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

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

Watch this strategy
Return a year
+13.3%
S&P 500 +13.8%
Last 12 months
−3.7%
S&P 500 +12.1%
Sharpe ratio
0.44
S&P 500 0.79
Biggest drop
−55.4%
S&P 500 −31.8%
$10.0k$20.0k$40.0k$80.0k 201020122014201620182020202220242026 $85.9k$78.9k
StrategyS&P 500 $10,000 in Insider buying: Dollar value, above 200-day average, all $300m+, 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)+13.3%+13.8%
Total return+689%+759%
Last 12 months−3.7%+12.1%
Last 3 months−8.6%—
Last month−8.9%—
This year so far−16.2%—
Volatility a year37.1%16.1%
Sharpe ratio0.440.79
Biggest drop−55.4%−31.8%
Beta to the S&P 5000.971.00
Alpha a year (t-statistic)+3.9% (0.47)—
Share of weeks up55%—

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
AAT10.0%——
CRBG10.0%——
CV10.0%——
FTK10.0%——
GME10.0%——
HELP10.0%——
MSM10.0%——
NGL10.0%——
RSG10.0%——
TXO10.0%——

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+13.3%+13.8%0.440.79−55.4%0.97+3.9% (0.47)
2018 onwards5 Jan 2018 to 2 Nov 2026+13.2%+13.9%0.380.66−55.4%0.94+7.1% (0.47)
Last three years3 Nov 2023 to 2 Nov 2026+3.8%+21.8%0.121.16−43.7%1.13−14.6% (−1.01)
Last year7 Nov 2025 to 2 Nov 2026−0.7%+14.2%0.000.84−29.7%1.13−11.1% (−0.40)
DateCompanyAction
2 Nov 2026TXOBought
2 Nov 2026RSGBought
2 Nov 2026MSMBought
2 Nov 2026CVBought
1 Oct 2026NGLBought
1 Oct 2026INTCBought
1 Oct 2026HELPBought
1 Oct 2026GMEBought
1 Oct 2026FTKBought
1 Oct 2026FSBCBought
1 Oct 2026CRBGBought
1 Oct 2026AVOBought
1 Sept 2026TXOBought
1 Sept 2026RSGBought
1 Sept 2026NMMBought
1 Sept 2026IFFBought
1 Sept 2026ENRBought
1 Sept 2026CGONBought
1 Sept 2026CBIOBought
1 Sept 2026AUPHBought
1 Sept 2026AMRBought
1 Sept 2026AATBought

Dated at the rebalance that made the change.

DateCompanyAction
2 Nov 2026INTCSold
2 Nov 2026FSBCSold
2 Nov 2026ENRSold
2 Nov 2026AVOSold
1 Oct 2026TXOSold
1 Oct 2026RSGSold
1 Oct 2026NMMSold
1 Oct 2026IFFSold
1 Oct 2026CGONSold
1 Oct 2026CBIOSold
1 Oct 2026AUPHSold
1 Oct 2026AMRSold

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