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Funds (13F)

Gotham Asset Management, LLC

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

Watch this strategy
Return a year
+13.6%
S&P 500 +14.1%
Last 12 months
+17.7%
S&P 500 +12.1%
Sharpe ratio
0.71
S&P 500 0.78
Biggest drop
−34.5%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $57.0k$53.6k
Gotham Asset Management, LLCS&P 500 $10,000 in Gotham Asset Management, LLC 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 Gotham Asset Management, 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.

Gotham Asset Management, LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+13.6%+14.1%
Total return+436%+470%
Last 12 months+17.7%+12.1%
Last 3 months+1.5%—
Last month+1.8%—
This year so far+14.8%—
Volatility a year17.4%16.0%
Sharpe ratio0.710.78
Biggest drop−34.5%−31.8%
Beta to the S&P 5001.041.00
Alpha a year (t-statistic)−0.8% (−0.56)—
Share of weeks up58%—

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
AAPL2.8%——
NVDA2.7%——
SNOW0.9%——
AMZN0.7%——
GOOGL0.7%——
MU0.5%——
SNDK0.5%——
IRDM0.5%——
ABNB0.5%——
DELL0.5%——
AVGO0.4%——
MSFT0.4%——
LRCX0.4%——
CAT0.4%——
GEN0.4%——
EXPE0.4%——
WDC0.4%——
HPE0.4%——
NEU0.3%——
CRL0.3%——
AMAT0.3%——
EXE0.3%——
FTI0.3%——
TSLA0.3%——
TPR0.3%——
NVT0.3%——
FIX0.3%——
HUM0.3%——
KLAC0.3%——
NEM0.3%——
JBL0.3%——
NDSN0.3%——
INCY0.3%——
APA0.3%——
META0.3%——
CSCO0.3%——
SNX0.3%——
GIS0.3%——
BRO0.3%——
R0.3%——
DAL0.3%——
APP0.3%——
AMD0.3%——
SCCO0.3%——
VNO0.3%——
MKSI0.3%——
RL0.3%——
CF0.3%——
FDS0.3%——
PAYX0.3%——
DD0.3%——
BKNG0.3%——
BBY0.3%——
TNL0.3%——
WSM0.2%——
HIW0.2%——
VRT0.2%——
ROP0.2%——
AMKR0.2%——
TMO0.2%——
GD0.2%——
ASTS0.2%——
VTRS0.2%——
NTAP0.2%——
ADP0.2%——
PLNT0.2%——
MRK0.2%——
VLO0.2%——
TKR0.2%——
LFUS0.2%——
FFIV0.2%——
PYPL0.2%——
ESI0.2%——
ON0.2%——
VRSK0.2%——
REGN0.2%——
EVRG0.2%——
VTR0.2%——
WFRD0.2%——
HST0.2%——
CRS0.2%——
OC0.2%——
M0.2%——
SSNC0.2%——
MAA0.2%——
GDDY0.2%——
BWA0.2%——
MTZ0.2%——
DTM0.2%——
DDS0.2%——
ILMN0.2%——
NBIX0.2%——
MLI0.2%——
STE0.2%——
DBX0.2%——
DUK0.2%——
EME0.2%——
BIIB0.2%——
CMI0.2%——
BYD0.2%——
GM0.2%——
REYN0.2%——
CAH0.2%——
CW0.2%——
JCI0.2%——
LULU0.2%——
DLTR0.2%——
CHRW0.2%——
DCI0.2%——
PLTR0.2%——
SOLV0.2%——
HWM0.2%——
ULTA0.2%——
MO0.2%——
JBHT0.2%——
DASH0.2%——
LSTR0.2%——
CHDN0.2%——
MCK0.2%——
HALO0.2%——
HAS0.2%——
AFL0.2%——
BDX0.2%——
PINS0.2%——
CIEN0.2%——
WTRG0.2%——
AVY0.2%——
SGI0.2%——
MKC0.2%——
TDC0.2%——
MDT0.2%——
XYL0.2%——
GNRC0.2%——
ECL0.2%——
ORI0.2%——
USFD0.2%——
HR0.2%——
DLR0.2%——
KO0.2%——
VRSN0.2%——
MSGS0.2%——
ATI0.2%——
YETI0.2%——
FLO0.2%——
AJG0.2%——
TER0.2%——
ST0.2%——
TDG0.2%——
KRC0.2%——
RRX0.2%——

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+13.6%+14.1%0.710.78−34.5%1.04−0.8% (−0.56)
2018 onwards5 Jan 2018 to 2 Nov 2026+12.9%+13.9%0.580.66−34.5%1.03−1.0% (−0.57)
Last three years3 Nov 2023 to 2 Nov 2026+20.9%+21.8%1.111.16−17.6%0.91+0.8% (0.22)
Last year7 Nov 2025 to 2 Nov 2026+19.1%+14.2%1.300.84−7.0%0.72+6.9% (1.02)
DateCompanyAction
21 Aug 2026YSSBought
21 Aug 2026XRXBought
21 Aug 2026WESTBought
21 Aug 2026VVVBought
21 Aug 2026VSTSBought
21 Aug 2026VSHBought
21 Aug 2026VIAVBought
21 Aug 2026UVVBought
21 Aug 2026UUUUBought
21 Aug 2026UTZBought
21 Aug 2026UNMBought
21 Aug 2026ULCCBought
21 Aug 2026TXRHBought
21 Aug 2026TWSTBought
21 Aug 2026TTAMBought
21 Aug 2026TRIBought
21 Aug 2026TENBBought
21 Aug 2026SXCBought
21 Aug 2026SWBIBought
21 Aug 2026SUPNBought
21 Aug 2026SLSBought
21 Aug 2026SEPNBought
21 Aug 2026SCHLBought
21 Aug 2026SANMBought
21 Aug 2026SAILBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZETASold
21 Aug 2026ZSold
21 Aug 2026XZOSold
21 Aug 2026WLDNSold
21 Aug 2026WKCSold
21 Aug 2026WHDSold
21 Aug 2026VGSold
21 Aug 2026USASSold
21 Aug 2026URBNSold
21 Aug 2026UFPTSold
21 Aug 2026UECSold
21 Aug 2026TXNMSold
21 Aug 2026TRXSold
21 Aug 2026TRUPSold
21 Aug 2026TRNOSold
21 Aug 2026TRIPSold
21 Aug 2026TPBSold
21 Aug 2026TNGXSold
21 Aug 2026TMDXSold
21 Aug 2026TBLASold
21 Aug 2026SYMSold
21 Aug 2026SRPTSold
21 Aug 2026SMTCSold
21 Aug 2026SMPLSold
21 Aug 2026SLDPSold

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