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Funds (13F)

O'Shaughnessy Asset Management, LLC

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

Watch this strategy
Return a year
+13.6%
S&P 500 +14.1%
Last 12 months
+15.1%
S&P 500 +12.1%
Sharpe ratio
0.69
S&P 500 0.78
Biggest drop
−40.5%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $57.0k$53.9k
StrategyS&P 500 $10,000 in O'Shaughnessy Asset 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 O'Shaughnessy Asset 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.

O'Shaughnessy Asset Management, LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+13.6%+14.1%
Total return+439%+470%
Last 12 months+15.1%+12.1%
Last 3 months+0.6%—
Last month−0.8%—
This year so far+11.8%—
Volatility a year17.9%16.0%
Sharpe ratio0.690.78
Biggest drop−40.5%−31.8%
Beta to the S&P 5001.051.00
Alpha a year (t-statistic)−0.7% (−0.40)—
Share of weeks up58%—

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
AAPL6.5%——
NVDA4.6%——
MSFT2.5%——
GOOGL2.3%——
AMZN2.1%——
AVGO1.8%——
MU1.5%——
JPM1.2%——
LLY1.2%——
TSM1.1%——
TSLA1.0%——
META1.0%——
WMT0.9%——
MO0.9%——
JNJ0.9%——
V0.9%——
AMD0.8%——
C0.8%——
WDC0.8%——
CSCO0.7%——
CAT0.7%——
LRCX0.7%——
BAC0.7%——
STX0.7%——
SYF0.7%——
GM0.6%——
KLAC0.6%——
AMAT0.6%——
HCA0.6%——
EBAY0.6%——
TPR0.6%——
COST0.6%——
DHI0.5%——
JBL0.5%——
HD0.5%——
ABBV0.5%——
MA0.5%——
MET0.5%——
VZ0.5%——
ASML0.4%——
WFC0.4%——
CVX0.4%——
INTC0.4%——
MTB0.4%——
GE0.4%——
GS0.4%——
PM0.4%——
KHC0.4%——
GILD0.4%——
KO0.4%——
MS0.4%——
GEV0.4%——
HSBC0.4%——
MPC0.4%——
UNH0.4%——
MRK0.4%——
CMCSA0.4%——
PG0.4%——
NTRS0.3%——
SNDK0.3%——
RTX0.3%——
EOG0.3%——
KR0.3%——
TRV0.3%——
TFC0.3%——
VLO0.3%——
STT0.3%——
NFLX0.3%——
UPS0.3%——
PFE0.3%——
UNP0.3%——
JCI0.3%——
PFG0.3%——
PHM0.3%——
AMGN0.3%——
DLTR0.3%——
TJX0.3%——
USB0.3%——
ORCL0.3%——
APH0.3%——
BMY0.3%——
PANW0.3%——
TXN0.3%——
DELL0.3%——
EXPE0.2%——
PNC0.2%——
CI0.2%——
MCK0.2%——
IBM0.2%——
T0.2%——
LOW0.2%——
AXP0.2%——
RF0.2%——
AIG0.2%——
VALE0.2%——
COF0.2%——
TWLO0.2%——
DVN0.2%——
LIN0.2%——
AFL0.2%——
HIG0.2%——
PLTR0.2%——
NEE0.2%——
PH0.2%——
BKNG0.2%——
CARR0.2%——
ANET0.2%——
COP0.2%——
ADI0.2%——
GD0.2%——
CMI0.2%——
ETN0.2%——
MCD0.2%——
NEM0.2%——
DE0.2%——
PEP0.2%——
RS0.2%——
MRVL0.2%——
CRWD0.2%——
BNY0.2%——
CLS0.2%——
GLW0.2%——
PSX0.2%——
APP0.2%——
ADP0.2%——
PLD0.2%——
RY0.2%——
ALL0.2%——
CTVA0.2%——
QCOM0.2%——
CB0.2%——
BTI0.2%——
BIIB0.2%——
FLEX0.2%——
CL0.2%——
NVR0.2%——
CAH0.2%——
ASX0.2%——
MAR0.2%——
BLK0.2%——
HPQ0.2%——
PWR0.2%——
LMT0.1%——
ISRG0.1%——
TMO0.1%——
CIEN0.1%——
SPGI0.1%——
WELL0.1%——
CVS0.1%——
URI0.1%——

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+13.6%+14.1%0.690.78−40.5%1.05−0.7% (−0.40)
2018 onwards5 Jan 2018 to 2 Nov 2026+12.3%+13.9%0.540.66−40.5%1.04−1.5% (−0.62)
Last three years3 Nov 2023 to 2 Nov 2026+21.0%+21.8%1.201.16−15.7%0.88+1.2% (0.53)
Last year7 Nov 2025 to 2 Nov 2026+16.4%+14.2%1.170.84−7.0%0.78+3.9% (1.06)
DateCompanyAction
14 Aug 2026YEXTBought
14 Aug 2026WLYBought
14 Aug 2026VSHBought
14 Aug 2026VGNTBought
14 Aug 2026VFFBought
14 Aug 2026UWMCBought
14 Aug 2026UNFBought
14 Aug 2026ULSBought
14 Aug 2026UEBought
14 Aug 2026UCTTBought
14 Aug 2026TWSTBought
14 Aug 2026TVTXBought
14 Aug 2026TTDBought
14 Aug 2026TRIBought
14 Aug 2026TREXBought
14 Aug 2026TIGOBought
14 Aug 2026TDOCBought
14 Aug 2026TBBKBought
14 Aug 2026SYNABought
14 Aug 2026SXTBought
14 Aug 2026SRRKBought
14 Aug 2026SPHRBought
14 Aug 2026SPCXBought
14 Aug 2026SPBBought
14 Aug 2026SNBought

Dated at the rebalance that made the change.

DateCompanyAction
14 Aug 2026ZSSold
14 Aug 2026XPSold
14 Aug 2026WHDSold
14 Aug 2026WHSold
14 Aug 2026WENSold
14 Aug 2026WSold
14 Aug 2026VIRCSold
14 Aug 2026UCBSold
14 Aug 2026USold
14 Aug 2026SUISold
14 Aug 2026SRSold
14 Aug 2026SLISold
14 Aug 2026SKYDSold
14 Aug 2026SITCSold
14 Aug 2026SIGASold
14 Aug 2026SSold
14 Aug 2026RXRXSold
14 Aug 2026RUNSold
14 Aug 2026RNSTSold
14 Aug 2026RITMSold
14 Aug 2026RGRSold
14 Aug 2026REZISold
14 Aug 2026REXRSold
14 Aug 2026PRIMSold
14 Aug 2026PRGOSold

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