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Backtest

TWO SIGMA INVESTMENTS, LP

What you'd have made by mirroring TWO SIGMA INVESTMENTS, LP's public 13F filings, starting with $10,000 on Aug 14, 2024 and rebalancing at every disclosure through May 31, 2026.

8 filings replayed3841 of 5469 CUSIPs mapped to tickers3172 closed trades3679 still open
Benchmark
SPYIWMQQQEFAAGG
S&P 500 — US large-cap broad market

Equity curve

$10,000 mirrored · vs SPY
$10k$11k$12k$13k$14k$15k20252026
Mirror portfolio$10k in SPY
Mirror — final
$14.51K
SPY — final
$14.21K
Mirror return
+45.1%
Excess return vs SPY
+3.1%

Risk profile

Weekly mirror returns vs SPY · rf ≈ 4%
Sharpe
1.40
Max drawdown
-13.8%
Beta vs SPY
0.99
Information ratio
0.25
CAGR
+23.1%
Volatility (ann.)
13.6%
Sortino
1.42
α (Jensen, ann.)
+1.7%
Tracking error
5.8%
Upside capture
103%
Downside capture
100%
Window
1.8y

Drawdown

Underwater curve — distance below running peak
-10%-5%0%-13.8%20252026

Largest drawdown: -13.8% from 2025-02-19 to 2025-04-16 · recovered 2025-07-02.

Style decomposition

R² 50% · 94 weekly obs

Multivariate regression of weekly mirror excess return on five style factors built from the benchmark ETFs: SPY (market), IWM−SPY (size), QQQ−SPY (growth), EFA−SPY (international), AGG−SPY (bonds). The intercept is the “true alpha” after stripping these passive tilts. ✓ marks loadings whose |t-stat| ≥ 2 (≈ 95% confidence the loading is non-zero).

Market (β)
+0.51✓
Size tilt
+0.48✓
Growth tilt
-0.16
International tilt
-0.13
Bond tilt
+0.06
α (style-adjusted)
+10.7%
R²
50%
α t-stat
1.42
Observations
94

Rolling 1y alpha

Trailing 52w mirror return − SPY return
-5%0%+5%avg +3.1%now -2.6%2026

Whether the headline alpha was earned recently or decades ago. Bands above the zero line are quarters where the mirror beat SPY on a trailing-year basis; bands below are quarters where it lost ground. A flat positive line = steady outperformance; a curve that crosses often = regime-dependent strategy.

Realized P&L · closed trades

Cumulative profit from positions opened and later sold
$0$100$200$300$400$500$600APP +$206AVGO +$62GILD +$36NRG +$2920252026
Realized P&L
+$559.96
Closed trades
3,172
Win rate
31%
Avg return / closed
+4.3%

Biggest closed trades

IssuerEntryExitHeldReturnP&L
APPLOVIN CORP
APP
Q3 2024Q3 20254Q+412%+$866.96M
BROADCOM INC
AVGO
Q3 2024Q4 20255Q+120%+$261.07M
GILEAD SCIENCES INC
GILD
Q3 2024Q3 20254Q+66%+$150.29M
NRG ENERGY INC
NRG
Q3 2024Q4 20255Q+104%+$121.87M
VANECK ETF TRUST
GDX
Q3 2024Q4 20255Q+108%+$121.19M
AFFIRM HLDGS INC
AFRM
Q3 2024Q2 20267Q+148%+$72.47M
PARKER-HANNIFIN CORP
PH
Q3 2024Q4 20255Q+46%+$70.38M
ARCELORMITTAL SA LUXEMBOURG
MT
Q3 2024Q2 20267Q+183%+$60.89M
ABBOTT LABS
ABT
Q3 2024Q4 20255Q+22%+$53.55M
TORONTO DOMINION BK ONT
TD
Q3 2024Q1 20266Q+73%+$51.44M

Every trade · entry date × return

Bubble = position size at entry
-50%-25%0%+25%+50%+100%+200%+500%AXTI · +4293%BE · +2167%AAOI · +2029%20252026
PositiveNegativeStill open (marked to market)
Best closed pick
APP +412%
Worst closed pick
SYRS -98%
Total trades
6,851
Open trades
3,679