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Funds (13F)

Worldquant Millennium Advisors LLC

Backtest from 17 Aug 2018 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+13.9%
S&P 500 +14.3%
Last 12 months
+16.9%
S&P 500 +12.1%
Sharpe ratio
0.63
S&P 500 0.67
Biggest drop
−33.0%
S&P 500 −31.8%
$10.0k$20.0k 201820192020202120222023202420252026 $30.0k$29.2k
StrategyS&P 500 $10,000 in Worldquant Millennium Advisors LLC from 17 Aug 2018 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Worldquant Millennium Advisors 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.

Worldquant Millennium Advisors LLC's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+13.9%+14.3%
Total return+192%+200%
Last 12 months+16.9%+12.1%
Last 3 months+1.5%—
Last month−1.0%—
This year so far+14.6%—
Volatility a year19.0%18.1%
Sharpe ratio0.630.67
Biggest drop−33.0%−31.8%
Beta to the S&P 5001.031.00
Alpha a year (t-statistic)−0.6% (−0.48)—
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
AAPL5.6%——
NVDA4.7%——
MSFT2.7%——
AMZN2.6%——
GOOGL2.3%——
MU1.9%——
META1.4%——
INTU1.4%——
TSLA1.3%——
JPM1.3%——
AVGO1.2%——
INTC1.1%——
ISRG0.9%——
KLAC0.8%——
ICE0.8%——
C0.8%——
REGN0.8%——
AMD0.8%——
TXN0.8%——
CMI0.8%——
FTNT0.8%——
RTX0.8%——
ABT0.7%——
MMM0.7%——
MA0.7%——
T0.7%——
PEP0.7%——
TJX0.7%——
COST0.7%——
TER0.7%——
RBLX0.7%——
LLY0.7%——
WDC0.6%——
GM0.6%——
MCK0.6%——
LRCX0.6%——
CSCO0.6%——
LOW0.6%——
NOC0.6%——
CME0.6%——
NTRA0.6%——
BAC0.6%——
GILD0.6%——
BKNG0.6%——
SCHW0.5%——
Q0.5%——
AMGN0.5%——
FDX0.5%——
APH0.5%——
CI0.5%——
MDT0.5%——
ROK0.5%——
AZO0.5%——
VLO0.5%——
DOW0.5%——
CAT0.5%——
GE0.5%——
CVX0.5%——
TMUS0.5%——
AMP0.4%——
WMT0.4%——
GD0.4%——
BA0.4%——
BMY0.4%——
ZTS0.4%——
TEAM0.4%——
EME0.4%——
URI0.4%——
ANET0.4%——
KEYS0.4%——
EXPE0.4%——
ADP0.4%——
OXY0.4%——
PGR0.4%——
ITW0.4%——
CPRT0.3%——
MS0.3%——
JNJ0.3%——
UAL0.3%——
XYL0.3%——
LVS0.3%——
CASY0.3%——
LHX0.3%——
AMT0.3%——
OTIS0.3%——
BE0.3%——
CVS0.3%——
CDNS0.3%——
SNDK0.3%——
CBRE0.3%——
GIS0.3%——
GEV0.3%——
KO0.3%——
TT0.3%——
FLEX0.3%——
RMD0.3%——
SYF0.3%——
LNG0.3%——
KR0.3%——
NET0.3%——
STT0.3%——
STE0.3%——
CLX0.3%——
LYV0.3%——
CTAS0.3%——
SOFI0.3%——
LII0.3%——
SPG0.3%——
WFC0.3%——
PLTR0.3%——
A0.3%——
STX0.3%——
UNH0.3%——
ALL0.3%——
CNC0.3%——
EQIX0.3%——
SNOW0.3%——
COF0.2%——
IRM0.2%——
TGT0.2%——
NEM0.2%——
MPWR0.2%——
QCOM0.2%——
ORLY0.2%——
TROW0.2%——
NTAP0.2%——
RSG0.2%——
PPL0.2%——
APD0.2%——
P0.2%——
SPGI0.2%——
CHTR0.2%——
ELV0.2%——
INCY0.2%——
AFRM0.2%——
RS0.2%——
GS0.2%——
HPQ0.2%——
PEG0.2%——
UHS0.2%——
ADM0.2%——
BKR0.2%——
MO0.2%——
EFX0.2%——
TRMB0.2%——
EMR0.2%——
AIG0.2%——
GEN0.2%——
SO0.2%——
CVNA0.2%——

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

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest17 Aug 2018 to 2 Nov 2026+13.9%+14.3%0.630.67−33.0%1.03−0.6% (−0.48)
Last three years3 Nov 2023 to 2 Nov 2026+23.3%+21.8%1.271.16−16.1%0.96+1.9% (1.04)
Last year7 Nov 2025 to 2 Nov 2026+19.0%+14.2%1.300.84−7.0%0.86+5.4% (1.58)
DateCompanyAction
21 Aug 2026XYZBought
21 Aug 2026WUBought
21 Aug 2026WTMBought
21 Aug 2026WTFCBought
21 Aug 2026WMBought
21 Aug 2026WHRBought
21 Aug 2026WHBought
21 Aug 2026WEXBought
21 Aug 2026VTRBought
21 Aug 2026VNOMBought
21 Aug 2026VKTXBought
21 Aug 2026VIAVBought
21 Aug 2026VFCBought
21 Aug 2026UTHRBought
21 Aug 2026UIBought
21 Aug 2026UBERBought
21 Aug 2026UBought
21 Aug 2026TXRHBought
21 Aug 2026TUBought
21 Aug 2026TTEKBought
21 Aug 2026TSCOBought
21 Aug 2026TMOBought
21 Aug 2026TLNBought
21 Aug 2026THOBought
21 Aug 2026TFIIBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZSSold
21 Aug 2026WSOSold
21 Aug 2026WPMSold
21 Aug 2026WIXSold
21 Aug 2026WINGSold
21 Aug 2026VRTSold
21 Aug 2026VRSKSold
21 Aug 2026VEEVSold
21 Aug 2026UWMCSold
21 Aug 2026TYLSold
21 Aug 2026TTWOSold
21 Aug 2026TRPSold
21 Aug 2026TREXSold
21 Aug 2026TKRSold
21 Aug 2026SYKSold
21 Aug 2026SOLVSold
21 Aug 2026SLMSold
21 Aug 2026SHCSold
21 Aug 2026SFMSold
21 Aug 2026RVTYSold
21 Aug 2026RACESold
21 Aug 2026PRMBSold
21 Aug 2026PCTYSold
21 Aug 2026OWLSold
21 Aug 2026OLNSold

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