Learning from Hedge Funds: 13F Analysis

-

 Institutional Investors with over $100 million in investments are required to file 13F forms with SEC on a quarterly basis. The 13F filings include record the investment changes made by the various investors. Analysis of these filings gives a glimpse of what these big investors are (or more accurately ‘were’) thinking, the securities they are backing, and the securities they are backing out of. Of course, since these are delayed filings, the buy and sell decisions cannot be directly interpreted with current state of the market. None the less it certainly offers opportunity for some healthy analysis.

Bloomberg FLNG command produces useful 13F information aggregated across various cross-section of institutional investors including Banks, Hedge Funds, Family Office etc.  I have run some analysis just focusing on Hedge Funds. Here are a couple of quick results.

Change from last Quarter & Sector Weights for Q1, 2021


Sector

Total Number of Selloffs

Total Number of New-buys and Unchanged positions

New-buys + Unchanged Over Selloffs

Communications

7

26

3.7

Consumer Discretionary

13

40

3.1

Consumer Staples

4

10

2.5

Energy

1

10

10

Financials

5

18

3.6

Health Care

11

42

3.8

Industrials

5

25

5

Information Technology

21

48

2.3

Materials

2

4

2

  

Looking at the number of position selloffs vs. new-buys and unchanged by sector, we see that IT has the lowest ratio. While Energy, Industrial, Health Care and Financial show strong support pointing to strength in cyclicals and reopening play. Looking further at the specific companies that were favored as new-buys or unchanged positions I found the following list

Equity

Number of Hedge Funds that added security as New-Buy

Number of Hedge Funds that kept the position unchanged

BIDU

3

0

GWPH

4

0

LB

3

0

UBER

4

0

WFC

3

0

MA

3

1

VIAC

5

0

DIS

3

1

NFLX

3

2

FB

2

3

GOOGL

1

5

TDG

0

4

V

1

4

AMAT

2

1

WDAY

2

2

 

The Archegos Capital Management liquidation most likely is responsible for the VIAC being one of the top new-buys for Hedge Fund, not to say it isn’t a good investment.

I’ve been running additional analysis to spot some commonalities, fundamental and/or technical, in the securities that were sold vs. the new-buys. These two groups did have 43 equities common. There were several ETFs in these filings that I have excluded from my analysis. More to follow.

Popular posts from this blog

US Treasury Yield Peaks at 15.78%, 40 Years Ago

-
  20-Year US Treasury yield peaked at 15.78% on September 30, 1981 and then fell by a 100bps over the next 6 days, noted Jason Zweig of the Wall Street Journal in a very instructive article “The Biggest Day in Bonds That No One Noticed”. The main takeaway from the article was the extraordinary uncertainty that financial markets are capable of demonstrating; whether it is in following trends longer than expected or reversing trends when least expected. Corporate bonds yield almost doubled in four years, from 7.92% to 15.49% from September, 1977-1981. There was little interest in long-term bonds since investors were expecting interest rates to keep rising, and even short-term money-market funds were yielding 17% or more. But things changed on October 1 st , 1981. The long-term interest started falling and registered 50% decline in 5 years, by September 30, 1986. So are we at another such moment today, 40 years later? And maybe we’re about to witness of the long reign of ultra-low int...
Read more

Hedge Funds Lead Sector Rotation

-
Image
The week of July 19 th has seen massive volatility in equities. The major indices saw a huge drop on Monday, the 19 th  due to fears of COVID Delta variant and stalling growth. But ended the week with all major indexes making record highs.  There has been a lot of discussions on market rotations and growth vs. value debates have filled the news media. Here’s a quick look at some charts to map movement from small-mid cap stocks to large cap, and value vs. growth over the last few months. We’ll see this against the backdrop of 10-year treasury yield. Hedge Funds started this rotation in April : In my previous blog  13F Analysis with Bloomberg Port , I’ve analyzed 2021Q1 13F filings of Hedge Funds. I split the equity filings into three groups - the new-buys, selloffs and no-change stocks.  I combined the new-buys and no-change equities common across 2 or more hedge funds into single portfolio (calling it FLNG_Q121_1), and analyzed it using Bloomberg PORT.  ...
Read more

Event-driven Trading Strategies

-
Image
  Event-driven trading strategies take advantage of temporary mispricing in securities on account of, or in anticipation of a corporate or market event including Fed action, debt / corporate restructuring, merger and acquisitions, FDA approvals / new product announcements, law suits including anti-trust proceedings, change in government regulations and tariffs. Potentially, there could be huge returns resulting from the temporary dislocation in event-driven security prices. However a successful execution of this strategy requires thorough due-diligence, expertise in the corporation’s primary industry, knowledge of the market and geographic region of operation, and considerable legal expertise. The risks associated with this strategy include: Returns are dependent on successful prediction of catalyst events to occur as forecasted, and in timely fashion.  Changes in the event status or delays could adversely affect the security prices, and  consequently the expected ret...
Read more