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Funds (13F)

Twin Tree Management, LP

Backtest from 16 Sept 2016 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+17.3%
S&P 500 +15.1%
Last 12 months
+24.0%
S&P 500 +12.1%
Sharpe ratio
0.73
S&P 500 0.76
Biggest drop
−36.4%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 201620182020202220242026 $50.1k$41.5k
Twin Tree Management, LPS&P 500 $10,000 in Twin Tree Management, LP from 16 Sept 2016 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Twin Tree Management, 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.

Twin Tree Management, LP's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+17.3%+15.1%
Total return+401%+315%
Last 12 months+24.0%+12.1%
Last 3 months−0.5%—
Last month−4.8%—
This year so far+20.3%—
Volatility a year21.1%16.9%
Sharpe ratio0.730.76
Biggest drop−36.4%−31.8%
Beta to the S&P 5001.181.00
Alpha a year (t-statistic)+0.3% (0.16)—
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
MSFT3.0%——
NFLX2.7%——
ORCL2.1%——
ASML1.6%——
CEG1.6%——
AMAT1.6%——
AMZN1.4%——
CRM1.4%——
GLW1.4%——
TM1.4%——
KR1.3%——
RY1.3%——
PLTR1.2%——
GOOGL1.1%——
ECL1.1%——
AVGO1.1%——
NVDA1.1%——
APH1.1%——
ZM1.1%——
NEM1.0%——
MU1.0%——
FFIV1.0%——
STX0.9%——
META0.9%——
OXY0.8%——
GFS0.8%——
COHR0.8%——
ADBE0.8%——
AU0.8%——
CMG0.7%——
AXP0.7%——
BNS0.7%——
TSM0.7%——
WDC0.7%——
BNY0.7%——
PWR0.7%——
LOW0.7%——
STZ0.7%——
NKE0.6%——
UNP0.6%——
INTU0.6%——
PAYX0.6%——
TROW0.6%——
SMTC0.6%——
CIEN0.6%——
LRCX0.6%——
HOOD0.6%——
CSCO0.5%——
ERIC0.5%——
GFI0.5%——
ROK0.5%——
ADI0.5%——
MKC0.5%——
EIX0.5%——
EL0.5%——
RIVN0.5%——
A0.5%——
AMCR0.4%——
TSLA0.4%——
AZO0.4%——
SJM0.4%——
EGO0.4%——
KDP0.4%——
APD0.4%——
FWONK0.4%——
LIN0.4%——
BURL0.4%——
KIM0.4%——
AEM0.4%——
MO0.4%——
DT0.4%——
DE0.4%——
FERG0.4%——
SNOW0.4%——
GTX0.4%——
SMCI0.4%——
BA0.4%——
RKT0.4%——
LITE0.4%——
MTSI0.4%——
COP0.4%——
PG0.4%——
COIN0.3%——
MSI0.3%——
SLF0.3%——
ARM0.3%——
SHOP0.3%——
AME0.3%——
TTMI0.3%——
RKLB0.3%——
AAPL0.3%——
VLO0.3%——
VSH0.3%——
DKS0.3%——
AGX0.3%——
AAL0.3%——
PFE0.3%——
VEEV0.3%——
CPB0.3%——
V0.3%——
ATI0.3%——
DELL0.3%——
GM0.3%——
PYPL0.3%——
CCJ0.3%——
FORM0.3%——
MGM0.3%——
FSLR0.3%——
IVZ0.3%——
LULU0.3%——
VOYA0.3%——
NXPI0.3%——
BX0.3%——
AG0.3%——
EQIX0.3%——
AR0.3%——
RSG0.3%——
WEX0.3%——
VIAV0.3%——
ZS0.3%——
OKLO0.3%——
BHP0.3%——
CLS0.3%——
LNG0.3%——
L0.3%——
SLB0.3%——
EXE0.2%——
CRWV0.2%——
MSGS0.2%——
AA0.2%——
BKNG0.2%——
TKO0.2%——
TTWO0.2%——
TPR0.2%——
EQX0.2%——
BIIB0.2%——
EQT0.2%——
HL0.2%——
HPQ0.2%——
ENPH0.2%——
AMKR0.2%——
BALL0.2%——
ABNB0.2%——
SPOT0.2%——
PHM0.2%——
DY0.2%——
WMB0.2%——
PI0.2%——
WMT0.2%——
EOG0.2%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest16 Sept 2016 to 2 Nov 2026+17.3%+15.1%0.730.76−36.4%1.18+0.3% (0.16)
2018 onwards5 Jan 2018 to 2 Nov 2026+15.9%+13.9%0.640.66−36.4%1.18+0.4% (0.18)
Last three years3 Nov 2023 to 2 Nov 2026+29.9%+21.8%1.241.16−21.0%1.22+3.7% (0.77)
Last year7 Nov 2025 to 2 Nov 2026+27.1%+14.2%1.140.84−8.5%1.31+8.6% (0.77)
DateCompanyAction
14 Aug 2026ZSBought
14 Aug 2026ZETABought
14 Aug 2026ZBRABought
14 Aug 2026WWDBought
14 Aug 2026WSMBought
14 Aug 2026WMTBought
14 Aug 2026WMBBought
14 Aug 2026WMBought
14 Aug 2026WEXBought
14 Aug 2026WBought
14 Aug 2026VSHBought
14 Aug 2026VSATBought
14 Aug 2026VRTBought
14 Aug 2026VRSNBought
14 Aug 2026VOYABought
14 Aug 2026VGBought
14 Aug 2026VCTRBought
14 Aug 2026USARBought
14 Aug 2026TXNBought
14 Aug 2026TROWBought
14 Aug 2026TOSTBought
14 Aug 2026TMOBought
14 Aug 2026TKRBought
14 Aug 2026TKOBought
14 Aug 2026SYNABought

Dated at the rebalance that made the change.

DateCompanyAction
14 Aug 2026ZTSSold
14 Aug 2026XYZSold
14 Aug 2026XELSold
14 Aug 2026WULFSold
14 Aug 2026WLKSold
14 Aug 2026WCNSold
14 Aug 2026WAYSold
14 Aug 2026VRTXSold
14 Aug 2026VRSKSold
14 Aug 2026VMCSold
14 Aug 2026URBNSold
14 Aug 2026UPSSold
14 Aug 2026UHSSold
14 Aug 2026UALSold
14 Aug 2026TXRHSold
14 Aug 2026TWLOSold
14 Aug 2026TTEKSold
14 Aug 2026TSCOSold
14 Aug 2026TRMBSold
14 Aug 2026TPLSold
14 Aug 2026TJXSold
14 Aug 2026TEAMSold
14 Aug 2026TAPSold
14 Aug 2026SUSold
14 Aug 2026STSold

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