The Future Belongs to Those with Patience, Part 2

This occurred to me today, and so I want to toss it out as an idea, even if I never get to work with it.  What percentage of stocks are covered by 13F filings?  I bet it is pretty high.

Here’s my idea: using the 13F filings, we segment holders into traders (“weak hands”) and investors (“strong hands”), based off their level of turnover.  If my ideas are right, the stocks held by the “strong hands” investors will do better over time.

For anyone with access to an easily accessible version of a 13F database, this is a project I would be willing to take on.  If you have interest, e-mail me.  Thanks.

2 Comments

  • Do you need a database that works differently from EDGAR? Because I’m pretty sure that’s where everyone gets them.

  • cig says:

    You could also look up people who’ve done that sort of research in say SSRN.

    Just from memory, some paper I read a couple of years ago did something like that, they found that mutual fund managers’ “best ideas”, as extracted from such filings using some pretty simple automated rule, not only had some significant alpha, but more than the full funds they were extracted from even before fees, which they blamed on the managers diluting their best ideas with a pseudo index tail to avoid tracking error from the benchmark, diluting their alpha in the process. This paper has probably been followed up since.

    Now we just need an ETF for that strategy.