Filings, Insiders & OwnershipExtended setexperimental liveNew

Thirteen F Breadth Overpriced Short

Updated quarterlyData needs: lowshort only

2002

Chen, J., Hong, H., Stein, J.C. (2002). "Breadth of ownership and stock returns." Journal of Financial Economics, 66(2-3), 171-205.

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In plain terms

When the number of institutional investors holding a stock drops sharply in a single quarter, short-sale constraints are binding: the pessimists are locked out and only optimists set the price. The stock is overpriced, so short it for the next 2-3 months.

How it works

Under Miller (1977) short-sale constraints, only optimists set prices. When breadth (the number of distinct institutional holders) FALLS sharply, the short-sale constraint is binding tightly: pessimists are kept out of the price, so the stock is overpriced relative to fundamentals and forward returns fade. Chen-Hong-Stein show reductions in breadth forecast lower returns; the lowest change-in-breadth decile underperforms the top decile by ~6.38% over the following 12 months.

Live results

0 times picked on its own · 498 times inside a blend (459 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 498 such blended picks (459 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
SEC 13f aggregate
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~6.38%/12mo bottom-vs-top decile spread (short leg)
Tested over: T+45 to T+135d

Short leg of the CHS 2002 change-in-breadth decile spread: bottom (falling-breadth) decile underperforms the top by ~6.38% over 12 months (~4.95% characteristic-adjusted); the 60-90d hold captures a fraction of that.

Example tickers where this is likely to fire

NVDA TSLA SMCI PLTR

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

Related families

Crowded Long UnwindPrice & Market Behavior

When 13F filer concentration is at multi-year highs AND price is rolling over with vol expansion, expect forced-deleveraging cascade. Mirror of squeeze.

Crowded-Trade ReversalPrice & Market Behavior

Stocks that mutual funds are forced to buy/sell because of THEIR OWN clients (not fundamentals) revert over 1-3 months. Fade crowded names.

Thirteen F Quarterly AccumulationFilings, Insiders & Ownership

When both 'how many funds bought the stock' AND 'how much they bought' jump together to top-20% of the stock's history in the same quarter, institutions are accumulating aggressively. Go long for 2-9 months.

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