Valley Forge Capital Management, LP 13F holdings and portfolio analysis

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Baseline

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Baselinetested
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baseline13FChat AI
What does directly following the disclosed baseline portfolio expose an investor to?

Directly following the baseline means accepting an extremely top-heavy portfolio of compounder franchises. In the baseline strategy view, the top five holdings are 95.02% of assets, led by FICO at 30.42%, SPGI at 21.49%, MA at 19.86%, MCO at 15.73%, and Visa at 7.52%. Sector exposure is concentrated in Financials at 65.41% and Information Technology at 33.84%, with only 0.74% in Industrials. The backtest still produced 21.41% annualized return and 6.89 alpha, but the trade-off was beta of 1.13, max drawdown of -40.05%, and filing-lag replication risk noted in the baseline risk notes.

↳Show me how much of the baseline risk comes from the top three holdings versus the rest of the portfolio.
baseline13FChat AI
Which recent baseline periods best explain the risk-return trade-off?

The recent baseline periods show both why the strategy worked and why it is hard to hold. Strong periods included 2024-03-31 with 12.83% optimized return versus 2.31% for SPY, 2024-06-30 with 15.92% versus 9.83%, and 2024-12-31 with 5.24% versus -3.63%, all reflecting the upside of concentrated quality holdings. But the downside was visible in 2024-09-30, when baseline returned -4.20% versus SPY’s 2.76%, and especially 2025-03-31, when it lost -10.39% versus SPY’s +9.22%, a -19.61 point excess shortfall. Those swings explain how the portfolio can deliver 21.41% annualized return yet still suffer a -40.05% max drawdown.

↳Plot the baseline’s excess return by period and identify which holdings were most likely driving the big wins and losses.
baseline13FChat AI
What should a user inspect next before deciding whether the baseline is acceptable?

A user should inspect concentration, turnover, and lag risk before accepting the baseline. Concentration is the first check because top five holdings are 95.02% and the largest single name is FICO at 30.42%. Turnover is the second check: recent period turnover reached 15.02 at 2024-12-31, 17.11 at 2025-03-31, 18.55 at 2025-06-30, and 21.38 at 2025-09-30, which can make replication harder even in a small portfolio. Third, the baseline risk notes explicitly warn about filing lag and note that the first tracked rebalance saw 98% turnover, so implementation timing matters almost as much as the disclosed holdings themselves.

↳Walk me through the baseline turnover history and show which rebalance dates created the biggest implementation risk.
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