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-conviction value screen with positive alpha, but current implementation is extremely concentrated and materially riskier than the original approach.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| SPGI | S&P Global Inc. | Financials | 100.00% | +87.11 |
Sector Exposure
- Financials100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- SPGIS&P Global Inc.100.00% (+87.11)
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 | 18.06% | 5.06% | 0.91 | -34.39% |
| Momentum Screen | 25.67% | 11.49% | 1.01 | -48.20% |
| Basic Value Screen | 14.20% | 4.11% | 0.60 | -43.89% |
| Combo Equal Screen | 17.54% | 3.69% | 0.75 | -38.39% |
vs Baseline: Annualized -3.86 · Alpha -0.95 · Sharpe -0.31
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 24.19% | -0.25% | +24.44 | 200.17 | 2 |
| 2023-03-31 | 12.39% | 7.90% | +4.49 | 200.24 | 2 |
| 2023-06-30 | 0.28% | -1.77% | +2.05 | 100.26 | 2 |
| 2023-09-30 | 20.95% | 10.11% | +10.84 | 100.96 | 2 |
| 2023-12-31 | 14.91% | 4.96% | +9.95 | 200.12 | 3 |
| 2024-03-31 | -4.85% | 2.31% | -7.16 | 98.31 | 2 |
| 2024-06-30 | 11.54% | 9.83% | +1.71 | 0.16 | 1 |
| 2024-09-30 | 6.01% | 2.76% | +3.25 | 0.00 | 1 |
| 2024-12-31 | -10.72% | -3.63% | -7.10 | 0.00 | 1 |
| 2025-03-31 | 23.18% | 9.22% | +13.96 | 0.00 | 1 |
| 2025-06-30 | 37.27% | 4.20% | +33.07 | 0.00 | 1 |
| 2025-09-30 | 5.83% | 1.49% | +4.34 | 200.00 | 2 |
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 currently kept only S&P Global, with SPGI at 100.0% weight. That is very different from the baseline, which holds 6 names and has SPGI at only 12.89% weight alongside GE, Visa, Microsoft, Moody's, and Alphabet. So the screen did not just reduce the portfolio; it transformed it from a multi-name concentrated portfolio into a single-stock Financials bet. The current sector exposure is therefore 100.0% Financials versus the baseline's 47.45% Financials, 30.60% Industrials, 16.97% Information Technology, and 4.98% Communication Services.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeightsstrategyViews.baseline.topHoldingsstrategyViews.baseline.sectorWeights↳ Show the baseline names excluded by the value screen and how much weight they represented.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
The artifact suggests it did not preserve return quality as well as the baseline. The value screen still produced positive long-run numbers, with 14.20% annualized return and 4.11 alpha, but both are below the baseline's 18.06% and 5.06. Risk-adjusted performance also weakened materially: Sharpe fell to 0.60 from 0.91, Sortino to 0.75 from 1.18, and max drawdown deepened to -43.89% from -34.39%. So even if the screen improved valuation discipline by construction, the realized backtest quality was worse and the current result is a 100% SPGI concentration rather than a balanced value basket.
strategyViews.basic-value-screen.metricsstrategyViews.basic-value-screen.metricDeltastrategyViews.baseline.metricsstrategyViews.basic-value-screen.concentration↳ Compare value-screen versus baseline on return quality, drawdown, and concentration risk.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
S&P Global is the key holding to study because the latest value-screen portfolio is entirely SPGI at 100.0%. The strongest recent periods include 2022-12-31, when the strategy returned 24.19% versus SPY's -0.25% for a +24.44-point excess, and 2025-06-30, when it returned 37.27% versus 4.20% for a +33.07-point excess. But there were also weak periods such as 2024-03-31 with -4.85% versus SPY's 2.31%, a -7.16-point excess, and 2024-12-31 with -10.72% versus -3.63%, a -7.10-point relative lag. Those swings, combined with periodic turnover near 200%, explain why the screen can look powerful in bursts but unstable overall.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.turnoverSeries↳ Show the value screen’s strongest and weakest quarters, including excess return and turnover.
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.