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Form 13F Clone Portfolio Performance

May 1, 2024 • Posted in Miscellaneous

Do SEC Form 13F-based clones of hedge fund/institutional managers (funds) reliably match fund performances? In their March 2024 paper entitled “Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings”, Jan Schroeder and Peter Posch compare performances of portfolios that replicate liquid fund holdings as published in quarterly Form 13F filings to those of the underlying funds. They exclude mutual funds and funds with fewer than six consecutive filings. They ignore holdings that are not easily replicable (such as options). They update cloned portfolios at the market close on Form 13F filing dates. They calculate underlying fund performance data from changes in reported gross market values of holdings (not any separately reported fund returns). They compare cloned versus underlying fund performances across 12 metrics, including alpha and beta relative to SPDR S&P 500 ETF Trust (SPY), Sharpe and Sortino ratios, various return rates, volatility and maximum intra-quarter drawdown. For context, they also look at some fund industry trends. Using holdings in Form 13F filings by 13,035 funds during 1998 through 2023, with cloning performance assessment focused on 3,643 funds during 2013 through 2023, and contemporaneous returns for holdings, they find that:


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