undamentalytics Newsletter
Sign in

Funds (13F)

Martingale Asset Management L P

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

Watch this strategy
Return a year
+12.6%
S&P 500 +13.9%
Last 12 months
+18.0%
S&P 500 +12.1%
Sharpe ratio
0.76
S&P 500 0.77
Biggest drop
−32.8%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $55.9k$48.2k
StrategyS&P 500 $10,000 in Martingale Asset 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 Martingale Asset 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.

Martingale Asset Management L P's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+12.6%+13.9%
Total return+382%+459%
Last 12 months+18.0%+12.1%
Last 3 months+2.5%—
Last month+3.6%—
This year so far+13.5%—
Volatility a year14.5%16.0%
Sharpe ratio0.760.77
Biggest drop−32.8%−31.8%
Beta to the S&P 5000.851.00
Alpha a year (t-statistic)+0.5% (0.36)—
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
AAPL1.5%——
GOOGL1.4%——
AMZN1.2%——
LLY1.2%——
NVDA1.2%——
MSFT1.1%——
JNJ1.1%——
JPM1.0%——
META1.0%——
ABBV1.0%——
XOM0.9%——
CSCO0.9%——
V0.8%——
MRK0.8%——
WMT0.8%——
GE0.8%——
MO0.8%——
COST0.8%——
MA0.8%——
VLO0.8%——
TRV0.8%——
BMY0.7%——
PM0.7%——
AXP0.7%——
PG0.7%——
MPC0.7%——
ALL0.7%——
HD0.7%——
RTX0.7%——
GD0.7%——
VZ0.7%——
KO0.7%——
CVX0.7%——
TMUS0.6%——
T0.6%——
JBHT0.6%——
ED0.6%——
CAH0.6%——
AVGO0.6%——
LMT0.6%——
HIG0.6%——
PEP0.6%——
DTE0.6%——
SNX0.6%——
GILD0.6%——
NEM0.6%——
PGR0.6%——
AEE0.6%——
AMGN0.6%——
PSX0.5%——
FFIV0.5%——
FDX0.5%——
KR0.5%——
MCD0.5%——
EXC0.5%——
AMP0.5%——
COF0.5%——
AEP0.5%——
TJX0.5%——
VRTX0.5%——
MSI0.5%——
NOC0.5%——
AMAT0.5%——
QCOM0.5%——
MCK0.5%——
CASY0.5%——
CB0.5%——
INCY0.5%——
CL0.5%——
WM0.5%——
ADBE0.5%——
MLI0.5%——
LNG0.5%——
BPOP0.4%——
ANET0.4%——
DIS0.4%——
EIX0.4%——
THG0.4%——
EG0.4%——
LRCX0.4%——
TMO0.4%——
SCHW0.4%——
OGE0.4%——
TXN0.4%——
ETR0.4%——
TSN0.4%——
RNR0.4%——
TXT0.4%——
PEG0.4%——
RSG0.4%——
PH0.4%——
ABT0.4%——
LHX0.4%——
GM0.4%——
MU0.4%——
ZM0.3%——
AU0.3%——
JAZZ0.3%——
ADSK0.3%——
MUSA0.3%——
TSLA0.3%——
DUK0.3%——
CRUS0.3%——
APH0.3%——
TGT0.3%——
L0.3%——
HII0.3%——
DINO0.3%——
REGN0.3%——
NBIX0.3%——
CCK0.3%——
PFE0.3%——
LEA0.3%——
HWM0.3%——
BIIB0.3%——
CRM0.3%——
BNY0.3%——
LOW0.3%——
AYI0.3%——
DDS0.2%——
COKE0.2%——
CI0.2%——
ROST0.2%——
ADM0.2%——
ALKS0.2%——
HST0.2%——
ACGL0.2%——
SFD0.2%——
SYF0.2%——
CBOE0.2%——
MNST0.2%——
ENS0.2%——
VMI0.2%——
KMB0.2%——
POR0.2%——
ZION0.2%——
BHE0.2%——
NJR0.2%——
AIR0.2%——
PLXS0.2%——
SANM0.2%——
PPC0.2%——
MTRN0.2%——
EME0.2%——
OGS0.1%——
ESNT0.1%——
JXN0.1%——
SSRM0.1%——
DRH0.1%——
AVA0.1%——

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+12.6%+13.9%0.760.77−32.8%0.85+0.5% (0.36)
2018 onwards5 Jan 2018 to 2 Nov 2026+11.3%+13.9%0.570.66−32.8%0.84−0.8% (−0.37)
Last three years3 Nov 2023 to 2 Nov 2026+17.0%+21.8%1.131.16−11.0%0.58+2.3% (0.60)
Last year7 Nov 2025 to 2 Nov 2026+18.2%+14.2%1.570.84−5.9%0.35+9.5% (1.31)
DateCompanyAction
14 Aug 2026ZVRABought
14 Aug 2026YORWBought
14 Aug 2026XOMBought
14 Aug 2026WNEBBought
14 Aug 2026WFRDBought
14 Aug 2026WFCBought
14 Aug 2026WALBought
14 Aug 2026VTOLBought
14 Aug 2026VISNBought
14 Aug 2026VICIBought
14 Aug 2026VCYTBought
14 Aug 2026TVTXBought
14 Aug 2026TRNOBought
14 Aug 2026TRAXBought
14 Aug 2026TOLBought
14 Aug 2026TKRBought
14 Aug 2026TDCBought
14 Aug 2026TCBKBought
14 Aug 2026TBLABought
14 Aug 2026SXCBought
14 Aug 2026STRZBought
14 Aug 2026SRPTBought
14 Aug 2026SNDRBought
14 Aug 2026SNDKBought
14 Aug 2026SMCBought

Dated at the rebalance that made the change.

DateCompanyAction
14 Aug 2026ZTSSold
14 Aug 2026YEXTSold
14 Aug 2026WSSold
14 Aug 2026WDAYSold
14 Aug 2026VIRSold
14 Aug 2026VICRSold
14 Aug 2026UPBSold
14 Aug 2026UNFSold
14 Aug 2026TROWSold
14 Aug 2026TPBSold
14 Aug 2026SYKSold
14 Aug 2026SLDBSold
14 Aug 2026SAROSold
14 Aug 2026PTCSold
14 Aug 2026PSIXSold
14 Aug 2026PSFESold
14 Aug 2026PRMESold
14 Aug 2026PRIMSold
14 Aug 2026PRAXSold
14 Aug 2026PAXSold
14 Aug 2026OVVSold
14 Aug 2026OPCHSold
14 Aug 2026NXTSold
14 Aug 2026NTLASold
14 Aug 2026NTGRSold

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