Now that the 13Fs have been filed with the SEC, it is time to update the Hedge Consensus and Hedge Fund Best Ideas Portfolios. (We quit tracking the Activist Portfolio – for the reasoning read this earlier post.)
In our backtest, tracking the hedge funds resulted in an increase in returns of around 6%-12% with similar risk as buy and hold. So far this year the portfolios are performing robustly out of sample with approximately 6% outperformance. Background on this post can be found in these links:
Let Seth Klarman Manage Your Portfolio
Cloning the Buffett Portfolio
Constructing a Best Ideas Hedge FOF
Show Me Your Hand – Greenlight
12/31/2006 – 8/14/2007
BAM, QCOM, UFS, and USG all notched worse than -20% returns over the recent period. GOOG was the best performer.
New Portfolios
(New holdings are in bold, sold positions in italics after the portfolio)
HEDGE FUND CONSENSUS
AMX
AXP
BRK
CMCSK
CROX
CVS
GOOG
MSFT
QCOM
SAI
SCHW
WMT
FDC
HEDGE FUND BEST IDEAS
AAPL
AMP
AMX
AMT
AT
AXP
CSCO
CVS
CVA
GOOG
HD
HLX
HPQ
LVLT
MA
MSFT
ORCL
SLM
WFC
WMT
BAM
BNI
BSG
CA
DISCA
PHG
QCOM
SCHW
UFS
USG
