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
Highly concentrated large-cap consumer discretionary tilt with positive alpha, but extreme drawdowns and much weaker risk-adjusted results than the original screen.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| BABA | Alibaba Group Holding Limited | Consumer Discretionary | 50.00% | +39.56 |
| AMZN | Amazon.com, Inc. | Consumer Discretionary | 50.00% | +44.85 |
Sector Exposure
- Consumer Discretionary100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- BABAAlibaba Group Holding Limited50.00% (+39.56)
- AMZNAmazon.com, Inc.50.00% (+44.85)
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 | 15.41% | 9.42% | 1.01 | -25.21% |
| Momentum Screen | 19.06% | 13.29% | 0.66 | -37.01% |
| Basic Value Screen | 13.56% | 4.25% | 0.51 | -74.29% |
| Combo Equal Screen | 23.92% | 14.49% | 0.98 | -26.48% |
vs Baseline: Annualized -1.85 · Alpha -5.18 · Sharpe -0.50
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -6.47% | -0.25% | -6.21 | 0.00 | 1 |
| 2023-03-31 | 8.08% | 7.90% | +0.18 | 0.00 | 1 |
| 2023-06-30 | 4.73% | -1.77% | +6.50 | 0.00 | 1 |
| 2023-09-30 | 13.82% | 10.11% | +3.71 | 0.00 | 1 |
| 2023-12-31 | 6.54% | 4.96% | +1.58 | 0.00 | 1 |
| 2024-03-31 | -0.58% | 2.31% | -2.89 | 100.00 | 2 |
| 2024-06-30 | 16.26% | 9.83% | +6.43 | 1.09 | 2 |
| 2024-09-30 | -4.54% | 2.76% | -7.30 | 5.37 | 2 |
| 2024-12-31 | 3.24% | -3.63% | +6.87 | 12.17 | 2 |
| 2025-03-31 | 7.84% | 9.22% | -1.38 | 9.25 | 2 |
| 2025-06-30 | -15.36% | 4.20% | -19.56 | 100.01 | 3 |
| 2025-09-30 | -0.59% | 1.49% | -2.07 | 7.75 | 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 kept only BABA and AMZN, each at 50.0%. That is very different from the baseline, which spreads capital across 11 disclosed positions with the largest weight at 14.38% and the top 10 at 94.86%. The screen therefore converts ShawSpring's mixed growth-oriented book into a concentrated consumer discretionary pair trade, raising BABA from its original 10.44% to 50% and AMZN from 5.15% to 50%. Sector-wise, the result is 100% Consumer Discretionary, versus the baseline's cross-sector mix led by 51.78% Information Technology. So the value screen is not a modest value tilt—it is a major structural departure centered on two mega-cap platform names.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.latestChangesstrategyViews.basic-value-screen.sectorWeightsstrategyViews.basic-value-screen.concentration.top5strategyViews.baseline.topHoldingsstrategyViews.baseline.concentration.top10strategyViews.baseline.sectorWeights↳ Explain why BABA and AMZN ranked ahead of the baseline's software names on the value inputs.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
No—the screen likely improved valuation orientation, but it hurt return quality and risk control. Compared with the baseline, annualizedReturn fell to 13.56% from 15.41%, alpha dropped to 4.25 from 9.42, Sharpe fell to 0.51 from 1.01, and Sortino fell to 0.73 from 1.38. The biggest problem is drawdown: maxDrawdown ballooned to -74.29% versus the baseline's -25.21%. While costs were lower at totalEstimatedCost 5.642 versus the value screen's own original implementation note and turnover was generally moderate in some periods, the portfolio became two-stock, 100% Consumer Discretionary exposure. That means any valuation advantage came at the cost of much weaker return quality and dramatically higher tail risk.
strategyViews.basic-value-screen.metrics.annualizedReturnstrategyViews.basic-value-screen.metrics.alphastrategyViews.basic-value-screen.metrics.sharpestrategyViews.basic-value-screen.metrics.sortinostrategyViews.basic-value-screen.metrics.maxDrawdownstrategyViews.basic-value-screen.metrics.totalEstimatedCoststrategyViews.basic-value-screen.sectorWeightsstrategyViews.basic-value-screen.concentration.top5strategyViews.baseline.metrics.annualizedReturnstrategyViews.baseline.metrics.alphastrategyViews.baseline.metrics.sharpestrategyViews.baseline.metrics.sortinostrategyViews.baseline.metrics.maxDrawdown↳ Test a version of the value screen that keeps more names so valuation improves without collapsing diversification.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The value screen's result is driven by two things: concentration in BABA and AMZN, and very asymmetric quarter outcomes. The strongest recent positive period was 2024-12-31, with optimizedReturn 3.24% versus benchmarkReturn -3.63%, giving +6.87% excess. 2024-06-30 also beat by +6.43%, and 2023-06-30 beat by +6.5%. But the downside was much worse: 2025-06-30 returned -15.36% versus SPY +4.2%, a -19.56% excess, and 2024-09-30 lagged by -7.3%. The current portfolio makes that understandable: BABA and AMZN are both 50% weights, so period outcomes are effectively determined by two stocks in the same broad consumer internet/commerce theme. That concentration, not just valuation inputs, is the clearest driver of the screen's extreme path.
strategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeights↳ Show a contribution-style view of how BABA and AMZN drove the value screen's 2024-12 and 2025-06 results.
Altre strategie per questo fondo
Baseline
Track disclosed holdings with the standard reporting lag and no active reweighting.
Filtro Momentum
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.
Filtro Combo Equopesato
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.