undamentalytics Newsletter
Sign in

Funds (13F)

Capula Management Ltd

Backtest from 28 Apr 2017 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+16.4%
S&P 500 +14.7%
Last 12 months
−6.8%
S&P 500 +12.1%
Sharpe ratio
0.66
S&P 500 0.63
Biggest drop
−38.0%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 20172019202120232025 $42.4k$36.8k
Capula Management LtdS&P 500 $10,000 in Capula Management Ltd from 28 Apr 2017 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Capula Management Ltd'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.

Capula Management Ltd's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+16.4%+14.7%
Total return+324%+268%
Last 12 months−6.8%+12.1%
Last 3 months−2.2%—
Last month−5.1%—
This year so far−0.7%—
Volatility a year20.4%18.8%
Sharpe ratio0.660.63
Biggest drop−38.0%−31.8%
Beta to the S&P 5000.801.00
Alpha a year (t-statistic)+4.0% (0.93)—
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
BABA9.3%——
BA6.0%——
WDC5.2%——
UBER4.6%——
INTC4.3%——
PDD4.3%——
WMT4.1%——
AVGO3.4%——
TSLA3.3%——
AMGN3.2%——
LIN3.0%——
CRDO2.8%——
MSTR2.5%——
QCOM2.3%——
KLAC2.0%——
NKE1.9%——
ADI1.7%——
ULTA1.7%——
KVUE1.7%——
AAOI1.6%——
SOFI1.6%——
AES1.5%——
ECHO1.5%——
PYPL1.5%——
AXON1.3%——
OGN1.2%——
NVDA1.1%——
VAL1.1%——
GEV1.0%——
ANET1.0%——
VRT1.0%——
HLT1.0%——
UPS0.9%——
MAR0.8%——
PEN0.8%——
NSC0.7%——
CEG0.7%——
COIN0.7%——
CDNS0.6%——
CLS0.6%——
IBM0.5%——
TXNM0.5%——
ZS0.5%——
LULU0.5%——
PLTR0.5%——
AAUC0.5%——
CZR0.5%——
BMNR0.5%——
UNF0.4%——
BKNG0.4%——
TECH0.3%——
HON0.3%——
MSFT0.3%——
AMZN0.2%——
NWSA0.2%——
FERG0.2%——
META0.2%——
AAPL0.2%——
ROKU0.2%——
LBTYK0.2%——
BAC0.2%——
RYAAY0.1%——
UAA0.1%——
LEN0.1%——
JHX0.1%——
GOOGL0.1%——
PFE0.1%——
ALNY0.1%——
NET0.1%——
BE0.1%——
AMKR0.1%——
RDDT0.1%——
SHOP0.1%——
BNY0.1%——
AFRM0.1%——
IOT0.1%——
IMXI0.1%——
CASY0.1%——
Z0.1%——
BAM0.1%——
COST0.1%——
KMT0.0%——
ALAB0.0%——
STRL0.0%——
NVT0.0%——
CRS0.0%——
NFLX0.0%——
GS0.0%——
ATI0.0%——
MTSI0.0%——
QGEN0.0%——
ASX0.0%——
MCD0.0%——
ABBV0.0%——
SCHW0.0%——
CPNG0.0%——
LLY0.0%——
MU0.0%——
CRWV0.0%——
NEE0.0%——
BSX0.0%——
TJX0.0%——
FIG0.0%——
C0.0%——
SNDK0.0%——
YUMC0.0%——
BIDU0.0%——
RACE0.0%——
SHEL0.0%——
EXC0.0%——
ORLY0.0%——
AOS0.0%——
CFG0.0%——
T0.0%——
LOW0.0%——
MA0.0%——
ALLE0.0%——
JPM0.0%——
TENB0.0%——
ASML0.0%——
CVX0.0%——
TCOM0.0%——
PH0.0%——
HWM0.0%——
CNA0.0%——
TTMI0.0%——
LNG0.0%——
PLD0.0%——
GE0.0%——
RCL0.0%——
RL0.0%——
USB0.0%——
CCJ0.0%——
PG0.0%——
RMD0.0%——
V0.0%——
PNR0.0%——
HD0.0%——
FN0.0%——
BEKE0.0%——
PWR0.0%——
KO0.0%——
EVRG0.0%——
DE0.0%——
VRTX0.0%——
GD0.0%——
IONQ0.0%——
NTES0.0%——
UBS0.0%——
THC0.0%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest28 Apr 2017 to 2 Nov 2026+16.4%+14.7%0.660.63−38.0%0.80+4.0% (0.93)
2018 onwards5 Jan 2018 to 2 Nov 2026+17.8%+13.9%0.690.58−38.0%0.80+5.6% (1.20)
Last three years3 Nov 2023 to 2 Nov 2026+22.3%+21.8%0.761.16−27.3%1.48−5.4% (−0.71)
Last year7 Nov 2025 to 2 Nov 2026−4.5%+14.2%−0.350.84−16.8%1.16−18.1% (−1.40)
DateCompanyAction
21 Aug 2026ZSBought
21 Aug 2026XPEVBought
21 Aug 2026WDCBought
21 Aug 2026VZBought
21 Aug 2026VRTBought
21 Aug 2026USBBought
21 Aug 2026UNFBought
21 Aug 2026ULTABought
21 Aug 2026UBSBought
21 Aug 2026TTMIBought
21 Aug 2026TOLBought
21 Aug 2026TECHBought
21 Aug 2026TBought
21 Aug 2026STXBought
21 Aug 2026STRLBought
21 Aug 2026SOFIBought
21 Aug 2026SNOWBought
21 Aug 2026SHELBought
21 Aug 2026RYAAYBought
21 Aug 2026RLBought
21 Aug 2026RIGBought
21 Aug 2026OGNBought
21 Aug 2026NXTBought
21 Aug 2026NVTBought
21 Aug 2026NIOBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZTSSold
21 Aug 2026ZMSold
21 Aug 2026ZIMSold
21 Aug 2026YUMSold
21 Aug 2026XYLSold
21 Aug 2026XELSold
21 Aug 2026WTWSold
21 Aug 2026WTMSold
21 Aug 2026WMBSold
21 Aug 2026WMSold
21 Aug 2026WFCSold
21 Aug 2026WELLSold
21 Aug 2026WABSold
21 Aug 2026VSECSold
21 Aug 2026UPWKSold
21 Aug 2026UDRSold
21 Aug 2026TXNSold
21 Aug 2026TTWOSold
21 Aug 2026TTSold
21 Aug 2026TSMSold
21 Aug 2026TMUSSold
21 Aug 2026TFCSold
21 Aug 2026TELSold
21 Aug 2026TDGSold
21 Aug 2026STTSold

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