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Finding Historical Returns of Superinvestors / High Performing Funds?


tparel
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Does anyone know of a source where we can view the historical returns of so-called “superinvestors” / high performing funds over different time periods i.e. 3 years, 5 years, 10 years, 20 years, 30 years etc.
 

I’m aware of the usual warnings about looking at 13F forms i.e. 1) there is a delay between when the relevant fund moved in and out of positions and the publication of 13Fs, 2) only US equities are included and 3) details about hedging may not be covered.

 

However, I still think that 13F forms of high performing funds are a good source of investment ideas particularly for funds that follow a long only, long-term buy and hold strategy.

 

However, since there are quite a few funds that can be monitored through 13F forms, I do think that focusing only on those that have consistently produced high returns over very long periods of time would be the best strategy.

Edited by tparel
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  • tparel changed the title to Finding Historical Returns of Superinvestors / High Performing Funds?
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Posted (edited)

Thank you for the reply Fitz!

 

I did some digging and Whale Wisdom seem to calculate and compare the 3 year and 10 year returns of a large selection of funds based on 13F forms. See a link below to their back-testing results:

 

https://whalewisdom.com/dashboard2/search/fund_performance_search

 

A few comments on this:

  • The website states that these back-tested returns are based on data taken 3-5 days after "the most recent" 13F filing deadlines.
  • From the above, I assume that Whale Wisdom, in calculating a fund's return, adjusts each fund's holdings 3-5 days after the 13F filing deadline each quarter.
  • It's not clear to me whether these back-tested returns assume equal weighting of the top 20 stocks owned by each fund or assume the fund's actual weighting. Going into each fund's individual page on Whale Wisdom, and scrolling down to the section titled "Portfolio Performance", it seems that the former may be what has been assumed (see for example the Pershing Square Capital Management page: https://whalewisdom.com/filer/pershing-square-capital-management-l-p).
  • Information on certain well known funds are not included i.e. Mohnish Pabrai's "Pabrai Investment Fund" or Phil Town's "World Funds Trust".
  • I realise that 13Fs 1) only cover US equities, 2) may not list short positions or options and 3) may have a significant delay relative to the trade date, however I would still assume that returns calculated from 13Fs should not be materially different from the actual returns (US equities component) of funds that follow a long only, long-term buy and hold strategy. The returns calculated by Whale Wisdom for investors such as Charlie Munger and Li Lu over the past 3 years, however, are not great. See below the returns published on Whale Wisdom's website for some well known funds over the last 3 / 5 years:
    • Bill Ackman's Pershing Square Capital Management: 3/5 year returns (annualised) = 21.04%/14.27%.
    • Charlie Munger's Daily Journal Corp: 3 year return (annualised) = 4.03%.
    • David Tepper's Appaloosa: 3/5 year returns (annualised) = 10.38%/17.96%.
    • Guy Spier's Aquamarine Capital Management: 3 year return (annualised) = 13.55%.
    • Joel Greenblatt's Gotham Asset Management: 3/5 year returns (annualised) = 16.33%/14.29%.
    • Li Lu's Himalaya Capital Management: 3 year return (annualised) = 3.84%.
    • Stanley Druckenmiller's Duquesne Family Office: 3 year return (annualised) = 22.48%.
  • As a benchmark, the returns of the NASDAQ Composite and S&P 500 over the same period are listed below:
    • NASDAQ Composite: 3/5 year returns (annualised) = 23.5%/24%.
    • S&P 500 with dividends reinvested: 3/5 year returns (annualised) = 18.1%/18.0%. 
  • If Whale Wisdom's methodology / calculations are correct, the above results do seem to indicate that a strategy of following the 13F filings of these well known funds would most likely have not outperformed the market at least over the last 3 - 5 years.

 

I'd welcome any further comments or thoughts on the above from The Corner of Berkshire and Fairfax community. Specifically on whether you know of any other sources that track the historical returns of "superinvestors" / high performing funds over different time periods (i.e. 3 / 5 / 10 / 15 / 20 / 30 years)?

Edited by tparel
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