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Funds (13F)

Citadel Advisors LLC

Backtest from 14 Feb 2014 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+5.7%
S&P 500 +13.7%
Last 12 months
+18.1%
S&P 500 +12.1%
Sharpe ratio
0.26
S&P 500 0.68
Biggest drop
−46.4%
S&P 500 −31.8%
$5.0k$10.0k$20.0k$40.0k 2014201620182020202220242026 $50.9k$20.1k
Citadel Advisors LLCS&P 500 $10,000 in Citadel Advisors LLC from 14 Feb 2014 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Citadel Advisors 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.

Citadel Advisors LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+5.7%+13.7%
Total return+101%+409%
Last 12 months+18.1%+12.1%
Last 3 months+0.9%—
Last month+0.4%—
This year so far+13.5%—
Volatility a year19.0%16.4%
Sharpe ratio0.260.68
Biggest drop−46.4%−31.8%
Beta to the S&P 5000.891.00
Alpha a year (t-statistic)−5.0% (−1.50)—
Share of weeks up45%—

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
AMZN1.8%——
NVDA1.6%——
AAPL1.5%——
MSFT1.0%——
LLY0.8%——
AVGO0.8%——
GOOGL0.7%——
BLK0.7%——
AMD0.6%——
SPCX0.6%——
ABBV0.6%——
AMAT0.5%——
ABT0.5%——
KLAC0.5%——
HWM0.5%——
MA0.5%——
STX0.5%——
JPM0.5%——
ORCL0.5%——
MU0.5%——
ORLY0.5%——
KO0.4%——
NFLX0.4%——
META0.4%——
WMT0.4%——
LRCX0.4%——
TXN0.4%——
UAL0.4%——
INTC0.4%——
CVX0.4%——
WFC0.4%——
KDP0.4%——
MDLZ0.4%——
HD0.4%——
PPL0.4%——
TSLA0.4%——
PANW0.3%——
SNOW0.3%——
NSC0.3%——
CVS0.3%——
WCN0.3%——
COST0.3%——
ANET0.3%——
PWR0.3%——
SPGI0.3%——
TTWO0.3%——
XYZ0.3%——
UNH0.3%——
GILD0.3%——
NOW0.3%——
PG0.3%——
MDT0.3%——
CL0.3%——
WDC0.3%——
COF0.3%——
L0.3%——
ONC0.3%——
SYY0.3%——
ABNB0.3%——
STZ0.3%——
COR0.3%——
JNJ0.3%——
CAT0.3%——
ASML0.3%——
ICE0.3%——
DDOG0.3%——
DVN0.3%——
SSNC0.3%——
FTNT0.3%——
RTX0.3%——
EW0.3%——
PEG0.3%——
SHW0.3%——
FDX0.2%——
ELV0.2%——
MCK0.2%——
ECHO0.2%——
CBRE0.2%——
LMT0.2%——
CSCO0.2%——
HPE0.2%——
YUM0.2%——
CME0.2%——
THC0.2%——
TRU0.2%——
SCHW0.2%——
MKSI0.2%——
TT0.2%——
DLTR0.2%——
SJM0.2%——
SHEL0.2%——
ZBH0.2%——
ATO0.2%——
DINO0.2%——
ECL0.2%——
NOC0.2%——
STM0.2%——
TMO0.2%——
OKTA0.2%——
MMM0.2%——
BBIO0.2%——
PH0.2%——
COO0.2%——
DOCN0.2%——
CBRS0.2%——
ODFL0.2%——
NVT0.2%——
INSM0.2%——
GLPI0.2%——
MDGL0.2%——
CRL0.2%——
AME0.2%——
V0.2%——
QCOM0.2%——
PR0.2%——
CSX0.2%——
SPOT0.2%——
VRSK0.2%——
CMG0.2%——
EHC0.2%——
BPOP0.2%——
PTC0.2%——
MSCI0.2%——
TJX0.2%——
DUK0.2%——
AMGN0.2%——
VRTX0.2%——
ETR0.2%——
BBY0.2%——
ROKU0.2%——
ONON0.2%——
MAIR0.2%——
TSM0.2%——
MRK0.2%——
USB0.2%——
HSIC0.2%——
JAZZ0.2%——
GS0.2%——
ELAN0.2%——
PINS0.2%——
C0.2%——
RSG0.2%——
SHOP0.2%——
KKR0.2%——
GWW0.2%——
CCI0.2%——
MANE0.2%——
PSX0.2%——
EXR0.2%——
ZTS0.2%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest14 Feb 2014 to 2 Nov 2026+5.7%+13.7%0.260.68−46.4%0.89−5.0% (−1.50)
2018 onwards5 Jan 2018 to 2 Nov 2026+12.5%+13.9%0.500.58−37.8%0.98−0.7% (−0.26)
Last three years3 Nov 2023 to 2 Nov 2026+20.6%+21.8%1.061.16−17.9%0.94+0.1% (0.03)
Last year7 Nov 2025 to 2 Nov 2026+19.3%+14.2%1.200.84−7.9%0.85+5.8% (0.93)
DateCompanyAction
21 Aug 2026ZTGBought
21 Aug 2026ZIPBought
21 Aug 2026ZGNBought
21 Aug 2026ZDGEBought
21 Aug 2026ZBAOBought
21 Aug 2026YSWYBought
21 Aug 2026YMTBought
21 Aug 2026YIBought
21 Aug 2026YELPBought
21 Aug 2026YBBought
21 Aug 2026XWELBought
21 Aug 2026XRXBought
21 Aug 2026XRTXBought
21 Aug 2026XPERBought
21 Aug 2026XMTRBought
21 Aug 2026XMAXBought
21 Aug 2026XLOBought
21 Aug 2026XEBought
21 Aug 2026XCURBought
21 Aug 2026XBITBought
21 Aug 2026WVVIBought
21 Aug 2026WTBought
21 Aug 2026WSEBought
21 Aug 2026WLDSBought
21 Aug 2026WINGBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026WUSold
21 Aug 2026WTFCSold
21 Aug 2026WSCSold
21 Aug 2026WSBCSold
21 Aug 2026WOOFSold
21 Aug 2026WLDNSold
21 Aug 2026WKSPSold
21 Aug 2026WINASold
21 Aug 2026VYXSold
21 Aug 2026VVXSold
21 Aug 2026VTMXSold
21 Aug 2026VNOMSold
21 Aug 2026VNOSold
21 Aug 2026VLGEASold
21 Aug 2026VIKSold
21 Aug 2026VERASold
21 Aug 2026VCYTSold
21 Aug 2026VCTRSold
21 Aug 2026VBNKSold
21 Aug 2026VALESold
21 Aug 2026UVSPSold
21 Aug 2026UTISold
21 Aug 2026USFDSold
21 Aug 2026USEASold
21 Aug 2026URGSold

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