undamentalytics Newsletter
Sign in

Funds (13F)

Jacobs Levy Equity Management, Inc

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

Watch this strategy
Return a year
+15.5%
S&P 500 +14.1%
Last 12 months
+15.8%
S&P 500 +12.1%
Sharpe ratio
0.79
S&P 500 0.78
Biggest drop
−36.0%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $67.3k$57.0k
StrategyS&P 500 $10,000 in Jacobs Levy Equity Management, Inc 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 Jacobs Levy Equity Management, Inc'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.

Jacobs Levy Equity Management, Inc's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+15.5%+14.1%
Total return+573%+470%
Last 12 months+15.8%+12.1%
Last 3 months+0.2%—
Last month−2.5%—
This year so far+12.7%—
Volatility a year17.7%16.0%
Sharpe ratio0.790.78
Biggest drop−36.0%−31.8%
Beta to the S&P 5001.061.00
Alpha a year (t-statistic)+0.7% (0.54)—
Share of weeks up61%—

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
NVDA6.8%——
AAPL4.0%——
MU2.9%——
MSFT2.5%——
KLAC2.0%——
BKNG1.5%——
FTNT1.5%——
AMZN1.5%——
CRWD1.4%——
BNY1.2%——
TGT1.1%——
IBKR1.1%——
FIX1.1%——
GM1.0%——
SNDK1.0%——
EW1.0%——
VLO0.9%——
EME0.9%——
VRSN0.9%——
LRCX0.9%——
AVGO0.9%——
CNC0.8%——
LUV0.8%——
SNPS0.8%——
ALLY0.7%——
C0.7%——
WST0.7%——
MCK0.7%——
ALGN0.7%——
AAL0.7%——
LVS0.7%——
EBAY0.7%——
ADM0.6%——
SYY0.6%——
REGN0.6%——
PSX0.6%——
NTRS0.6%——
LSTR0.6%——
SNEX0.6%——
TXN0.6%——
DECK0.6%——
CART0.6%——
AGX0.6%——
NU0.6%——
ADBE0.5%——
VRNS0.5%——
META0.5%——
COST0.5%——
BPOP0.5%——
CPT0.5%——
STT0.5%——
POWL0.5%——
JBHT0.5%——
MTCH0.5%——
NBIX0.5%——
ESS0.5%——
DBX0.5%——
GEHC0.5%——
MOH0.4%——
SF0.4%——
MANH0.4%——
BBY0.4%——
GGG0.4%——
DPZ0.4%——
RBLX0.4%——
CCK0.4%——
NTNX0.4%——
DKNG0.4%——
RARE0.4%——
MET0.4%——
LMT0.4%——
R0.4%——
ZS0.4%——
SOLS0.3%——
CRUS0.3%——
DOCU0.3%——
CVX0.3%——
GL0.3%——
LEA0.3%——
OSCR0.3%——
TEAM0.3%——
BFH0.3%——
INCY0.3%——
SYF0.3%——
CVLT0.3%——
JHX0.3%——
INTU0.3%——
MMM0.3%——
CRBG0.3%——
LULU0.3%——
CALY0.3%——
ALB0.3%——
LNTH0.3%——
TXG0.3%——
RGA0.3%——
PINS0.3%——
TSN0.3%——
WERN0.3%——
EVR0.3%——
SCHW0.3%——
PII0.3%——
EG0.3%——
RDDT0.3%——
KLIC0.3%——
WSM0.2%——
FSLR0.2%——
PRU0.2%——
CORT0.2%——
FLR0.2%——
ARCB0.2%——
TSLA0.2%——
AU0.2%——
JBL0.2%——
SIGI0.2%——
RAL0.2%——
LGN0.2%——
CPNG0.2%——
PEG0.2%——
SWX0.2%——
WLK0.2%——
NOC0.2%——
WSO0.2%——
DAN0.2%——
TPC0.2%——
CMC0.2%——
CLX0.2%——
AIP0.2%——
SEDG0.2%——
JXN0.2%——
CVNA0.2%——
BCC0.2%——
TREX0.2%——
W0.2%——
AMBA0.2%——
SMG0.2%——
RH0.2%——
SPHR0.2%——
SONO0.2%——
CFR0.2%——
AMH0.2%——
ZTS0.2%——
CNM0.2%——
BMY0.2%——
FIVE0.2%——
ETSY0.1%——
TSCO0.1%——
ATKR0.1%——
WINA0.1%——
NSP0.1%——
MYRG0.1%——

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+15.5%+14.1%0.790.78−36.0%1.06+0.7% (0.54)
2018 onwards5 Jan 2018 to 2 Nov 2026+15.1%+13.9%0.660.66−36.0%1.06+0.6% (0.33)
Last three years3 Nov 2023 to 2 Nov 2026+21.3%+21.8%1.021.16−20.0%1.05−1.0% (−0.29)
Last year7 Nov 2025 to 2 Nov 2026+17.6%+14.2%1.060.84−7.9%0.89+4.1% (0.67)
DateCompanyAction
21 Aug 2026ZGNBought
21 Aug 2026ZETABought
21 Aug 2026YEXTBought
21 Aug 2026XZOBought
21 Aug 2026XPOBought
21 Aug 2026WCCBought
21 Aug 2026VSATBought
21 Aug 2026VRDNBought
21 Aug 2026VLGEABought
21 Aug 2026VISNBought
21 Aug 2026UPBBought
21 Aug 2026ULCCBought
21 Aug 2026UEICBought
21 Aug 2026TWIBought
21 Aug 2026TTIBought
21 Aug 2026TSCOBought
21 Aug 2026TRAXBought
21 Aug 2026TNXPBought
21 Aug 2026TITNBought
21 Aug 2026TILBought
21 Aug 2026TGBought
21 Aug 2026TERBought
21 Aug 2026TDWBought
21 Aug 2026TARSBought
21 Aug 2026TALOBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZBRASold
21 Aug 2026ZBIOSold
21 Aug 2026XNCRSold
21 Aug 2026WSSold
21 Aug 2026VSTSSold
21 Aug 2026VRTSold
21 Aug 2026VRSKSold
21 Aug 2026VLTOSold
21 Aug 2026VERISold
21 Aug 2026TXTSold
21 Aug 2026TRMKSold
21 Aug 2026TRIPSold
21 Aug 2026TJXSold
21 Aug 2026THGSold
21 Aug 2026TENBSold
21 Aug 2026TCBKSold
21 Aug 2026TSold
21 Aug 2026SWKSSold
21 Aug 2026SWKSold
21 Aug 2026STZSold
21 Aug 2026STAASold
21 Aug 2026SRPTSold
21 Aug 2026SPGSold
21 Aug 2026SOLVSold
21 Aug 2026SMCSold

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