Funds (13F)
Spruce House Investment Management LLC
Backtest from 13 Feb 2015 to 2 Nov 2026 · weekly · hypothetical
- Return a year
- +21.3% S&P 500 +13.4%
- Last 12 months
- −17.5% S&P 500 +12.1%
- Sharpe ratio
- 0.59 S&P 500 0.71
- Biggest drop
- −88.0% S&P 500 −31.8%
About
Copies Spruce House 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.
Key statistics
| Measure | Strategy | S&P 500 |
|---|---|---|
| Return a year (compound) | +21.3% | +13.4% |
| Total return | +858% | +338% |
| Last 12 months | −17.5% | +12.1% |
| Last 3 months | −5.3% | — |
| Last month | +3.9% | — |
| This year so far | −31.0% | — |
| Volatility a year | 50.3% | 16.5% |
| Sharpe ratio | 0.59 | 0.71 |
| Biggest drop | −88.0% | −31.8% |
| Beta to the S&P 500 | 2.17 | 1.00 |
| Alpha a year (t-statistic) | +4.0% (0.38) | — |
| Share of weeks up | 55% | — |
Insights
| Period | Return a year | S&P 500 | Sharpe | S&P 500 | Biggest drop | Beta | Alpha (t) |
|---|---|---|---|---|---|---|---|
| Whole backtest13 Feb 2015 to 2 Nov 2026 | +21.3% | +13.4% | 0.59 | 0.71 | −88.0% | 2.17 | +4.0% (0.38) |
| 2018 onwards5 Jan 2018 to 2 Nov 2026 | +19.0% | +13.9% | 0.53 | 0.66 | −88.0% | 2.22 | +3.3% (0.25) |
| Last three years3 Nov 2023 to 2 Nov 2026 | +73.5% | +21.8% | 1.28 | 1.16 | −43.7% | 2.36 | +23.9% (1.15) |
| Last year7 Nov 2025 to 2 Nov 2026 | −15.6% | +14.2% | −0.36 | 0.84 | −35.3% | 2.04 | −33.8% (−1.13) |