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 mid-value mix with lower beta and drawdown, but weak absolute and relative backtest results.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| XOM | Exxon Mobil Corporation | Energy | 20.00% | +17.39 |
| JPM | JPMorgan Chase & Co. | Financials | 20.00% | +15.49 |
| META | Meta Platforms, Inc. | Communication Services | 20.00% | +15.43 |
| BRK.A | Berkshire Hathaway Inc. | Financials | 20.00% | +15.39 |
| JNJ | Johnson & Johnson | Health Care | 20.00% | +17.43 |
Sector Exposure
- Financials40.00%
- Energy20.00%
- Communication Services20.00%
- Health Care20.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- XOMExxon Mobil Corporation20.00% (+17.39)
- JPMJPMorgan Chase & Co.20.00% (+15.49)
- METAMeta Platforms, Inc.20.00% (+15.43)
- BRK.ABerkshire Hathaway Inc.20.00% (+15.39)
- JNJJohnson & Johnson20.00% (+17.43)
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 | 24.67% | 4.97% | 1.13 | -21.61% |
| Momentum Screen | 11.49% | -1.99% | 0.58 | -26.44% |
| Basic Value Screen | 4.10% | -4.63% | 0.33 | -12.97% |
| Combo Equal Screen | 34.72% | 12.69% | 1.39 | -22.83% |
vs Baseline: Annualized -20.56 · Alpha -9.61 · Sharpe -0.80
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-01-31 | -0.59% | -2.79% | +2.20 | 3.12 | 5 |
| 2025-02-28 | -0.24% | -6.48% | +6.25 | 46.05 | 6 |
| 2025-03-31 | -2.23% | -0.91% | -1.33 | 47.50 | 6 |
| 2025-04-30 | -5.60% | 6.28% | -11.88 | 44.05 | 6 |
| 2025-05-31 | 2.19% | 3.75% | -1.55 | 8.63 | 5 |
| 2025-06-30 | 5.21% | 2.69% | +2.53 | 43.74 | 6 |
| 2025-07-31 | 4.19% | 2.05% | +2.14 | 43.72 | 6 |
| 2025-08-31 | 0.77% | 3.66% | -2.89 | 1.94 | 5 |
| 2025-09-30 | -2.43% | 2.05% | -4.48 | 41.30 | 6 |
| 2025-10-31 | 2.63% | 0.20% | +2.44 | 40.80 | 6 |
| 2025-11-30 | 1.07% | 0.99% | +0.08 | 4.60 | 5 |
| 2025-12-31 | 0.00% | 0.00% | 0 | 41.35 | 6 |
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 XOM, JPM, META, BRK.A, and JNJ, each at 20.0%. That is a major shift away from the baseline’s growth-heavy structure, where these names were much smaller: XOM 2.61%, JPM 4.51%, META 4.57%, BRK.A 4.61%, and JNJ 2.57%. The result is a portfolio centered on Financials at 40%, plus Energy, Communication Services, and Health Care at 20% each, instead of the baseline’s 47.69% Information Technology-led profile.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeightsstrategyViews.baseline.sectorWeights↳ Compare the baseline’s top tech weights with the value screen’s selected financial, energy, and defensive names.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
It likely improved value exposure, but it clearly hurt return quality. The value screen reduced beta to 0.57 and improved max drawdown to -12.97% from the baseline’s -21.61%, which is a meaningful risk reduction. But annualized return fell to 4.10%, alpha dropped to -4.63, and Sharpe fell to 0.33. Total return was only 4.75% versus the baseline’s 28.99%, so the lower-risk profile came with substantial performance sacrifice.
strategyViews.basic-value-screen.metricsstrategyViews.baseline.metricsstrategyViews.basic-value-screen.metricDelta↳ Show whether the value screen’s lower drawdown was worth the loss in alpha and Sharpe on a risk-adjusted basis.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The value screen’s path was defined by downside protection in some weak periods but inability to keep up in strong growth rebounds. It beat SPY by +6.25% in 2025-02-28 and by +2.53% in 2025-06-30, but badly lagged in 2025-04-30 with -5.60% versus +6.28%, an -11.88% excess loss, and also trailed by -4.48% in 2025-09-30. Since the portfolio was concentrated into XOM, JPM, META, BRK.A, and JNJ, these five names drove the outcome, with Financials carrying 40% of the portfolio throughout the selected basket.
strategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeights↳ Show which of XOM, JPM, META, BRK.A, and JNJ likely helped in the defensive months and hurt in the growth-led rebounds.
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.