13F Analysis – Part 2

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 I’ve been analyzing the Q1 13F filings of Hedge Funds. In the last blog we looked at the top new equity buys and selloffs of hedge funds. We also analyzed them by sector to observe that Energy, Industrials, Health Care and Financial showed strong support pointing to strength in cyclicals and reopening play.

Next my goal was to analyze the new-buys, selloffs and no-change stocks with various fundamental and technical factors to find any commonality. But I was not able to find any discerning differences in the respective means for those factors across these three groups – NewBuys, SellOffs and Static (no-change). I combine NewBuys and Static as one to see if there is any difference against SellOffs, and couldn’t find anything significant. Next I considered high conviction new-buys and selloffs – meaning equities that have 2 or more buyers or sellers. Still no significant difference. Here are some results.

Chart 1 – Boxplot of last 3 month returns for the 3 groups NewBuys, SellOffs and Static (no-change)

Chart 2: Boxplot of EPS Surprise for Q1, 2021 across the 3 groups
Chart 3: Boxplot of Sales Surprise for Q1, 2021 across the 3 groups

A few reasons for this lack of winning differentiators

  • These equities were picked due to idiosyncratic factors that may not run across the whole group outside of something general like sectors
  • I’ve just tried a handful of factors, and have missed a differentiating factor
  • There is a need for a composite factor or factors to reflect group characteristics    

So I plan to create a portfolio of the high conviction NewBuys and Static equities and analyze it using Bloomberg Port function to uncover some useful trait.  

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