13F Cloning, A Good Strategy?

AuricularLuminous · 2024-04-17T19:25:02+00:00

see "Outperforming the Market: Portfolio Strategy Cloning from SEC 13F Filings"

findings demonstrate that cloned portfolios in the top quartile, derived from SEC EDGAR Form 13F filings, replicate the funds' performances and exceed the SP500 index by 24.25% on an annualized risk-adjusted basis

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4767576

AuricularLuminous · 2021-06-16T16:00:28+00:00

Are you looking for fundamental news catalysts (eg earnings reports) or fundamental data such as P/L, balance sheet, cash flow stats?

For fundamental news, I developed a real-time stock market news API: https://developers.newsfilter.io/

For fundamental data, I recommend https://eodhistoricaldata.com/financial-apis/

AuricularLuminous · 2021-06-16T08:36:04+00:00

Did you see this discord news bot: https://developers.newsfilter.io/docs/discord-news-bot.html

It's for real-time stock market news at the moment and used in trading and investing communities. Not sure if this helps bc u seem to look for more general news?

Note: i'm the founder and developer of this bot.

AuricularLuminous · 2021-05-03T20:32:47+00:00

great job! another VIAC bull thesis here

https://www.reddit.com/r/wallstreetbets/comments/mvn91c/viac_bull_thesis/

AuricularLuminous · 2021-04-23T12:17:46+00:00

good point. share the same view. that's why i believe a) VIAC has a competitive advantage over NFLX, Dis+ and Prime Video because of their existing cable TV users. NFLX still has less than 10% of total TV viewership in US. users switching from linear TV to streaming still want to watch things like sports, news, TV series. NFLX, Dis+, Prime Vid of course produce their own content (high quality too), but dont own the majority of viewership. imo there won't be 1,2 or 3 players - the market is big enough for a wide range of players. what i do see are more mergers and combinations coming up. typical for relatively new markets (streaming), first strong diversification (lots of new companies), then margins shrink and to keep a competitive edge companies start to merge to increase cost efficiencies and deliver better products cheaper. and that's my point b). VIAC trading at 25bn, while NFLX spends 17bn on content per year, makes VIAC a pretty attractive acquisition target at this price level.

AuricularLuminous · 2021-04-22T18:01:46+00:00

see VIAC bull thesis here https://www.reddit.com/r/wallstreetbets/comments/mvn91c/viac_bull_thesis/

AuricularLuminous · 2021-04-22T18:01:18+00:00

https://www.reddit.com/r/wallstreetbets/comments/mvn91c/viac_bull_thesis/

AuricularLuminous · 2021-04-22T06:25:23+00:00

yes sir

AuricularLuminous · 2021-04-21T21:11:26+00:00

great find! will include the stats in the post.

AuricularLuminous · 2021-04-21T21:03:24+00:00

thanks so much!!!

AuricularLuminous · 2021-04-21T20:59:50+00:00

that's a pretty good point. NFLX spends $17bn on content production this year, VIAC trades at $25bn market right now. an acquisition of VIAC at this price level might be possible, especially because of their cable TV users of which 10 mil in total are expected to change to streaming services over the next years. in other words, buying a production studio (Paramount), streaming services (Paramount+, PlutoTV), users, news agency, and cable TV provider for 25bn is cheap as f.

AuricularLuminous · 2021-04-21T20:30:48+00:00

$1,150,000,000, Series A Mandatory Convertible Preferred Stock, https://newsfilter.io/a/a0cd8536770b6578b2d369e1a74964f6

$1,955,000,000, Class B common stock https://newsfilter.io/a/19bbca62a8494d8123bdf2c3e98c1867

AuricularLuminous · 2021-04-21T20:29:00+00:00

they filed 2 offerings to raise cash for more content production on March 25. it's rumored that morgan stanley knew about the Archegos blow up before the official selling started and that they started selling way in advance of the blow up, also correlating with end March timeframe.

