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Funds (13F)

Sepio Capital, LP

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

Watch this strategy
Return a year
+14.1%
S&P 500 +15.6%
Last 12 months
+9.8%
S&P 500 +12.1%
Sharpe ratio
0.65
S&P 500 0.73
Biggest drop
−31.9%
S&P 500 −31.8%
$10.0k$20.0k 20192020202120222023202420252026 $30.6k$27.7k
Sepio Capital, LPS&P 500 $10,000 in Sepio Capital, LP 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 Sepio Capital, LP'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.

Sepio Capital, LP's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+14.1%+15.6%
Total return+177%+206%
Last 12 months+9.8%+12.1%
Last 3 months+5.3%—
Last month+1.0%—
This year so far+9.7%—
Volatility a year18.4%18.0%
Sharpe ratio0.650.73
Biggest drop−31.9%−31.8%
Beta to the S&P 5001.001.00
Alpha a year (t-statistic)−1.2% (−0.94)—
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
ABBV6.2%——
NVDA5.6%——
MSFT4.2%——
TSLA4.0%——
META3.8%——
AMZN3.7%——
AAPL3.6%——
ABT3.4%——
GOOGL3.1%——
V1.8%——
GLW1.7%——
BA1.5%——
NET1.3%——
CRWD1.3%——
NFLX1.2%——
MNST1.1%——
ORCL1.1%——
JNJ1.0%——
CVX1.0%——
UNH1.0%——
CSCO1.0%——
COST0.9%——
TXN0.9%——
CMI0.9%——
SHOP0.9%——
NSC0.9%——
D0.9%——
PM0.8%——
VRTX0.8%——
SBUX0.8%——
BLK0.8%——
MTH0.8%——
MATX0.7%——
EG0.7%——
ANGX0.7%——
APD0.7%——
BILL0.7%——
RTX0.6%——
SCHW0.6%——
PGR0.6%——
DIS0.6%——
LEN0.6%——
UPBD0.6%——
FAST0.6%——
REGN0.5%——
MA0.5%——
RSG0.5%——
RNR0.5%——
SEIC0.5%——
LOW0.5%——
MO0.5%——
CRM0.5%——
ADSK0.5%——
CINF0.5%——
SYY0.5%——
NOC0.4%——
INTC0.4%——
EXPD0.4%——
COIN0.4%——
TEL0.4%——
TMO0.4%——
CPNG0.4%——
AVGO0.4%——
JPM0.3%——
PLTR0.3%——
DE0.3%——
CB0.3%——
PAYX0.3%——
NVO0.3%——
CSL0.3%——
QSR0.3%——
GS0.3%——
ISRG0.3%——
TSM0.3%——
MRVL0.3%——
ARMK0.3%——
ICE0.3%——
ADP0.3%——
BURL0.3%——
WMT0.3%——
BAC0.3%——
YUM0.3%——
AMG0.2%——
CACI0.2%——
ZS0.2%——
WRB0.2%——
JLL0.2%——
NEE0.2%——
TRU0.2%——
AVY0.2%——
XYZ0.2%——
BOH0.2%——
MKL0.2%——
MU0.2%——
QCOM0.2%——
FDS0.2%——
TECH0.2%——
CCI0.2%——
TRMB0.2%——
AMD0.2%——
LLY0.2%——
OKLO0.2%——
ATR0.2%——
TROW0.2%——
GDDY0.2%——
RPM0.2%——
SNOW0.2%——
IEX0.2%——
KNX0.2%——
LII0.2%——
CAT0.2%——
WFC0.2%——
NKE0.2%——
SPCX0.2%——
CERS0.2%——
CSX0.2%——
MS0.2%——
NSIT0.2%——
KEX0.2%——
CHH0.2%——
NDSN0.2%——
UPST0.2%——
TYL0.2%——
MORN0.1%——
JBHT0.1%——
SOFI0.1%——
ILMN0.1%——
MELI0.1%——
MANH0.1%——
WEX0.1%——
WDAY0.1%——
UBER0.1%——
DLB0.1%——
ETN0.1%——
SAIA0.1%——
LRCX0.1%——
CASY0.1%——
IBM0.1%——
HOOD0.1%——
MSTR0.1%——
POOL0.1%——
MCD0.1%——
BNY0.1%——
ASML0.1%——
CME0.1%——
SRE0.1%——
AMAT0.1%——
J0.1%——
RBLX0.1%——
HQY0.1%——

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+14.1%+15.6%0.650.73−31.9%1.00−1.2% (−0.94)
Last three years3 Nov 2023 to 2 Nov 2026+19.7%+21.8%1.031.16−17.8%0.96−1.0% (−0.36)
Last year7 Nov 2025 to 2 Nov 2026+12.8%+14.2%0.730.84−11.0%0.88+0.0% (0.00)
DateCompanyAction
31 Jul 2026WDCBought
31 Jul 2026STBought
31 Jul 2026SPCXBought
31 Jul 2026SNDKBought
31 Jul 2026RYBought
31 Jul 2026ROKBought
31 Jul 2026QBought
31 Jul 2026PFGCBought
31 Jul 2026ORLYBought
31 Jul 2026MUBought
31 Jul 2026MTCHBought
31 Jul 2026MELIBought
31 Jul 2026HQYBought
31 Jul 2026HOODBought
31 Jul 2026HONABought
31 Jul 2026HONBought
31 Jul 2026HLIBought
31 Jul 2026ELVBought
31 Jul 2026EBAYBought
31 Jul 2026DVNBought
31 Jul 2026DELLBought
31 Jul 2026CARRBought
31 Jul 2026BHPBought
31 Jul 2026ARECBought
31 Jul 2026AOSLBought

Dated at the rebalance that made the change.

DateCompanyAction
31 Jul 2026UMCSold
31 Jul 2026TGTSold
31 Jul 2026TSold
31 Jul 2026SOSold
31 Jul 2026SKESold
31 Jul 2026SHMDSold
31 Jul 2026PYPLSold
31 Jul 2026PWRSold
31 Jul 2026PPTASold
31 Jul 2026PEPSold
31 Jul 2026OKESold
31 Jul 2026NWSASold
31 Jul 2026NOWSold
31 Jul 2026NNNSold
31 Jul 2026NEMSold
31 Jul 2026MDTSold
31 Jul 2026MAINSold
31 Jul 2026LMTSold
31 Jul 2026KMBSold
31 Jul 2026INTUSold
31 Jul 2026GTMSold
31 Jul 2026GPCSold
31 Jul 2026GBDCSold
31 Jul 2026FISVSold
31 Jul 2026ESSold

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