Trading The Top 10 Stocks From 40 Large Hedge Funds: Trading Update 5/15/2022

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Georg Vrba
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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 Assets Under Management.
  • After the Q4-2021 13F filings the consensus holdings were updated, 7 stocks were removed and 7 added from the universe now holds 48 stocks.
  • From 1/2/2016 to date investing in all 50 stocks, equally weighted, would have produced a total return of 89.0%, an active return of -31.6% when compared SPY’s 110.6%.
  • A strategy selecting 10 of the 50 stocks, equally weighted, would have increased the total return to 181.7%, an active return of 61.1% when compared to SPY.
  • Here we report the most recent holdings and the trading signals for 5/16/2022.

Book with name hedge fund and trading data.

designer491/iStock via Getty Images

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:

Relartive Performance

iMarketSignals.com

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 5/16/2022

iM-Top10(of 40 Large Hedge Funds)
Ticker Action Shares Name
DHR SELL 110 Danaher Corp
MU SELL 445 Micron Technology Inc.
NFLX BUY 147 Netflix Inc
SCHW BUY 421 Schwab (Charles) Corp
iM-Top50(of 40 Large Hedge Funds)
Ticker Action Shares Name
No Trades

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 5/22/2022


Holdings for iM-Top10(of 40 Large Hedge Funds) as of 5/13/2022

Current Portfolio 5/13/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(BBWI) 531 9.61% $27,086 02/28/22 ($30,285) $2,564 ($634)
(CHTR) 65 10.88% $30,640 04/18/22 ($30,231) ($3,876) ($3,466)
(DHR) 110 9.73% $27,411 04/04/22 ($31,931) ($4,520)
(INCY) 361 9.60% $27,039 02/28/22 ($30,799) $7,377 $3,617
(MA) 76 8.98% $25,293 05/02/22 ($27,266) ($1,973)
(MCO) 87 8.92% $25,140 04/11/22 ($29,208) ($4,068)
(MSFT) 111 10.29% $28,984 04/18/22 ($31,162) ($2,178)
(MU) 445 11.36% $32,004 04/18/22 ($31,676) $328
(QCOM) 218 10.44% $29,415 08/02/21 ($32,635) $2,794 $423 ($3)
(V) 140 9.90% $27,892 12/07/20 ($30,865) $1,269 $308 ($1,396)