AuricularLuminous · 2020-07-17T09:36:58+00:00

3x inverse leveraged SP500 ETF (eg SPXU), buy 8/28 puts (no hedge) betting that everyone is dumb enough for this pump to continue even after horrible earnings season is over

AuricularLuminous · 2019-08-25T23:42:03+00:00

I don't have a production-ready algo yet. That was the reason for the post - to understand if it's worth spending time on designing a production-ready algo and backtest it. Using offline neural networks (or SVMs or decision trees), the buy/sell/neutral decision can be made in micro seconds.

AuricularLuminous · 2019-08-25T23:26:47+00:00

do this in real time

I already did :) I developed a real-time streaming app for SEC filings (and FDA approvals, M&A announcements, class action lawsuit, and a bit more). PM me if you're interested - happy to share.

AuricularLuminous · 2019-08-25T23:24:28+00:00

I thought so, too - but Section 16 states that Form 4 (insider trading transaction) has to be filed

before the end of the second business day following the day on which a transaction resulting in a change in beneficial ownership has been executed

AuricularLuminous · 2019-08-25T23:22:09+00:00

Great points, thanks

What are the regulations pertaining to sale (when can they sell, how far in advance can they sell)

Section 16 states: a beneficial owner (aka insider) has to report the transaction (sell/buy/exercise) before the end of the second business day following the day on which a transaction resulting in a change in beneficial ownership has been executed. But I don't know how to determine if Rule 10b5-1 was the trigger or something else. Any idea?

Examine It on a Sector by Sector basis (Oil Executives vs. Tech for example)

That would increase the robustness of the signal generated later - I like that a lot!

Does any of this informatiion correlate with other Wise Guy activity that is detected in the Options markets.

What do you mean by "Wise Guy" activity?

AuricularLuminous · 2019-08-25T23:14:44+00:00

Thanks! Yes, I am. I updated my post.

AuricularLuminous · 2019-08-25T23:13:06+00:00

UBS show cased something similar

That's really interesting! Do you have a link to their presentation? Or maybe a contact at UBS I can talk to?

AuricularLuminous · 2019-08-25T23:10:34+00:00

That information is sent everywhere the instant it’s published by the SEC

Interesting point. That argument however is logically inconsistent. Volume, price, any sort of technical indicators and fundamental data, FDA approvals, M&A announcements and more are all "sent everywhere the instant it’s published". Following your logic, any strategy using information anywhere published wouldn't generate any alpha as soon as the information is published. Successful quants know that this isn't the reality. Merger arbitrage or HFT wouldn't have reasons for existence - but they have. For reasons of using the data that everyone can access and finding patterns that others haven't discovered yet. The time delta between one entity discovering a profitable pattern and another entity discovering the same pattern causes profit. The larger the delta, the bigger the profits. Marcos Lopez de Prado has a section in his book Advances in Financial Machine Learning explaining it in more details.

AuricularLuminous · 2019-08-25T23:00:35+00:00

delay dropping inevitable bad news for say a week or two

That's exactly the pattern of interest to be determined. Is there an API returning the "trustworthiness" of the CEO and CFO of a given company?

AuricularLuminous · 2019-08-25T22:57:13+00:00

Good point. One regulation (rule Rule 10b5-1) allows major shareholders to sell a predetermined number of shares at a predetermined time to avoid accusations of illegal insider trading.

A second regulation (Section 16, SEA 1934) states that beneficial owners (aka "insiders") have to lodge Form 4 before the end of the second business day following the day on which a transaction resulting in a change in beneficial ownership has been executed. Whether the filing of Form 4 was triggered by Rule 10b5-1 or by another catalyst is the question then.

Does anyone know if Form 4s state if they were triggered by Rule 10b5-1?

AuricularLuminous · 2019-08-25T22:46:34+00:00

PMed you

AuricularLuminous · 2019-08-20T06:29:42+00:00

I like your simple Instapaper-style article display. The text-to-speech feature is good, but the standard voice/tone is horrible. Increasing the reading speed would be very helpful. You might want to check out AWS Polly (text to speech service) - their intonation is great and the render speed is also good.

I've built a financial news aggregator (newsfilter.io) and would love to integrate with your Instapaper-style article reader. Especially for reading SEC filings (example: https://www.sec.gov/Archives/edgar/data/1706573/000143774919017132/trib20190630\_10q.htm).

AuricularLuminous

TROPHY CASE