| NGVT | Ingevity Corporation | Materials | 0.73% | 0 |
| FORM | FormFactor, Inc. | Information Technology | 0.71% | 0 |
| VMI | Valmont Industries, Inc. | Industrials | 0.69% | 0 |
| DORM | Dorman Products, Inc. | Consumer Discretionary | 0.68% | 0 |
| RBC | RBC Bearings Incorporated | Industrials | 0.66% | 0 |
| ESI | Element Solutions Inc | Materials | 0.65% | 0 |
| LFUS | Littelfuse, Inc. | Information Technology | 0.65% | 0 |
Sector Exposure
- Industrials30.59%
- Information Technology17.93%
- Financials17.11%
- Consumer Discretionary11.97%
- Health Care8.72%
- Materials5.86%
- Energy2.69%
- Consumer Staples2.68%
Weight Changes
Notable position adjustments in the latest snapshot.
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% |
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -1.28% | -0.25% | -1.02 | 3.26 | 80 |
| 2023-03-31 | 1.57% | 7.90% | -6.33 | 2.67 | 76 |
| 2023-06-30 | -1.15% | -1.77% | +0.62 | 3.11 | 77 |
| 2023-09-30 | 1.27% | 10.11% | -8.83 | 3.09 | 80 |
| 2023-12-31 | 0.80% | 4.96% | -4.16 | 4.03 | 80 |
| 2024-03-31 | -0.83% | 2.31% | -3.15 | 3.66 | 78 |
| 2024-06-30 | 1.12% | 9.83% | -8.70 | 2.98 | 73 |
| 2024-09-30 | -0.32% | 2.76% | -3.08 | 2.78 | 71 |
| 2024-12-31 | -1.20% | -3.63% | +2.43 | 2.85 | 70 |
| 2025-03-31 | 1.91% | 9.22% | -7.31 | 2.94 | 67 |
| 2025-06-30 | 0.15% | 4.20% | -4.05 | 3.76 | 66 |
| 2025-09-30 | 0.22% | 1.49% | -1.26 | 2.95 | 64 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- baseline13FChat AI
What does directly following the disclosed baseline portfolio expose an investor to?
Following Baseline means accepting the manager's disclosed sizing almost directly. Here that means broadly spread position sizing: top 5 5.91%, top 10 10.34%, top 20 17.44%, with ACA 1.45%, KWR 1.15%, JBTM 1.11%, ESAB 1.11%, MKSI 1.09%, AGO 0.98%. The baseline result is return 2.42%, alpha 0.03%, beta 0.17, Sharpe 0.66, Sortino 0.86, max drawdown -7.64%. That is the right reference case, but it is not automatically the safest case because the largest names and sector mix (Industrials 30.59%, Information Technology 17.93%, Financials 17.11%, Consumer Discretionary 11.97%) still dominate the realized path.
strategyViews.baseline.topHoldingsstrategyViews.baseline.concentrationstrategyViews.baseline.metrics↳ Compare Baseline concentration and drawdown with each screen.
- baseline13FChat AI
Which recent baseline periods best explain the risk-return trade-off?
The period rows show the character of the baseline. The strongest relative period was 2024-12-31 (-1.20% vs SPY -3.63%, excess 2.43%, turnover 2.85%); the weakest was 2023-09-30 (1.27% vs SPY 10.11%, excess -8.83%, turnover 3.09%). The latest rows (2025-03-31 (1.91% vs SPY 9.22%, excess -7.31%, turnover 2.94%); 2025-06-30 (0.15% vs SPY 4.20%, excess -4.05%, turnover 3.76%); 2025-09-30 (0.22% vs SPY 1.49%, excess -1.26%, turnover 2.95%)) show whether recent results are confirming or reversing the long-term profile.
strategyViews.baseline.periodPerformance↳ Rank recent baseline periods by excess return and turnover.
- baseline13FChat AI
What should a user inspect next before deciding whether the baseline is acceptable?
Before accepting Baseline, I would inspect three things: whether ACA 1.45%, KWR 1.15%, JBTM 1.11%, ESAB 1.11% still have current theses, whether recent changes such as no large named moves and no large named moves indicate a shift, and whether max drawdown of -7.64% is acceptable for the user's risk budget.
strategyViews.baseline.topHoldingsstrategyViews.baseline.latestChangesstrategyViews.baseline.metrics.maxDrawdown↳ Review the largest baseline holdings and explain whether each still deserves its weight.
Otras estrategias para este fondo
Momentum Screen
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.
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.
Combo Equal Screen
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.