Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings

Abstract

Can mirroring of hedge fund strategies lead to market-outperforming returns? Our findings demonstrate that cloned portfolios in the top quartile, derived from SEC Form 13F filings, replicate the funds' performances and exceed the S&P 500 index by 24.3% on an annualized risk-adjusted basis. Analyzing over 150,000 portfolios between 2013 and 2023, we compare original versus replicated strategies across twelve performance metrics. Except for annualized volatility, maximum drawdown and tracking error, we demonstrate that cloned portfolios rebalanced on the disclosure date of filings, successfully mirror the performance of the original funds, including both market-underperforming and-outperforming funds.

Keywords: Alpha Cloning, Portfolio Replication, SEC 13F Filings, Institutional Investment Managers, Quantitative Analysis of Fund Performances and Portfolio Cloning JEL Classification: G11

JEL Classification: G11, G12, G14, G23, C58