Zoe LofgrenS&P 500$10,000 in Zoe Lofgren from 9 Mar 2016 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.
About
Mirrors the disclosed stock holdings of Rep. Zoe Lofgren (Democrat, CA) and family. It buys on the first trading day after each report is filed, sized by the middle of the value band reported, starts from the holdings listed in the member's annual disclosure report once that report is public, and holds each position until a sale is reported. Call options count as the stock until they expire. Members often report weeks or months late, so this is what a follower could actually have done.
Sharpe ratio uses returns above the 3-month Treasury bill rate. Alpha is the yearly return left after allowing for the strategy's exposure to the S&P 500 (CAPM); a t-statistic below about 2 means it cannot be told apart from luck. 335 reported trades were copied.
Dated on the first trading day after the report was filed, when a follower could have acted.
Backtests are hypothetical and use today's listed companies only, which flatters results. Past performance does not predict future returns. This is research, not investment advice. How we backtest
