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.
Autres stratégies pour ce fonds
Référence
Track disclosed holdings with the standard reporting lag and no active reweighting.
Filtre Momentum
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.
Filtre Combo Égal
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.