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
Defensive value tilt with lower market beta, but the optimized plan lags SPY and trails the original screen materially.
Portfolio Snapshot
Current optimized weights for the selected default session.
| Symbol | Name | Sector | Weight | Diff |
|---|---|---|---|---|
| PG | The Procter & Gamble Company | Consumer Staples | 16.91% | +16.38 |
| MRK | Merck & Co., Inc. | Health Care | 13.75% | +13.32 |
| GILD | Gilead Sciences, Inc. | Health Care | 8.10% | +7.84 |
| UBER | Uber Technologies, Inc. | Industrials | 7.72% | +7.47 |
| NEM | Newmont Corporation | Materials | 6.33% | +6.13 |
| BMY | Bristol-Myers Squibb Company | Health Care | 5.69% | +5.51 |
| PGR | The Progressive Corporation | Financials | 5.66% | +5.48 |
| ACN | Accenture plc | Information Technology | 5.52% | +5.34 |
| ADBE | Adobe Inc. | Information Technology | 5.16% | +5.00 |
| ADP | Automatic Data Processing, Inc. | Industrials | 4.26% | +4.12 |
| UPS | United Parcel Service, Inc. | Industrials | 3.71% | +3.59 |
| RCL | Royal Caribbean Cruises Ltd. | Consumer Discretionary | 3.44% | +3.33 |
| AON | Aon plc | Financials | 3.33% | +3.23 |
| ALL | The Allstate Corporation | Financials | 2.75% | +2.66 |
| AMP | Ameriprise Financial, Inc. | Financials | 2.11% | +2.04 |
| SYY | Sysco Corporation | Consumer Staples | 1.72% | +1.67 |
| PAYX | Paychex, Inc. | Industrials | 1.52% | +1.47 |
| NTAP | NetApp, Inc. | Information Technology | 1.16% | +1.12 |
| GDDY | GoDaddy Inc. | Information Technology | 0.61% | +0.59 |
| CLX | The Clorox Company | Consumer Staples | 0.56% | +0.54 |
Sector Exposure
- Health Care27.54%
- Consumer Staples19.19%
- Industrials17.21%
- Financials13.85%
- Information Technology12.45%
- Materials6.33%
- Consumer Discretionary3.44%
Weight Changes
Notable position adjustments in the latest snapshot.
- PGThe Procter & Gamble Company16.91% (+16.38)
- MRKMerck & Co., Inc.13.75% (+13.32)
- GILDGilead Sciences, Inc.8.10% (+7.84)
- UBERUber Technologies, Inc.7.72% (+7.47)
- NEMNewmont Corporation6.33% (+6.13)
- BMYBristol-Myers Squibb Company5.69% (+5.51)
- PGRThe Progressive Corporation5.66% (+5.48)
- ACNAccenture plc5.52% (+5.34)
- ADBEAdobe Inc.5.16% (+5.00)
- ADPAutomatic Data Processing, Inc.4.26% (+4.12)
- UPSUnited Parcel Service, Inc.3.71% (+3.59)
- RCLRoyal Caribbean Cruises Ltd.3.44% (+3.33)
- AONAon plc3.33% (+3.23)
- ALLThe Allstate Corporation2.75% (+2.66)
- AMPAmeriprise Financial, Inc.2.11% (+2.04)
- SYYSysco Corporation1.72% (+1.67)
- PAYXPaychex, Inc.1.52% (+1.47)
- NTAPNetApp, Inc.1.16% (+1.12)
- GDDYGoDaddy Inc.0.61% (+0.59)
- CLXThe Clorox Company0.56% (+0.54)
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 | 21.38% | 0.04% | 1.37 | -18.86% |
| Momentum Screen | 22.03% | 0.17% | 1.17 | -22.18% |
| Basic Value Screen | 11.95% | -1.58% | 0.82 | -18.43% |
| Combo Equal Screen | 24.09% | -0.26% | 1.23 | -22.99% |
vs Baseline: Annualized -9.43 · Alpha -1.63 · Sharpe -0.55
Recent Periods
Per-period performance vs benchmark.
| Period | Strategy | Benchmark | Excess | Turnover | Trades |
|---|---|---|---|---|---|
| 2025-05-31 | 3.09% | 3.75% | -0.66 | 12.56 | 21 |
| 2025-06-30 | -0.73% | 2.69% | -3.42 | 61.84 | 25 |
| 2025-07-31 | 5.91% | 2.05% | +3.85 | 36.17 | 23 |
| 2025-08-31 | 2.75% | 3.66% | -0.90 | 51.20 | 24 |
| 2025-09-30 | -1.09% | 2.05% | -3.14 | 78.84 | 24 |
| 2025-10-31 | 5.44% | 0.20% | +5.25 | 72.46 | 23 |
| 2025-11-30 | 2.43% | 0.99% | +1.44 | 57.89 | 23 |
| 2025-12-31 | 3.47% | 1.47% | +1.99 | 41.45 | 24 |
| 2026-01-31 | 3.55% | -1.35% | +4.90 | 63.61 | 25 |
| 2026-02-28 | -8.43% | -7.93% | -0.50 | 53.84 | 23 |
| 2026-03-31 | 8.45% | 9.42% | -0.97 | 38.79 | 22 |
| 2026-04-30 | -0.30% | 4.11% | -4.40 | 54.68 | 21 |
Strategy Q&A
Pre-generated questions and answers about this strategy.
- 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 2025-10-31 (5.44% strategy return, 0.20% benchmark, 5.25% excess, 72.46% turnover), and the weakest was 2026-04-30 (-0.30% strategy return, 4.11% benchmark, -4.40% excess, 54.68% turnover). With turnover around 47.47% and latest changes of PG increase to 16.91%; MRK increase to 13.75%; GILD increase to 8.10%, 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.
- value13FChat AI
Did the value screen improve valuation exposure without hurting return quality?
The value screen reports return 11.95%, alpha -1.58%, beta 0.67, Sharpe 0.82, Sortino 1.25, and max drawdown -18.43%. Relative to baseline, annualized return changed by -9.43%, alpha changed by -1.63%, Sharpe changed by -0.55, Sortino changed by -0.57, drawdown improved by 0.44%. 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
Did the value screen reduce concentration or simply rotate into another concentrated bet?
The selected value book has top 5 52.81%, top 10 79.10%, top 20 100.01%, versus baseline top 5 30.72%, top 10 40.65%, top 20 50.14%. Its largest positions are PG (The Procter & Gamble Company) 16.91%, MRK (Merck & Co., Inc.) 13.75%, GILD (Gilead Sciences, Inc.) 8.10%, and UBER (Uber Technologies, Inc.) 7.72%, 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.
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.