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Backtest

D. E. Shaw & Co., Inc.

What you'd have made by mirroring D. E. Shaw & Co., Inc.'s public 13F filings, starting with $10,000 on Aug 14, 2024 and rebalancing at every disclosure through May 31, 2026.

8 filings replayed3508 of 4925 CUSIPs mapped to tickers3082 closed trades3200 still open
Benchmark
SPYIWMQQQEFAAGG
MSCI EAFE — Developed ex-US

Equity curve

$10,000 mirrored · vs EFA
$9.0k$10k$11k$12k$13k$14k$15k$16k20252026
Mirror portfolio$10k in EFA
Mirror — final
$15.34K
EFA — final
$14.04K
Mirror return
+53.4%
Excess return vs EFA
+13.1%

Risk profile

Weekly mirror returns vs EFA · rf ≈ 4%
Sharpe
1.49
Max drawdown
-16.7%
Beta vs EFA
0.33
Information ratio
0.33
CAGR
+26.9%
Volatility (ann.)
15.4%
Sortino
1.48
α (Jensen, ann.)
+17.5%
Tracking error
18.4%
Upside capture
72%
Downside capture
47%
Window
1.8y

Drawdown

Underwater curve — distance below running peak
-15%-10%-5%0%-16.7%20252026

Largest drawdown: -16.7% from 2025-02-19 to 2025-04-16 · recovered 2025-07-02.

Style decomposition

R² 44% · 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)
+0.54
Size tilt
+0.47✓
Growth tilt
+0.14
International tilt
-0.17
Bond tilt
+0.12
α (style-adjusted)
+12.4%
R²
44%
α t-stat
1.38
Observations
94

Rolling 1y alpha

Trailing 52w mirror return − EFA return
-20%-10%0%+10%+20%avg +1.5%now +10.0%2026

Whether the headline alpha was earned recently or decades ago. Bands above the zero line are quarters where the mirror beat EFA 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$50$100$150$200$250DOCU +$17XPEV +$17SMH +$11IVV +$1020252026
Realized P&L
+$228.63
Closed trades
3,082
Win rate
41%
Avg return / closed
+7.2%

Biggest closed trades

IssuerEntryExitHeldReturnP&L
DOCUSIGN INC
DOCU
Q3 2024Q2 20253Q+63%+$123.68M
XPENG INC
XPEV
Q3 2024Q2 20267Q+134%+$123.01M
VANECK ETF TRUST
SMH
Q1 2025Q1 20264Q+62%+$75.03M
ISHARES TR
IVV
Q1 2026Q2 20261Q+9%+$68.75M
VANECK ETF TRUST
GDX
Q4 2025Q1 20261Q+33%+$56.82M
LPL FINL HLDGS INC
LPLA
Q3 2024Q2 20267Q+39%+$54.25M
FRESHPET INC
FRPT
Q3 2024Q1 20266Q-46%−$47.18M
INCYTE CORP
INCY
Q3 2024Q2 20267Q+56%+$41.7M
FIRST HORIZON CORPORATION
FHN
Q3 2024Q1 20252Q+48%+$40.48M
ARM HOLDINGS PLC
ARM
Q3 2024Q3 20254Q+12%+$39.58M

Every trade · entry date × return

Bubble = position size at entry
-50%-25%0%+25%+50%+100%+200%+500%SNDK · +3188%PL · +1900%BW · +1819%20252026
PositiveNegativeStill open (marked to market)
Best closed pick
PRAX +568%
Worst closed pick
BIGGQ -92%
Total trades
6,282
Open trades
3,200