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 small-value screen with positive alpha, but extreme drawdowns and weaker risk-adjusted results than the original approach.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| MOH | Molina Healthcare, Inc. | Health Care | 100.00% | +60.89 |
Sector Exposure
- Health Care100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- MOHMolina Healthcare, Inc.100.00% (+60.89)
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 | 21.39% | 20.83% | 0.63 | -66.35% |
| Momentum Screen | 22.74% | 27.41% | 0.61 | -77.28% |
| Basic Value Screen | 12.00% | 21.94% | 0.48 | -86.78% |
| Combo Equal Screen | 20.19% | 10.33% | 0.77 | -47.73% |
vs Baseline: Annualized -9.39 · Alpha +1.12 · Sharpe -0.15
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -30.95% | -0.25% | -30.69 | 100.12 | 2 |
| 2023-03-31 | 29.59% | 7.90% | +21.68 | 200.22 | 6 |
| 2023-06-30 | -14.57% | -1.77% | -12.80 | 175.84 | 9 |
| 2023-09-30 | -15.94% | 10.11% | -26.04 | 200.30 | 8 |
| 2023-12-31 | 6.13% | 4.96% | +1.17 | 120.35 | 6 |
| 2024-03-31 | -10.47% | 2.31% | -12.78 | 116.45 | 7 |
| 2024-06-30 | 19.27% | 9.83% | +9.44 | 143.05 | 4 |
| 2024-09-30 | 16.75% | 2.76% | +13.99 | 15.85 | 2 |
| 2024-12-31 | 5.69% | -3.63% | +9.32 | 133.35 | 4 |
| 2025-03-31 | 49.76% | 9.22% | +40.54 | 200.20 | 4 |
| 2025-06-30 | 22.55% | 4.20% | +18.35 | 200.20 | 2 |
| 2025-09-30 | 26.25% | 1.49% | +24.77 | 200.25 | 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 latest basic value screen kept only MOH, assigning it a 100.0% weight versus its 39.11% original baseline weight, a +60.89 point active overweight. Sector exposure therefore becomes 100.0% Health Care. That makes it very different from the baseline, which held three names across Health Care, Consumer Discretionary, and Financials. In other words, the value rules concentrated the whole portfolio into one surviving name instead of preserving the original three-holding structure.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeightsstrategyViews.basic-value-screen.latestChangesstrategyViews.baseline.topHoldingsstrategyViews.baseline.sectorWeights↳ Explain why MOH survived the value filter while LULU and SLM did not in the latest screen result.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
Based on the artifact, no. The value screen still produced positive long-run results—12.00% annualized return and 21.94 alpha—but return quality weakened meaningfully versus baseline. Total return fell to 197.12 from 543.82, Sharpe declined to 0.48 from 0.63, Sortino fell to 0.71 from 0.87, and max drawdown worsened to -86.78% from -66.35%. The only clear operational improvement is cost and trading activity, with estimated total cost down to 7.0346 and fewer trades than the baseline. So even if the screen improved valuation selectivity, it did so at the expense of return quality and capital preservation.
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.basic-value-screen.metrics.totalEstimatedCoststrategyViews.baseline.metrics.totalReturnstrategyViews.baseline.metrics.sharpestrategyViews.baseline.metrics.sortinostrategyViews.baseline.metrics.maxDrawdownstrategyViews.baseline.metrics.totalEstimatedCost↳ Show me whether the value screen’s weaker quality came mainly from one bad drawdown window or from consistently weaker quarterly returns.
- value13FChat AI
Which periods or holdings most clearly explain the value screen's result?
MOH’s current 100.0% weight is the clearest holding-level driver, but the quarter-level story is very uneven. The strongest recent period was 2025-03-31, when the value screen returned 49.76% versus SPY’s 9.22%, for +40.54% excess return. It also beat SPY strongly in 2025-09-30 with +26.25% versus +1.49%, and in 2024-09-30 with +16.75% versus +2.76%. But it also suffered major negative gaps, including -30.95% in 2022-12-31 versus SPY at -0.25% and -27.97% in 2023-06-30 versus SPY at -1.77%. Those swings explain why a single-name value concentration can still post strong alpha but poor overall return quality.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.periodPerformance↳ List the quarters with the biggest positive and negative excess returns for the value screen and show the holdings during those periods.
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.