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Funds (13F)

Pzena Investment Management LLC

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

Watch this strategy
Return a year
+11.1%
S&P 500 +14.1%
Last 12 months
+23.1%
S&P 500 +12.1%
Sharpe ratio
0.50
S&P 500 0.78
Biggest drop
−47.5%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $57.0k$40.0k
StrategyS&P 500 $10,000 in Pzena Investment 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 Pzena Investment 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.

Pzena Investment Management LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+11.1%+14.1%
Total return+300%+470%
Last 12 months+23.1%+12.1%
Last 3 months+4.5%—
Last month+6.8%—
This year so far+14.8%—
Volatility a year21.6%16.0%
Sharpe ratio0.500.78
Biggest drop−47.5%−31.8%
Beta to the S&P 5001.141.00
Alpha a year (t-statistic)−3.4% (−1.04)—
Share of weeks up57%—

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
MGA6.8%——
HUM5.3%——
BAX4.2%——
CVS3.7%——
DG3.6%——
SWKS3.3%——
CTSH3.1%——
BMY3.0%——
TSN3.0%——
CRBG3.0%——
PPG2.9%——
MET2.9%——
COF2.8%——
UBS2.8%——
LEA2.7%——
GPN2.6%——
C2.4%——
WFC2.2%——
DOX2.1%——
SSNC2.1%——
NOV2.1%——
ACN1.9%——
PVH1.4%——
LKQ1.2%——
CDW1.1%——
BAC1.1%——
DOW1.0%——
VOYA1.0%——
NWL0.9%——
UHS0.9%——
AVT0.8%——
AAP0.8%——
MDT0.8%——
DAL0.8%——
EQH0.7%——
GL0.7%——
WDAY0.7%——
SPB0.6%——
MICC0.6%——
SHEL0.6%——
RHI0.6%——
ZTO0.5%——
MBC0.5%——
CI0.5%——
CSCO0.5%——
PFE0.4%——
MHK0.4%——
HAL0.4%——
BEKE0.4%——
CNO0.4%——
TEL0.3%——
GLOB0.3%——
JPM0.3%——
ST0.3%——
MS0.3%——
G0.3%——
FITB0.3%——
ARCO0.3%——
ELV0.3%——
DIS0.3%——
STZ0.3%——
ABM0.2%——
OLN0.2%——
CNXC0.2%——
TFX0.2%——
PLOW0.2%——
ONB0.2%——
HSIC0.2%——
GPC0.2%——
ADNT0.2%——
COLB0.2%——
WSFS0.2%——
MMI0.2%——
OSK0.2%——
MLKN0.2%——
ASB0.2%——
GOOGL0.2%——
SCSC0.2%——
KFY0.2%——
RF0.2%——
HUN0.2%——
AEBI0.2%——
WGO0.2%——
REZI0.2%——
MBUU0.1%——
TGT0.1%——
KOP0.1%——
VREX0.1%——
HR0.1%——
MSM0.1%——
HDB0.1%——
CBRE0.1%——
HVT0.1%——
GD0.1%——
HCA0.1%——
DNOW0.1%——
GCO0.1%——
KEY0.1%——
UVSP0.1%——
BFH0.1%——
DRH0.1%——
AIG0.1%——
SOLV0.1%——
OEC0.1%——
NVST0.1%——
MYE0.1%——
HOFT0.1%——
ARW0.1%——
USNA0.1%——
LDOS0.1%——
WCC0.1%——
TBI0.1%——
HELE0.1%——
UVV0.1%——
MAN0.0%——
ABEV0.0%——
BIDU0.0%——
KNX0.0%——
BABA0.0%——
HSBC0.0%——
TSM0.0%——
PHG0.0%——
GSK0.0%——
SAP0.0%——
CIG0.0%——
VALE0.0%——
MT0.0%——
ZBRA0.0%——
MRK0.0%——
HALO0.0%——
TOST0.0%——
ORCL0.0%——
ADSK0.0%——
NVDA0.0%——
MSFT0.0%——
GE0.0%——
EXPE0.0%——
CRM0.0%——
ADBE0.0%——
GEV0.0%——
STT0.0%——
DOCU0.0%——

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+11.1%+14.1%0.500.78−47.5%1.14−3.4% (−1.04)
2018 onwards5 Jan 2018 to 2 Nov 2026+9.3%+13.9%0.370.66−47.5%1.12−4.2% (−0.91)
Last three years3 Nov 2023 to 2 Nov 2026+15.6%+21.8%0.691.16−17.0%0.79−1.4% (−0.20)
Last year7 Nov 2025 to 2 Nov 2026+24.8%+14.2%1.280.84−11.6%0.61+13.1% (0.99)
DateCompanyAction
14 Aug 2026ZBRABought
14 Aug 2026WDAYBought
14 Aug 2026TOSTBought
14 Aug 2026STTBought
14 Aug 2026SAPBought
14 Aug 2026ORCLBought
14 Aug 2026NVDABought
14 Aug 2026GEVBought
14 Aug 2026EXPEBought
14 Aug 2026CRMBought
14 Aug 2026BEKEBought
1 May 2026TMUSBought
1 May 2026MSFTBought
1 May 2026MLKNBought
1 May 2026MICCBought
1 May 2026INTUBought
1 May 2026GLOBBought
1 May 2026CDWBought
1 May 2026ADSKBought
13 Feb 2026WGOBought
13 Feb 2026TPGBought
13 Feb 2026STZBought
13 Feb 2026KNXBought
13 Feb 2026GOOGLBought
13 Feb 2026DOCUBought

Dated at the rebalance that made the change.

DateCompanyAction
14 Aug 2026WABSold
14 Aug 2026TRSSold
14 Aug 2026TMUSSold
14 Aug 2026JNJSold
14 Aug 2026INTUSold
14 Aug 2026HIGSold
14 Aug 2026CRUSSold
1 May 2026TPGSold
1 May 2026INTCSold
1 May 2026GSSold
1 May 2026FMCSold
1 May 2026CINFSold
1 May 2026CHTRSold
1 May 2026ADMSold
13 Feb 2026FNFSold
13 Feb 2026DELLSold
13 Feb 2026DANSold
13 Feb 2026CHRWSold
13 Feb 2026CALMSold
13 Feb 2026AMATSold
14 Nov 2025ULTASold
14 Nov 2025NWGSold
14 Nov 2025ALKSSold
1 Aug 2025PAHCSold
1 Aug 2025JELDSold

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