V - Outperforming The S&P 500 By Trading The Top 10 Stocks From 40 Large Hedge Funds
- Using the quarterly 13F filings, we define a stock universe by extracting the 50 consensus stocks from 40 large hedge funds, each fund with more than $3.5 billion Assets Under Management.
- Instead of holding a portfolio of all 50 stocks, a rule based trading strategy periodically selects 10 stocks.
- From 02/24/08 to 03/05/21, this trading strategy would have produced an annualized return CAGR of 22.3%, significantly more than the 10.5% CAGR of the S&P 500 ETF.
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Outperforming The S&P 500 By Trading The Top 10 Stocks From 40 Large Hedge Funds