PZN — Pzena Investment Management, Inc. 13F holdings and portfolio analysis

已就緒Pzena Investment Management, Inc. · Richard Pzena

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Baseline

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策略問答參考3 條參考問答

基於這隻基金最新一期數據預生成的問答，可直接作為對話上下文使用。

baseline13FChat AI
What does directly following the disclosed baseline portfolio expose an investor to?

Directly following the baseline exposes an investor to a broad but underperforming 13F replication with meaningful lag and deep downside. The portfolio is diversified at the name level, with top 5 at 19.72%, top 10 at 34.85%, and top 20 at 58.44 in the baseline artifact, but that diversification did not translate into strong results: annualized return was 8.0%, alpha was -3.05, Sharpe was 0.50, and max drawdown reached -43.45%. It also carries implementation friction: 5,054 trades are noted in the risk notes, and the backtest explicitly depends on delayed holdings disclosure rather than real-time trading.

↳Show me how much of the baseline’s drawdown and underperformance came from delayed implementation, turnover, and sector exposure.
baseline13FChat AI
Which recent baseline periods best explain the risk-return trade-off?

The recent baseline periods that best show the trade-off are the weak but high-turnover losing stretches in 2024-06-30 and 2025-03-31 versus the stronger 2025-09-30 rebound. At 2024-06-30, the baseline returned 6.85% versus 9.83% for SPY, a -2.97% excess return with 15.11 turnover and 126 trades. At 2025-03-31, it returned 3.02% versus 9.22% for SPY, a -6.19% excess return with 18.92 turnover and 123 trades. The better recent quarter was 2025-09-30, when baseline returned 5.31% versus 1.49% for SPY, a +3.82% excess return with 15.21 turnover and 121 trades. These periods show that even with moderate diversification, the baseline often pays meaningful trading and lag costs for inconsistent excess returns.

↳Break down the holdings and sectors that drove the 2024-06-30 lag, the 2025-03-31 shortfall, and the 2025-09-30 rebound.
baseline13FChat AI
What should a user inspect next before deciding whether the baseline is acceptable?

Before accepting the baseline, a user should inspect three things: sector concentration and attribution, turnover by quarter, and the largest current holdings with recent changes. Sector weights are led by Financials at 31.89%, Health Care at 18.61%, and Information Technology at 13.48%, while attribution flags Information Technology as a major detractor and Financials/Health Care as relative supports. Turnover ranged from 11.34 to 22.95 across recent periods, with trade counts still around 118 to 142, which matters because risk notes say the strategy relies on reporting lag. Finally, the current baseline top holdings such as CTSH 4.30%, DG 4.18%, BAX 3.95%, C 3.65%, and CVS 3.64% should be checked for whether their current fundamentals still justify their weights.

↳Audit the baseline by showing me sector attribution, quarterly turnover, and fundamentals for the top 10 current holdings in one view.
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