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 portfolio tilted to cyclical consumer names, with weak risk-adjusted backtest results versus SPY.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GM | General Motors Company | Consumer Discretionary | 20.00% | +18.39 |
| DHI | D.R. Horton, Inc. | Consumer Discretionary | 14.39% | +13.50 |
| CCL | Carnival Corporation & plc | Consumer Discretionary | 11.16% | +10.47 |
| ULTA | Ulta Beauty, Inc. | Consumer Discretionary | 8.68% | +8.16 |
| PHM | PulteGroup, Inc. | Consumer Discretionary | 8.49% | +7.98 |
| LEN | Lennar Corporation | Consumer Discretionary | 7.29% | +6.86 |
| NVR | NVR, Inc. | Consumer Discretionary | 6.48% | +6.10 |
| DECK | Deckers Outdoor Corporation | Consumer Discretionary | 5.64% | +5.31 |
| LULU | lululemon athletica inc. | Consumer Discretionary | 5.55% | +5.23 |
| BBY | Best Buy Co., Inc. | Consumer Discretionary | 4.72% | +4.45 |
| DPZ | Domino's Pizza, Inc. | Consumer Discretionary | 4.19% | +3.97 |
| NCLH | Norwegian Cruise Line Holdings Ltd. | Consumer Discretionary | 3.41% | +3.24 |
Sector Exposure
- Consumer Discretionary100.00%
Weight Changes
Notable position adjustments in the latest snapshot.
- GMGeneral Motors Company20.00% (+18.39)
- DHID.R. Horton, Inc.14.39% (+13.50)
- CCLCarnival Corporation & plc11.16% (+10.47)
- ULTAUlta Beauty, Inc.8.68% (+8.16)
- PHMPulteGroup, Inc.8.49% (+7.98)
- LENLennar Corporation7.29% (+6.86)
- NVRNVR, Inc.6.48% (+6.10)
- DECKDeckers Outdoor Corporation5.64% (+5.31)
- LULUlululemon athletica inc.5.55% (+5.23)
- BBYBest Buy Co., Inc.4.72% (+4.45)
- DPZDomino's Pizza, Inc.4.19% (+3.97)
- NCLHNorwegian Cruise Line Holdings Ltd.3.41% (+3.24)
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 | 12.27% | -2.18% | 0.64 | -39.39% |
| Momentum Screen | 5.05% | -6.92% | 0.34 | -45.73% |
| Basic Value Screen | 1.36% | -12.22% | 0.20 | -63.90% |
| Combo Equal Screen | 12.32% | -0.93% | 0.58 | -45.30% |
vs Baseline: Annualized -10.90 · Alpha -10.03 · Sharpe -0.44
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | 3.24% | 3.75% | -0.50 | 44.06 | 14 |
| 2025-06-30 | 3.66% | 2.69% | +0.97 | 26.86 | 13 |
| 2025-07-31 | 12.66% | 2.05% | +10.60 | 65.29 | 15 |
| 2025-08-31 | -1.32% | 3.66% | -4.98 | 16.83 | 13 |
| 2025-09-30 | -2.50% | 2.05% | -4.55 | 34.10 | 14 |
| 2025-10-31 | 1.00% | 0.20% | +0.80 | 48.21 | 15 |
| 2025-11-30 | -0.32% | 0.99% | -1.31 | 45.75 | 13 |
| 2025-12-31 | 1.69% | 1.47% | +0.21 | 19.22 | 14 |
| 2026-01-31 | 0.49% | -1.35% | +1.84 | 40.03 | 13 |
| 2026-02-28 | -12.82% | -7.93% | -4.89 | 38.20 | 14 |
| 2026-03-31 | 0.47% | 9.42% | -8.94 | 26.19 | 14 |
| 2026-04-30 | -5.71% | 4.11% | -9.82 | 1.72 | 12 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- value13FChat AI
Did the value screen reduce concentration or simply rotate into another concentrated bet?
The selected value book has top 5 62.72%, top 10 92.40%, top 20 100.00%, versus baseline top 5 60.51%, top 10 72.67%, top 20 86.73%. Its largest positions are GM (General Motors Company) 20.00%, DHI (D.R. Horton, Inc.) 14.39%, CCL (Carnival Corporation & plc) 11.16%, and ULTA (Ulta Beauty, Inc.) 8.68%, so concentration risk still needs to be reviewed even if the names look cheaper.
strategyViews.basic-value-screen.concentrationstrategyViews.baseline.concentration↳ Compare value-screen top weights with baseline top weights and identify the largest reallocations.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
The value screen reports return 1.36%, alpha -12.22%, beta 1.23, Sharpe 0.20, Sortino 0.26, and max drawdown -63.90%. Relative to baseline, annualized return changed by -10.90%, alpha changed by -10.03%, Sharpe changed by -0.44, Sortino changed by -0.55, drawdown worsened by 24.51%. The key question is whether lower valuation exposure is worth any sacrifice in growth, momentum, or quality leadership.
strategyViews.basic-value-screen.metricsstrategyViews.baseline.metrics↳ Review PE, PB, FCF yield, return quality, and momentum for the value-screen names.
- value13FChat AI
Which names did the value screen keep for XLY | S&P 500 Consumer Discretionary Sector ETF, and what makes the result different from baseline?
The value screen currently keeps GM (General Motors Company) 20.00%, DHI (D.R. Horton, Inc.) 14.39%, CCL (Carnival Corporation & plc) 11.16%, ULTA (Ulta Beauty, Inc.) 8.68%, and PHM (PulteGroup, Inc.) 8.49%. It has little overlap with the baseline top 10, and reshapes sector exposure toward Consumer Discretionary 100.00%. This should be read as a valuation-sensitive subset of the disclosed universe, not as a full replacement for the original mandate.
strategyViews.basic-value-screen.topHoldingsstrategyViews.basic-value-screen.sectorWeights↳ Compare value-screen holdings with baseline holdings by valuation, sector, and weight change.
Other strategies for this fund
Baseline
Track disclosed holdings with the standard reporting lag and no active reweighting.
Momentum Screen
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.
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.