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Funds (13F)

Millennium Management LLC

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

Watch this strategy
Return a year
+13.4%
S&P 500 +14.1%
Last 12 months
+14.2%
S&P 500 +12.1%
Sharpe ratio
0.69
S&P 500 0.78
Biggest drop
−37.9%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $57.0k$52.9k
Millennium Management LLCS&P 500 $10,000 in Millennium 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 Millennium 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.

Millennium Management LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+13.4%+14.1%
Total return+429%+470%
Last 12 months+14.2%+12.1%
Last 3 months+0.4%—
Last month−1.1%—
This year so far+10.6%—
Volatility a year17.7%16.0%
Sharpe ratio0.690.78
Biggest drop−37.9%−31.8%
Beta to the S&P 5001.061.00
Alpha a year (t-statistic)−1.1% (−0.75)—
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
SPCX2.6%——
NVDA2.1%——
NSC1.4%——
MSFT1.4%——
AMZN0.9%——
SNDK0.7%——
BE0.7%——
TSM0.7%——
META0.6%——
FCX0.6%——
KVUE0.6%——
UNH0.6%——
NRG0.6%——
AEP0.5%——
STX0.5%——
MU0.5%——
CRDO0.5%——
IEX0.5%——
ICE0.5%——
CVX0.4%——
AMD0.4%——
LNG0.4%——
BLK0.4%——
CBRE0.4%——
MSCI0.4%——
IVZ0.4%——
DHR0.4%——
TSLA0.4%——
PKG0.3%——
MA0.3%——
WFC0.3%——
LII0.3%——
ABBV0.3%——
PPL0.3%——
JHX0.3%——
AMT0.3%——
COST0.3%——
DVN0.3%——
COF0.3%——
SNOW0.3%——
JPM0.3%——
WAT0.3%——
RAL0.3%——
ORCL0.3%——
ABT0.3%——
EW0.3%——
TPG0.3%——
D0.3%——
LYFT0.3%——
AES0.3%——
LRCX0.3%——
ORLY0.3%——
SU0.3%——
TLN0.3%——
DY0.3%——
INTU0.3%——
AMG0.3%——
CARR0.3%——
ALAB0.3%——
MKSI0.3%——
SPGI0.3%——
ELV0.3%——
CTAS0.3%——
NOW0.3%——
JLL0.2%——
MDLZ0.2%——
COR0.2%——
SRE0.2%——
CME0.2%——
BALL0.2%——
ROKU0.2%——
TMUS0.2%——
NVT0.2%——
ECHO0.2%——
ETR0.2%——
VRT0.2%——
BKNG0.2%——
VIAV0.2%——
FERG0.2%——
STRL0.2%——
GM0.2%——
AMP0.2%——
GH0.2%——
V0.2%——
OVV0.2%——
HWM0.2%——
RTX0.2%——
VRTX0.2%——
STEP0.2%——
RRX0.2%——
AMAT0.2%——
PAYX0.2%——
WDC0.2%——
CVS0.2%——
TTAN0.2%——
APD0.2%——
TSEM0.2%——
UTHR0.2%——
DOV0.2%——
FWONK0.2%——
PEN0.2%——
GKOS0.2%——
WCN0.2%——
SLAB0.2%——
LLY0.2%——
AAPL0.2%——
INSM0.2%——
EVR0.2%——
PG0.2%——
ZBRA0.2%——
CSX0.2%——
MMM0.2%——
BSX0.2%——
VLO0.2%——
IAG0.2%——
TPR0.2%——
EXR0.2%——
PWR0.2%——
PLTR0.2%——
HLT0.2%——
PLD0.2%——
CLX0.2%——
UBER0.2%——
CMI0.2%——
QCOM0.2%——
CHTR0.2%——
BNY0.2%——
FLEX0.2%——
AME0.2%——
MPWR0.2%——
TREX0.2%——
TXN0.2%——
SOFI0.2%——
PCG0.2%——
AXTA0.2%——
SMTC0.2%——
GILD0.2%——
JAZZ0.2%——
VRSK0.2%——
VLTO0.2%——
TFX0.2%——
ARMK0.2%——
SUPN0.2%——
IR0.1%——
SANM0.1%——
ATI0.1%——
GVA0.1%——
PAAS0.1%——
PEP0.1%——
SUI0.1%——

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+13.4%+14.1%0.690.78−37.9%1.06−1.1% (−0.75)
2018 onwards5 Jan 2018 to 2 Nov 2026+12.0%+13.9%0.530.66−37.9%1.07−2.1% (−1.08)
Last three years3 Nov 2023 to 2 Nov 2026+21.0%+21.8%1.071.16−18.6%0.97+0.0% (0.01)
Last year7 Nov 2025 to 2 Nov 2026+15.7%+14.2%0.970.84−7.4%0.83+3.0% (0.48)
DateCompanyAction
21 Aug 2026ZONEBought
21 Aug 2026ZKHBought
21 Aug 2026ZDBought
21 Aug 2026ZBHBought
21 Aug 2026YSWYBought
21 Aug 2026YSSBought
21 Aug 2026YDDLBought
21 Aug 2026YBBought
21 Aug 2026XXIBought
21 Aug 2026XNETBought
21 Aug 2026XEBought
21 Aug 2026WSEBought
21 Aug 2026WNEBBought
21 Aug 2026WLYBought
21 Aug 2026WHKBought
21 Aug 2026WGOBought
21 Aug 2026WDHBought
21 Aug 2026WASHBought
21 Aug 2026VTRBought
21 Aug 2026VTMXBought
21 Aug 2026VSATBought
21 Aug 2026VRNSBought
21 Aug 2026VPGBought
21 Aug 2026VOXRBought
21 Aug 2026VIRCBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZETASold
21 Aug 2026ZEPPSold
21 Aug 2026YMMSold
21 Aug 2026YEXTSold
21 Aug 2026XRNSold
21 Aug 2026XPELSold
21 Aug 2026XMAXSold
21 Aug 2026XGNSold
21 Aug 2026XFORSold
21 Aug 2026WTTRSold
21 Aug 2026WSHPSold
21 Aug 2026WSBKSold
21 Aug 2026WSSold
21 Aug 2026WOOFSold
21 Aug 2026WNCSold
21 Aug 2026WKHSSold
21 Aug 2026WENSold
21 Aug 2026WDAYSold
21 Aug 2026WABCSold
21 Aug 2026VZLASold
21 Aug 2026VTGNSold
21 Aug 2026VRDNSold
21 Aug 2026VRASold
21 Aug 2026VMETSold
21 Aug 2026VLGEASold

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