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 small-value portfolio with stronger returns and alpha than the original plan, but noticeably higher drawdown and volatility.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| C | Citigroup Inc. | Financials | 20.00% | +13.91 |
| BIIB | Biogen Inc. | Health Care | 20.00% | +15.90 |
| UAL | United Airlines Holdings, Inc. | Industrials | 16.77% | +13.81 |
| DAL | Delta Air Lines, Inc. | Industrials | 12.01% | +10.10 |
| NE | Noble Corporation plc | Energy | 9.95% | +8.49 |
| JD | JD.com, Inc. | Consumer Discretionary | 7.74% | +6.76 |
| FISV | Fiserv, Inc. | Financials | 6.49% | +5.79 |
| APA | APA Corporation | Energy | 3.52% | +3.47 |
| LEN | Lennar Corporation | Consumer Discretionary | 3.52% | +3.47 |
Sector Exposure
- Industrials28.78%
- Financials26.49%
- Health Care20.00%
- Energy13.47%
- Consumer Discretionary11.26%
Weight Changes
Notable position adjustments in the latest snapshot.
- CCitigroup Inc.20.00% (+13.91)
- BIIBBiogen Inc.20.00% (+15.90)
- UALUnited Airlines Holdings, Inc.16.77% (+13.81)
- DALDelta Air Lines, Inc.12.01% (+10.10)
- NENoble Corporation plc9.95% (+8.49)
- JDJD.com, Inc.7.74% (+6.76)
- FISVFiserv, Inc.6.49% (+5.79)
- APAAPA Corporation3.52% (+3.47)
- LENLennar Corporation3.52% (+3.47)
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 | 11.22% | 0.87% | 0.68 | -23.04% |
| Momentum Screen | 4.64% | -6.45% | 0.30 | -38.69% |
| Basic Value Screen | 14.22% | 1.98% | 0.62 | -36.97% |
| Combo Equal Screen | 17.36% | 2.71% | 0.72 | -35.87% |
vs Baseline: Annualized +3.00 · Alpha +1.11 · Sharpe -0.06
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -21.37% | -0.25% | -21.12 | 51.17 | 11 |
| 2023-03-31 | 15.41% | 7.90% | +7.51 | 41.93 | 11 |
| 2023-06-30 | -0.95% | -1.77% | +0.82 | 67.81 | 12 |
| 2023-09-30 | 13.55% | 10.11% | +3.45 | 64.99 | 12 |
| 2023-12-31 | 20.37% | 4.96% | +15.41 | 46.56 | 11 |
| 2024-03-31 | -13.09% | 2.31% | -15.41 | 22.57 | 10 |
| 2024-06-30 | 36.93% | 9.83% | +27.10 | 61.31 | 11 |
| 2024-09-30 | 5.47% | 2.76% | +2.71 | 71.56 | 11 |
| 2024-12-31 | -12.03% | -3.63% | -8.41 | 66.80 | 12 |
| 2025-03-31 | 13.83% | 9.22% | +4.61 | 57.21 | 11 |
| 2025-06-30 | 11.86% | 4.20% | +7.65 | 44.64 | 11 |
| 2025-09-30 | 8.35% | 1.49% | +6.86 | 75.84 | 11 |
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 much more cyclical and valuation-sensitive set than the baseline. Its largest positions are Citigroup at 20.0%, Biogen at 20.0%, United Airlines at 16.77%, Delta at 12.01%, Noble at 9.95%, JD.com at 7.74%, and Fiserv at 6.49%, with smaller stakes in APA and Lennar at 3.52% each. That differs sharply from the baseline, where the biggest weights include GOOGL, C, AMZN, RPRX, QXO, and UNH. In other words, the value screen shifts the portfolio away from the baseline’s mixed stock-picking profile and toward financials, cyclicals, and energy names with much larger active weights.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeightsstrategyViews.baseline.topHoldings↳ Compare the baseline top holdings with the value screen’s selected names and sector mix.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
Yes on return, but not on risk quality. The value screen raised annualized return to 14.22% from 11.22%, improved alpha to 1.98 from 0.87, and increased total return to 67.1% from 50.8%. However, return quality was mixed because Sharpe slipped from 0.68 to 0.62 and max drawdown deepened sharply from -23.04% to -36.97%. So the value screen appears to have improved the portfolio’s return and benchmark-relative alpha, but it did so by accepting much higher volatility and materially worse drawdown behavior.
strategyViews.basic-value-screen.metricsstrategyViews.basic-value-screen.metricDeltastrategyViews.baseline.metrics↳ Summarize the value screen’s upside improvement versus its added drawdown and volatility cost.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The value screen’s outcome was driven by a combination of big cyclical winners and a few painful selloffs. The strongest period was 2024-06-30, when it returned 36.93% versus SPY’s 9.83%, a huge +27.1-point excess return; 2023-12-31 was also strong at +20.37% with +15.41 points of excess return. But the downside was severe in 2022-12-31, when it lost 21.37% against SPY’s -0.25%, and in 2024-03-31, when it lagged by -15.41 points. The holdings structure explains why: C and BIIB are each 20.0%, UAL is 16.77%, DAL 12.01%, and NE 9.95%, so financials, airlines, and energy can make the result look brilliant in rebounds and brutal in downturns.
strategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.concentration↳ Tie the value screen’s best and worst periods to its biggest sector and stock bets.
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.