13F universe

[DanielBaeumler]

I’m currently reading the Ivy Portfolio. Beside introducing their approach on ETF trading, Faber/Richardson also introduce an other interesting investment idea: Simply buy the same stocks the most successful Hedge Funds do. Each private investor can easily look up institutional fund’s holdings by accessing the EDGAR datebase (https://www.sec.gov/edgar/searchedgar/companysearch.html) of the SEC and downloading their 13F filings. Funds are obliged to file their investments within 45 days after quarter end. Assuming that the vast majority of investors have a mid to long-term perspective, I would use those 13F filings for building up a watchlist to become a premium universe for a MR or TF system.

The downside: I wouldn’t know how to build-up a history for backtesting 10 years or beyond. I would assume it could deliver meaningful results for just 1-2 years.

Has anyone come across those 13F filings or even worked on such an approach?

[LEONARDZIR]

I found this site allocatesmartly.com. They backtest and follow close to 40 strategies including, various Faber strategies as IVY portfolio, Dual momentum of Antonucci, Gem, Permanent portfolio etc. etc. If you sign up for free there is access to a table showing backtest results including CAR and MDD for all the portfolios. It is interesting that almost all the portfolios cluster around a CAR of 6-11%
None of the portfolios come close to the results of US rotational momentum.
You might want to take a look at the table before you spend time trying to code the various strategies.

[DanielBaeumler]

Thanks Len. My idea was actually more to create a watchlist based on the stocks the top 20 or 30 Hedge Funds are holding. I would then create a rotational system but let it run on the new ’13F’ watchlist’ instead of e.g. SPX. My assumption would be that the momentum and stability of those stocks would be higher than stocks selected from a regular universe which should eventually result in better performance. Though, hard to proof since I would not be able to create a ’13F Current&Past’ watchlist.

[Nick Radge]

Quote:

It is interesting that almost all the portfolios cluster around a CAR of 6-11%

That’s because ETFs are inherently ‘less’ risky that owning individual stocks and as such will therefore offer a lower return profile.

Quote:

create a watchlist based on the stocks the top 20 or 30 Hedge Funds are holding.

You’d need to consider the lag and understanding when these holding moved into and out of the filing.

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