thirteen f breadth overpriced short
What it checks
When the number of institutional investors holding a stock jumps sharply in a single quarter, it means the pool of marginal optimists has tapped out. The stock is overpriced — short it for the next 2-3 months.
Mechanism
Under Miller (1977) short-sale constraints, only optimists set prices. When the number of distinct institutional holders jumps sharply (top-decile of own history), the marginal optimist tail has saturated and forward returns fade. Chen-Hong-Stein document the asymmetry — breadth-jumps predict negative drift; breadth-drops predict positive.
Signal rule
sec_13f_aggregate delta_n_filers in top 85th percentile of trailing 20-quarter own-history -> SHORT at T+1 after the 45-day 13F filing lag from quarter-end; hold 60/90 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_13f_aggregateWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- ~-6% over 60-90d on top decile
- Paper window
- T+45 to T+135d
~-6% on top-decile breadth-jump short over 60-90d (CHS 2002).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
crowded long unwindMicrostructureHeavy institutional ownership (top 5% n_filers in 13F) + recent vol expansion + negative price trend + crowded sector → setup for forced-deleveraging unwind. Mirror image of short-squeeze: too many longs holding the bag, first selloff cascades. Short signal.
crowding reversalMomentumStocks 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 outflows. Proxied via quarter-over-quarter change in 13F n_filers and total_shares — big jump in both = crowding-in (fade); drop in both = crowding-out (buy).
thirteen f quarterly accumulationInsider & FlowJoint signal — sharp increases in BOTH the number of distinct 13F filers AND the total reported shares, in the same quarter, indicate broad-based institutional accumulation that combines the breadth (CPS 2010) and the size (YZ 2009) signals. The intersection is rare and historically forward-predictive.
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