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

37 Pages Posted: 15 Apr 2024 Last revised: 24 Apr 2024

Date Written: March 21, 2024

Abstract

Can mirroring the investment strategies of institutional managers lead to market-outperforming returns? Our findings demonstrate that cloned portfolios in the top quartile, derived from SEC EDGAR Form 13F filings, replicate the funds' performances and exceed the SP500 index by 24.25% on an annualized risk-adjusted basis. Analyzing over 150,000 portfolios between 2013 and 2023, we compare original versus replicated strategies across 12 metrics, such as Alpha, Sharpe and Sortino ratios, various return rates, annualized volatility, and maximum drawdown. Through Wilcoxon signed-rank tests applied to delta distributions, we reject the null hypothesis across all metrics, except for annualized volatility, maximum drawdown and tracking error, and demonstrate that cloned portfolios balanced on the disclosure date of filings (rather than quarter-end), successfully mirror the performance of the original funds, including both market-underperforming and -outperforming funds.

Keywords: Alpha Cloning, Portfolio Replication, Form 13F-HR, Institutional Investment Managers, Quantitative Analysis of Fund Performances and Portfolio Cloning

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

Suggested Citation

Schroeder, J and Posch, Peter N., Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings (March 21, 2024). Available at SSRN: https://ssrn.com/abstract=4767576 or http://dx.doi.org/10.2139/ssrn.4767576

Peter N. Posch

TU Dortmund University ( email )

Otto Hahn Str. 6
Dortmund, 44227
Germany

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