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 large-cap blend portfolio with strong long-run outperformance, but materially higher drawdown and stock-specific risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GOOGL | Alphabet Inc. | Communication Services | 20.00% | +8.19 |
| MSFT | Microsoft Corporation | Information Technology | 20.00% | +10.60 |
| AMZN | Amazon.com, Inc. | Consumer Discretionary | 18.68% | +10.48 |
| META | Meta Platforms, Inc. | Communication Services | 14.92% | +8.47 |
| APO | Apollo Global Management, Inc. | Financials | 7.94% | +4.75 |
| CPAY | Corpay, Inc. | Financials | 5.12% | +3.24 |
| XYZ | Block, Inc. | Financials | 4.25% | +2.78 |
| AMAT | Applied Materials, Inc. | Information Technology | 2.84% | +2.03 |
| UNH | UnitedHealth Group Incorporated | Health Care | 2.16% | +1.66 |
| SHW | The Sherwin-Williams Company | Materials | 1.73% | +1.44 |
| UBER | Uber Technologies, Inc. | Industrials | 1.19% | +1.15 |
| JD | JD.com, Inc. | Consumer Discretionary | 1.17% | +1.14 |
Sector Exposure
- Communication Services34.92%
- Information Technology22.84%
- Consumer Discretionary19.85%
- Financials17.31%
- Health Care2.16%
- Materials1.73%
- Industrials1.19%
Weight Changes
Notable position adjustments in the latest snapshot.
- GOOGLAlphabet Inc.20.00% (+8.19)
- MSFTMicrosoft Corporation20.00% (+10.60)
- AMZNAmazon.com, Inc.18.68% (+10.48)
- METAMeta Platforms, Inc.14.92% (+8.47)
- APOApollo Global Management, Inc.7.94% (+4.75)
- CPAYCorpay, Inc.5.12% (+3.24)
- XYZBlock, Inc.4.25% (+2.78)
- AMATApplied Materials, Inc.2.84% (+2.03)
- UNHUnitedHealth Group Incorporated2.16% (+1.66)
- SHWThe Sherwin-Williams Company1.73% (+1.44)
- UBERUber Technologies, Inc.1.19% (+1.15)
- JDJD.com, Inc.1.17% (+1.14)
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 | 18.63% | 7.27% | 1.04 | -33.94% |
| Momentum Screen | 22.15% | 7.46% | 0.89 | -46.74% |
| Basic Value Screen | 20.62% | 5.01% | 0.85 | -50.14% |
| Combo Equal Screen | 19.64% | 4.44% | 0.76 | -65.63% |
vs Baseline: Annualized +1.98 · Alpha -2.26 · Sharpe -0.19
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 4.60% | -0.25% | +4.85 | 30.06 | 15 |
| 2023-03-31 | 12.09% | 7.90% | +4.19 | 103.06 | 17 |
| 2023-06-30 | -1.22% | -1.77% | +0.54 | 63.68 | 13 |
| 2023-09-30 | 16.01% | 10.11% | +5.90 | 47.83 | 12 |
| 2023-12-31 | 4.50% | 4.96% | -0.46 | 61.92 | 13 |
| 2024-03-31 | -2.60% | 2.31% | -4.91 | 15.36 | 9 |
| 2024-06-30 | 21.06% | 9.83% | +11.24 | 47.52 | 11 |
| 2024-09-30 | 6.71% | 2.76% | +3.95 | 51.13 | 12 |
| 2024-12-31 | -8.68% | -3.63% | -5.05 | 45.27 | 12 |
| 2025-03-31 | 12.56% | 9.22% | +3.34 | 55.18 | 13 |
| 2025-06-30 | 9.88% | 4.20% | +5.68 | 46.97 | 12 |
| 2025-09-30 | 5.99% | 1.49% | +4.50 | 51.27 | 13 |
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?
The value screen kept a narrower set of large-cap names and tilted much harder into a few cheaper mega-cap and financial names than the baseline. Its largest holdings are GOOGL at 20.0%, MSFT at 20.0%, AMZN at 18.68%, META at 14.92%, and APO at 7.94%, followed by CPAY at 5.12% and Block (XYZ) at 4.25%. That is very different from the baseline, where the same names were held at lower weights, such as GOOGL 11.81%, MSFT 9.4%, AMZN 8.2%, META 6.44%, and APO 3.19%. Sector weights shift to Communication Services 34.92%, Information Technology 22.84%, Consumer Discretionary 19.85%, and Financials 17.31%, so the screen concentrates more heavily in a small set of large-cap franchises and financials rather than the broader baseline basket.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeightsstrategyViews.baseline.topHoldings↳ Compare the value screen's selected names and active weights versus the baseline.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
It improved return more than the baseline, but not return quality. The value screen posted 20.62% annualized return versus the baseline's 18.63%, and total return rose to 505.43 from 416.37. However, alpha fell to 5.01 from 7.27, Sharpe dropped to 0.85 from 1.04, Sortino to 1.13 from 1.41, and max drawdown worsened sharply to -50.14% from -33.94%. Concentration also increased to 81.54% in the top 5 and 97.64% in the top 10. So the screen may have improved value-oriented stock selection, but the backtest did not preserve return quality on a risk-adjusted basis.
strategyViews.basic-value-screen.metricsstrategyViews.basic-value-screen.metricDeltastrategyViews.basic-value-screen.concentrationstrategyViews.baseline.metrics↳ Show the value screen and baseline side by side on annualized return, alpha, Sharpe, Sortino, and drawdown.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The value screen's result is driven by a handful of very strong quarters and a concentrated top book. In 2022-12-31 it returned 22.68% versus -0.25% for SPY, a 22.94-point excess return. In 2023-09-30 it added 5.9 points of excess return, and in 2024-06-30 it added 11.24 points. Those periods were supported by oversized positions in GOOGL (20.0%), MSFT (20.0%), AMZN (18.68%), META (14.92%), and APO (7.94%). But weak periods show the downside of concentration, especially 2024-12-31 with -5.05 excess return and the full-period max drawdown of -50.14%.
strategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.metrics.maxDrawdown↳ Show which recent quarters helped and hurt the value screen most, and which holdings were largest.
該基金的其它策略
基準
Track disclosed holdings with the standard reporting lag and no active reweighting.
動量篩選
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.
綜合等權
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.