Trading The Top 10 Stocks From 40 Large Hedge Funds: Trading Update 7/23/2022

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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 84.7%, an active return of -33.2% when compared to SPY’s 117.9%.
  • A strategy selecting 10 of the 50 stocks, equally weighted, would have increased the total return to 187.6%, an active return of 69.9% when compared to SPY.
  • Here we report the most recent holdings and the trading signals for 7/25/2022.
Book with name hedge fund and trading data.

designer491

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 is 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

iMarketSignals

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 7/25/2022

iM-Top10(of 40 Large Hedge Funds)
Ticker Action Shares Name
SCHW SELL 421 Schwab (Charles) Corp
UNP BUY 136 Union Pacific Corp
QCOM Rebalance SELL 28 QUALCOMM Inc.
NFLX Rebalance SELL 15 Netflix Inc
INCY Rebalance BUY 50 Incyte 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 7/31/2022


Holdings for iM-Top10(of 40 Large Hedge Funds) as of 7/22/2022

Current Portfolio 7/22/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(AAPL) 188 10.06% $28,969 06/13/22 ($24,955) $4,014
(BBWI) 863 10.04% $28,885 02/28/22 ($30,285) ($8,597) $143 ($9,854)
(DHR) 103 9.80% $28,206 06/13/22 ($25,190) $26 $3,041
(INCY) 310 8.71% $25,079 07/05/22 ($24,414) $665
(MA) 76 9.08% $26,135 05/02/22 ($27,266) $37 ($1,094)
(NFLX) 147 11.26% $32,405 05/16/22 ($27,760) $4,645
(QCOM) 218 11.64% $33,507 08/02/21 ($32,635) $2,794 $586 $4,252
(SCHW) 421 9.21% $26,519 05/16/22 ($27,054) ($535)
(TDG) 50 10.10% $29,056 05/23/22 ($28,158) $898
(V) 140 10.39% $29,918 12/07/20 ($30,865) $1,269 $308 $630

Holdings for iM-Top50(of 40 Large Hedge Funds) as of 7/22/2022

Current Portfolio 7/22/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(AAPL) 31 2.59% $4,777 01/04/16 ($2,109) $3,910 $264 $6,841
(ADBE) 14 3.05% $5,627 01/04/16 ($2,118) $1,254 $4,763
(AMT) 21 2.95% $5,452 01/04/16 ($2,033) ($74) $480 $3,825
(AMZN) 49 3.25% $5,999 01/04/16 ($1,913) $1,607 $5,692
(APP) 169 3.31% $6,111 05/30/22 ($3,147) ($3,790) ($826)
(BBWI) 200 3.62% $6,694 02/28/22 ($4,533) ($3,658) $17 ($1,480)
(BRK.B) 20 3.10% $5,719 05/23/22 ($4,343) ($1,867) ($491)
(BSX) 147 3.03% $5,604 02/24/20 ($3,949) ($1,783) ($128)
(CNI) 49 3.07% $5,662 05/23/22 ($4,410) ($1,167) $23 $108
(COUP) 92 3.33% $6,158 08/19/19 ($3,549) ($5,909) ($3,300)
(CRM) 33 3.26% $6,022 05/22/17 ($2,315) ($1,470) $2,237
(CRWD) 31 3.08% $5,689 05/26/20 ($4,210) $3,622 $5,101
(DASH) 79 3.14% $5,803 05/30/22 ($3,127) ($3,284) ($609)
(DHR) 22 3.26% $6,024 08/19/19 ($3,547) $983 $54 $3,515
(DIS) 58 3.23% $5,958 08/24/20 ($5,102) ($1,612) ($757)
(DOCU) 87 3.04% $5,607 08/24/20 ($5,118) ($6,150) ($5,660)
(ELV) 11 2.74% $5,056 02/28/22 ($4,503) ($553) $29 $29
(FATE) 133 2.23% $4,128 02/16/21 ($6,499) ($3,851) ($6,222)
(FISV) 44 2.38% $4,394 11/18/19 ($3,209) ($1,830) ($645)
(FOLD) 396 2.19% $4,051 05/23/22 ($4,407) $1,277 $921
(GOOGL) 3 0.18% $324 01/04/16 ($2,281) $6,280 $4,323
(INCY) 69 3.02% $5,582 02/28/22 ($4,566) ($425) $591
(INTU) 14 3.29% $6,086 02/19/19 ($3,523) $661 $112 $3,336
(KMX) 60 3.06% $5,661 05/24/21 ($5,377) ($1,258) ($974)
(MA) 17 3.16% $5,846 01/04/16 ($2,088) $577 $144 $4,480
(MCO) 20 3.20% $5,909 01/04/16 ($2,044) $463 $251 $4,579
(META) 33 3.02% $5,586 01/04/16 ($2,047) ($2,764) $775
(MSFT) 16 2.25% $4,166 01/04/16 ($2,085) $3,882 $356 $6,319
(NFLX) 22 2.63% $4,850 01/04/16 ($2,092) ($411) $2,348
(NOW) 13 3.14% $5,808 11/19/18 ($2,825) $800 $3,783
(NVDA) 35 3.28% $6,062 02/24/20 ($3,830) $4,580 $16 $6,828
(QCOM) 38 3.16% $5,841 08/24/20 ($5,106) $1,028 $220 $1,983
(RIVN) 174 3.06% $5,652 05/30/22 ($3,131) ($2,555) ($34)
(SCHW) 89 3.03% $5,606 02/28/22 ($4,555) ($2,494) $11 ($1,432)
(SGEN) 24 2.23% $4,119 01/04/16 ($2,099) $2,907 $4,928
(SHOP) 176 3.56% $6,574 11/18/19 ($3,233) ($1,647) $1,694
(SNOW) 37 2.86% $5,291 02/16/21 ($6,487) ($1,628) ($2,825)
(SPGI) 16 3.13% $5,791 05/23/22 ($4,544) ($1,152) $11 $106
(TDG) 10 3.15% $5,811 01/04/16 ($2,071) $232 $912 $4,884
(TMO) 8 2.43% $4,492 05/23/22 ($4,446) $2 $49
(TMUS) 40 2.87% $5,299 05/23/22 ($4,395) ($905) ($1)
(TSLA) 6 2.65% $4,900 05/26/20 ($4,098) $10,984 $11,786
(TSM) 64 2.99% $5,524 11/22/21 ($6,768) ($210) $61 ($1,392)
(UBER) 185 2.33% $4,311 05/23/22 ($4,358) ($48)
(UNH) 10 2.82% $5,214 05/22/17 ($2,274) $2,251 $314 $5,506
(UNP) 26 3.00% $5,548 05/23/22 ($4,331) ($1,274) $26 ($31)
(V) 26 3.01% $5,556 01/04/16 ($2,046) ($228) $164 $3,446
(W) 106 2.97% $5,486 11/23/20 ($5,390) ($6,880) ($6,784)
(WDAY) 39 3.12% $5,772 05/26/20 ($4,213) ($1,882) ($323)

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
8.19K 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/.

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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