Trading The Top 10 Stocks From 40 Large Hedge Funds: Trading Update 6/11/2022

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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.
  • From 1/2/2016 to date investing in all 50 stocks, equally weighted, would have produced a total return of 73.6%, an active return of -40.4% when compared to SPY’s 114.0%.
  • A strategy selecting 10 of the 50 stocks, equally weighted, would have increased the total return to 168.3%, an active return of 54.26% when compared to SPY.
  • Here we report the most recent holdings and the trading signals for 6/13/2022.

Book with name hedge fund and trading data.

designer491/iStock via Getty Images

The 13F filings for Q1-2022 were completed by May 15, hence we updated the universe of the consensus stocks from 40 large hedge fund. The change in holdings are seen in the trading signals for iM-Top50(of 40 Large Hedge Funds), see below.

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:

Relative Performance of models

iMarketSignals

Trade Signals for 6/13/2022

iM-Top10(of 40 Large Hedge Funds)
Ticker Action Shares Name
(MCO) SELL 87 Moody’s Corp.
(MSFT) SELL 111 Microsoft Corp.
(AAPL) BUY 188 Apple Inc.
(DHR) BUY 103 Danaher 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 6/19/2022


Holdings for iM-Top10(of 40 Large Hedge Funds) as of 6/10/2022

Current Portfolio 5/20/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(BBWI) 531 7.53% $20,544 02/28/22 ($30,285) $2,564 ($7,176)
(CHTR) 65 11.41% $31,137 04/18/22 ($30,231) ($3,876) ($2,970)
(INCY) 361 9.91% $27,032 02/28/22 ($30,799) $7,377 $3,610
(MA) 76 9.37% $25,550 05/02/22 ($27,266) ($1,716)
(MCO) 87 9.23% $25,166 04/11/22 ($29,208) $61 ($3,980)
(MSFT) 111 10.28% $28,034 04/18/22 ($31,162) $69 ($3,059)
(NFLX) 147 10.04% $27,393 05/16/22 ($27,760) ($366)
(QCOM) 218 10.52% $28,689 08/02/21 ($32,635) $2,794 $423 ($729)
(SCHW) 421 9.77% $26,641 05/16/22 ($27,054) ($413)
(V) 140 10.21% $27,864 12/07/20 ($30,865) $1,269 $308 ($1,424)

Holdings for iM-Top50(of 40 Large Hedge Funds) as of 6/10/2022

Current Portfolio 6/10/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(AAPL) 31 2.45% $4,251 01/04/16 ($2,109) $3,910 $264 $6,315
(ADBE) 10 2.27% $3,938 01/04/16 ($2,118) $2,765 $4,586
(AMT) 18 2.60% $4,518 01/04/16 ($2,033) $731 $461 $3,678
(AMZN) 3 0.19% $329 01/04/16 ($1,913) $6,594 $5,010
(ANTM) 13 3.61% $6,277 02/28/22 ($4,503) ($1,408) $29 $395
(APP) 164 3.41% $5,922 05/30/22 ($3,147) ($3,613) ($838)
(BBWI) 170 3.32% $5,760 02/28/22 ($4,533) ($3,169) $17 ($1,926)
(BRK.B) 21 3.53% $6,126 05/23/22 ($4,343) ($2,192) ($409)
(BSX) 162 3.47% $6,031 02/24/20 ($3,949) ($2,273) ($190)
(CNI) 39 2.47% $4,288 05/23/22 ($4,410) $23 ($99)
(COUP) 91 3.17% $5,496 08/19/19 ($3,549) ($5,684) ($3,736)
(CRM) 35 3.60% $6,246 05/22/17 ($2,315) ($1,779) $2,151
(CRWD) 40 3.90% $6,773 05/26/20 ($4,210) $2,491 $5,053
(DASH) 95 3.40% $5,907 05/30/22 ($3,127) ($3,845) ($1,065)
(DHR) 24 3.48% $6,036 08/19/19 ($3,547) $542 $50 $3,081
(DIS) 59 3.38% $5,865 08/24/20 ($5,102) ($1,702) ($940)
(DOCU) 77 2.92% $5,077 08/24/20 ($5,118) ($5,436) ($5,477)
(FATE) 273 3.11% $5,408 02/16/21 ($6,499) ($6,726) ($7,817)
(FISV) 44 2.39% $4,151 11/18/19 ($3,209) ($1,830) ($888)
(FOLD) 557 2.68% $4,651 05/23/22 ($4,407) $244
(GOOGL) 2 2.56% $4,446 01/04/16 ($2,281) $2,292 $4,458
(INCY) 87 3.53% $6,125 02/28/22 ($4,566) ($1,401) $158
(INTU) 16 3.51% $6,100 02/19/19 ($3,523) $60 $106 $2,742
(KMX) 47 2.60% $4,513 05/24/21 ($5,377) ($863)
(MA) 18 3.47% $6,026 01/04/16 ($2,088) $334 $139 $4,411
(MCO) 23 3.62% $6,284 01/04/16 ($2,044) ($206) $251 $4,285
(META) 34 3.44% $5,969 01/04/16 ($2,047) ($2,902) $1,021
(MSFT) 16 2.33% $4,048 01/04/16 ($2,085) $3,882 $356 $6,201
(NFLX) 22 2.32% $4,025 01/04/16 ($2,092) ($411) $1,523
(NOW) 13 3.54% $6,151 11/19/18 ($2,825) $721 $4,047
(NVDA) 35 3.42% $5,941 02/24/20 ($3,830) $4,661 $16 $6,788
(QCOM) 46 3.53% $6,127 08/24/20 ($5,106) $182 $220 $1,424
(RIVN) 214 3.49% $6,069 05/30/22 ($3,131) ($3,328) ($390)
(SCHW) 92 3.30% $5,724 02/28/22 ($4,555) ($2,620) $11 ($1,440)
(SGEN) 33 2.65% $4,600 01/04/16 ($2,099) $1,661 $4,163
(SHOP) 18 3.61% $6,272 11/18/19 ($3,233) ($1,696) $1,343
(SNOW) 50 3.52% $6,121 02/16/21 ($6,487) ($2,768) ($3,133)
(SPGI) 13 2.49% $4,326 05/23/22 ($4,544) $11 ($207)
(TDG) 10 3.35% $5,811 01/04/16 ($2,071) $215 $912 $4,867
(TMO) 8 2.43% $4,215 05/23/22 ($4,446) ($231)
(TMUS) 34 2.56% $4,437 05/23/22 ($4,395) $42
(TSLA) 6 2.41% $4,180 05/26/20 ($4,098) $10,984 $11,066
(TSM) 69 3.52% $6,119 11/22/21 ($6,768) ($675) $44 ($1,280)
(UBER) 185 2.53% $4,388 05/23/22 ($4,358) $30
(UNH) 13 3.63% $6,300 05/22/17 ($2,274) $991 $303 $5,320
(UNP) 20 2.43% $4,222 05/23/22 ($4,331) $26 ($82)
(V) 30 3.45% $5,985 01/04/16 ($2,046) ($854) $164 $3,249
(W) 111 3.29% $5,722 11/23/20 ($5,390) ($6,918) ($6,586)
(WDAY) 40 3.44% $5,971 05/26/20 ($4,213) ($2,074) ($316)

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
8.1K 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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