undamentalytics Newsletter
Sign in

Our variants

Insider buying: Dollar value, above 200-day average, all $300m+, 25 holdings, traded next day

Backtest from 1 Apr 2010 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+15.6%
S&P 500 +13.8%
Last 12 months
+1.8%
S&P 500 +12.1%
Sharpe ratio
0.66
S&P 500 0.79
Biggest drop
−39.7%
S&P 500 −31.8%
$10.0k$20.0k$40.0k$80.0k 201020122014201620182020202220242026 $111k$85.9k
StrategyS&P 500 $10,000 in Insider buying: Dollar value, above 200-day average, all $300m+, 25 holdings, traded next day from 1 Apr 2010 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes.

About

Each month, buys the companies whose insiders (officers, directors, large holders) made the largest open-market purchases, by the rule in the label, using only Form 4 filings already public at the rebalance. Costs of 10 basis points a trade are deducted.

Insider backtests →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+15.6%+13.8%
Total return+1013%+759%
Last 12 months+1.8%+12.1%
Last 3 months−5.7%—
Last month−3.4%—
This year so far−7.5%—
Volatility a year23.5%16.1%
Sharpe ratio0.660.79
Biggest drop−39.7%−31.8%
Beta to the S&P 5000.981.00
Alpha a year (t-statistic)+3.1% (0.73)—
Share of weeks up61%—

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
AAT4.0%——
ABCL4.0%——
BDSX4.0%——
BWFG4.0%——
CODI4.0%——
CRBG4.0%——
CV4.0%——
DINO4.0%——
FBIN4.0%——
FTK4.0%——
GLP4.0%——
GME4.0%——
HELP4.0%——
HHH4.0%——
HOG4.0%——
KURA4.0%——
MSM4.0%——
MTDR4.0%——
NGL4.0%——
PFE4.0%——
PNFP4.0%——
RSG4.0%——
TXO4.0%——
VSTS4.0%——
WELL4.0%——

Equal weight at the latest rebalance, rebuilt every month.

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest1 Apr 2010 to 2 Nov 2026+15.6%+13.8%0.660.79−39.7%0.98+3.1% (0.73)
2018 onwards5 Jan 2018 to 2 Nov 2026+14.9%+13.9%0.520.66−39.7%0.96+3.5% (0.46)
Last three years3 Nov 2023 to 2 Nov 2026+15.2%+21.8%0.561.16−23.9%1.01−4.3% (−0.46)
Last year7 Nov 2025 to 2 Nov 2026+4.3%+14.2%0.120.84−13.4%0.86−6.1% (−0.34)
DateCompanyAction
2 Nov 2026RSGBought
2 Nov 2026PNFPBought
2 Nov 2026MTDRBought
2 Nov 2026MSMBought
2 Nov 2026GLPBought
2 Nov 2026FBINBought
2 Nov 2026CVBought
1 Oct 2026VSTSBought
1 Oct 2026INBXBought
1 Oct 2026HOGBought
1 Oct 2026HHHBought
1 Oct 2026HELPBought
1 Oct 2026GMEBought
1 Oct 2026FTKBought
1 Oct 2026ELVBought
1 Oct 2026DINOBought
1 Oct 2026CRBGBought
1 Oct 2026BWFGBought
1 Oct 2026BDSXBought
1 Oct 2026AVOBought
1 Oct 2026AMEBought
1 Oct 2026ABCLBought
1 Sept 2026XRNBought
1 Sept 2026WELLBought
1 Sept 2026TXOBought

Dated at the rebalance that made the change.

DateCompanyAction
2 Nov 2026INTCSold
2 Nov 2026INBXSold
2 Nov 2026FSBCSold
2 Nov 2026ENRSold
2 Nov 2026ELVSold
2 Nov 2026AVOSold
2 Nov 2026AMESold
1 Oct 2026XRNSold
1 Oct 2026RSGSold
1 Oct 2026RDNSold
1 Oct 2026NSPSold
1 Oct 2026NMMSold
1 Oct 2026NDAQSold
1 Oct 2026LWAYSold
1 Oct 2026IFFSold
1 Oct 2026GLPSold
1 Oct 2026ECLSold
1 Oct 2026CGONSold
1 Oct 2026CBIOSold
1 Oct 2026AUPHSold
1 Oct 2026AMRSold
1 Oct 2026AIISold

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