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iM Update* – August 28, 2020
Posted in pmp paid update
Profiting from the Consensus Stock Holdings of Ten Large Hedge Funds (iM-10LargeHedgeFundSelect)
- This is a copycat trading strategy based on the quarterly 13F filings of 10 large hedge funds with assets under management (AUM) greater than $3.5-Billion.
- The algorithm looks at the top 20 largest holdings from each of the 10 filers and then picks the 15 most frequently held stocks among all of the filers.
- The model selects 12 of the 15 consensus picks from this hedge fund group with a ranking system based on quality.
- Changes in the holdings occur only every three months, about 45 days after the end of a quarter when 13F filings become public information, February, May, August, and November.
- From Feb-2008 to Aug-2020 this strategy would have produced an annualized return (CAGR) of 27.6%, significantly more than the 10.1% CAGR of the S&P 500 ETF (SPY) over this period.
With reference to Section 202(a)(11)(D) of the Investment Advisers Act:
We are Engineers and not Investment Advisers,
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