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Funds (13F)

Rokos Capital Management LLP

Backtest from 15 Feb 2019 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+18.3%
S&P 500 +15.6%
Last 12 months
+11.9%
S&P 500 +12.1%
Sharpe ratio
0.68
S&P 500 0.73
Biggest drop
−35.4%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 20192020202120222023202420252026 $36.4k$30.6k
Rokos Capital Management LLPS&P 500 $10,000 in Rokos Capital Management LLP from 15 Feb 2019 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Rokos Capital Management LLP'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.

Rokos Capital Management LLP's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+18.3%+15.6%
Total return+264%+206%
Last 12 months+11.9%+12.1%
Last 3 months−7.9%—
Last month−11.2%—
This year so far+11.3%—
Volatility a year25.1%18.0%
Sharpe ratio0.680.73
Biggest drop−35.4%−31.8%
Beta to the S&P 5000.841.00
Alpha a year (t-statistic)+5.8% (0.81)—
Share of weeks up52%—

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
GOOGL5.4%——
NVDA5.1%——
SNDK4.5%——
C4.1%——
AAPL3.7%——
META3.1%——
AMAT2.9%——
MSFT2.8%——
LRCX2.8%——
NSC2.7%——
AVGO2.6%——
AMZN2.6%——
GLNG2.4%——
PCG2.1%——
ANET2.0%——
EQT1.9%——
EXE1.7%——
CIEN1.7%——
MU1.7%——
HONA1.7%——
LITE1.7%——
DAR1.6%——
GXO1.5%——
HON1.4%——
TSLA1.3%——
ALLY1.2%——
TER1.2%——
COHR1.1%——
PCT1.1%——
KKR1.1%——
WDC1.0%——
STX1.0%——
NU1.0%——
NTRA1.0%——
ATI1.0%——
DAL0.9%——
VLO0.9%——
VST0.9%——
TTMI0.8%——
ULTA0.8%——
TAC0.8%——
AMD0.8%——
SNOW0.7%——
MP0.7%——
SHW0.7%——
SPCX0.7%——
INTC0.6%——
AS0.6%——
CTVA0.6%——
SLB0.5%——
FN0.5%——
HAL0.5%——
CCJ0.5%——
SLVM0.5%——
CENX0.4%——
KBR0.4%——
WMT0.4%——
FLS0.4%——
CE0.4%——
MS0.4%——
PSN0.4%——
ITT0.4%——
RIG0.3%——
Q0.3%——
MRVL0.3%——
TLN0.3%——
TDS0.3%——
ESAB0.3%——
PFGC0.3%——
FLR0.3%——
AMCR0.3%——
TSM0.2%——
PKG0.2%——
ADI0.2%——
ESI0.2%——
FERG0.2%——
HTO0.2%——
ROK0.2%——
TKR0.2%——
OXY0.2%——
HUT0.2%——
USAR0.2%——
PLTR0.2%——
TSAT0.2%——
BG0.2%——
SW0.2%——
PWR0.2%——
UTHR0.2%——
ASML0.1%——
FTAI0.1%——
ECL0.1%——
MSM0.1%——
KEYS0.1%——
AA0.1%——
FSLR0.1%——
FCX0.1%——
RKT0.1%——
CAT0.1%——
KLAC0.1%——
XP0.1%——
WULF0.1%——
NXE0.1%——
CSX0.1%——
AMKR0.1%——
CIFR0.1%——
BKR0.1%——
TXN0.1%——
RTX0.1%——
SANM0.1%——
PANW0.1%——
ECHO0.1%——
BTDR0.0%——
GLW0.0%——
AERO0.0%——
HPE0.0%——
DDOG0.0%——
WFRD0.0%——
ASX0.0%——
OKE0.0%——
BLK0.0%——
LIN0.0%——
APH0.0%——
KRMN0.0%——
COIN0.0%——

Weighted by reported value in the latest 13F, held until the next filing.

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest15 Feb 2019 to 2 Nov 2026+18.3%+15.6%0.680.73−35.4%0.84+5.8% (0.81)
Last three years3 Nov 2023 to 2 Nov 2026+33.5%+21.8%1.171.16−29.4%1.53+2.3% (0.44)
Last year7 Nov 2025 to 2 Nov 2026+13.3%+14.2%0.520.84−12.7%1.53−4.7% (−0.51)
DateCompanyAction
21 Aug 2026WULFBought
21 Aug 2026UTHRBought
21 Aug 2026USARBought
21 Aug 2026ULTABought
21 Aug 2026TXNBought
21 Aug 2026TSATBought
21 Aug 2026TKRBought
21 Aug 2026SPCXBought
21 Aug 2026SNOWBought
21 Aug 2026SHWBought
21 Aug 2026SANMBought
21 Aug 2026RKTBought
21 Aug 2026QBought
21 Aug 2026PWRBought
21 Aug 2026PSNBought
21 Aug 2026PFGCBought
21 Aug 2026PANWBought
21 Aug 2026OXYBought
21 Aug 2026OKEBought
21 Aug 2026NXEBought
21 Aug 2026NUBought
21 Aug 2026MSMBought
21 Aug 2026MRVLBought
21 Aug 2026KLACBought
21 Aug 2026KKRBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026WLKSold
21 Aug 2026VECOSold
21 Aug 2026VSold
21 Aug 2026URISold
21 Aug 2026UALSold
21 Aug 2026TSEMSold
21 Aug 2026STUBSold
21 Aug 2026SPOTSold
21 Aug 2026SEISold
21 Aug 2026ROKUSold
21 Aug 2026RALSold
21 Aug 2026PHSold
21 Aug 2026PGSold
21 Aug 2026OPTUSold
21 Aug 2026ONCSold
21 Aug 2026OLNSold
21 Aug 2026MTZSold
21 Aug 2026MNSTSold
21 Aug 2026MASold
21 Aug 2026LYBSold
21 Aug 2026LMTSold
21 Aug 2026LHXSold
21 Aug 2026KEXSold
21 Aug 2026JNJSold
21 Aug 2026JCISold

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