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Funds (13F)

Brevan Howard Capital Management LP

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

Watch this strategy
Return a year
+8.1%
S&P 500 +14.1%
Last 12 months
+11.4%
S&P 500 +12.1%
Sharpe ratio
0.37
S&P 500 0.78
Biggest drop
−41.9%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $57.0k$27.9k
StrategyS&P 500 $10,000 in Brevan Howard Capital Management LP 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 Brevan Howard Capital Management LP'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.

Brevan Howard Capital Management LP's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+8.1%+14.1%
Total return+179%+470%
Last 12 months+11.4%+12.1%
Last 3 months+2.1%—
Last month−2.6%—
This year so far+7.9%—
Volatility a year22.7%16.0%
Sharpe ratio0.370.78
Biggest drop−41.9%−31.8%
Beta to the S&P 5000.891.00
Alpha a year (t-statistic)−2.7% (−0.56)—
Share of weeks up56%—

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
AAPL3.4%——
MSFT3.1%——
NVDA2.6%——
AMD2.5%——
LLY1.8%——
AMZN1.6%——
CVX1.3%——
SNDK1.1%——
BE1.1%——
MU0.9%——
TSLA0.9%——
GS0.7%——
NB0.7%——
TMUS0.6%——
WMT0.6%——
ABBV0.6%——
C0.6%——
HOOD0.5%——
STRL0.5%——
BAC0.5%——
MKSI0.5%——
CRS0.5%——
META0.5%——
CAH0.5%——
CME0.5%——
MTSI0.5%——
CRDO0.5%——
FLG0.5%——
ATI0.5%——
GOOGL0.5%——
WWD0.4%——
COST0.4%——
AVGO0.4%——
NVT0.4%——
CVBF0.4%——
ROIV0.4%——
RKT0.3%——
BABA0.3%——
NSC0.3%——
CRM0.3%——
NFLX0.3%——
BPOP0.3%——
ALAB0.3%——
JNJ0.3%——
COP0.3%——
ETN0.3%——
GILD0.3%——
AMKR0.3%——
SCHW0.3%——
HLT0.3%——
KVUE0.3%——
WFC0.3%——
MRNA0.3%——
WTFC0.3%——
AX0.3%——
ECHO0.2%——
PLTR0.2%——
BBIO0.2%——
PWR0.2%——
BNY0.2%——
DELL0.2%——
BFH0.2%——
OFG0.2%——
RL0.2%——
SPCX0.2%——
MA0.2%——
FDX0.2%——
HUT0.2%——
VNET0.2%——
CCJ0.2%——
COIN0.2%——
COLB0.2%——
UCTT0.2%——
CARR0.2%——
NTRA0.2%——
BBT0.2%——
SYY0.2%——
BMY0.2%——
MTZ0.2%——
PYPL0.2%——
NXT0.2%——
SNX0.2%——
ORLY0.2%——
JPM0.2%——
VRTX0.2%——
GDS0.2%——
PH0.2%——
CDE0.2%——
QCOM0.2%——
GE0.2%——
WMB0.2%——
TSM0.2%——
INTC0.2%——
FERG0.2%——
ISRG0.2%——
MOD0.2%——
HIG0.2%——
CCB0.2%——
PPTA0.2%——
MPWR0.2%——
UNM0.2%——
FANG0.2%——
UNH0.2%——
PL0.2%——
AXSM0.2%——
CCL0.1%——
PATH0.1%——
MCD0.1%——
TJX0.1%——
CNC0.1%——
SFBS0.1%——
CIEN0.1%——
SNPS0.1%——
BANC0.1%——
EXE0.1%——
GM0.1%——
DFTX0.1%——
ENSG0.1%——
FCX0.1%——
CAT0.1%——
AMAT0.1%——
LRCX0.1%——
SJM0.1%——
PG0.1%——
AIG0.1%——
SHW0.1%——
AMGN0.1%——
SNDX0.1%——
FIS0.1%——
NBHC0.1%——
ARI0.1%——
HII0.1%——
ADBE0.1%——
COF0.1%——
MRK0.1%——
ARMK0.1%——
ROL0.1%——
DIS0.1%——
SWK0.1%——
CPRT0.1%——
ELV0.1%——
DHR0.1%——
SPXC0.1%——
NTNX0.1%——
TTWO0.1%——
FTNT0.1%——
UBER0.1%——
GLW0.1%——
NRG0.1%——
SEIC0.1%——

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+8.1%+14.1%0.370.78−41.9%0.89−2.7% (−0.56)
2018 onwards5 Jan 2018 to 2 Nov 2026+5.7%+13.9%0.240.66−41.9%0.88−4.7% (−0.75)
Last three years3 Nov 2023 to 2 Nov 2026+19.4%+21.8%0.881.16−20.4%1.06−2.6% (−0.60)
Last year7 Nov 2025 to 2 Nov 2026+12.9%+14.2%0.630.84−8.9%1.10−1.8% (−0.28)
DateCompanyAction
21 Aug 2026ZYMEBought
21 Aug 2026ZBIOBought
21 Aug 2026ZBought
21 Aug 2026YUMBought
21 Aug 2026XPERBought
21 Aug 2026WYYBought
21 Aug 2026WYNNBought
21 Aug 2026WTSBought
21 Aug 2026WSMBought
21 Aug 2026WSEBought
21 Aug 2026WSCBought
21 Aug 2026WSBought
21 Aug 2026WMKBought
21 Aug 2026WLKBought
21 Aug 2026WLFCBought
21 Aug 2026WIXBought
21 Aug 2026WHKBought
21 Aug 2026WHBought
21 Aug 2026WFGBought
21 Aug 2026WDFCBought
21 Aug 2026WBought
21 Aug 2026VVVBought
21 Aug 2026VTOLBought
21 Aug 2026VRSKBought
21 Aug 2026VREXBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZURASold
21 Aug 2026ZNTLSold
21 Aug 2026ZBRASold
21 Aug 2026YUMCSold
21 Aug 2026YMMSold
21 Aug 2026YEXTSold
21 Aug 2026XYLSold
21 Aug 2026XRXSold
21 Aug 2026XMAXSold
21 Aug 2026XFORSold
21 Aug 2026WWWSold
21 Aug 2026WSFSSold
21 Aug 2026WPMSold
21 Aug 2026WKSold
21 Aug 2026WHWKSold
21 Aug 2026WERNSold
21 Aug 2026WBTNSold
21 Aug 2026WBISold
21 Aug 2026VZLASold
21 Aug 2026VYGRSold
21 Aug 2026VTVTSold
21 Aug 2026VSTSSold
21 Aug 2026VSNTSold
21 Aug 2026VORSold
21 Aug 2026VMISold

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