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Funds (13F)

Graham Capital Management, L.P.

Backtest from 9 Aug 2013 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+16.6%
S&P 500 +13.9%
Last 12 months
+13.3%
S&P 500 +12.1%
Sharpe ratio
0.74
S&P 500 0.77
Biggest drop
−36.9%
S&P 500 −31.8%
$10.0k$20.0k$40.0k$80.0k 2013201520172019202120232025 $76.7k$55.9k
StrategyS&P 500 $10,000 in Graham Capital Management, L.P. from 9 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 Graham Capital Management, L.P.'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.

Graham Capital Management, L.P.'s 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+16.6%+13.9%
Total return+667%+459%
Last 12 months+13.3%+12.1%
Last 3 months−3.4%—
Last month−3.2%—
This year so far+9.1%—
Volatility a year21.0%16.0%
Sharpe ratio0.740.77
Biggest drop−36.9%−31.8%
Beta to the S&P 5001.101.00
Alpha a year (t-statistic)+2.1% (0.67)—
Share of weeks up57%—

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
NVDA3.9%——
AMZN3.5%——
C2.3%——
KEEL1.8%——
CIFR1.8%——
EMBJ1.5%——
META1.3%——
MU1.2%——
TVTX1.2%——
XYZ1.1%——
INTC1.1%——
FSLR1.1%——
BA1.1%——
PANW1.1%——
KO1.0%——
EOSE1.0%——
AVGO0.9%——
CME0.9%——
COST0.7%——
OKTA0.7%——
SHW0.7%——
IEX0.6%——
NET0.6%——
LOW0.6%——
CBRS0.6%——
MDB0.5%——
HD0.5%——
NI0.5%——
MA0.5%——
HLT0.5%——
RTX0.5%——
FTV0.5%——
ENPH0.5%——
OPEN0.5%——
GE0.5%——
NVT0.5%——
FDX0.4%——
JBHT0.4%——
HWM0.4%——
DT0.4%——
FAST0.4%——
MSFT0.4%——
AOS0.4%——
CAT0.4%——
TMUS0.4%——
TWLO0.4%——
TEM0.4%——
CGNX0.4%——
PSX0.4%——
TDG0.4%——
DDOG0.4%——
JCI0.4%——
CRM0.4%——
HST0.3%——
PH0.3%——
HAS0.3%——
ADC0.3%——
FIX0.3%——
GOLD0.3%——
DLTR0.3%——
MAS0.3%——
PWR0.3%——
NTRA0.3%——
AGNC0.3%——
APH0.3%——
PNW0.3%——
ABNB0.3%——
PG0.3%——
BRX0.3%——
UL0.3%——
ADP0.3%——
FE0.3%——
WMT0.3%——
GD0.3%——
SSNC0.3%——
CSX0.3%——
CL0.3%——
BBAI0.3%——
SGI0.3%——
GGG0.3%——
DX0.3%——
MET0.3%——
BURL0.3%——
FNB0.3%——
MDLZ0.3%——
RAL0.3%——
TPR0.3%——
SCHW0.3%——
V0.3%——
GOOGL0.3%——
PHM0.3%——
OLLI0.3%——
TOL0.3%——
MITK0.3%——
TKR0.3%——
PSA0.3%——
DG0.2%——
KIM0.2%——
REG0.2%——
CBRE0.2%——
SEI0.2%——
FHN0.2%——
LLY0.2%——
POOL0.2%——
AME0.2%——
SWK0.2%——
D0.2%——
COR0.2%——
GNTX0.2%——
KMI0.2%——
T0.2%——
STT0.2%——
RSG0.2%——
LSTR0.2%——
CMG0.2%——
TEX0.2%——
AS0.2%——
MNST0.2%——
CMS0.2%——
CAVA0.2%——
LMT0.2%——
DKS0.2%——
ZION0.2%——
VFC0.2%——
PAYX0.2%——
DY0.2%——
BNY0.2%——
KDP0.2%——
CCC0.2%——
CNQ0.2%——
DELL0.2%——
RF0.2%——
SO0.2%——
CRI0.2%——
PGR0.2%——
TE0.2%——
VRT0.2%——
KNX0.2%——
AIT0.2%——
EVRG0.2%——
OC0.2%——
KTB0.2%——
UBSI0.2%——
MCK0.2%——
NWSA0.2%——
BWA0.2%——
DLB0.2%——
SEIC0.2%——
MAR0.2%——
LRCX0.2%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest9 Aug 2013 to 2 Nov 2026+16.6%+13.9%0.740.77−36.9%1.10+2.1% (0.67)
2018 onwards5 Jan 2018 to 2 Nov 2026+20.7%+13.9%0.820.66−30.9%1.08+5.7% (1.49)
Last three years3 Nov 2023 to 2 Nov 2026+22.6%+21.8%1.111.16−19.2%0.99+1.0% (0.25)
Last year7 Nov 2025 to 2 Nov 2026+14.3%+14.2%0.800.84−8.6%0.92+1.1% (0.16)
DateCompanyAction
21 Aug 2026ZVRABought
21 Aug 2026ZIPBought
21 Aug 2026ZGNBought
21 Aug 2026ZBought
21 Aug 2026XYLBought
21 Aug 2026XPOFBought
21 Aug 2026WYFIBought
21 Aug 2026WTTRBought
21 Aug 2026WTIBought
21 Aug 2026WSTBought
21 Aug 2026WSCBought
21 Aug 2026WPPBought
21 Aug 2026WOLFBought
21 Aug 2026WLKBought
21 Aug 2026WECBought
21 Aug 2026WDFCBought
21 Aug 2026WCCBought
21 Aug 2026VYXBought
21 Aug 2026VVXBought
21 Aug 2026VVVBought
21 Aug 2026VTEXBought
21 Aug 2026VSTBought
21 Aug 2026VKTXBought
21 Aug 2026VIRTBought
21 Aug 2026VIAVBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZMSold
21 Aug 2026WWDSold
21 Aug 2026WTSSold
21 Aug 2026WTSold
21 Aug 2026WPMSold
21 Aug 2026WPCSold
21 Aug 2026WMBSold
21 Aug 2026WHSold
21 Aug 2026WENSold
21 Aug 2026WEAVSold
21 Aug 2026WAYSold
21 Aug 2026VZSold
21 Aug 2026VTSSold
21 Aug 2026VTRSSold
21 Aug 2026VOYGSold
21 Aug 2026VODSold
21 Aug 2026VIRSold
21 Aug 2026VCYTSold
21 Aug 2026VALESold
21 Aug 2026UUUUSold
21 Aug 2026UTHRSold
21 Aug 2026USARSold
21 Aug 2026UPSTSold
21 Aug 2026UPSSold
21 Aug 2026UMCSold

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