undamentalytics Newsletter
Sign in

Funds (13F)

Trexquant Investment LP

Backtest from 20 Feb 2015 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+13.4%
S&P 500 +13.4%
Last 12 months
+16.3%
S&P 500 +12.1%
Sharpe ratio
0.63
S&P 500 0.71
Biggest drop
−37.1%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 201520172019202120232025 $43.5k$43.4k
Trexquant Investment LPS&P 500 $10,000 in Trexquant Investment LP from 20 Feb 2015 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Trexquant Investment 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.

Trexquant Investment LP's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+13.4%+13.4%
Total return+334%+335%
Last 12 months+16.3%+12.1%
Last 3 months+1.2%—
Last month−0.8%—
This year so far+11.9%—
Volatility a year19.3%16.5%
Sharpe ratio0.630.71
Biggest drop−37.1%−31.8%
Beta to the S&P 5001.101.00
Alpha a year (t-statistic)−0.7% (−0.37)—
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
NVDA3.3%——
AMZN2.1%——
AAPL1.9%——
MSFT1.6%——
MU1.5%——
TSLA1.3%——
JPM1.3%——
GOOGL1.1%——
INTU1.0%——
META1.0%——
COST0.8%——
PLTR0.7%——
LLY0.7%——
ISRG0.7%——
PEP0.6%——
AVGO0.6%——
WFC0.6%——
T0.6%——
MDT0.6%——
NFLX0.6%——
TJX0.6%——
ACN0.5%——
ROST0.5%——
CVX0.5%——
KO0.5%——
DIS0.4%——
ORCL0.4%——
BAC0.4%——
IDXX0.4%——
WMT0.4%——
SNPS0.4%——
CASY0.4%——
NVO0.4%——
SNDK0.4%——
C0.4%——
CPRT0.4%——
RTX0.4%——
CCL0.3%——
HPE0.3%——
BA0.3%——
BSX0.3%——
STX0.3%——
GD0.3%——
JNJ0.3%——
ZTS0.3%——
CTVA0.3%——
QCOM0.3%——
GM0.3%——
CL0.3%——
CTSH0.3%——
INTC0.3%——
SCHW0.3%——
GE0.3%——
TGT0.3%——
FTNT0.3%——
TSM0.3%——
BE0.3%——
TT0.3%——
PPL0.3%——
CMG0.3%——
SNAP0.2%——
TMUS0.2%——
JCI0.2%——
ALLY0.2%——
MRNA0.2%——
FIVE0.2%——
CME0.2%——
AMD0.2%——
ELF0.2%——
MCD0.2%——
LVS0.2%——
PWR0.2%——
VEEV0.2%——
EOG0.2%——
LYB0.2%——
NTAP0.2%——
DXCM0.2%——
JHX0.2%——
TSEM0.2%——
VIAV0.2%——
GNTX0.2%——
BLK0.2%——
LUV0.2%——
CAT0.2%——
CSX0.2%——
BURL0.2%——
WULF0.2%——
HAL0.2%——
HOG0.2%——
COF0.2%——
HIG0.2%——
SU0.2%——
OXY0.2%——
KR0.2%——
HLT0.2%——
DELL0.2%——
VZ0.2%——
NU0.2%——
BABA0.2%——
ARW0.2%——
ACI0.2%——
MAS0.2%——
DOW0.2%——
ICE0.2%——
LMND0.2%——
MS0.2%——
FCEL0.2%——
TOST0.2%——
CBOE0.2%——
UL0.2%——
TWST0.2%——
REGN0.2%——
IT0.2%——
SMCI0.2%——
EFX0.2%——
HPQ0.2%——
ITW0.2%——
NOC0.2%——
SRE0.2%——
RL0.2%——
Q0.2%——
VG0.2%——
BR0.2%——
FN0.2%——
TEAM0.2%——
OTIS0.2%——
TTC0.2%——
PL0.2%——
ROL0.2%——
MELI0.2%——
GH0.2%——
MCK0.1%——
SJM0.1%——
TEL0.1%——
CBRE0.1%——
FIX0.1%——
G0.1%——
VRSN0.1%——
NUE0.1%——
HLNE0.1%——
AMKR0.1%——
NWSA0.1%——
KMI0.1%——
RUN0.1%——
FIG0.1%——
ATO0.1%——
NTNX0.1%——
CNQ0.1%——
UBER0.1%——
ELV0.1%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest20 Feb 2015 to 2 Nov 2026+13.4%+13.4%0.630.71−37.1%1.10−0.7% (−0.37)
2018 onwards5 Jan 2018 to 2 Nov 2026+13.2%+13.9%0.560.66−37.1%1.10−1.2% (−0.52)
Last three years3 Nov 2023 to 2 Nov 2026+20.6%+21.8%0.991.16−20.1%1.00−0.7% (−0.16)
Last year7 Nov 2025 to 2 Nov 2026+18.3%+14.2%1.090.84−8.1%0.87+4.8% (0.69)
DateCompanyAction
21 Aug 2026ZMBought
21 Aug 2026XZOBought
21 Aug 2026XYLBought
21 Aug 2026XPERBought
21 Aug 2026XELBought
21 Aug 2026WWWBought
21 Aug 2026WSOBought
21 Aug 2026WRLDBought
21 Aug 2026WPPBought
21 Aug 2026WORBought
21 Aug 2026WMKBought
21 Aug 2026WLTHBought
21 Aug 2026WIXBought
21 Aug 2026WHRBought
21 Aug 2026WESTBought
21 Aug 2026WECBought
21 Aug 2026WDCBought
21 Aug 2026WCCBought
21 Aug 2026WBBought
21 Aug 2026WAFDBought
21 Aug 2026VYXBought
21 Aug 2026VVXBought
21 Aug 2026VTVTBought
21 Aug 2026VSTSBought
21 Aug 2026VSNTBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZSSold
21 Aug 2026YUMSold
21 Aug 2026XGNSold
21 Aug 2026WTSSold
21 Aug 2026WSFSSold
21 Aug 2026WRDSold
21 Aug 2026WMBSold
21 Aug 2026WLDNSold
21 Aug 2026WKSold
21 Aug 2026WINGSold
21 Aug 2026WGSSold
21 Aug 2026WFRDSold
21 Aug 2026WEXSold
21 Aug 2026WEAVSold
21 Aug 2026WBISold
21 Aug 2026WABCSold
21 Aug 2026VTRSSold
21 Aug 2026VSTSold
21 Aug 2026VRTXSold
21 Aug 2026VRNSSold
21 Aug 2026VOYGSold
21 Aug 2026VLTOSold
21 Aug 2026VIRCSold
21 Aug 2026VCYTSold
21 Aug 2026VALESold

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