CRWD - Trading The Top 10 Stocks From 40 Large Hedge Funds: Trading Update 9/4/2022

Summary

• This portfolio strategy uses the quarterly 13F filings to extract 50 consensus stocks from 40 large hedge funds that have more than $3.5 billion in Assets Under Management.
• From 1/2/2016 to date investing in all 50 stocks, equally weighted, would have produced a total return of 78.5%, an active return of -37.8% when compared to SPY’s 116.3%.
• A strategy selecting 10 of the 50 stocks, equally weighted, would have increased the total return to 178.0%, an active return of 61.6% when compared to SPY.
• Here we report the most recent holdings and the trading signals for 9/6/2022.

Research from Barclays and Novus published in October 2019 found that a copycat stock selection strategy that combines conviction and consensus of fund managers that have longer-term views outperformed the S&P 500 by 3.80% on average annually from Q1 2004 to Q2 2019.

Based on that rational, we previously presented two trading models (in Article-1 and Article-2 ) that use the top 50 consensus stocks of 40 Large Hedge Funds (listed in Appendix A below), that historically outperformed the S&P 500. The iM-Top50(from 40 Hedge Funds) model holds all 50 stocks equally weighted and has a low turnover. The iM-Top10(from 40 Hedge Funds) model holds a subset of 10 stocks, also equally weighted, but with higher turnover which is rewarded by improved returns.

The performance simulation, and generation of trading signals, for these strategies is done using the platform Portfolio123 and reported below. For more comprehensive description of the 50 stock universe please refer to here .

Note: This update is published on Seeking Alpha, editor permitting, only if the model has generated trading signals.

Model Performance:

Note: The iM-Top10VariableWeight model (green line) is an experimental model. It holds the same stocks as the iM-Top10 model put position weights are adjusted to an inverse function of market capitalization, that is the higher the market cap of the stock the lower the position weight. As a consequence it is difficult to trade as market capitalization changes with the stock price.

Trade Signals for 9/6/2022

The models trade on the first trading day of the week. Trading signals are published on a weekly basis here on Seeking Alpha (subject to model trading and editor’s acceptance) and on iMarketSignals. Next update on Sunday 9/13/2022

Holdings for iM-Top10(of 40 Large Hedge Funds) as of 9/2/2022

Holdings for iM-Top50(of 40 Large Hedge Funds) as of 8/19/2022

For further details see: