Optimization Strategycombo-equal-screen
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Combo Equal Screen

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.

AI Summary

Equal-weight stock screen with strong long-run excess return, but materially higher drawdown and market sensitivity than SPY.

Annualized Return
30.52%
Annualized return
Alpha
14.35%
Active return
Sharpe
0.93
Risk-adjusted return
Beta
1.27
Market sensitivity
Max Drawdown
-53.76%
Maximum drawdown
Top 5
27.80%
Top-5 concentration
Top 10
55.60%
Top-10 concentration
Top 20
100.08%
Top-20 concentration

Portfolio Snapshot

Current optimized weights for the selected default session.

SymbolNameSectorWeightDiff
FCNC.AFirst Citizens BancShares, Inc.Financials5.56%+1.52
DLTRDollar Tree, Inc.Consumer Staples5.56%+2.21
EVRGEvergy, Inc.Utilities5.56%+3.16
CCKCrown Holdings, Inc.Materials5.56%+3.09
AXSAXIS Capital Holdings LimitedFinancials5.56%+2.75
RRXRegal Rexnord CorporationIndustrials5.56%+3.45
ADEAAdeia Inc.Information Technology5.56%+3.52
LPLALPL Financial Holdings Inc.Financials5.56%+3.70
TFXTeleflex IncorporatedHealth Care5.56%+3.69
TRMBTrimble Inc.Information Technology5.56%+3.35
UHALU-Haul Holding CompanyIndustrials5.56%+3.34
VICIVICI Properties Inc.Real Estate5.56%+4.03
VFCV.F. CorporationConsumer Discretionary5.56%+4.01
DBRGDigitalBridge Group, Inc.Financials5.56%+4.32
BBYBest Buy Co., Inc.Consumer Discretionary5.56%+4.95
PVHPVH Corp.Consumer Discretionary5.56%+4.49
AMDAdvanced Micro Devices, Inc.Information Technology5.56%+4.48
SUISun Communities, Inc.Real Estate5.56%+4.05

Sector Exposure

  • Financials22.24%
  • Information Technology16.68%
  • Consumer Discretionary16.68%
  • Industrials11.12%
  • Real Estate11.12%
  • Consumer Staples5.56%
  • Utilities5.56%
  • Materials5.56%

Weight Changes

Notable position adjustments in the latest snapshot.

  • FCNC.AFirst Citizens BancShares, Inc.5.56% (+1.52)
  • DLTRDollar Tree, Inc.5.56% (+2.21)
  • EVRGEvergy, Inc.5.56% (+3.16)
  • CCKCrown Holdings, Inc.5.56% (+3.09)
  • AXSAXIS Capital Holdings Limited5.56% (+2.75)
  • RRXRegal Rexnord Corporation5.56% (+3.45)
  • ADEAAdeia Inc.5.56% (+3.52)
  • LPLALPL Financial Holdings Inc.5.56% (+3.70)
  • TFXTeleflex Incorporated5.56% (+3.69)
  • TRMBTrimble Inc.5.56% (+3.35)
  • UHALU-Haul Holding Company5.56% (+3.34)
  • VICIVICI Properties Inc.5.56% (+4.03)
  • VFCV.F. Corporation5.56% (+4.01)
  • DBRGDigitalBridge Group, Inc.5.56% (+4.32)
  • BBYBest Buy Co., Inc.5.56% (+4.95)
  • PVHPVH Corp.5.56% (+4.49)
  • AMDAdvanced Micro Devices, Inc.5.56% (+4.48)
  • SUISun Communities, Inc.5.56% (+4.05)

Performance vs Benchmark

Strategy NAV vs benchmark — hover for exact values.

Combo Equal ScreenBenchmark

Alpha Trend

Excess return vs benchmark over time.

Alpha (positive)Alpha (negative)

Drawdown Trend

Underwater curve and peak drawdown marker.

Max DD: -53.76%(Mar 23)

Turnover Trend

Per-period turnover with average reference.

Avg turnover: 79.30Peak: 200.10

Strategy Comparison

All four default strategies side-by-side.

