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Funds (13F)

Davidson Kempner Capital Management LP

Backtest from 22 May 2015 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+11.1%
S&P 500 +13.6%
Last 12 months
−21.7%
S&P 500 +12.1%
Sharpe ratio
0.55
S&P 500 0.69
Biggest drop
−29.1%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 201520172019202120232025 $42.9k$33.3k
StrategyS&P 500 $10,000 in Davidson Kempner Capital Management LP from 22 May 2015 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Davidson Kempner 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.

Davidson Kempner Capital Management LP's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+11.1%+13.6%
Total return+233%+329%
Last 12 months−21.7%+12.1%
Last 3 months−6.9%—
Last month−4.8%—
This year so far−6.9%—
Volatility a year16.8%16.5%
Sharpe ratio0.550.69
Biggest drop−29.1%−31.8%
Beta to the S&P 5000.141.00
Alpha a year (t-statistic)+7.7% (1.57)—
Share of weeks up28%—

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
SPCX6.3%——
ECHO6.2%——
ARKO5.8%——
CBRS2.3%——
TDS2.3%——
META2.2%——
TMUS2.0%——
MU2.0%——
CEG1.9%——
BA1.9%——
DHC1.9%——
STX1.8%——
VECO1.8%——
SGRY1.8%——
WAB1.7%——
CMCSA1.7%——
CRH1.6%——
BLCO1.6%——
ASML1.6%——
JCI1.6%——
DASH1.5%——
AME1.5%——
VSH1.5%——
BWXT1.4%——
CAH1.4%——
CVNA1.4%——
UNH1.3%——
ORCL1.3%——
CRWV1.2%——
AMZN1.2%——
T1.0%——
LIN1.0%——
NVDA0.9%——
SPOT0.9%——
GOOGL0.9%——
MIR0.9%——
CCI0.9%——
EW0.9%——
BKNG0.9%——
VSAT0.8%——
SNOW0.8%——
DVA0.8%——
ALOY0.8%——
NVRI0.8%——
QNT0.8%——
INVH0.8%——
NVT0.7%——
MGM0.7%——
CVS0.7%——
IEX0.7%——
UBER0.7%——
MSI0.7%——
HUM0.6%——
DKNG0.6%——
PH0.6%——
VISN0.6%——
UAMY0.6%——
JHX0.6%——
COR0.6%——
KOS0.5%——
AOMR0.5%——
FDX0.5%——
THC0.5%——
CHRW0.5%——
KBR0.5%——
CRML0.5%——
EHC0.5%——
Q0.4%——
MDLN0.4%——
MA0.4%——
FDXF0.4%——
FRPT0.4%——
XYZ0.4%——
TMDX0.3%——
RR0.3%——
TWLO0.3%——
APP0.3%——
KEX0.3%——
FRVO0.3%——
INIO0.3%——
W0.3%——
MDT0.3%——
SYK0.3%——
MCGA0.3%——
APG0.3%——
PKG0.3%——
SW0.3%——
CPRI0.3%——
MAIR0.2%——
DPC0.2%——
FUN0.2%——
UMAC0.2%——
RRX0.2%——
MNTS0.2%——
SEI0.2%——
HIMS0.2%——
AADX0.1%——
ARXS0.1%——
EQPT0.1%——
NVTS0.1%——
ELMT0.1%——
SHAZ0.1%——
HUMA0.1%——
ENHA0.1%——
XE0.1%——
DGXX0.1%——
KPTI0.1%——
AIRJ0.1%——
NUAI0.1%——
PBK0.1%——
VENU0.1%——
MSC0.1%——
LFTO0.0%——
AVLN0.0%——
HAWK0.0%——
LCLN0.0%——
QGEN0.0%——
EROK0.0%——
KEEL0.0%——
GRML0.0%——
DUKR0.0%——
AVEX0.0%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest22 May 2015 to 2 Nov 2026+11.1%+13.6%0.550.69−29.1%0.14+7.7% (1.57)
2018 onwards5 Jan 2018 to 2 Nov 2026+8.2%+13.9%0.360.64−29.1%0.13+4.8% (0.82)
Last three years3 Nov 2023 to 2 Nov 2026+13.2%+21.8%0.421.06−29.1%0.08+8.1% (0.67)
Last year7 Nov 2025 to 2 Nov 2026−10.0%+14.2%−0.630.61−25.0%0.25−12.4% (−0.84)
DateCompanyAction
21 Aug 2026XYZBought
21 Aug 2026XEBought
21 Aug 2026WABBought
21 Aug 2026WBought
21 Aug 2026VSHBought
21 Aug 2026VSATBought
21 Aug 2026VISNBought
21 Aug 2026VENUBought
21 Aug 2026VECOBought
21 Aug 2026UNHBought
21 Aug 2026UMACBought
21 Aug 2026UBERBought
21 Aug 2026UAMYBought
21 Aug 2026TWLOBought
21 Aug 2026TMUSBought
21 Aug 2026TMDXBought
21 Aug 2026THCBought
21 Aug 2026TDSBought
21 Aug 2026TBought
21 Aug 2026SYKBought
21 Aug 2026SWBought
21 Aug 2026STXBought
21 Aug 2026SPOTBought
21 Aug 2026SPCXBought
21 Aug 2026SNOWBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Nov 2025HPESold
15 Aug 2025ACISold
21 Feb 2025TXNMSold
16 Feb 2024TSEMSold

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