Baseline
Track disclosed holdings with the standard reporting lag and no active reweighting.
AI Summary
High-return, highly concentrated small-value portfolio with strong alpha but severe drawdown and volatility risk.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| MOH | Molina Healthcare, Inc. | Health Care | 39.11% | 0 |
| LULU | lululemon athletica inc. | Consumer Discretionary | 37.47% | 0 |
| SLM | SLM Corporation | Financials | 23.42% | 0 |
Sector Exposure
- Health Care39.11%
- Consumer Discretionary37.47%
- Financials23.42%
Weight Changes
Notable position adjustments in the latest snapshot.
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% |
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2022-12-31 | -8.04% | -0.25% | -7.79 | 56.38 | 5 |
| 2023-03-31 | 8.64% | 7.90% | +0.74 | 64.23 | 14 |
| 2023-06-30 | -5.34% | -1.77% | -3.58 | 108.11 | 20 |
| 2023-09-30 | -1.36% | 10.11% | -11.46 | 102.37 | 14 |
| 2023-12-31 | 5.77% | 4.96% | +0.81 | 75.78 | 15 |
| 2024-03-31 | -4.84% | 2.31% | -7.15 | 74.57 | 18 |
| 2024-06-30 | 6.80% | 9.83% | -3.02 | 86.35 | 10 |
| 2024-09-30 | 13.56% | 2.76% | +10.80 | 15.86 | 4 |
| 2024-12-31 | -2.00% | -3.63% | +1.62 | 49.10 | 7 |
| 2025-03-31 | 49.73% | 9.22% | +40.51 | 154.69 | 7 |
| 2025-06-30 | 1.35% | 4.20% | -2.85 | 138.75 | 5 |
| 2025-09-30 | 18.46% | 1.49% | +16.97 | 121.92 | 6 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- baseline13FChat AI
What does directly following the disclosed baseline portfolio expose an investor to?
Directly following the baseline means accepting a highly concentrated three-stock portfolio with no diversification benefit. The strategy view shows MOH at 39.11%, LULU at 37.47%, and SLM at 23.42%, with top 5, top 10, and top 20 concentration all at 100.0%. The reward side was strong, with 21.39% annualized return, 20.83 alpha, and 543.82% total return, but the cost was a -66.35% max drawdown and 296 trades with total estimated cost of 10.535. The baseline also carries disclosure-lag risk because implementation follows delayed filing dates.
strategyViews.baseline.topHoldingsstrategyViews.baseline.concentration.top5strategyViews.baseline.concentration.top10strategyViews.baseline.concentration.top20strategyViews.baseline.metrics.annualizedReturnstrategyViews.baseline.metrics.alphastrategyViews.baseline.metrics.totalReturnstrategyViews.baseline.metrics.maxDrawdownstrategyViews.baseline.riskNotes↳ Show me whether reducing the top holding cap would have improved baseline drawdown without destroying return.
- baseline13FChat AI
Which recent baseline periods best explain the risk-return trade-off?
Two recent periods capture the baseline trade-off well. In 2025-03-31, the baseline gained 49.73% versus SPY’s 9.22%, for +40.51% excess return, but turnover was 154.69 with 7 trades, showing that large upside often came with heavy repositioning. On the other hand, 2023-09-30 lost 1.36% while SPY gained 10.11%, a -11.46% excess gap, with turnover still high at 102.37 and 14 trades. A more favorable defensive example was 2024-12-31, when baseline lost 2.00% versus SPY down 3.63%, for +1.62% excess return. These periods show that baseline can strongly outperform, but the path is uneven and turnover remains meaningful.
strategyViews.baseline.periodPerformance↳ List the holdings and sector weights during 2025-03-31 and 2023-09-30 so I can see what drove those opposite outcomes.
- baseline13FChat AI
What should a user inspect next before deciding whether the baseline is acceptable?
Before accepting the baseline, a user should inspect three things: concentration, drawdown path, and turnover. Concentration is obvious from the latest baseline holdings—MOH 39.11%, LULU 37.47%, and SLM 23.42%—with top 5 concentration at 100.0%. The drawdown path matters because max drawdown reached -66.35%, despite a solid 0.63 Sharpe and 0.87 Sortino. Turnover also matters because the backtest logged 296 trades and 10.535 of estimated total cost, with several recent periods above 100 turnover. If those three are uncomfortable, the baseline is probably too concentrated to mirror directly.
strategyViews.baseline.topHoldingsstrategyViews.baseline.concentration.top5strategyViews.baseline.metrics.maxDrawdownstrategyViews.baseline.metrics.sharpestrategyViews.baseline.metrics.sortinostrategyViews.baseline.metrics.totalEstimatedCoststrategyViews.baseline.riskNotesstrategyViews.baseline.periodPerformance↳ Walk me through the baseline NAV series around its worst drawdown and highlight the turnover spikes before and after it.
该基金的其它策略
动量筛选
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.
价值筛选
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.
综合等权
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.