Insider & Flow#348tier 2experimental liveNew

`thirteen f superinvestor coattail`

cadence: Quarterlydata: mediumlong only

2010

Cohen, R.B., Polk, C., Silli, B. (2010). "Best Ideas." Review of Financial Studies / SSRN.

What it checks

When a small set of top-tier hedge fund managers (Buffett, Ackman, etc.) reveal a brand-new position on their quarterly 13F filing, the stock tends to drift up over the next 2-6 months as other investors copy the trade.

Mechanism

Top-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.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

13F filing flagged 'New' (or share_change_pct >= 50%) by a name matching the curated 21-firm superinvestor pattern list -> LONG at T+1 after the 45-day filing lag from quarter-end; hold 60/90/180 trading days.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
investor_holdings
Worker data table — see services/worker schema.
investor_filings
Worker data table — see services/worker schema.
tracked_investors
Worker data table — see services/worker schema.

Expected edge

Paper alpha: ~3-4%/yr on best-ideas basket
Paper window: T+45 to T+225d

~3-4% annual abnormal return on coattailed best-ideas basket (Cohen-Polk-Silli 2010).

Example tickers where this is likely to fire

AAPL OXY META GOOGL

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

Related families

thirteen f quarterly accumulationInsider & Flow

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.

smart money best ideasAlt-Data

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.

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thirteen f superinvestor coattail