Share Buybacks— repurchase-announcement tilt
Companies that announce a share-repurchase program (8-K filed with the SEC) tend to modestly out-drift the market over the following year. Each trading day we scan EDGAR for new repurchase 8-Ks across the S&P 500+400, enter the name at the next close (no lookahead), hold ~252 trading days, and mark the equal-weight basket live against SPY. A long-only tracking-error tilt, forward-tracked in shadow mode (no orders).
Backtest (2015-2023, EDGAR 8-K, monthly basket)
⚠️ Long-only tilt, corr 0.94 to SPY — the edge is the +3-5%/yr tracking-error (excess-over-SPY) stream, NOT market-neutral. Backtest carries ~1-2pt survivorship bias; underwrite ~+3%/yr excess. Paper/shadow only — no orders.
Live paper book (current basket vs SPY)
Excess-over-SPY equity of the equal-weight basket. Live paper book; excess = basket total-return minus SPY. Reconstructed pre-inception positions use each name's real post-filing entry price (no lookahead). Data asof 2026-10-19.
Top current holdings (excess since entry)
| Ticker | Entry | Days | Excess vs SPY |
|---|---|---|---|
| TWLO | 2026-02-13 | 248 | +114.4% |
| CRWD | 2026-03-04 | 229 | +111.1% |
| HAE | 2026-05-08 | 164 | +111.0% |
| PANW | 2026-02-12 | 249 | +99.7% |
| OKTA | 2026-01-06 | 286 | +98.5% |
| MU | 2026-03-19 | 214 | +86.8% |
| ILMN | 2026-05-01 | 171 | +86.5% |
| ACN | 2026-06-24 | 117 | +82.4% |
| DINO | 2026-05-20 | 152 | +72.1% |
| HALO | 2026-05-12 | 160 | +68.3% |
| NOW | 2026-04-23 | 179 | +62.7% |
| QLYS | 2026-02-06 | 255 | +59.7% |
| ROKU | 2026-02-13 | 248 | +59.4% |
| NTNX | 2026-04-08 | 194 | +57.4% |
| KEYS | 2025-11-25 | 328 | +57.1% |
Equal-weight basket of S&P 500+400 names filing an 8-K share-repurchase program in the trailing 12 months; each entered at its post-filing close (lookahead-free), held 252 trading days, marked daily vs SPY.