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Funds (13F)

Winton Group Ltd

Backtest from 8 Aug 2014 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+12.3%
S&P 500 +13.7%
Last 12 months
+16.1%
S&P 500 +12.1%
Sharpe ratio
0.62
S&P 500 0.73
Biggest drop
−37.1%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2014201620182020202220242026 $48.0k$41.3k
Winton Group LtdS&P 500 $10,000 in Winton Group Ltd from 8 Aug 2014 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Winton Group Ltd'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.

Winton Group Ltd's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+12.3%+13.7%
Total return+313%+380%
Last 12 months+16.1%+12.1%
Last 3 months−1.2%—
Last month−0.3%—
This year so far+11.2%—
Volatility a year17.9%16.4%
Sharpe ratio0.620.73
Biggest drop−37.1%−31.8%
Beta to the S&P 5001.021.00
Alpha a year (t-statistic)−1.2% (−0.68)—
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
SOLS1.6%——
KLAC1.6%——
MAS1.2%——
CME1.1%——
CSX1.1%——
INCY1.1%——
ENTG1.1%——
CRWD1.1%——
PSA1.1%——
AES1.0%——
POWL1.0%——
CVNA0.9%——
SF0.8%——
BKNG0.8%——
MLI0.8%——
MSM0.7%——
ECG0.7%——
NVDA0.6%——
WFC0.6%——
AMZN0.6%——
WDC0.6%——
AVGO0.6%——
V0.6%——
GOOGL0.6%——
GEV0.6%——
VLO0.6%——
META0.6%——
SLB0.6%——
KR0.6%——
CIEN0.6%——
TTWO0.6%——
MELI0.6%——
GXO0.6%——
MDLN0.6%——
ADP0.6%——
SPOT0.6%——
CCJ0.5%——
TMO0.5%——
HUM0.5%——
CZR0.5%——
SNDK0.5%——
UBER0.5%——
UCTT0.5%——
HAL0.5%——
DASH0.5%——
NOW0.5%——
MCD0.5%——
GS0.5%——
COHR0.5%——
DKS0.5%——
WMT0.5%——
TDG0.5%——
SLAB0.5%——
C0.4%——
GEHC0.4%——
AIG0.4%——
JBL0.4%——
CAH0.4%——
VRT0.4%——
EPAM0.4%——
MMSI0.4%——
CNR0.4%——
BTSG0.4%——
SYK0.4%——
TREX0.4%——
SNEX0.4%——
TSEM0.4%——
DLR0.4%——
DLTR0.4%——
PIPR0.4%——
BE0.4%——
HWM0.3%——
MPC0.3%——
DXCM0.3%——
SHOP0.3%——
PSX0.3%——
SIRI0.3%——
TSLA0.3%——
VGNT0.3%——
HUT0.3%——
STX0.3%——
ACHC0.3%——
VIK0.3%——
RAL0.3%——
PFGC0.3%——
PNFP0.3%——
ANET0.3%——
PGNY0.3%——
LGN0.3%——
LYB0.3%——
ADSK0.3%——
FRPT0.3%——
OGN0.3%——
NTNX0.3%——
CRDO0.3%——
MATX0.3%——
FTRE0.3%——
QBTS0.3%——
ZM0.3%——
CURB0.3%——
CDW0.3%——
CART0.3%——
HSIC0.3%——
PL0.3%——
DECK0.2%——
QXO0.2%——
EQX0.2%——
LPLA0.2%——
CUZ0.2%——
HIW0.2%——
ILMN0.2%——
MU0.2%——
SAM0.2%——
PAYC0.2%——
RLI0.2%——
RIOT0.2%——
JKHY0.2%——
KEY0.2%——
AMT0.2%——
FND0.2%——
RKT0.2%——
DPZ0.2%——
FCN0.2%——
WULF0.2%——
HIMS0.2%——
MTB0.2%——
EXPE0.2%——
BMNR0.2%——
OLED0.2%——
EXEL0.2%——
MTG0.2%——
THG0.2%——
MTD0.2%——
AIT0.2%——
TTAN0.2%——
OLLI0.2%——
DRH0.2%——
DELL0.2%——
FUN0.2%——
UDR0.2%——
GME0.2%——
OKLO0.2%——
SYF0.2%——
KRG0.2%——
NVST0.2%——
IQV0.2%——
WSFS0.2%——
WEX0.2%——
BNY0.2%——
VNT0.2%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest8 Aug 2014 to 2 Nov 2026+12.3%+13.7%0.620.73−37.1%1.02−1.2% (−0.68)
2018 onwards5 Jan 2018 to 2 Nov 2026+11.4%+13.9%0.510.66−37.1%1.02−2.1% (−0.86)
Last three years3 Nov 2023 to 2 Nov 2026+18.8%+21.8%0.891.16−20.6%0.96−1.6% (−0.34)
Last year7 Nov 2025 to 2 Nov 2026+17.1%+14.2%0.940.84−8.3%0.89+3.8% (0.45)
DateCompanyAction
14 Aug 2026ZTSBought
14 Aug 2026ZMBought
14 Aug 2026ZIMBought
14 Aug 2026ZETABought
14 Aug 2026YETIBought
14 Aug 2026XPERBought
14 Aug 2026XMAXBought
14 Aug 2026XELBought
14 Aug 2026XEBought
14 Aug 2026WYFIBought
14 Aug 2026WULFBought
14 Aug 2026WSFSBought
14 Aug 2026WPCBought
14 Aug 2026WORBought
14 Aug 2026WOLFBought
14 Aug 2026WMTBought
14 Aug 2026WHRBought
14 Aug 2026WFCBought
14 Aug 2026WEXBought
14 Aug 2026WESTBought
14 Aug 2026WCCBought
14 Aug 2026WAYBought
14 Aug 2026WBought
14 Aug 2026VSHBought
14 Aug 2026VSECBought

Dated at the rebalance that made the change.

DateCompanyAction
14 Aug 2026ZYMESold
14 Aug 2026ZBRASold
14 Aug 2026ZBHSold
14 Aug 2026YMMSold
14 Aug 2026YELPSold
14 Aug 2026WYNNSold
14 Aug 2026WTWSold
14 Aug 2026WTISold
14 Aug 2026WTSold
14 Aug 2026WSSold
14 Aug 2026WRBYSold
14 Aug 2026WPMSold
14 Aug 2026WMSSold
14 Aug 2026WMGSold
14 Aug 2026WMBSold
14 Aug 2026WLYSold
14 Aug 2026WLKSold
14 Aug 2026WINASold
14 Aug 2026WGSSold
14 Aug 2026WEAVSold
14 Aug 2026WDAYSold
14 Aug 2026WALSold
14 Aug 2026WAFDSold
14 Aug 2026VZSold
14 Aug 2026VYXSold

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