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
Defensive mid-value tilt with lower market beta, but optimized results have lagged badly versus both SPY and the original screen.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| PG | The Procter & Gamble Company | Consumer Staples | 15.66% | +15.07 |
| MRK | Merck & Co., Inc. | Health Care | 12.36% | +11.90 |
| AMGN | Amgen Inc. | Health Care | 8.24% | +7.93 |
| UBER | Uber Technologies, Inc. | Industrials | 7.97% | +7.67 |
| ACN | Accenture plc | Information Technology | 7.69% | +7.40 |
| GILD | Gilead Sciences, Inc. | Health Care | 7.14% | +6.87 |
| PGR | The Progressive Corporation | Financials | 6.32% | +6.08 |
| UNP | Union Pacific Corporation | Industrials | 6.32% | +6.08 |
| NEM | Newmont Corporation | Materials | 5.22% | +5.02 |
| BMY | Bristol-Myers Squibb Company | Health Care | 5.22% | +5.02 |
| UPS | United Parcel Service, Inc. | Industrials | 3.57% | +3.44 |
| ALL | The Allstate Corporation | Financials | 2.47% | +2.38 |
| ZTS | Zoetis Inc. | Health Care | 2.47% | +2.38 |
| AMP | Ameriprise Financial, Inc. | Financials | 2.20% | +2.12 |
| KMB | Kimberly-Clark Corporation | Consumer Staples | 1.65% | +1.59 |
| SYY | Sysco Corporation | Consumer Staples | 1.65% | +1.59 |
| WSM | Williams-Sonoma, Inc. | Consumer Discretionary | 1.10% | +1.06 |
| LULU | lululemon athletica inc. | Consumer Discretionary | 1.10% | +1.06 |
| NTAP | NetApp, Inc. | Information Technology | 1.10% | +1.06 |
| CLX | The Clorox Company | Consumer Staples | 0.55% | +0.53 |
Sector Exposure
- Health Care35.43%
- Consumer Staples19.51%
- Industrials17.86%
- Financials10.99%
- Information Technology8.79%
- Materials5.22%
- Consumer Discretionary2.20%
Weight Changes
Notable position adjustments in the latest snapshot.
- PGThe Procter & Gamble Company15.66% (+15.07)
- MRKMerck & Co., Inc.12.36% (+11.90)
- AMGNAmgen Inc.8.24% (+7.93)
- UBERUber Technologies, Inc.7.97% (+7.67)
- ACNAccenture plc7.69% (+7.40)
- GILDGilead Sciences, Inc.7.14% (+6.87)
- PGRThe Progressive Corporation6.32% (+6.08)
- UNPUnion Pacific Corporation6.32% (+6.08)
- NEMNewmont Corporation5.22% (+5.02)
- BMYBristol-Myers Squibb Company5.22% (+5.02)
- UPSUnited Parcel Service, Inc.3.57% (+3.44)
- ALLThe Allstate Corporation2.47% (+2.38)
- ZTSZoetis Inc.2.47% (+2.38)
- AMPAmeriprise Financial, Inc.2.20% (+2.12)
- KMBKimberly-Clark Corporation1.65% (+1.59)
- SYYSysco Corporation1.65% (+1.59)
- WSMWilliams-Sonoma, Inc.1.10% (+1.06)
- LULUlululemon athletica inc.1.10% (+1.06)
- NTAPNetApp, Inc.1.10% (+1.06)
- CLXThe Clorox Company0.55% (+0.53)
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 | 19.10% | 0.15% | 1.24 | -18.86% |
| Momentum Screen | 19.25% | 0.12% | 1.06 | -22.18% |
| Basic Value Screen | 3.57% | -8.05% | 0.30 | -18.43% |
| Combo Equal Screen | 14.97% | -5.21% | 0.83 | -22.99% |
vs Baseline: Annualized -15.53 · Alpha -8.19 · Sharpe -0.94
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-01-31 | -2.85% | -2.79% | -0.06 | 32.32 | 22 |
| 2025-02-28 | -3.46% | -6.48% | +3.03 | 38.38 | 24 |
| 2025-03-31 | -2.88% | -0.91% | -1.98 | 65.59 | 24 |
| 2025-04-30 | -0.85% | 6.28% | -7.13 | 71.17 | 24 |
| 2025-05-31 | 3.09% | 3.75% | -0.66 | 12.56 | 21 |
| 2025-06-30 | -0.73% | 2.69% | -3.42 | 61.84 | 25 |
| 2025-07-31 | 5.91% | 2.05% | +3.85 | 36.17 | 23 |
| 2025-08-31 | 2.75% | 3.66% | -0.90 | 51.20 | 24 |
| 2025-09-30 | -1.09% | 2.05% | -3.14 | 78.84 | 24 |
| 2025-10-31 | 5.44% | 0.20% | +5.25 | 72.46 | 23 |
| 2025-11-30 | 2.43% | 0.99% | +1.44 | 57.89 | 23 |
| 2025-12-31 | 0.00% | 0.00% | 0 | 41.45 | 24 |
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 very different set of names from the baseline and heavily emphasized defensive sectors. Its largest positions are PG 15.66%, MRK 12.36%, AMGN 8.24%, UBER 7.97%, ACN 7.69%, GILD 7.14%, PGR 6.32%, UNP 6.32%, NEM 5.22%, and BMY 5.22%. Compared with baseline-style weights, the biggest active increases include PG +15.07, MRK +11.90, AMGN +7.93, UBER +7.67, and ACN +7.40. Sector weights shift toward Health Care 35.43%, Consumer Staples 19.51%, and Industrials 17.86%, which is a major departure from the baseline’s tech-led structure.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.latestChangesstrategyViews.basic-value-screen.sectorWeightsstrategyViews.baseline.sectorWeights↳ Ask which baseline mega-cap holdings were removed or diluted most by the value screen.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
It likely improved defensive and valuation-oriented exposure, but it clearly hurt return quality. The value screen’s annualized return is only 3.57% versus 19.10% for baseline, alpha is -8.05 versus +0.15, and Sharpe is 0.30 versus 1.24. Beta did fall to 0.68 from 0.97, and max drawdown improved only slightly to -18.43% from -18.86%. That means the strategy gave up a huge amount of return and risk-adjusted quality for only a modest reduction in market sensitivity and almost no meaningful drawdown relief.
strategyViews.basic-value-screen.metricsstrategyViews.basic-value-screen.metricDeltastrategyViews.baseline.metrics↳ Ask whether the value screen’s lower beta was worth the large drop in alpha, Sharpe, and total return.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The weak result is explained by persistent lag in major market upswings and concentration in slower, defensive names. The largest holdings were PG 15.66%, MRK 12.36%, AMGN 8.24%, GILD 7.14%, BMY 5.22%, and UNP 6.32%, all of which pulled the portfolio toward Health Care, Staples, and Industrials. Period data shows especially damaging underperformance in 2025-04 (-7.13 excess), 2025-06 (-3.42), and 2025-09 (-3.14), while the better periods such as 2025-02 (+3.03), 2025-07 (+3.85), and 2025-10 (+5.25) were not enough to offset the overall drag. The end result was only 10.73% total return for the full strategy versus 66.16% in baseline.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.metricsstrategyViews.baseline.metrics↳ Ask for the holdings attribution behind the value screen’s worst underperformance months.
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.