Backtesting hedge fund holdings using 13Fs

Discussion in 'Strategy Development' started by bubbrubb, Jan 30, 2007.

  1. bubbrubb


    Some may find this of interest - I only post on ET about once a year, but the full post can be found at this site:

    I backtested the equity holdings of Buffett since 2000 from the 13F filings. I also included all stocks no longer in the database. I first did it by equal weighting all of his positions, but will re-run it with only the top 10 holdings going forward.

    Performance was calculated from the day after the 13F is available (45 days after quarters close). Next I will look at a full quarters delay...

    Taking a look at Greenlight Capital next


    Average Annual Return

    Buffet Clone: 14.33% (No down years)

    Berkshire Stock: 10.62%

    S&P500: 2.35%

    Russell 2000: 8.26%

    HedgeFundResearch Equity L/S Category: 7.9%
  2. bubbrubb


    does anyone have any hedge funds they suggest I take a look at that would be a good fit for this approach? Currently on my to do list is:

    Tiger Global
    Blue Ridge