StrategyAnnualizedAlphaSharpeMax DD
Baseline6.98%-0.62%0.64-26.88%
Momentum Screen8.37%-3.24%0.49-44.28%
Basic Value Screen9.73%-3.31%0.51-56.65%
Combo Equal Screen30.52%14.35%0.93-53.76%

vs Baseline: Annualized +23.55 · Alpha +14.98 · Sharpe +0.29

Recent Periods

Per-period performance vs benchmark.

PeriodStrategyBenchmarkExcessTurnoverTrades
2023-03-3116.11%7.90%+8.2071.622
2023-06-304.05%-1.77%+5.82100.092
2023-09-3024.49%10.11%+14.3811.482
2023-12-3116.45%4.96%+11.49117.072
2024-03-31-2.68%2.31%-5.00190.1520
2024-06-3036.67%9.83%+26.84190.8720
2024-09-304.13%2.76%+1.370.211
2024-12-31-4.07%-3.63%-0.440.001
2025-03-3118.57%9.22%+9.350.001
2025-06-30-1.72%4.20%-5.92188.2417
2025-09-3012.55%1.46%+11.0923.7518
2025-12-316.91%9.57%-2.6532.7419

Strategy Q&A

Pre-generated questions and answers about this strategy.

  • combo13FChat AI

    Was the combo screen's result driven more by stock selection or by weight redistribution?

    The combo result appears to be a mix of stock selection and weight redistribution. It selected FCNC.A (First Citizens BancShares, Inc.) 5.56%, DLTR (Dollar Tree, Inc.) 5.56%, EVRG (Evergy, Inc.) 5.56%, CCK (Crown Holdings, Inc.) 5.56%, AXS (AXIS Capital Holdings Limited) 5.56%, and RRX (Regal Rexnord Corporation) 5.56% and delivered return 30.52%, alpha 14.35%, beta 1.27, Sharpe 0.93, Sortino 1.38, and max drawdown -53.76%. Versus baseline, annualized return changed by 23.55%, alpha changed by 14.98%, Sharpe changed by 0.29, Sortino changed by 0.59, drawdown worsened by 26.88%. The selected-name list and changed weights are the first places to check whether performance came from better stocks or simply different sizing.

    strategyViews.combo-equal-screen.topHoldingsstrategyViews.combo-equal-screen.metrics

    ↳ Separate the combo result into selected names, weight changes, and return contribution.

  • combo13FChat AI

    Which names and sector exposures are driving the combo result?

    The combo basket is led by FCNC.A (First Citizens BancShares, Inc.) 5.56%, DLTR (Dollar Tree, Inc.) 5.56%, EVRG (Evergy, Inc.) 5.56%, CCK (Crown Holdings, Inc.) 5.56%, and AXS (AXIS Capital Holdings Limited) 5.56%, with sector exposure of Financials 22.24%, Information Technology 16.68%, Consumer Discretionary 16.68%, and Industrials 11.12%. The latest change list shows BBY increase to 5.56%; PVH increase to 5.56%; AMD increase to 5.56%, so the user should inspect whether these are desirable active bets or just mechanical consequences of the screen.

    strategyViews.combo-equal-screen.topHoldingsstrategyViews.combo-equal-screen.latestChanges

    ↳ Review the combo basket's top sector bets, increased names, and reduced baseline names.

  • combo13FChat AI

    How did the combo equal-weight screen change portfolio structure versus the baseline?

    Combo Equal Screen changes structure by selecting FCNC.A (First Citizens BancShares, Inc.) 5.56%, DLTR (Dollar Tree, Inc.) 5.56%, EVRG (Evergy, Inc.) 5.56%, CCK (Crown Holdings, Inc.) 5.56%, AXS (AXIS Capital Holdings Limited) 5.56%, RRX (Regal Rexnord Corporation) 5.56%, ADEA (Adeia Inc.) 5.56%, and LPLA (LPL Financial Holdings Inc.) 5.56%. That produces top 5 27.80%, top 10 55.60%, top 20 100.08% and sector exposure of Financials 22.24%, Information Technology 16.68%, Consumer Discretionary 16.68%, and Industrials 11.12%. Compared with baseline concentration of top 5 16.72%, top 10 29.95%, top 20 51.84%, this is less about copying original sizing and more about testing a cleaner rules-based basket.

    strategyViews.combo-equal-screen.topHoldingsstrategyViews.combo-equal-screen.concentration

    ↳ Compare combo weights with Baseline weights and identify the largest reallocations.

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