Outperforming the S&P 500 with 50 Consensus Stock Holdings of 40 Large Hedge Funds

  • This investment strategy holds a maximum of 50 consensus stock picks from 40 hedge funds with more than $3,500 million Assets Under Management.
  • Changes in the holdings occur only every three months when the end of the quarter 13F filings becomes public information; the latest date was February 15, 2021.
  • From 02/24/08 – 02/19/21 this strategy would have produced an annualized return (CAGR) of 18.7%, significantly more than the 10.7% CAGR of the S&P 500 ETF (SPY).
  • Here we report the most recent holdings, and also list the stocks removed and added as of the week ending 2/19/2021.

Rational for a Copycat Strategy

Research from Barclay and Novus published in October 2019 found that a stock selection copycat 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.

Therefore, relying on the stock picking expertise of professional fund managers should provide superior returns than a “do-it-yourself” strategy for an average investor.

Stock Selection from the Fund Manager Group

Stocks come from the quarterly 13F filings, point in time, approximately 45 days after the end of month filing date of each quarter, typically by the middle of February, May, August and November. Thus, the model is reconstituted with an approximate 45-day lag after the quarter-end, with positions occasionally rebalanced to equally weight.

Hedge funds considered had to have Assets Under Management (AUM) greater than $3.5 billion and to have outperformed the S&P 500 Total Return from 2008, and also over the last 3 years. There were only 40 hedge funds satisfying these criteria, these are listed in Appendix-B.

The top 50 picks from the group are selected according to a “Combined Percent of Portfolio” method by summing each securities percent of portfolio for each filer. Stocks with the highest combined percentage count are picked first.

Historic Performance

The backtest started with the 2007-Q4 data available mid-February 2008 and was performed online at whalewisdom.com which also provides the historic holdings for every quarter. The historic holdings were then transferred to Portfolio 123 as a “Stock Factor”, a listing of dates and tickers and their associated values.

Figure-1 shows the performance of this strategy since February 2008. It would have produced an annualized return of 18.7% with low annual turnover of 75%. The total return is 3-times that of SPY and the average holding period for a position would have been 370 days.

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The model outperformed the benchmark SPY every year except for 2016, as can be seen from the table below.

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Investment Risk

In the table below are the risk statistics from 2008 to 2021 for the model relative to the benchmark S&P 500 (SPY). It is evident from the risk measures that the trading strategy carries less risk than investing in SPY over the longer term. The positive alpha indicates that this strategy would have outperformed its risk-adjusted benchmark return on average by 7.2% per year.

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Current holdings

The model currently holds 48 stocks which are listed in Appendix-A.


The analysis shows that a hedge fund copycat strategy which typically holds 50 positions would have produced good returns, preferable to a buy-and-hold investment strategy of an index fund tracking the S&P 500. Minimum trading is required, only four times per year when a few stocks are sold and bought, and periodically rebalancing the portfolio to equal weight i.e. each holding to to approximately 2% of portfolio value..

At iMarketSignals one can follow this strategy where the performance is updated weekly and holdings are updated every 3 months. The next holdings update will be middle of May 2021. Holdings’

Appendix A

Current Holdings (as of 2/22/2020)

Ticker Days Held Name Mkt Cap $B Sector Code
AAPL 4746 Apple Inc  2185 TECH
ADBE 2009 Adobe Inc  229 TECH
ADPT 553 Adaptive Biotechnologies Corp  9 HEALTHCARE
ADSK 1190 Autodesk Inc.  67 TECH
AMT 4746 American Tower Corp  101 FINANCIAL
AMZN 2191 Amazon.com Inc  1635 NONCYCLICAL
BBIO 553 BridgeBio Pharma Inc  8 HEALTHCARE
BSX 364 Boston Scientific Corp  54 HEALTHCARE
CHTR 2191 Charter Communications Inc  118 TELECOM
COUP 553 Coupa Software Inc  26 TECH
CP 826 Canadian Pacific Railway Ltd  49 INDUSTRIAL
CRM 1372 salesforce.com Inc  225 TECH
CRWD 272 CrowdStrike Holdings Inc  53 TECH
CSGP 91 CoStar Group Inc  36 TECH
DHR 553 Danaher Corp  164 HEALTHCARE
DIS 182 Walt Disney Co (The)  327 CONSUMERSVCE
DOCU 182 DocuSign Inc.  49 TECH
FATE 0 Fate Therapeutics Inc  10 HEALTHCARE
FB 2744 Facebook Inc  745 TECH
FIS 553 Fidelity National Information Services Inc  81 FINANCIAL
FISV 462 Fiserv Inc.  75 FINANCIAL
FOLD 0 Amicus Therapeutics Inc  3 HEALTHCARE
GOOGL 4746 Alphabet Inc  1410 TECH
GPN 462 Global Payments Inc.  58 FINANCIAL
INTU 734 Intuit Inc.  108 TECH
JPM 1462 JPMorgan Chase & Co  451 FINANCIAL
MA 4746 Mastercard Inc  332 FINANCIAL
MCO 2925 Moody’s Corp.  52 BIZSVCE
MELI 0 MercadoLibre Inc  95 NONCYCLICAL
MSFT 2555 Microsoft Corp  1818 TECH
NFLX 2835 Netflix Inc  239 TECH
NOW 826 ServiceNow Inc  112 TECH
NVDA 364 NVIDIA Corporation  370 TECH
PDD 272 Pinduoduo  166 NONCYCLICAL
PTON 91 Peloton Interactive Inc  41 CYCLICALS
PYPL 1462 PayPal Holdings Inc  336 FINANCIAL
SGEN 3836 Seagen Inc  29 HEALTHCARE
SHOP 462 Shopify Inc  176 TECH
SNOW 0 Snowflake Inc  82 TECH
SQ 91 Square Inc  124 FINANCIAL
TDG 2744 TransDigm Group Inc  33 INDUSTRIAL
TSLA 272 Tesla Inc  750 CYCLICALS
UBER 553 Uber Technologies Inc  103 INDUSTRIAL
UNH 1372 Unitedhealth Group Inc  308 HEALTHCARE
V 4662 Visa Inc  438 FINANCIAL
W 91 Wayfair Inc  28 CYCLICALS
WDAY 272 Workday Inc  66 TECH
Sold after the most recent 13F filing: (22 February 2021)
CNI 166 Canadian National Railway Co
INCY 110 Incyte Corp
KMX 1011 CarMax Inc
TMO 189 Thermo Fisher Scientific Inc
ZM 189 Zoom Video Communications Inc
Bought after the most recent 13F filing: (22 February 2021)
FATE 0 Fate Therapeutics Inc
FOLD 0 Amicus Therapeutics Inc
MELI 0 MercadoLibre Inc
SNOW 0 Snowflake Inc

Portfolio composition:

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Appendix B

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


All results shown are hypothetical and the result of backtesting over the period 2008 to 2021. The future out-of-sample performance may be significantly less if fund managers are not as effective in selecting stocks as they were during the backtest period. No claim is made about future performance.

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One comment on “Outperforming the S&P 500 with 50 Consensus Stock Holdings of 40 Large Hedge Funds
  1. rpm123 says:

    A large portfolio, is it equally weighted, or are the stocks held for 10 years over-weighted by now? Do you have rolling returns you could share? Would a reasonable entry into this model be buying new selections? thanks in advance.

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