institutional co ownership graph
What it checks
Stocks held by the same big mutual funds co-move beyond fundamentals. We trade the dislocation when one moves and the other has not caught up.
Mechanism
Stocks sharing top 13F mutual-fund owners exhibit non-fundamental return co-movement. Correlated flow shocks create temporary dislocation that reverts to fundamentals.
Signal rule
Top-10 13F holders -> shadow basket of 13F co-held peers; 21d basket return lagged, 252d z; long/short on z thresholds.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
investor_holdingsWorker data table, see services/worker schema.
Expected edge
- Paper alpha
- ~9%/yr
- Paper Sharpe
- ~1.0
- Paper window
- 1980-2008 (Anton-Polk)
~9%/yr alpha, Sharpe ~1.0, half-life 6mo (Anton-Polk 2014).
Related families
etf comembership contagionInsider & FlowAggregate ETF constituent-weight changes proxy flow pressure and common-ownership contagion. Stocks receiving broad ETF weight increases are held long.
tnic momentum spilloverMomentumLee, Sun, Wang & Zhang (2023) RFS "Technology Spillovers and Cross-Predictability": the lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal's next-month return. Sharpe 1.3, +9% annualised alpha after Fama-French 5. The signal is orthogonal to industry/sector momentum because TNIC peers cross industry boundaries (text-similarity, not SIC-similarity).
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