thirteen f quarterly accumulation
What it checks
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.
Mechanism
Joint 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.
Signal rule
delta_n_filers AND delta_shares both in top 80th percentile of trailing 20-quarter own-history -> LONG at T+1 after the 45-day 13F filing lag from quarter-end; hold 60/90/180 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
- ~4-7%/yr on joint-accumulation tail
- Paper window
- T+45 to T+225d
~4-7% annual on joint-accumulation tail (composite of CPS 2010 and YZ 2009 size literature).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
thirteen f superinvestor coattailInsider & FlowTop-tier 'superinvestor' funds (Berkshire/Pershing/Tiger/Renaissance/etc.) reveal high-conviction new positions on their quarterly 13F filings. Cohen-Polk-Silli show that these new adds drive a disproportionate share of the manager's alpha. Riding the coattail of these new positions, with the 45-day 13F filing lag built in, captures a meaningful sleeve of the original manager's edge.
smart money best ideasAlt-DataA 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.
buyback driftQualityCompanies announcing open-market share repurchases earn ~3-4% abnormal return over the subsequent 12 months. Effect is strongest in "value-distressed" announcers (book-to-market in the top quartile, recent price drawdown). We approximate buyback announcements by detecting net share count contractions in quarterly fundamentals — ΔSharesOutstanding < 0 over 2 consecutive quarters is a strong proxy for an active buyback programme.
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