Strategy Optimization
Strategy Optimization Library
If we don't blindly copy 13F holdings, but instead apply explainable rules to the disclosed positions, do the results become more robust? This page collects backtested results across four canonical strategies.
456 strategy results across 114 funds and 4 strategies.
Four canonical strategies
Each strategy is run against every 13F filer's disclosed holdings. Metrics shown are post-cost annualized.
Replicate the disclosed 13F portfolio with the standard reporting lag, no active reweighting. Serves as the reference benchmark for every other screen.
Select holdings by historically observable momentum, targeting roughly one quarter of each period's original member count and capping at 20 names. When a period has more than 100 members, pre-rank to the top 50 first.
Select holdings using PE, PB, P/FCF, and EV/EBITDA, again targeting roughly one quarter of each period's members and capping at 20 names. Low cost, transparent, but vulnerable to value traps.
Filter for large-cap, quality, and low-leverage holdings, rank by a composite quality/value/size score, keep the top 20 names, and equal-weight them. Aims to suppress concentration risk while preserving alpha.
How to read this page
Default sort is Sharpe descending, filtered to funds with Alpha > 0 and Max Drawdown ≤ 25%. This favors quality over raw return — toggle the filter off to see the full ranking. Backtests respect the 13F reporting lag (positions only become tradeable after disclosure).
Alpha vs Max Drawdown (Baseline)
114 pointsUpper-right = high alpha but painful drawdown; lower-right = high alpha with low drawdown (ideal). Reference lines at alpha=0 and |DD|=25%.
| Fund / Manager | Annualized | Sharpe |
|---|---|---|
State Street SPDR S&P 500 ETF Trust State Street SPDR S&P 500 | 19.10% | 1.24 |
iShares Trust - iShares Top 20 U.S. Stocks ETF iShares | 24.67% | 1.13 |
ARK Investment Management LLC ARK Investment | 16.25% | 1.12 |
Meridian Fund, Inc. - Meridian Contrarian Fund Meridian Fund | 6.27% | 0.73 |
Patient Capital Management, LLC Patient Capital Management | 11.22% | 0.68 |
Royce & Associates, LP Royce & Associates | 2.42% | 0.66 |
Durable Capital Partners, LP Durable Capital Partners | 5.85% | 0.64 |
Conifer Management, LLC Conifer Management | 7.80% | 0.53 |
Engaged Capital, LLC Engaged Capital | 2.77% | 0.41 |
Backtest details, benchmark choice, lag handling, and disclaimers are documented on the methodology page.
How are these strategies built and backtested? →