Only 21% of active 13F funds beat the S&P 500 over five years

The question is simple: take every active 13F filer with five full years of history, compound the quarterly returns of the positions it disclosed, and compare the result with the S&P 500 over the same twenty quarters. The answer is that 20.8% of 3,769 funds beat the index and 79.2% did not.

The average is lower than the index too. The median fund returned +46.1% and the mean +60.8% against the index's +74.5%. The middle half of funds sits between +28% and +69%. The tails are long: the top tenth returned more than +101%, 20 funds returned more than +400%, and 9.4% of funds lost money over five years in which the index rose three quarters.

Weighting does not change the headline. If every fund had held its positions in equal size, 19.4% would have beaten the index instead of 20.8%. The picks and the sizing both trail the index for most funds.

Take only the 3,769 funds with five years of filings and score them over one, three and five years. Over the year to June 30, 2026, 35.2% beat the index (+20.9%). Over three years, 30.4% (index +68.5%). Over five, 20.8% (index +74.5%). Every extension of the window removes about a third of the survivors.

The direction of the leakage is one way. 12.1% of funds beat the index over three years but not over five; only 2.6% beat it over five but not three. 18.2% beat it over both, and 14.1% beat it over one, three and five years at once. A three-year record that starts in mid-2023 sees only the rally; the five-year record has to carry 2022 as well.

Calendar 2022 is the quarter of the five-year window that separates it from the three-year one. The S&P 500 fell 9.3% that year. The median active fund's disclosed book fell 9.9%, 45% of funds beat the index during the year, and only 6.8% made money. Beating the index in a down year turned out to be a modest predictor of the full five years: 23% of the funds that beat the index in 2022 beat it over five years, against 19% of those that trailed in 2022.

The quarter-by-quarter chart in section 9 shows the same pattern across all six down quarters of the window: active books win when the index falls and lose when it rises, and the index rose in fourteen of the twenty quarters.

StockDrifts' star rating is a percentile of the weighted three-year return, so over three years the rating and the result are the same thing: every fund rated three and a half stars or better beat the index, no fund rated two and a half or below did. Over five years the rating is being tested on eight quarters it did not see. 80% of five-star funds beat the index over five years, 80% of four-and-a-half-star funds, 68% of four-star funds, and the share falls to 22% at three stars and 1% at one. The median five-star fund returned +144% over five years, the median one-star fund +16%.

Sort the funds by the value of the positions they disclose and the median five-year return rises with every step. Funds under $100m: median +21%, 14% beat the index, 34% lost money. Funds between $2bn and $10bn: median +50%, 26% beat. Funds over $50bn: median +75%, 52% beat, none negative.

Two readings fit. The generous one is that scale buys research. The plainer one is that a window led by a handful of mega-cap stocks rewards the books that have to hold them; a $50bn fund cannot avoid Nvidia, Microsoft and Amazon, and a $100m fund can. The next study in this series, where the top funds are overweight, shows the top-rated funds hold 58% of their dollars in mega-caps against 41% for the bottom-rated.

Size and concentration together: funds over $1bn with a top-20 share under 50% had a median of +53% and 25% beat the index; funds under $1bn with a top-20 share over 50% had a median of +43% and 11% beat.

Funds holding 15 positions or fewer had the lowest median five-year return (+18%), the highest share of five-star records (18%) and by far the highest share of losses: 38% lost money over five years. Their bottom tenth returned −60% or worse; their top tenth more than +116%.

The 16-to-30 band had the highest beat rate (25%) and a median of +40%, but still 16% negative. From 61 positions upward the medians settle between +48% and +53%, and the share of negative funds drops below 4%. The widest books, 301 to 1,000 names, had the highest median of all at +53%.

Rank the funds by how much of the book sits in the top 20 positions and split them into fifths. Over three years the median barely moved with concentration; over five years it does. The least concentrated fifth returned a median +52% and 27% of it beat the index; the most concentrated fifth returned a median +31% and 20% beat. In the most concentrated fifth, 26% of funds lost money over five years, against 6% in the least concentrated, while its share of five-star records (16%) is still the highest of the five.

The 10th percentile falls from +16% in the least concentrated fifth to −42% in the most concentrated; the 90th percentile rises only from +106% to +116%. Over a window with a bear market in it, concentration bought more downside than upside.

Every fund's book can be scored two ways: as the manager sized it, and as if every position were the same size. The gap between the two is what sizing added. Across all 3,769 five-year funds the median gap is +1.2% points and sizing hurt 44% of funds. By rating, the gap runs in a straight line: one-star funds −1.9% points (sizing hurt 58% of them), three-star funds +3.2%, four-star funds +4.2%, four-and-a-half-star funds +10.9%, five-star funds +24.3% points, with sizing hurting only 24% of them.

Read this as a decomposition rather than a cause: the rating is a percentile of the sized three-year return, so funds whose largest positions happened to be their best positions are rated higher by construction. The five-year window softens that: eight of its twenty quarters were not in the rating, and the pattern holds. Among funds that beat the index over five years, sizing added a median +7.8% points; among funds that trailed it, +0.3%. At the index line, sizing changed the verdict for about one fund in ten: 3.9% of funds beat the index equal-weighted but not as sized, and 5.3% the reverse.

Count the quarters in which each fund's book beat the index. Funds that beat it over the full five years won a median 11 of 20 quarters; funds that trailed won a median 7. Only 1.6% of funds won fourteen or more quarters, and 98% of those beat the index over the five years. At the other end, 28% of funds won six quarters or fewer.

The beaters were not all steady. 38% of the funds that beat the index over five years won half the quarters or fewer: they were carried by a few large quarters rather than by consistent outperformance.

The quarterly pattern also shows when active books win: when the index falls. In the six quarters in which the S&P 500 fell, an average of 57% of funds beat it; in the fourteen quarters in which it rose, 34%. The two quarters of the 2022 drawdown (Q1 and Q2) had 61% and 50% of funds ahead of the index; the two strongest quarters of the window, Q1 2026 (+14.9%) and Q3 2023 (+11.2%), had 27% and 35%.

The strongest five-year records among funds with at least $250m disclosed, eight or more positions, and no single quarter above +150%. That last filter matters over five years: the raw leaderboard is topped by SPAC and convertible-arbitrage filers whose disclosed books show one quarter of several thousand percent when warrants or units re-price, which is an artifact of the filing rather than a return; 13 five-year funds are removed by it. The equal-weighted column is the same book with every position the same size, so a large gap means the fund's biggest positions were its best ones. Every name links to its StockDrifts investor page.

The list is led by FengHe, a Singapore manager of a US technology supply-chain book, Jeffrey Gendell's Tontine, and the semiconductor specialist Analog Century. Polar Capital is the largest book on the list at $42bn.

Search all 5,251 funds in the universe. Returns are the manager-weighted return of the disclosed book to June 30, 2026 over five, three and one years; five-year figures are blank for funds with fewer than 20 quarters. The same table, with equal-weighted returns and the single-quarter flag, is in the CSV download.

StockDrifts tracks 10,803 13F filers. 8,725 filed for the June 30, 2026 quarter. 6,522 carry a rating and 5,865 of those have at least 12 quarters of history behind it. Removing filers with more than 1,000 positions leaves 5,414; removing index managers, custodian banks, market makers, multi-manager quant platforms, pensions, insurers, sovereign funds and corporate holders leaves the 5,251 active pickers in this study. 3,769 of them have the full twenty quarters the five-year figures need; 5,004 have the twelve the three-year figures need. By rating group: 767 four- and five-star, 996 three- and three-and-a-half-star, 3,488 one- to two-and-a-half-star.