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Funds (13F)

Westchester Capital Management, LLC

Backtest from 2 Aug 2013 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+0.3%
S&P 500 +13.8%
Last 12 months
+8.8%
S&P 500 +12.1%
Sharpe ratio
0.04
S&P 500 0.76
Biggest drop
−53.9%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $55.3k$10.4k
StrategyS&P 500 $10,000 in Westchester Capital Management, LLC from 2 Aug 2013 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Westchester Capital 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.

Westchester Capital Management, LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+0.3%+13.8%
Total return+4%+453%
Last 12 months+8.8%+12.1%
Last 3 months−0.1%—
Last month+4.2%—
This year so far+7.3%—
Volatility a year22.7%16.0%
Sharpe ratio0.040.76
Biggest drop−53.9%−31.8%
Beta to the S&P 5000.951.00
Alpha a year (t-statistic)−10.7% (−2.30)—
Share of weeks up54%—

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
NSC30.4%——
UNF14.2%——
PEN9.3%——
ROKU8.1%——
CZR7.8%——
KVUE3.7%——
OGN3.6%——
AES2.8%——
LPBB1.9%——
NTWO1.8%——
FACT1.4%——
MKLY1.4%——
APTV1.3%——
B1.2%——
MCGA1.1%——
SSAC0.9%——
VAL0.8%——
MMTX0.8%——
FVN0.8%——
HUN0.7%——
ALIS0.7%——
FDX0.7%——
TXNM0.6%——
LHX0.6%——
CMCSA0.6%——
BHF0.6%——
WTG0.5%——
WSTN0.4%——
TECH0.3%——
HON0.3%——
HONA0.3%——
BKHA0.2%——
FDXF0.2%——
UCFI0.1%——
MFIC0.0%——
AVAT0.0%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest2 Aug 2013 to 2 Nov 2026+0.3%+13.8%0.040.76−53.9%0.95−10.7% (−2.30)
2018 onwards5 Jan 2018 to 2 Nov 2026−5.3%+13.9%−0.180.66−53.9%0.93−15.7% (−2.34)
Last three years3 Nov 2023 to 2 Nov 2026−0.1%+21.8%−0.261.16−20.8%0.35−9.3% (−1.22)
Last year7 Nov 2025 to 2 Nov 2026+9.2%+14.2%0.540.84−7.4%0.08+4.6% (0.45)
DateCompanyAction
21 Aug 2026TXNMBought
21 Aug 2026TECHBought
21 Aug 2026SSACBought
21 Aug 2026ROKUBought
21 Aug 2026OGNBought
21 Aug 2026HUNBought
21 Aug 2026HONABought
21 Aug 2026HONBought
21 Aug 2026FDXFBought
21 Aug 2026CMCSABought
21 Aug 2026AVATBought
21 Aug 2026AESBought
22 May 2026WSTNBought
22 May 2026VALBought
22 May 2026UNFBought
22 May 2026RNABought
22 May 2026PENBought
22 May 2026MMTXBought
22 May 2026MCGABought
22 May 2026LHXBought
22 May 2026FDXBought
22 May 2026CZRBought
22 May 2026BBought
20 Feb 2026UCFIBought
20 Feb 2026MKLYBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026RNASold
21 Aug 2026PLMKSold
21 Aug 2026MACISold
21 Aug 2026KDPSold
21 Aug 2026BSAASold
22 May 2026TASKSold
22 May 2026KMBSold
22 May 2026KHCSold
22 May 2026CSXSold
22 May 2026CMCSASold
20 Feb 2026PPLISold
20 Feb 2026IBACSold
21 Nov 2025UCFISold
21 Nov 2025PSXSold
21 Nov 2025BRSLSold
15 Aug 2025GMHSSold
15 Aug 2025BDXSold
15 Aug 2025BALLSold
21 Feb 2025VALESold
21 Feb 2025SIMOSold
21 Feb 2025MGRCSold
21 Feb 2025FLDSold
21 Feb 2025CPRISold
21 Feb 2025BAXSold
21 Feb 2025ACISold

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