Our variants
Insider buying: Conviction model, all $300m+, above 200-day average
Backtest from 4 Jan 2013 to 2 Nov 2026 · weekly · hypothetical
- Return a year
- +2.1% S&P 500 +14.5%
- Last 12 months
- +12.7% S&P 500 +12.1%
- Sharpe ratio
- 0.14 S&P 500 0.82
- Biggest drop
- −64.5% S&P 500 −31.8%
About
Scores every insider purchase with a model of the trade, the insider and the company, fitted each year on earlier years only, and holds the best-scoring companies. Costs of 10 basis points a trade are deducted.
Key statistics
| Measure | Strategy | S&P 500 |
|---|---|---|
| Return a year (compound) | +2.1% | +14.5% |
| Total return | +34% | +552% |
| Last 12 months | +12.7% | +12.1% |
| Last 3 months | −2.7% | — |
| Last month | +7.3% | — |
| This year so far | +13.8% | — |
| Volatility a year | 25.8% | 15.7% |
| Sharpe ratio | 0.14 | 0.82 |
| Biggest drop | −64.5% | −31.8% |
| Beta to the S&P 500 | 1.01 | 1.00 |
| Alpha a year (t-statistic) | −9.4% (−1.72) | — |
| Share of weeks up | 53% | — |
Insights
| Period | Return a year | S&P 500 | Sharpe | S&P 500 | Biggest drop | Beta | Alpha (t) |
|---|---|---|---|---|---|---|---|
| Whole backtest4 Jan 2013 to 2 Nov 2026 | +2.1% | +14.5% | 0.14 | 0.82 | −64.5% | 1.01 | −9.4% (−1.72) |
| 2018 onwards5 Jan 2018 to 2 Nov 2026 | −4.0% | +13.9% | −0.09 | 0.66 | −64.5% | 0.99 | −14.4% (−1.92) |
| Last three years3 Nov 2023 to 2 Nov 2026 | −3.8% | +21.8% | −0.18 | 1.16 | −46.4% | 0.98 | −20.5% (−1.53) |
| Last year7 Nov 2025 to 2 Nov 2026 | +9.8% | +14.2% | 0.35 | 0.84 | −14.8% | 0.34 | +4.6% (0.20) |