13F Stock Sentiment Signal
The 13F Stock Sentiment Signal is a stock selection score which allows institutional investors to profit from the stock-level sentiment of investors who file form 13F with the SEC. Inspired by a wisdom-of-crowds phenomenon, the sentiment signal is sourced from a select group of 13F filers that changes each quarter and who are ranked using a proprietary scoring methodology. The process results in stock-level sentiment scores across all 13F eligible securities, a universe that typically consists of roughly 1,400 stocks.
Our research shows that U.S. stocks with the highest sentiment scores from our select group of 13F filers have outperformed those with the lowest sentiment scores by 14.1% per annum from August 1, 2007 to February 4, 2021. The strategy benefits from relatively low turnover of 1.7% per day, on average, and with a Sharpe ratio of 1.05 pre-transaction costs and returns that are positive in 13 of 14 calendar years, the 13F Sentiment Signal is a consistently profitable strategy.