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Quarterly Filings

Q3 2020 Filings Insights

Today we are excited to introduce our research dashboards, a free offering on our website unlocking curated, Novus-built analyses of public datasets.

John Lobel
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The research and findings contained in this article were entirely sourced from the following four Novus Dashboards:  

These new research dashboards provide a glimpse into the kind of insights that can be derived from our full public offering.  I invite you to check out these dashboards, follow along as you read the article, and then derive your own insights! 

About the data

Novus’ manager database is updated with filings from regulatory agencies around the world. Despite the best efforts from the SEC in the US over the past few months, the Form 13F endures as our most important source of long position information for managers with an AUM larger than $100 million. We also ingest daily short data from the European Short Disclosure Regulation, representing short interest of 250+ managers.  

Novus tools allow clients to visualize & analyze this data for individual managers, as well as aggregate across our broader Hedge Fund Universe (“HFU” hereafter), thus providing a contextually informed, holistic research opportunity.

Position turnover among the top hedge funds stocks especially low this quarter

In previous quarters, we’ve published a list of the most popular hedge fund stocks (determined by value held by the HFU), and how the list has changed from quarter to quarter. The full list is now available for analysis on our Hedge Fund Ownership dashboard.

Amidst 2020’s event-driven volatility, this list of securities has remained pretty steady. This was especially true of Q3, when merely a few securities shuffled, and only one new security made it to the top twenty. Taiwan Semiconductor Manufacturing Company, Ltd (TSM) showed up in spot #20, while Kraft Heinz Company (KHC) lost its place, moving from #19 to #25 in Q3.  

The full, sortable list of HFU-owned securities, along with rich ownership detail is available in the dashboard.   

Despite a pandemic, collective hedge fund AUM is at an all-time high

Around the end of Q1 2020 the stock market reached a trough from the global pandemic, sitting at its lowest point in several years. Over the last two years, the collective assets under management (AUM) of the HFU has roughly moved alongside the broader market.  

Figure 1: Hedge Fund AUM vs Market Performance

The market began to recover nearly as fast as it crashed, reaching a high point at its peak just prior to the end of Q3. With news around the election continuing to linger, and the fresh hopes of vaccine approval and distribution, watching the market has been a thrilling ride.  

While hedge fund AUM may not provide direct information on the market as a whole, it gives us a look into the health of many of the most important portfolios making up the vast world of institutional investing. 

More from the Hedge Fund Ownership Dashboard

  • Sortable and categorized list of securities held by the hedge fund universe
  • Entry/exit from the recent quarter
  • Sector breakdown
  • Market cap breakdown

Growing number of “Conviction” picks in Healthcare and IT  

When a single security makes up a significant portion of an investor’s portfolio, we consider it an investment with conviction. We curate a proprietary index, the Novus Conviction Index, that tracks this hedge fund factor. Our resulting index consists of the 20 top securities where hedge funds are most frequently invested with conviction. The consistent, low-vol outperformance of the conviction factor has attracted the attention of many interested in "best ideas" strategies.

You can examine the historical sector movements of the Novus Conviction Index, as well as a sample of the constituent names on the Novus 4C Indices dashboard.

The Conviction Index’s sector shifts between Q2 and Q3 may not be surprising: exposure to information technology increased 10 percentage points, and health care increased by 5 percentage points.  

Figure 2: Novus Conviction Index Sector Exposure

This is likely reflective of managers’ efforts to back companies working on solutions to the global pandemic, as well as throwing (even) more money at tech companies who continue to prosper in this new, stay-at-home norm.

Conviction breaks away from Consensus

In addition to the Conviction Index, there are three other C’s that track hedge fund factors. The Consensus Index contains the stocks most commonly held by hedge funds, independent of position size or value invested.  

If you narrow the period of consideration to the past five years, Conviction and Consensus have shown comparably strong performance—nearly “neck-and-neck” in fact.  

Figure 3: 4Cs Performance - Last 5 Years

At the beginning of Q2, Conviction assumed a bit of a lead, and has widened the gap since. At the end of Q3, Conviction leads Consensus sizably, topping 170% cumulative performance over the past five years.  

Our Novus 4C Indices provide a meaningful perspective on the most popular stocks among hedge funds, and are available for analysis. Being one of our richest dashboards, this article covers only a small fraction of the content there.

More from the Novus 4C Indices Dashboard

  • Learn more about the construction of Conviction, Concentration, Consensus, and Crowdedness
  • Performance data on each of the indices
  • Partial constituent information
  • Best and worst performing securities in each  
  • Sector breakdown & contribution stats for each  

Tiger cubs recover faster from Covid-19 than peers and markets

A few weeks ago, my colleague and I authored an in-depth look at how Julian Robertson’s “posterity funds” (aka the Tiger Cubs) have held up during COVID-19, using our Tiger Cubs Dashboard.  

The Tiger Cubs were in no way exempt from Q1’s market-wide dip. However, their recovery far outperformed the market as well as the broader HFU.  

Figure 5: Tiger Cubs Outpace peers and benchmarks

More from the Tiger Cubs Dashboard

  • Tiger cub risk & return stats
  • Position sizing skill
  • Top contributors and detractors 
  • Market cap and sector categorized performance

IT short exposure drops in Europe, two managers aggressively short Deutsche Bank AG  

The EU Shorts Dashboard surfaces shorting insights from European regulatory agencies. Unlike our 13F-powered dashboards, we update this dashboard monthly instead of quarterly. Clients of Novus can analyze daily changes to this portfolio, as we ingest these filings at a daily frequency.

The Novus Analytics Team provides a companion commentary within the dashboard each month. To wrap up today’s insights, I present the team’s analysis for the month of November:

There was a significant shift in sector exposures to report for the past month.November saw Information Technologyexposure fall by nearly half compared to the previous three-month average. In November, the best short of significance (greater than 0.1% exposure) was LoopUp Group PLC, a London-based software company operating in the global conferencing services market – which fell after the company released guidance indicating that full-year revenue and EBITDA would be lower than expected.

Figure 6: Best Shorts during Nov 2020

In a continuation of last month, Blue Prism Group remains the largest shorted position in the portfolio but maybe not for long as the short squeeze continued with markets tacking on another 1079 BPS of value to the stock. Deutsche Bank AG had the largest increase in short interest in November, increasing by almost 40 bps and being held by two managers (reporting publicly), BlackRock and Caxton Associates. Blue Prism Group had the largest decrease in short interest, declining nearly 50% from the previous month.

Also shown are the top 10 entries of the month and the most crowded short positions. Most notably, The Unilever Group, the consumer goods giant, was introduced to the portfolio as they’ve moved to consolidate as a wholly British company.

More from the EU Shorts Dashboard

  • The most profitable and most popular shorts 
  • Top short positions entered and sold during the month
  • Market cap exposure breakdown & history
  • Sector exposure breakdown & history
  • Additional detail + commentary from the Novus Analytics Team

Like what you see?

The Novus Platform is an ever-evolving toolset that enables investors to visualize their own portfolio data, as well as industry data, in ways that enlighten their investment strategies and uncover trends in the broader market. Our new research dashboards showcase only a small portion of this toolset. If you’d like to spend less trying to make sense of your portfolio data, and more time extracting insights, let’s explore a partnership. Hit that “Request Demo” button in the footer below to get started.

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Learn how Novus can help you succeed.

Our team of world-class client management analysts will introduce you to our product, tailoring the conversation to your specific needs and interests.