Systematic 13F hedge fund alpha

Title: Systematic 13F hedge fund alpha
Authors: Iqbal, M
Jivraj, F
Angelini, L
Item Type: Working Paper
Abstract: Institutions holding greater than $100 million in securities are required to disclose their holdings in US listed stocks to the Securities and Exchange Commission (SEC) no later than 45 days after the quarter-end, in a form known as 13F. We show that the "best ideas" of hedge funds produce economically meaningful and statistically significant risk-adjusted returns that outperform the S&P500, following tests identified in Cohen, Polk, and Silli (2010). We construct alternative measures that are more suitable for hedge funds, rather than mutual funds: conviction and consensus. We find that to systematically identify hedge fund alpha in the 13F filings, one must select the right group of managers that have longer-term views on stock picks. We construct a trading strategy that combines conviction and consensus of such managers that outperforms the S&P500 by 3.80% on average and delivers a Sharpe ratio of 0.75 over the period Q1 2004 to Q2 2019.
Issue Date: 15-Nov-2019
URI: http://hdl.handle.net/10044/1/87552
DOI: 10.2139/ssrn.3459526
Publisher: Elsevier BV
Publication Status: Published
Open Access location: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3459526
Appears in Collections:Imperial College Business School



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