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Funds (13F)

Grantham, Mayo, Van Otterloo & Co. LLC

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

Watch this strategy
Return a year
+14.3%
S&P 500 +14.1%
Last 12 months
+16.6%
S&P 500 +12.1%
Sharpe ratio
0.78
S&P 500 0.78
Biggest drop
−32.2%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $58.2k$57.0k
StrategyS&P 500 $10,000 in Grantham, Mayo, Van Otterloo & Co. 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 Grantham, Mayo, Van Otterloo & Co. 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.

Grantham, Mayo, Van Otterloo & Co. LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+14.3%+14.1%
Total return+482%+470%
Last 12 months+16.6%+12.1%
Last 3 months+2.7%—
Last month−0.7%—
This year so far+12.3%—
Volatility a year16.2%16.0%
Sharpe ratio0.780.78
Biggest drop−32.2%−31.8%
Beta to the S&P 5000.981.00
Alpha a year (t-statistic)+0.4% (0.38)—
Share of weeks up59%—

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
MSFT5.9%——
LRCX5.5%——
GOOGL5.1%——
AAPL4.6%——
META4.5%——
JNJ4.2%——
AMZN3.4%——
TXN3.3%——
TMO3.2%——
AVGO2.9%——
KLAC2.8%——
UNH2.7%——
V2.7%——
NVDA2.2%——
MA2.2%——
USB2.1%——
LLY2.1%——
MRK2.0%——
ABT1.9%——
NFLX1.7%——
CI1.7%——
CRM1.6%——
KO1.6%——
ELV1.5%——
TJX1.3%——
STZ1.3%——
UBER1.3%——
ACN1.2%——
ISRG1.1%——
HLT1.1%——
SNPS1.0%——
DGX0.9%——
ASML0.7%——
TD0.5%——
GSK0.4%——
ARMK0.4%——
TSM0.4%——
PM0.3%——
PG0.3%——
VOD0.3%——
DAR0.3%——
ALB0.3%——
BNS0.3%——
RUN0.3%——
GE0.2%——
MGA0.2%——
ARRY0.2%——
SEDG0.2%——
NXE0.2%——
UBS0.1%——
C0.1%——
ROP0.1%——
VZ0.1%——
GPRE0.1%——
COP0.1%——
BAC0.1%——
STM0.1%——
AMRC0.1%——
CVS0.1%——
MFC0.1%——
PFE0.1%——
SLF0.1%——
PSMT0.1%——
ALL0.1%——
ONTO0.1%——
UPS0.1%——
CRC0.1%——
TGT0.1%——
GM0.1%——
CNH0.1%——
COF0.1%——
REGN0.1%——
AGCO0.1%——
NUE0.1%——
ITRI0.1%——
JKHY0.1%——
NWE0.1%——
QCOM0.1%——
HPE0.1%——
CMCSA0.1%——
F0.1%——
DAL0.1%——
CLH0.1%——
UL0.1%——
TXNM0.1%——
DHI0.1%——
NSC0.1%——
CTVA0.1%——
CRUS0.1%——
NXT0.1%——
WTRG0.1%——
KVUE0.1%——
OTEX0.1%——
BCPC0.1%——
PYPL0.1%——
INCY0.1%——
ATR0.1%——
SYF0.1%——
FSLR0.1%——
TROW0.1%——
TREX0.1%——
EBAY0.1%——
BBY0.1%——
AES0.1%——
WMS0.1%——
BMI0.1%——
PHM0.1%——
TEL0.1%——
UAL0.1%——
GIS0.1%——
FCX0.1%——
AAON0.1%——
PTC0.1%——
GMED0.1%——
STT0.1%——
EOG0.1%——
JPM0.1%——
HPQ0.1%——
AXP0.1%——
STLA0.1%——
SLAB0.1%——
OLLI0.1%——
ZM0.1%——
BTI0.1%——
MOS0.1%——
NYT0.1%——
LEN0.1%——
CNS0.1%——
AAUC0.1%——
NATL0.1%——
FCN0.1%——
EG0.1%——
KHC0.1%——
AA0.1%——
CTSH0.1%——
ACLS0.1%——
GEHC0.1%——
HMC0.1%——
GOLF0.1%——
KAI0.1%——
KOS0.1%——
LULU0.1%——
CARR0.1%——
VECO0.1%——
TXT0.1%——
BMY0.1%——
ADBE0.1%——
DE0.1%——
ALLE0.1%——
CRBG0.1%——

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+14.3%+14.1%0.780.78−32.2%0.98+0.4% (0.38)
2018 onwards5 Jan 2018 to 2 Nov 2026+13.4%+13.9%0.630.66−32.2%0.98−0.2% (−0.14)
Last three years3 Nov 2023 to 2 Nov 2026+17.7%+21.8%0.961.16−15.1%0.88−1.6% (−0.54)
Last year7 Nov 2025 to 2 Nov 2026+18.1%+14.2%1.130.84−10.2%0.89+4.4% (0.88)
DateCompanyAction
14 Aug 2026WSTBought
14 Aug 2026WGOBought
14 Aug 2026WDAYBought
14 Aug 2026WATBought
14 Aug 2026VSHBought
14 Aug 2026VREXBought
14 Aug 2026VEEVBought
14 Aug 2026UNMBought
14 Aug 2026TBLABought
14 Aug 2026TALOBought
14 Aug 2026STBought
14 Aug 2026SSNCBought
14 Aug 2026SPGBought
14 Aug 2026SPBBought
14 Aug 2026SITCBought
14 Aug 2026SHOBought
14 Aug 2026SENEABought
14 Aug 2026RHIBought
14 Aug 2026PUBMBought
14 Aug 2026PRIMBought
14 Aug 2026PMBought
14 Aug 2026PINEBought
14 Aug 2026PHBought
14 Aug 2026PBFBought
14 Aug 2026PAYOBought

Dated at the rebalance that made the change.

DateCompanyAction
14 Aug 2026WWDSold
14 Aug 2026WPCSold
14 Aug 2026WORSold
14 Aug 2026WMTSold
14 Aug 2026VALSold
14 Aug 2026TTDSold
14 Aug 2026TSNSold
14 Aug 2026TERSold
14 Aug 2026SNSold
14 Aug 2026SMCISold
14 Aug 2026SLBSold
14 Aug 2026SKYDSold
14 Aug 2026SFDSold
14 Aug 2026RYSold
14 Aug 2026RTOSold
14 Aug 2026RNASold
14 Aug 2026RMDSold
14 Aug 2026RALSold
14 Aug 2026QFINSold
14 Aug 2026PENSold
14 Aug 2026PCARSold
14 Aug 2026ONSold
14 Aug 2026OGNSold
14 Aug 2026NVOSold
14 Aug 2026NMRKSold

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