Holdings for iM-Top50(of 40 Large Hedge Funds) as of 5/13/2022

Current Portfolio 5/13/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(AAPL) 22 1.71% $3,236 01/04/16 ($2,109) $5,187 $264 $6,578
(ADBE) 10 2.14% $4,055 01/04/16 ($2,118) $2,765 $4,702
(ALGN) 14 2.04% $3,857 11/22/21 ($6,726) ($1,218) ($4,087)
(AMT) 18 2.22% $4,188 01/04/16 ($2,033) $731 $461 $3,348
(AMZN) 2 2.39% $4,522 01/04/16 ($1,913) $2,037 $4,647
(ANTM) 10 2.57% $4,865 02/28/22 ($4,503) $13 $374
(APP) 91 1.90% $3,591 08/23/21 ($6,110) $452 ($2,067)
(BBWI) 85 2.29% $4,336 02/28/22 ($4,533) ($197)
(BSX) 87 1.83% $3,450 02/24/20 ($3,949) $700 $202
(CHTR) 8.1 2.03% $3,836 01/04/16 ($2,133) $869 $2,572
(COUP) 52 2.01% $3,804 08/19/19 ($3,549) ($2,875) ($2,620)
(CRM) 21 1.85% $3,505 05/22/17 ($2,315) $806 $1,996
(CRWD) 22 1.82% $3,438 05/26/20 ($4,210) $5,518 $4,746
(DASH) 52 2.03% $3,833 05/24/21 ($5,623) ($281) ($2,071)
(DHR) 20 2.64% $4,984 08/19/19 ($3,547) $1,596 $50 $3,084
(DIS) 35 1.99% $3,757 08/24/20 ($5,102) $902 ($444)
(DOCU) 43 1.80% $3,404 08/24/20 ($5,118) ($2,553) ($4,267)
(FATE) 163 2.09% $3,948 02/16/21 ($6,499) ($4,243) ($6,794)
(FB) 20 2.10% $3,972 01/04/16 ($2,047) ($191) $1,735
(FIS) 50 2.55% $4,825 08/19/19 ($3,476) ($3,323) $147 ($1,827)
(FISV) 44 2.24% $4,231 11/18/19 ($3,209) ($1,830) ($808)
(GOOGL) 3 3.68% $6,963 01/04/16 ($2,281) $4,682
(INCY) 67 2.65% $5,018 02/28/22 ($4,566) $452
(INTU) 12 2.36% $4,461 02/19/19 ($3,523) $1,654 $106 $2,697
(KMX) 47 2.28% $4,308 05/24/21 ($5,377) ($1,069)
(MA) 12 2.11% $3,994 01/04/16 ($2,088) $2,507 $139 $4,552
(MCO) 17 2.60% $4,912 01/04/16 ($2,044) $1,364 $239 $4,471
(MSFT) 16 2.21% $4,178 01/04/16 ($2,085) $3,882 $347 $6,322
(MTCH) 41 1.68% $3,178 02/28/22 ($4,589) ($1,411)
(MU) 51 1.94% $3,668 02/28/22 ($4,527) $5 ($854)
(NFLX) 22 2.18% $4,128 01/04/16 ($2,092) ($411) $1,626
(NOW) 7 1.68% $3,169 11/19/18 ($2,825) $3,684 $4,027
(NVDA) 20 1.87% $3,541 02/24/20 ($3,830) $7,494 $15 $7,220
(PYPL) 47 1.96% $3,705 02/21/17 ($2,209) $963 $2,459
(QCOM) 30 2.14% $4,048 08/24/20 ($5,106) $2,448 $197 $1,588
(RIVN) 104 1.47% $2,777 02/28/22 ($4,854) ($1,446) ($3,523)
(SCHW) 54 1.87% $3,543 02/28/22 ($4,555) $11 ($1,002)
(SGEN) 33 2.37% $4,476 01/04/16 ($2,099) $1,661 $4,039
(SHOP) 10 2.13% $4,025 11/18/19 ($3,233) $1,208 $1,999
(SNAP) 130 1.70% $3,218 11/22/21 ($6,427) ($3,209)
(SNOW) 24 2.01% $3,801 02/16/21 ($6,487) $593 ($2,094)
(TDG) 6 1.79% $3,383 01/04/16 ($2,071) $2,710 $912 $4,934
(TSLA) 6 2.44% $4,618 05/26/20 ($4,098) $10,984 $11,503
(TSM) 36 1.73% $3,275 11/22/21 ($6,768) $2,419 $44 ($1,031)
(UNH) 9 2.31% $4,369 05/22/17 ($2,274) $2,953 $303 $5,351
(V) 20 2.11% $3,985 01/04/16 ($2,046) $1,287 $164 $3,389
(W) 60 1.82% $3,440 11/23/20 ($5,390) ($3,977) ($5,927)
(WDAY) 20 1.93% $3,646 05/26/20 ($4,213) $1,141 $574

Appendix A

Hedge Fund Filers:

  1. Akre Capital Management LLC
  2. Alkeon Capital Management LLC
  3. Altimeter Capital Management, LP
  4. Aristotle Capital Management, LLC
  5. Baker Bros. Advisors LP
  6. Barings LLC
  7. Calamos Advisors LLC
  8. Capital International Ltd
  9. Citadel Advisors LLC
  10. Coatue Management LLC
  11. D. E. Shaw & Company, Inc.
  12. Disciplined Growth Investors Inc
  13. DSM Capital Partners LLC
  14. Echo Street Capital Management LLC
  15. FMR LLC
  16. Fort Washington Investment Advisors Inc
  17. GW&K Investment Management, LLC
  18. Hitchwood Capital Management LP
  19. Jennison Associates LLC
  20. King Luther Capital Management Corp
  21. Kohlberg Kravis Roberts & Company LP
  22. Lone Pine Capital LLC
  23. Loomis Sayles & Company LP
  24. Matrix Capital Management Company, LP
  25. Meritage Group LP
  26. Panagora Asset Management Inc
  27. Perceptive Advisors LLC
  28. Pinebridge Investments, LP
  29. Redmile Group, LLC
  30. Renaissance Technologies LLC
  31. Riverbridge Partners LLC
  32. Ruane, Cunniff & Goldfarb LP
  33. Steadfast Capital Management LP
  34. TCI Fund Management Ltd
  35. Tiger Global Management LLC
  36. Verition Fund Management LLC
  37. Viking Global Investors LP
  38. Westfield Capital Management Company LP
  39. Whale Rock Capital Management LLC
  40. Winslow Capital Management, LLC

This article was written by

Georg Vrba profile picture
8.04K Followers
Georg Vrba is a professional engineer who has been a consulting engineer for many years. In his opinion, mathematical models provide better guidance to market direction than financial "experts." He has developed financial models for the stock market, the bond market, yield curve, gold, silver and recession prediction, most of which are updated weekly at http://imarketsignals.com/.
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Disclosure: I/we have no stock, option or similar derivative position in any of the companies mentioned, and no plans to initiate any such positions within the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it. I have no business relationship with any company whose stock is mentioned in this article.

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