Among the data collected were the fifty stocks that “matter most” to hedge funds—that is, the fifty stocks that most frequently appear among the largest ten holdings of hedge funds. Here are the top ten as of June 30, 2009. I calculated (first column) the rate of return between June 30 and December 10 and (second column) the rate of return between June 30 and the highest close after June 30 and before December 10.
| BAC | 15.23% | 40.83% | MSFT | 25.66% | 25.56% | AAPL | 37.91% | 45.33% | GOOG | 40.30% | 40.30% | JPM | 20.99% | 38.26% | PFE | 22.13% | 25.67% | QCOM | 0.80% | 7.19% | RIG | 8.63% | 24.78% | CVS | -1.16% | 19.26% | V | 32.22% | 33.26% | Average | 20.27% | 30.04% |
| SPY | 20.33% | 21.13% |
As you can see, as of December 10 the top stocks on average underperformed the SPY. By contrast, at their height they outperformed the SPY by about 9%. So hedge funds had to be nimble to get outsized returns from this basket of stocks. (Not that any one fund owned the whole basket.) Looking at the ten stocks individually, six were outperforming the S&P 500 as of December 10 and eight outperformed at their height, some dramatically so. As is so often the case, timing made the difference.
AlphaClone also slices and dices hedge fund holdings and publishes leaderboard. This clone fund is made up of the largest equity holding for each hedge fund in their database, 50% hedged and rebalanced quarterly.
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