Trading The Top 10 Stocks From 40 Large Hedge Funds: Trading Update 8/7/2022

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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 Q1-2022 13F filings the consensus holdings were updated, 10 stocks were removed and 8 added from the universe now holds 46 stocks.
  • A strategy selecting 10 of the 50 stocks, equally weighted, would have increased the total return to 198.1%, an active return of 70.4% when compared to SPY.
  • Here we report the most recent holdings and the trading signals for 8/8/2022.

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 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 rationale, 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 8/8/2022

iM-Top10 (of 40 Large Hedge Funds)
Ticker Action Shares Name
INCY SELL 360 Incyte Corp
AAPL SELL 188 Apple Inc
NFLX SELL 132 Netflix Inc
TSM BUY 321 Taiwan Semiconductor Mnfg. Co Ltd
ADBE BUY 67 Adobe Inc
SCHW BUY 416 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 8/14/2022


Holdings for iM-Top10(of 40 Large Hedge Funds) as of 8/5/2022

Current Portfolio 8/5/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(AAPL) 188 10.43% $31,086 06/13/22 ($24,955) $43 $6,174
(BBWI) 863 10.82% $32,242 02/28/22 ($30,285) ($8,597) $143 ($6,497)
(DHR) 103 10.02% $29,870 06/13/22 ($25,190) $26 $4,706
(INCY) 360 8.72% $25,978 07/05/22 ($24,414) ($4,034) ($2,471)
(MA) 76 9.12% $27,171 05/02/22 ($27,266) $37 ($58)
(NFLX) 132 10.04% $29,935 05/16/22 ($27,760) $3,291 $5,467
(QCOM) 190 9.57% $28,540 08/02/21 ($32,635) $7,076 $586 $3,567
(TDG) 50 10.71% $31,915 05/23/22 ($28,158) $3,757
(UNP) 136 10.43% $31,092 07/25/22 ($29,435) $1,657
(V) 140 10.14% $30,222 12/07/20 ($30,865) $1,269 $308 $934

Holdings for iM-Top50(of 40 Large Hedge Funds) as of 8/5/2022

Current Portfolio 8/5/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(AAPL) 24 2.00% $3,968 01/04/16 ($2,109) $4,982 $269 $7,110
(ADBE) 9 1.97% $3,901 01/04/16 ($2,118) $3,218 $5,002
(AMT) 14 1.92% $3,811 01/04/16 ($2,033) $1,727 $480 $3,985
(AMZN) 30 2.13% $4,224 01/04/16 ($1,913) $3,912 $6,224
(APP) 102 1.88% $3,719 05/30/22 ($3,147) ($1,420) ($848)
(BBWI) 110 2.08% $4,110 02/28/22 ($4,533) ($659) $17 ($1,065)
(BRK.B) 13 1.92% $3,797 05/23/22 ($4,343) $144 ($402)
(BSX) 96 1.98% $3,930 02/24/20 ($3,949) $152 $134
(CNI) 32 2.05% $4,066 05/23/22 ($4,410) $819 $23 $497
(COUP) 55 2.12% $4,208 08/19/19 ($3,549) ($3,491) ($2,832)
(CRM) 20 1.92% $3,803 05/22/17 ($2,315) $840 $2,329
(CRWD) 20 1.93% $3,823 05/26/20 ($4,210) $5,621 $5,235
(DASH) 50 2.03% $4,015 05/30/22 ($3,127) ($1,205) ($318)
(DHR) 13 1.90% $3,770 08/19/19 ($3,547) $3,433 $54 $3,710
(DIS) 36 1.94% $3,839 08/24/20 ($5,102) $645 ($618)
(DOCU) 57 2.08% $4,123 08/24/20 ($5,118) ($4,258) ($5,253)
(ELV) 8 1.92% $3,801 02/28/22 ($4,503) $854 $29 $182
(FATE) 133 2.24% $4,445 02/16/21 ($6,499) ($3,851) ($5,905)
(FISV) 44 2.36% $4,668 11/18/19 ($3,209) ($1,830) ($372)
(FOLD) 396 2.44% $4,823 05/23/22 ($4,407) $1,277 $1,693
(GOOGL) 34 2.02% $3,994 01/04/16 ($2,281) $2,932 $4,645
(INCY) 45 1.64% $3,247 02/28/22 ($4,566) $1,507 $188
(INTU) 8 1.89% $3,752 02/19/19 ($3,523) $3,219 $112 $3,560
(KMX) 39 1.95% $3,868 05/24/21 ($5,377) $721 ($788)
(MA) 11 1.99% $3,933 01/04/16 ($2,088) $2,636 $144 $4,625
(MCO) 12 1.88% $3,733 01/04/16 ($2,044) $2,791 $251 $4,731
(META) 22 1.86% $3,676 01/04/16 ($2,047) ($928) $702
(MSFT) 16 2.29% $4,527 01/04/16 ($2,085) $3,882 $356 $6,680
(NFLX) 17 1.95% $3,855 01/04/16 ($2,092) $687 $2,450
(NOW) 8 2.00% $3,959 11/19/18 ($2,825) $3,001 $4,134
(NVDA) 21 2.01% $3,988 02/24/20 ($3,830) $6,951 $16 $7,125
(QCOM) 24 1.82% $3,605 08/24/20 ($5,106) $3,168 $220 $1,888
(RIVN) 113 2.04% $4,031 05/30/22 ($3,131) ($600) $300
(SCHW) 58 2.03% $4,020 02/28/22 ($4,555) ($526) $11 ($1,050)
(SGEN) 24 2.13% $4,219 01/04/16 ($2,099) $2,907 $5,028
(SHOP) 98 2.02% $3,999 11/18/19 ($3,233) $1,208 $1,974
(SNOW) 26 2.17% $4,304 02/16/21 ($6,487) ($89) ($2,272)
(SPGI) 10 1.90% $3,767 05/23/22 ($4,544) $976 $11 $210
(TDG) 6 1.93% $3,830 01/04/16 ($2,071) $2,572 $912 $5,242
(TMO) 8 2.38% $4,722 05/23/22 ($4,446) $2 $279
(TMUS) 28 2.04% $4,048 05/23/22 ($4,395) $704 $357
(TSLA) 6 2.62% $5,187 05/26/20 ($4,098) $10,984 $12,073
(TSM) 43 1.95% $3,860 11/22/21 ($6,768) $1,599 $61 ($1,248)
(UBER) 185 2.99% $5,922 05/23/22 ($4,358) $1,564
(UNH) 7 1.89% $3,745 05/22/17 ($2,274) $3,836 $314 $5,623
(UNP) 17 1.96% $3,887 05/23/22 ($4,331) $670 $26 $252
(V) 17 1.85% $3,670 01/04/16 ($2,046) $1,693 $164 $3,481
(W) 71 2.23% $4,424 11/23/20 ($5,390) ($5,138) ($6,104)
(WDAY) 25 2.04% $4,043 05/26/20 ($4,213) $159 ($11)

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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