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
Concentrated small-value portfolio with strong Financials tilt, decent long-run returns, and weaker risk-adjusted results after optimization.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| GS | The Goldman Sachs Group, Inc. | Financials | 16.53% | +15.17 |
| NEM | Newmont Corporation | Materials | 14.75% | +13.54 |
| C | Citigroup Inc. | Financials | 12.32% | +11.30 |
| MS | Morgan Stanley | Financials | 11.36% | +10.42 |
| SCHW | The Charles Schwab Corporation | Financials | 7.10% | +6.51 |
| BK | The Bank of New York Mellon Corporation | Financials | 5.96% | +5.47 |
| MO | Altria Group, Inc. | Consumer Staples | 5.89% | +5.41 |
| GM | General Motors Company | Consumer Discretionary | 4.89% | +4.49 |
| HCA | HCA Healthcare, Inc. | Health Care | 4.40% | +4.04 |
| AEP | American Electric Power Company, Inc. | Utilities | 3.86% | +3.54 |
| DG | Dollar General Corporation | Consumer Staples | 2.20% | +2.01 |
| STT | State Street Corporation | Financials | 2.03% | +1.87 |
| NTRS | Northern Trust Corporation | Financials | 1.53% | +1.40 |
| ATO | Atmos Energy Corporation | Utilities | 1.48% | +1.35 |
| FOXA | Fox Corporation | Communication Services | 1.13% | +1.04 |
| EVRG | Evergy, Inc. | Utilities | 1.08% | +0.99 |
| NI | NiSource Inc. | Utilities | 1.08% | +0.99 |
| L | Loews Corporation | Financials | 0.91% | +0.84 |
| LDOS | Leidos Holdings, Inc. | Industrials | 0.89% | +0.82 |
| IVZ | Invesco Ltd. | Financials | 0.61% | +0.56 |
Sector Exposure
- Financials58.35%
- Materials14.75%
- Consumer Staples8.09%
- Utilities7.50%
- Consumer Discretionary4.89%
- Health Care4.40%
- Communication Services1.13%
- Industrials0.89%
Weight Changes
Notable position adjustments in the latest snapshot.
- GSThe Goldman Sachs Group, Inc.16.53% (+15.17)
- NEMNewmont Corporation14.75% (+13.54)
- CCitigroup Inc.12.32% (+11.30)
- MSMorgan Stanley11.36% (+10.42)
- SCHWThe Charles Schwab Corporation7.10% (+6.51)
- BKThe Bank of New York Mellon Corporation5.96% (+5.47)
- MOAltria Group, Inc.5.89% (+5.41)
- GMGeneral Motors Company4.89% (+4.49)
- HCAHCA Healthcare, Inc.4.40% (+4.04)
- AEPAmerican Electric Power Company, Inc.3.86% (+3.54)
- DGDollar General Corporation2.20% (+2.01)
- STTState Street Corporation2.03% (+1.87)
- NTRSNorthern Trust Corporation1.53% (+1.40)
- ATOAtmos Energy Corporation1.48% (+1.35)
- FOXAFox Corporation1.13% (+1.04)
- EVRGEvergy, Inc.1.08% (+0.99)
- NINiSource Inc.1.08% (+0.99)
- LLoews Corporation0.91% (+0.84)
- LDOSLeidos Holdings, Inc.0.89% (+0.82)
- IVZInvesco Ltd.0.61% (+0.56)
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 | 20.86% | 6.03% | 1.06 | -29.77% |
| Momentum Screen | 19.74% | 5.60% | 0.89 | -30.45% |
| Basic Value Screen | 13.72% | 1.28% | 0.73 | -34.41% |
| Combo Equal Screen | 16.45% | 2.16% | 0.83 | -31.00% |
vs Baseline: Annualized -7.15 · Alpha -4.75 · Sharpe -0.33
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | 7.11% | 3.75% | +3.37 | 5.06 | 21 |
| 2025-06-30 | 3.85% | 2.69% | +1.16 | 15.69 | 21 |
| 2025-07-31 | 4.44% | 2.05% | +2.39 | 29.67 | 23 |
| 2025-08-31 | 3.42% | 3.66% | -0.24 | 19.47 | 22 |
| 2025-09-30 | -2.96% | 2.05% | -5.01 | 53.27 | 27 |
| 2025-10-31 | 2.59% | 0.20% | +2.39 | 17.19 | 22 |
| 2025-11-30 | 4.59% | 0.99% | +3.60 | 5.67 | 21 |
| 2025-12-31 | 0.95% | 1.47% | -0.52 | 5.76 | 21 |
| 2026-01-31 | -0.78% | -1.35% | +0.57 | 14.57 | 22 |
| 2026-02-28 | -3.57% | -7.93% | +4.36 | 19.64 | 22 |
| 2026-03-31 | 20.35% | 9.42% | +10.93 | 117.36 | 31 |
| 2026-04-30 | 0.39% | 4.11% | -3.72 | 59.50 | 22 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- value13FChat AI
Which names did the value screen keep for SPMO | S&P 500 Momentum ETF, and what makes the result different from baseline?
The value screen currently keeps GS (The Goldman Sachs Group, Inc.) 16.53%, NEM (Newmont Corporation) 14.75%, C 12.32%, MS (Morgan Stanley) 11.36%, and SCHW (The Charles Schwab Corporation) 7.10%. It has little overlap with the baseline top 10, and reshapes sector exposure toward Financials 58.35%, Materials 14.75%, and Consumer Staples 8.09%. 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.
- value13FChat AI
Did the value screen reduce concentration or simply rotate into another concentrated bet?
The selected value book has top 5 62.06%, top 10 87.06%, top 20 100.00%, versus baseline top 5 38.75%, top 10 55.03%, top 20 71.56%. Its largest positions are GS (The Goldman Sachs Group, Inc.) 16.53%, NEM (Newmont Corporation) 14.75%, C 12.32%, and MS (Morgan Stanley) 11.36%, 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
Are the selected value names mean-reversion opportunities or possible value traps?
Recent period evidence is mixed by design: the strongest period was 2026-03-31 (20.35% strategy return, 9.42% benchmark, 10.93% excess, 117.36% turnover), and the weakest was 2025-09-30 (-2.96% strategy return, 2.05% benchmark, -5.01% excess, 53.27% turnover). With turnover around 30.16% and latest changes of GS increase to 16.53%; NEM increase to 14.75%; C increase to 12.32%, the user should verify whether each selected name has improving fundamentals, not just a low multiple.
strategyViews.basic-value-screen.periodPerformancestrategyViews.basic-value-screen.latestChanges↳ Identify whether each selected value name has improving fundamentals or only a low valuation multiple.
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.