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Funds (13F)

AQR Capital Management LLC

Backtest from 16 Aug 2013 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+13.2%
S&P 500 +14.1%
Last 12 months
+16.3%
S&P 500 +12.1%
Sharpe ratio
0.73
S&P 500 0.78
Biggest drop
−33.5%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $57.0k$51.7k
AQR Capital Management LLCS&P 500 $10,000 in AQR Capital Management LLC from 16 Aug 2013 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies AQR Capital Management LLC's quarterly 13F holdings in the companies we cover, weighted by reported value: it buys on the first trading day after each 13F is filed (up to 45 days after the quarter) and holds until the next filing. A 13F shows long US-listed positions only, at the quarter's end, so this misses shorts, cash, bonds, non-US holdings and trading within the quarter.

AQR Capital Management LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+13.2%+14.1%
Total return+417%+470%
Last 12 months+16.3%+12.1%
Last 3 months+0.7%—
Last month0.0%—
This year so far+12.9%—
Volatility a year16.1%16.0%
Sharpe ratio0.730.78
Biggest drop−33.5%−31.8%
Beta to the S&P 5000.981.00
Alpha a year (t-statistic)−0.5% (−0.56)—
Share of weeks up59%—

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.

Insights

CompanyWeightHeld sinceReturn since
NVDA2.8%——
AAPL1.9%——
MU1.6%——
MSFT1.6%——
AMZN1.1%——
AVGO0.9%——
GOOGL0.8%——
FIX0.8%——
WDC0.7%——
CNC0.7%——
GEV0.6%——
BMY0.6%——
ABNB0.6%——
LRCX0.6%——
INTC0.6%——
PCG0.5%——
GE0.5%——
EIX0.5%——
CB0.5%——
FTNT0.5%——
VRSN0.5%——
LLY0.5%——
TSLA0.5%——
META0.5%——
STX0.5%——
JBHT0.4%——
COST0.4%——
TER0.4%——
SNOW0.4%——
GM0.4%——
COF0.4%——
PNC0.4%——
MRK0.4%——
ANET0.4%——
FTI0.4%——
TJX0.4%——
VIK0.4%——
SNDK0.4%——
TRV0.3%——
AMD0.3%——
JPM0.3%——
CVX0.3%——
BKNG0.3%——
NTNX0.3%——
CRS0.3%——
WFC0.3%——
CMI0.3%——
VRT0.3%——
C0.3%——
FDX0.3%——
MOH0.3%——
ADBE0.3%——
EXPE0.3%——
TXRH0.3%——
RBRK0.3%——
APH0.3%——
ES0.3%——
EME0.3%——
PSX0.3%——
DKNG0.3%——
FCX0.3%——
TMUS0.3%——
GD0.3%——
IBM0.3%——
JNJ0.3%——
RBLX0.3%——
DAL0.3%——
UNH0.3%——
PEP0.3%——
ROST0.3%——
WMT0.3%——
REGN0.3%——
LMT0.3%——
TEAM0.3%——
WCN0.3%——
MEDP0.3%——
SNPS0.3%——
NEM0.3%——
MCK0.3%——
EOG0.2%——
JCI0.2%——
TTWO0.2%——
BNY0.2%——
NBIX0.2%——
V0.2%——
NYT0.2%——
BLK0.2%——
NTRA0.2%——
BA0.2%——
ILMN0.2%——
AON0.2%——
VEEV0.2%——
AMP0.2%——
INCY0.2%——
EXEL0.2%——
AMAT0.2%——
EVR0.2%——
MLI0.2%——
OC0.2%——
KLAC0.2%——
SPGI0.2%——
BAC0.2%——
HPE0.2%——
TPR0.2%——
ZM0.2%——
OXY0.2%——
IT0.2%——
CFG0.2%——
CAT0.2%——
HLT0.2%——
VLO0.2%——
MAA0.2%——
GIS0.2%——
OSK0.2%——
TT0.2%——
HD0.2%——
DG0.2%——
EQIX0.2%——
NTRS0.2%——
NET0.2%——
CIEN0.2%——
ABBV0.2%——
MDB0.2%——
DHR0.2%——
EG0.2%——
MA0.2%——
RTX0.2%——
GS0.2%——
EXE0.2%——
LYB0.2%——
MHK0.2%——
PH0.2%——
NOW0.2%——
A0.2%——
AYI0.2%——
MCO0.2%——
TSN0.2%——
ARW0.2%——
PB0.2%——
MANH0.2%——
ARMK0.2%——
PM0.2%——
DDOG0.2%——
NNN0.2%——
AXS0.2%——
AIT0.2%——
ACN0.2%——
BURL0.2%——
CME0.2%——
CHE0.2%——

Weighted by reported value in the latest 13F, held until the next filing.

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest16 Aug 2013 to 2 Nov 2026+13.2%+14.1%0.730.78−33.5%0.98−0.5% (−0.56)
2018 onwards5 Jan 2018 to 2 Nov 2026+12.0%+13.9%0.570.66−33.5%0.98−1.4% (−1.05)
Last three years3 Nov 2023 to 2 Nov 2026+20.5%+21.8%1.141.16−15.6%0.87+0.9% (0.31)
Last year7 Nov 2025 to 2 Nov 2026+17.5%+14.2%1.190.84−7.2%0.75+5.2% (0.88)
DateCompanyAction
21 Aug 2026ZIMBought
21 Aug 2026YSSBought
21 Aug 2026XZOBought
21 Aug 2026WYFIBought
21 Aug 2026WSEBought
21 Aug 2026WOLFBought
21 Aug 2026WNEBBought
21 Aug 2026WLTHBought
21 Aug 2026VZLABought
21 Aug 2026VGNTBought
21 Aug 2026USAUBought
21 Aug 2026UNBBought
21 Aug 2026ULHBought
21 Aug 2026TVGNBought
21 Aug 2026TUBought
21 Aug 2026TSEMBought
21 Aug 2026TRIBought
21 Aug 2026TRAXBought
21 Aug 2026TMEBought
21 Aug 2026TLSIBought
21 Aug 2026TEMBought
21 Aug 2026TALBought
21 Aug 2026STAABought
21 Aug 2026SRBKBought
21 Aug 2026SNWVBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZNTLSold
21 Aug 2026WIXSold
21 Aug 2026UAMYSold
21 Aug 2026TRVISold
21 Aug 2026TCPCSold
21 Aug 2026SVMSold
21 Aug 2026STROSold
21 Aug 2026SRISold
21 Aug 2026RLXSold
21 Aug 2026RCATSold
21 Aug 2026PPTASold
21 Aug 2026NICESold
21 Aug 2026NBSold
21 Aug 2026MIAXSold
21 Aug 2026MAMASold
21 Aug 2026KRMNSold
21 Aug 2026JCAPSold
21 Aug 2026HROWSold
21 Aug 2026FIGSold
21 Aug 2026EYPTSold
21 Aug 2026DSGRSold
21 Aug 2026CRBUSold
21 Aug 2026ATHMSold
21 Aug 2026AFCGSold
21 Aug 2026ADSold

Dated at the rebalance that made the change.

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