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 2026-08-19.
Top current holdings (excess since entry)
| Ticker | Entry | Days | Excess vs SPY |
|---|---|---|---|
| MU | 2025-09-24 | 329 | +463.1% |
| LITE | 2025-09-09 | 344 | +425.9% |
| CIEN | 2025-09-05 | 348 | +222.2% |
| MRVL | 2025-09-25 | 328 | +165.9% |
| MU | 2026-03-19 | 153 | +93.9% |
| PANW | 2026-01-30 | 201 | +91.6% |
| CRWD | 2026-03-04 | 168 | +85.0% |
| TWLO | 2026-02-13 | 187 | +82.9% |
| FTNT | 2025-08-25 | 359 | +75.8% |
| HAE | 2026-02-06 | 194 | +70.7% |
| DINO | 2025-09-04 | 349 | +69.7% |
| BRKR | 2025-09-09 | 344 | +69.5% |
| FDX | 2025-09-19 | 334 | +61.3% |
| ROKU | 2026-02-13 | 187 | +60.7% |
| QLYS | 2026-02-06 | 194 | +56.5% |
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.