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
Improved absolute return versus the original screen, but with extreme concentration, deep drawdowns, and weak risk-adjusted results.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| VFC | V.F. Corporation | Consumer Discretionary | 50.00% | +25.53 |
| YETI | YETI Holdings, Inc. | Consumer Discretionary | 50.00% | +27.10 |
Sector Exposure
- Consumer Discretionary100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- VFCV.F. Corporation50.00% (+25.53)
- YETIYETI Holdings, Inc.50.00% (+27.10)
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 | 2.77% | 0.87% | 0.41 | -15.55% |
| Momentum Screen | 0.41% | -3.22% | 0.14 | -59.60% |
| Basic Value Screen | 7.06% | 2.04% | 0.38 | -69.92% |
| Combo Equal Screen | 2.51% | 0.85% | 0.45 | -14.53% |
vs Baseline: Annualized +4.29 · Alpha +1.17 · Sharpe -0.03
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 6.75% | -0.25% | +7.01 | 4.54 | 1 |
| 2023-03-31 | -1.36% | 7.90% | -9.26 | 3.29 | 1 |
| 2023-06-30 | -4.20% | -1.77% | -2.44 | 0.02 | 1 |
| 2023-09-30 | 7.76% | 10.11% | -2.35 | 51.32 | 1 |
| 2023-12-31 | -12.69% | 4.96% | -17.65 | 100.07 | 2 |
| 2024-03-31 | 17.27% | 2.31% | +14.96 | 13.38 | 2 |
| 2024-06-30 | 9.02% | 9.83% | -0.81 | 33.35 | 2 |
| 2024-09-30 | 13.05% | 2.76% | +10.29 | 47.73 | 2 |
| 2024-12-31 | -21.22% | -3.63% | -17.59 | 6.07 | 1 |
| 2025-03-31 | -6.03% | 9.22% | -15.25 | 13.79 | 1 |
| 2025-06-30 | 17.92% | 4.20% | +13.71 | 53.55 | 1 |
| 2025-09-30 | 10.45% | 1.49% | +8.97 | 50.07 | 1 |
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 currently keeps only V.F. Corporation and YETI Holdings, each at 50.0%, so the result is very different from the nine-name baseline. Compared with the baseline, VFC is reweighted up by +25.53 points from 24.47% and YETI by +27.1 from 22.9%, while all other baseline names are removed from the visible current snapshot. That makes the value screen a much narrower Consumer Discretionary bet, with 100% sector exposure there instead of the baseline mix across Consumer Discretionary, Information Technology, Industrials, Consumer Staples, and Health Care.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeightsstrategyViews.baseline.topHoldingsstrategyViews.baseline.sectorWeights↳ Show which baseline holdings the value screen excluded and how that changed sector diversification.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
It improved return magnitude, but not return quality. The value screen raised annualized return to 7.06% from the baseline’s 2.77% and increased total return to 92.64% from 30.03%, with alpha also improving to 2.04. But return quality deteriorated on the downside: max drawdown widened dramatically to -69.92% from -15.55%, and Sharpe slipped to 0.38 from 0.41 while Sortino fell to 0.45 from 0.52. So the screen may have improved value exposure in its selection logic, but the realized profile shows much higher crash risk and weaker risk-adjusted quality.
strategyViews.basic-value-screen.metricsstrategyViews.basic-value-screen.metricDeltastrategyViews.baseline.metrics↳ Compare the baseline and value screen on total return, Sharpe, Sortino, and max drawdown to show the quality trade-off clearly.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
Two holdings and a few outsized quarters explain most of the value screen outcome. The holdings are VFC and YETI at 50% each, so the current portfolio is effectively a two-stock portfolio. On periods, 2024-03-31 was a strong contributor with +17.27% return and +14.96% excess versus SPY, while 2025-06-30 added +17.92% and +13.71% excess. The weak side is also clear: 2023-12-31 returned -12.69% with -17.65% excess and 2024-12-31 returned -21.22% with -17.59% excess. Those swings explain why the screen’s total return is much higher than baseline, but its drawdown became far worse.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.periodPerformance↳ List the value screen’s biggest positive and negative excess-return quarters and tie them to its two kept names.
このファンドの他の戦略
ベースライン
Track disclosed holdings with the standard reporting lag and no active reweighting.
モメンタムスクリーン
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.
コンボ均等スクリーン
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.