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-value tilt drove strong backtested returns and alpha, but with very high volatility and drawdown risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| EQH | Equitable Holdings, Inc. | Financials | 100.00% | +71.89 |
Sector Exposure
- Financials100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- EQHEquitable Holdings, Inc.100.00% (+71.89)
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 | 7.80% | 0.43% | 0.53 | -23.60% |
| Momentum Screen | 24.18% | 12.06% | 0.86 | -37.18% |
| Basic Value Screen | 21.43% | 6.77% | 0.68 | -61.17% |
| Combo Equal Screen | 8.10% | 1.59% | 0.46 | -26.80% |
vs Baseline: Annualized +13.63 · Alpha +6.34 · Sharpe +0.15
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | 8.23% | -0.25% | +8.49 | 9.89 | 2 |
| 2023-03-31 | 24.52% | 7.90% | +16.62 | 31.22 | 2 |
| 2023-06-30 | -5.25% | -1.77% | -3.48 | 100.92 | 3 |
| 2023-09-30 | 19.12% | 10.11% | +9.02 | 101.16 | 2 |
| 2023-12-31 | 19.06% | 4.96% | +14.10 | 0.12 | 1 |
| 2024-03-31 | -4.35% | 2.31% | -6.66 | 0.00 | 1 |
| 2024-06-30 | 22.12% | 9.83% | +12.29 | 0.00 | 1 |
| 2024-09-30 | 12.78% | 2.76% | +10.02 | 0.00 | 1 |
| 2024-12-31 | -2.96% | -3.63% | +0.66 | 0.00 | 1 |
| 2025-03-31 | 3.33% | 9.22% | -5.89 | 0.00 | 0 |
| 2025-06-30 | -17.37% | 4.20% | -21.57 | 0.00 | 1 |
| 2025-09-30 | 6.55% | 1.49% | +5.07 | 0.00 | 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 kept only Equitable Holdings (EQH), which is 100.0% of the portfolio versus 28.11% in the baseline, a +71.89 point weight increase. That makes the result very different from the baseline, which spread risk across six names with top positions in GPI, EQH, LAD, BUR, SDHC, and RMNI. Sector exposure also collapsed from baseline diversification across Consumer Discretionary, Financials, and Information Technology into 100.0% Financials. So instead of the baseline’s concentrated multi-name value portfolio, the value screen became a single-security financials bet.
strategyViews.basic-value-screen.topHoldings.symbolstrategyViews.basic-value-screen.topHoldings.weightstrategyViews.basic-value-screen.topHoldings.originalWeightstrategyViews.basic-value-screen.topHoldings.weightDiffstrategyViews.baseline.topHoldings.symbolstrategyViews.baseline.sectorWeights.sectorstrategyViews.basic-value-screen.sectorWeights.sectorstrategyViews.basic-value-screen.sectorWeights.weight↳ Explain why EQH may have screened as the strongest value candidate and what users lose by dropping the other baseline names.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
On backtest results, it improved headline returns and alpha, but not without materially hurting risk quality. Annualized return rose to 21.43% from 7.8% baseline and alpha increased to 6.77 from 0.43, while sharpe improved to 0.68 from 0.53. However, beta climbed to 1.46 and maxDrawdown worsened drastically to -61.17% from -23.6%, which is a major deterioration in downside quality. In other words, the screen found a high-return value concentration, but it did not preserve the baseline’s lower-risk profile.
strategyViews.basic-value-screen.metrics.annualizedReturnstrategyViews.baseline.metrics.annualizedReturnstrategyViews.basic-value-screen.metrics.alphastrategyViews.baseline.metrics.alphastrategyViews.basic-value-screen.metrics.sharpestrategyViews.baseline.metrics.sharpestrategyViews.basic-value-screen.metrics.betastrategyViews.basic-value-screen.metrics.maxDrawdownstrategyViews.baseline.metrics.maxDrawdown↳ Compare the value screen’s higher returns with its volatility, beta, and drawdown so I can see if it crossed from value into uncompensated risk.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
The value screen’s result is best explained by a mix of strong earlier upside and later concentration in EQH. In periodPerformance, it generated +16.62% excess in 2023-03-31, +14.1% in 2023-12-31, +12.29% in 2024-06-30, and +10.02% in 2024-09-30. But it also had severe setbacks, including -21.57% excess in 2025-06-30 and -6.66% in 2024-03-31. The latest portfolio is entirely EQH at 100.0%, so current behavior is effectively a one-name Financials trade rather than a diversified value basket.
strategyViews.basic-value-screen.periodPerformance.periodIdstrategyViews.basic-value-screen.periodPerformance.optimizedExcessstrategyViews.basic-value-screen.topHoldings.symbolstrategyViews.basic-value-screen.topHoldings.weightstrategyViews.basic-value-screen.sectorWeights.sector↳ Show the value screen’s holding list by quarter so I can see when it diversified and when it converged into EQH.
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.