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Funds (13F)

Arrowstreet Capital, Limited Partnership

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

Watch this strategy
Return a year
+10.0%
S&P 500 +14.1%
Last 12 months
+12.0%
S&P 500 +12.1%
Sharpe ratio
0.55
S&P 500 0.78
Biggest drop
−36.8%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $57.0k$35.2k
StrategyS&P 500 $10,000 in Arrowstreet Capital, Limited Partnership 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 Arrowstreet Capital, Limited Partnership'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.

Arrowstreet Capital, Limited Partnership's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+10.0%+14.1%
Total return+252%+470%
Last 12 months+12.0%+12.1%
Last 3 months+1.0%—
Last month−1.6%—
This year so far+9.0%—
Volatility a year16.0%16.0%
Sharpe ratio0.550.78
Biggest drop−36.8%−31.8%
Beta to the S&P 5000.901.00
Alpha a year (t-statistic)−2.4% (−1.27)—
Share of weeks up42%—

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
MSFT4.9%——
AMZN4.5%——
AAPL4.1%——
NVDA3.3%——
GOOGL2.5%——
LRCX2.5%——
SNDK2.3%——
AVGO1.5%——
ASML1.4%——
PLTR1.1%——
CSCO1.1%——
MA1.0%——
APH1.0%——
CRM1.0%——
STX1.0%——
FTNT0.7%——
ISRG0.7%——
ARM0.7%——
SU0.7%——
KLAC0.7%——
ADBE0.7%——
TSM0.6%——
PGR0.6%——
ANET0.6%——
CMCSA0.6%——
TJX0.6%——
B0.6%——
UNH0.6%——
LITE0.6%——
MCK0.6%——
INTU0.6%——
MCD0.5%——
DIS0.5%——
SYK0.5%——
MDT0.5%——
AZN0.5%——
BSX0.5%——
ABT0.5%——
DHR0.5%——
TMUS0.5%——
LIN0.5%——
BAC0.5%——
BKNG0.4%——
AON0.4%——
HCA0.4%——
WFC0.4%——
UBS0.4%——
CB0.4%——
CIEN0.4%——
CI0.4%——
ORLY0.4%——
AMT0.4%——
EQIX0.3%——
GEV0.3%——
TRV0.3%——
CMG0.3%——
KEYS0.3%——
CME0.3%——
SCHW0.3%——
MRSH0.3%——
HLT0.3%——
PBR0.3%——
AZO0.3%——
MNST0.3%——
ADSK0.3%——
UNP0.3%——
ECL0.3%——
ROP0.3%——
T0.3%——
CNQ0.3%——
DDOG0.3%——
VLO0.3%——
IDXX0.3%——
CLS0.3%——
CDNS0.3%——
NSC0.3%——
TEL0.3%——
SHW0.3%——
SPGI0.3%——
CVS0.3%——
SHEL0.3%——
NOW0.2%——
EW0.2%——
ELV0.2%——
MRK0.2%——
MO0.2%——
TMO0.2%——
BMY0.2%——
MET0.2%——
PEP0.2%——
BNY0.2%——
VALE0.2%——
CNC0.2%——
CTAS0.2%——
DXCM0.2%——
PM0.2%——
FIX0.2%——
HD0.2%——
ACGL0.2%——
ALL0.2%——
PRU0.2%——
NTRA0.2%——
COST0.2%——
JPM0.2%——
MSCI0.2%——
FICO0.2%——
NVO0.2%——
LNG0.2%——
BDX0.2%——
NTR0.2%——
ITW0.2%——
VRTX0.2%——
AU0.2%——
CL0.2%——
JBL0.2%——
LVS0.2%——
MU0.2%——
GEN0.2%——
TTMI0.2%——
DG0.1%——
VRSN0.1%——
NU0.1%——
AEM0.1%——
THC0.1%——
ALLY0.1%——
HIG0.1%——
ICE0.1%——
INCY0.1%——
HST0.1%——
LLY0.1%——
TFC0.1%——
WMT0.1%——
COR0.1%——
JKHY0.1%——
COO0.1%——
JNJ0.1%——
ROK0.1%——
FDX0.1%——
ZBRA0.1%——
SBAC0.1%——
VOD0.1%——
WTW0.1%——
OVV0.1%——
DT0.1%——
PEN0.1%——
STM0.1%——
P0.1%——
GNRC0.1%——
GDDY0.1%——
ROST0.1%——

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+10.0%+14.1%0.550.78−36.8%0.90−2.4% (−1.27)
2018 onwards5 Jan 2018 to 2 Nov 2026+13.2%+13.9%0.590.66−36.8%1.06−1.1% (−0.78)
Last three years3 Nov 2023 to 2 Nov 2026+20.1%+21.8%1.031.16−17.5%0.99−1.2% (−0.50)
Last year7 Nov 2025 to 2 Nov 2026+13.9%+14.2%0.770.84−8.6%0.990.0% (0.00)
DateCompanyAction
14 Aug 2026ZVRABought
14 Aug 2026ZKHBought
14 Aug 2026ZBought
14 Aug 2026XRXBought
14 Aug 2026WULFBought
14 Aug 2026WSEBought
14 Aug 2026WPCBought
14 Aug 2026WLKBought
14 Aug 2026WEXBought
14 Aug 2026WELLBought
14 Aug 2026WDCBought
14 Aug 2026WAFDBought
14 Aug 2026VTEXBought
14 Aug 2026VSTSBought
14 Aug 2026VSHBought
14 Aug 2026VLNBought
14 Aug 2026VGNTBought
14 Aug 2026VFCBought
14 Aug 2026UTHRBought
14 Aug 2026UPBDBought
14 Aug 2026UMHBought
14 Aug 2026UMBFBought
14 Aug 2026UHALBought
14 Aug 2026UCBBought
14 Aug 2026TZOOBought

Dated at the rebalance that made the change.

DateCompanyAction
14 Aug 2026ZSSold
14 Aug 2026ZIMSold
14 Aug 2026YSGSold
14 Aug 2026YETISold
14 Aug 2026YELPSold
14 Aug 2026XRAYSold
14 Aug 2026WTISold
14 Aug 2026WSOSold
14 Aug 2026WSSold
14 Aug 2026WRBYSold
14 Aug 2026WPPSold
14 Aug 2026WOOFSold
14 Aug 2026WLYSold
14 Aug 2026WIXSold
14 Aug 2026WENSold
14 Aug 2026WABSold
14 Aug 2026WSold
14 Aug 2026VTSSold
14 Aug 2026VRRMSold
14 Aug 2026VITLSold
14 Aug 2026VFFSold
14 Aug 2026VACSold
14 Aug 2026USLMSold
14 Aug 2026USASSold
14 Aug 2026UMCSold

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