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

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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 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.
Book with name hedge fund and trading data.

designer491

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 9/6/2022

iM-Top10(of 40 Large Hedge Funds)
Action Ticker Shares Name
SELL ADBE 67 Adobe, Inc.
BUY QCOM 192 QUALCOMM, Inc.
iM-Top50(of 40 Large Hedge Funds)
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 9/13/2022


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

Current Portfolio 9/2/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(AAPL) 179 10.03% $27,890 08/22/22 ($30,109) ($2,219)
(ADBE) 67 8.87% $24,665 08/08/22 ($29,199) ($4,533)
(CHTR) 67 9.81% $27,278 08/22/22 ($29,707) ($2,429)
(DHR) 103 9.98% $27,750 06/13/22 ($25,190) $26 $2,586
(INCY) 411 10.38% $28,856 08/22/22 ($30,326) ($1,470)
(MA) 87 10.10% $28,063 05/02/22 ($27,266) ($3,816) $37 ($2,982)
(SCHW) 416 10.53% $29,261 08/08/22 ($28,585) $92 $768
(TDG) 50 10.81% $30,060 05/23/22 ($28,158) $925 $2,827
(TSM) 321 9.34% $25,969 08/08/22 ($28,268) ($2,299)
(V) 140 9.96% $27,686 12/07/20 ($30,865) $1,269 $360 ($1,549)

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

Current Portfolio 9/2/2022 Cash Flow
Ticker Number of Shares Weight Value now Open Date Open Costs Rebal Costs | Return Dividends Received Gain to date
(AAPL) 24 2.09% $3,739 01/04/16 ($2,109) $4,982 $269 $6,881
(ADBE) 9 1.86% $3,313 01/04/16 ($2,118) $3,218 $4,414
(ALTR) 69 1.88% $3,358 08/22/22 ($3,714) ($357)
(AMT) 14 1.97% $3,512 01/04/16 ($2,033) $1,727 $480 $3,686
(AMZN) 30 2.14% $3,825 01/04/16 ($1,913) $3,912 $5,825
(APP) 140 1.89% $3,373 05/30/22 ($3,147) ($2,402) ($2,176)
(BRK.B) 13 2.02% $3,610 05/23/22 ($4,343) $144 ($589)
(BSX) 96 2.18% $3,887 02/24/20 ($3,949) $152 $90
(CHTR) 8 1.82% $3,257 08/22/22 ($3,547) ($290)
(CNI) 32 2.10% $3,744 05/23/22 ($4,410) $819 $23 $175
(COUP) 55 1.76% $3,134 08/19/19 ($3,549) ($3,491) ($3,906)
(CRM) 20 1.72% $3,074 05/22/17 ($2,315) $840 $1,599
(CRWD) 20 1.93% $3,449 05/26/20 ($4,210) $5,621 $4,860
(DHR) 13 1.96% $3,502 08/19/19 ($3,547) $3,433 $54 $3,442
(DOCU) 57 1.74% $3,104 08/24/20 ($5,118) ($4,258) ($6,272)
(ELV) 8 2.16% $3,856 02/28/22 ($4,503) $854 $29 $237
(FATE) 133 1.99% $3,554 02/16/21 ($6,499) ($3,851) ($6,796)
(FIS) 38 1.92% $3,419 08/22/22 ($3,724) ($305)
(FISV) 44 2.50% $4,463 11/18/19 ($3,209) ($1,830) ($576)
(FOLD) 396 2.54% $4,538 05/23/22 ($4,407) $1,277 $1,408
(GFS) 62 2.01% $3,589 08/22/22 ($3,680) ($92)
(GOOGL) 34 2.05% $3,667 01/04/16 ($2,281) $2,932 $4,318
(INCY) 45 1.77% $3,159 02/28/22 ($4,566) $1,507 $100
(INTU) 8 1.88% $3,360 02/19/19 ($3,523) $3,219 $112 $3,168
(KMX) 39 1.91% $3,415 05/24/21 ($5,377) $721 ($1,241)
(MA) 11 1.99% $3,548 01/04/16 ($2,088) $2,636 $144 $4,241
(MCO) 12 1.91% $3,413 01/04/16 ($2,044) $2,791 $259 $4,419
(META) 22 1.98% $3,527 01/04/16 ($2,047) ($928) $553
(MSFT) 16 2.29% $4,097 01/04/16 ($2,085) $3,882 $366 $6,260
(MU) 62 1.96% $3,492 08/22/22 ($3,634) ($142)
(NFLX) 17 2.15% $3,844 01/04/16 ($2,092) $687 $2,439
(NOW) 8 1.95% $3,476 11/19/18 ($2,825) $3,001 $3,652
(NVDA) 21 1.61% $2,866 02/24/20 ($3,830) $6,951 $16 $6,003
(QCOM) 24 1.73% $3,084 08/24/20 ($5,106) $3,168 $238 $1,384
(SCHW) 58 2.29% $4,080 02/28/22 ($4,555) ($526) $24 ($978)
(SGEN) 24 2.05% $3,656 01/04/16 ($2,099) $2,907 $4,465
(SNOW) 26 2.50% $4,459 02/16/21 ($6,487) ($89) ($2,117)
(SPGI) 10 1.95% $3,476 05/23/22 ($4,544) $976 $20 ($72)
(TDG) 6 2.02% $3,607 01/04/16 ($2,071) $2,572 $1,023 $5,131
(TMO) 8 2.44% $4,348 05/23/22 ($4,446) $2 ($95)
(TMUS) 28 2.23% $3,975 05/23/22 ($4,395) $704 $285
(TSLA) 18 2.72% $4,864 05/26/20 ($4,098) $10,984 $11,749
(TSM) 43 1.95% $3,479 11/22/21 ($6,768) $1,599 $61 ($1,629)
(UBER) 137 2.23% $3,980 05/23/22 ($4,358) $1,350 $972
(UNH) 7 2.02% $3,614 05/22/17 ($2,274) $3,836 $314 $5,492
(UNP) 17 2.13% $3,807 05/23/22 ($4,331) $670 $48 $194
(V) 17 1.88% $3,362 01/04/16 ($2,046) $1,693 $170 $3,179
(W) 71 1.98% $3,527 11/23/20 ($5,390) ($5,138) ($7,001)
(WDAY) 25 2.22% $3,964 05/26/20 ($4,213) $159 ($91)

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
8.2K 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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