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 tilt delivered strong excess returns and alpha, but with very high volatility and deep drawdowns.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| CACC | Credit Acceptance Corporation | Financials | 33.33% | +19.86 |
| DE | Deere & Company | Industrials | 33.33% | +32.79 |
| PAYC | Paycom Software, Inc. | Industrials | 33.33% | +32.87 |
Sector Exposure
- Industrials66.66%
- Financials33.33%
Weight Changes
Notable position adjustments in the latest snapshot.
- CACCCredit Acceptance Corporation33.33% (+19.86)
- DEDeere & Company33.33% (+32.79)
- PAYCPaycom Software, Inc.33.33% (+32.87)
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 | 17.17% | 5.05% | 0.74 | -49.06% |
| Momentum Screen | 78.37% | 57.19% | 1.23 | -53.47% |
| Basic Value Screen | 25.38% | 14.24% | 0.74 | -60.53% |
| Combo Equal Screen | 22.61% | 8.81% | 0.71 | -76.74% |
vs Baseline: Annualized +8.21 · Alpha +9.19 · Sharpe 0
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 30.27% | -0.25% | +30.53 | 0.00 | 1 |
| 2023-03-31 | 14.00% | 7.90% | +6.10 | 200.00 | 2 |
| 2023-06-30 | -17.36% | -1.77% | -15.59 | 0.26 | 1 |
| 2023-09-30 | 27.07% | 10.11% | +16.96 | 100.00 | 2 |
| 2023-12-31 | 7.47% | 4.96% | +2.51 | 4.11 | 2 |
| 2024-03-31 | -3.61% | 2.31% | -5.93 | 88.10 | 2 |
| 2024-06-30 | 42.60% | 9.83% | +32.78 | 100.14 | 2 |
| 2024-09-30 | 25.04% | 2.76% | +22.28 | 100.11 | 3 |
| 2024-12-31 | -0.52% | -3.63% | +3.10 | 104.19 | 3 |
| 2025-03-31 | 10.13% | 9.22% | +0.91 | 106.47 | 3 |
| 2025-06-30 | 9.62% | 4.20% | +5.42 | 133.48 | 4 |
| 2025-09-30 | -1.94% | 1.49% | -3.42 | 83.68 | 4 |
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 CACC, DE, and PAYC, each at 33.33%, which makes the result very different from the baseline’s consumer- and internet-heavy structure. In the baseline, DE was only 0.54% and PAYC 0.46%, while CACC was 13.47%, so the value screen massively boosted smaller original positions that passed its valuation filters. The sector mix shifted to 66.66% Industrials and 33.33% Financials, versus the baseline’s much larger Consumer Discretionary and Communication Services exposure. So the key difference is not just stock selection but a wholesale change in the portfolio’s economic drivers.
strategyViews.basic-value-screen.topHoldings.symbolstrategyViews.basic-value-screen.topHoldings.weightstrategyViews.basic-value-screen.topHoldings.originalWeightstrategyViews.basic-value-screen.sectorWeightsstrategyViews.baseline.sectorWeights↳ Compare the value screen’s three selected names with the baseline top holdings and explain what exposures were removed.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
On backtest results, the value screen improved return profile versus the baseline, but it did not improve downside quality. Annualized return rose to 25.38% from 17.17%, alpha improved to 14.24 from 5.05, and total return reached 372.06%, so return generation was stronger. But Sharpe was only 0.74, essentially flat to the baseline, Sortino slipped to 0.95 from 1.01, and max drawdown worsened sharply to -60.53%. That means the screen likely improved value-style exposure and raw returns, but it did not do so while preserving drawdown quality.
strategyViews.basic-value-screen.metrics.annualizedReturnstrategyViews.basic-value-screen.metrics.alphastrategyViews.basic-value-screen.metrics.totalReturnstrategyViews.basic-value-screen.metrics.sharpestrategyViews.basic-value-screen.metrics.sortinostrategyViews.basic-value-screen.metrics.maxDrawdownstrategyViews.baseline.metrics.annualizedReturnstrategyViews.baseline.metrics.alphastrategyViews.baseline.metrics.sortinostrategyViews.baseline.metrics.maxDrawdown↳ Show the value screen against baseline on annualized return, Sharpe, Sortino, and drawdown so I can judge the quality trade-off directly.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The value screen’s result is best explained by strong but uneven quarterly bursts and heavy concentration in three names. Its best recent excess-return periods were 2022-12-31 at 30.53%, 2023-09-30 at 16.96%, and 2024-12-31 at 11.23%, while weak periods included 2023-06-30 at -15.59% and 2024-03-31 at -5.93%. The current structure is fully concentrated in CACC, DE, and PAYC at 33.33% each, with DE and PAYC especially large overweights versus the baseline. Those concentrated active bets explain both the higher alpha and the much worse -60.53% drawdown.
strategyViews.basic-value-screen.periodPerformance.periodIdstrategyViews.basic-value-screen.periodPerformance.optimizedExcessstrategyViews.basic-value-screen.topHoldings.symbolstrategyViews.basic-value-screen.topHoldings.weightstrategyViews.basic-value-screen.topHoldings.originalWeightstrategyViews.basic-value-screen.metrics.maxDrawdown↳ Map the value screen’s strongest and weakest quarters to CACC, DE, and PAYC so I can see which holding likely drove each period.
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.