Network-Effectstier 2pilot

`buffett clone 13f`

cadence: Quarterlydata: medium

2010

Cohen, Polk & Silli 2010 + Frazzini-Kabiller-Pedersen 2018 'Buffett's Alpha'

Mechanism

A small set of 'smart' managers (Berkshire, Greenlight, Pershing, Baupost, Scion, Appaloosa) hold concentrated, high-conviction names. Their Top-1 overweight relative to benchmark outperforms their full portfolio.

Signal rule

top-quartile-of-overweights from whitelist of ~20 manager CIKs, lagged 45d from quarter-end

Data dependencies

13f_holdings
Worker data table — see services/worker schema.
manager_whitelist
Worker data table — see services/worker schema.

Expected edge

~4% ann. alpha (Cohen-Polk-Silli); 24% ann. in public Quantpedia replication

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Example tickers where this is likely to fire

BRK.B OXY AAPL

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

crowding reversalMean-Reversion

Stocks that mutual funds + 13F filers are forced to buy/sell because of their own client flows (not because of fundamentals) experience reversal over the subsequent 1-3 months. Heavily-owned-by-active-funds names underperform after extreme inflows; lightly-owned names outperform after extreme

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buffett clone 13f