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Insider buying: Dollar value, above 200-day average, 500 largest, 25 holdings, traded next day

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

Watch this strategy
Return a year
+12.7%
S&P 500 +13.8%
Last 12 months
+6.4%
S&P 500 +12.1%
Sharpe ratio
0.68
S&P 500 0.79
Biggest drop
−41.5%
S&P 500 −31.8%
$10.0k$20.0k$40.0k$80.0k 201020122014201620182020202220242026 $85.9k$72.1k
StrategyS&P 500 $10,000 in Insider buying: Dollar value, above 200-day average, 500 largest, 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)+12.7%+13.8%
Total return+621%+759%
Last 12 months+6.4%+12.1%
Last 3 months−6.3%—
Last month−2.5%—
This year so far+4.5%—
Volatility a year17.4%16.1%
Sharpe ratio0.680.79
Biggest drop−41.5%−31.8%
Beta to the S&P 5000.951.00
Alpha a year (t-statistic)−0.2% (−0.11)—
Share of weeks up59%—

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
AME5.0%——
AMT5.0%——
CINF5.0%——
CNP5.0%——
CRBG5.0%——
CRM5.0%——
DINO5.0%——
DVN5.0%——
ECL5.0%——
ETR5.0%——
EVRG5.0%——
LIN5.0%——
MO5.0%——
MSCI5.0%——
PFE5.0%——
PNFP5.0%——
RSG5.0%——
WCC5.0%——
WELL5.0%——
WES5.0%——

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+12.7%+13.8%0.680.79−41.5%0.95−0.2% (−0.11)
2018 onwards5 Jan 2018 to 2 Nov 2026+10.3%+13.9%0.450.66−41.5%0.96−2.3% (−0.65)
Last three years3 Nov 2023 to 2 Nov 2026+15.2%+21.8%0.741.16−15.7%0.80−2.2% (−0.40)
Last year7 Nov 2025 to 2 Nov 2026+7.3%+14.2%0.320.84−8.4%0.62−2.4% (−0.26)
DateCompanyAction
2 Nov 2026RSGBought
2 Nov 2026PNFPBought
2 Nov 2026MSCIBought
2 Nov 2026LINBought
2 Nov 2026EVRGBought
2 Nov 2026ETRBought
2 Nov 2026CNPBought
2 Nov 2026CINFBought
2 Nov 2026AMTBought
1 Oct 2026WESBought
1 Oct 2026WCCBought
1 Oct 2026QBought
1 Oct 2026NTRSBought
1 Oct 2026MOBought
1 Oct 2026ITTBought
1 Oct 2026ETNBought
1 Oct 2026DVNBought
1 Oct 2026DINOBought
1 Oct 2026CRMBought
1 Oct 2026CRBGBought
1 Sept 2026WELLBought
1 Sept 2026VTRBought
1 Sept 2026VEONBought
1 Sept 2026TTBought
1 Sept 2026RSGBought

Dated at the rebalance that made the change.

DateCompanyAction
2 Nov 2026QSold
2 Nov 2026NTRSSold
2 Nov 2026ITTSold
2 Nov 2026INTCSold
2 Nov 2026FTISold
2 Nov 2026ETNSold
2 Nov 2026ELVSold
1 Oct 2026VTRSold
1 Oct 2026VEONSold
1 Oct 2026TTSold
1 Oct 2026RSGSold
1 Oct 2026PYPLSold
1 Oct 2026OXYSold
1 Oct 2026NDAQSold
1 Oct 2026MELISold
1 Oct 2026ITWSold
1 Oct 2026IFFSold
1 Oct 2026CTSHSold
1 Oct 2026CORSold
1 Oct 2026CINFSold
1 Oct 2026BGSold
1 Oct 2026AVGOSold
1 Oct 2026AMTSold
1 Oct 2026ADBESold
1 Oct 2026ABTSold

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