azValor Asset Management SGIIC, S.A.U. 13F holdings and portfolio analysis
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Baseline
Analysis messagesPre-generated Q&A about this fund. Use as reference context for your own analysis.
Following Baseline means accepting the manager's disclosed sizing almost directly. Here that means extreme single-name concentration: top 5 81.11%, top 10 95.44%, top 20 97.24%, with NE 22.71%, SLB 20.98%, BORR 14.54%, NOV 13.24%, RIG 9.64%, VAL 6.09%. The baseline result is return 2.80%, alpha -1.51%, beta 0.38, Sharpe 0.26, Sortino 0.33, max drawdown -34.10%. That is the right reference case, but it is not automatically the safest case because the largest names and sector mix (Energy 96.25%, Consumer Discretionary 1.29%, Industrials 1.06%, Materials 0.54%) still dominate the realized path.
The period rows show the character of the baseline. The strongest relative period was 2025-06-30 (12.22% vs SPY 4.20%, excess 8.02%, turnover 26.09%); the weakest was 2023-09-30 (-4.45% vs SPY 10.11%, excess -14.56%, turnover 1.01%). The latest rows (2025-03-31 (2.04% vs SPY 9.22%, excess -7.17%, turnover 13.60%); 2025-06-30 (12.22% vs SPY 4.20%, excess 8.02%, turnover 26.09%); 2025-09-30 (-2.77% vs SPY 1.49%, excess -4.26%, turnover 5.78%)) show whether recent results are confirming or reversing the long-term profile.
Before accepting Baseline, I would inspect three things: whether NE 22.71%, SLB 20.98%, BORR 14.54%, NOV 13.24% still have current theses, whether recent changes such as no large named moves and no large named moves indicate a shift, and whether max drawdown of -34.10% is acceptable for the user's risk budget.