How filing-date performance is measured
Every record on Follow starts on the day a filing became public, not the day of the trade. Here is the exact portfolio behind the number and why we measure it that way.
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The return shown for a fund or a member of Congress is not their own performance. It is the performance of a portfolio that anyone could have run by acting on their public filings. Nobody ran it. It is a way to ask whether following the disclosures would have been worth anything.
The portfolio, step by step
- Take each filing in order of the date it was filed.
- On the first trading session on or after that filing date, set the portfolio to the stock positions disclosed in the filing, at the weights in the filing.
- Hold those weights until the next filing, then repeat.
- Value the portfolio each day from daily closes adjusted for splits and dividends.
- Compare it with SPY, the S&P 500 fund, bought on the same first day and held, dividends included.
Why not from the trade date
Measuring from the trade date credits the follower with gains made before the trade was public. A fund that bought in July and disclosed in November may already be up 30% by the time you can read about it. A record from the trade date would show that 30%. A follower could never have earned it.
- Bought Jul 3 at $100. Disclosed Nov 14, when the price was $130. Today $143.
- From the trade date: +43%.
- From the filing date: +10%. This is what following the disclosure could have captured.
So every record starts at the first filing we hold and uses filing dates throughout. The numbers are lower and more honest.
The windows
| Column | Meaning |
|---|---|
| 1M, 3M, 1Y | Return of the follow portfolio over the last month, three months and year. |
| YTD | Return since the first session of this calendar year. |
| Since first filing | Return since the first filing date we hold for that source. |
| Annualised | The since-first-filing return expressed per year. |
| Max drawdown | The largest fall from a previous high over the whole record. |
| vs S&P 500 | The same window for SPY, shown next to each figure. |
A window shows nothing when the record is shorter than the window. We do not stretch a three-month record to fill a one-year column.
Covered weight
Some disclosed positions have no price series we can use, for example a delisted stock or an unmapped CUSIP. Those are dropped and the rest are scaled up to 100%. The share of the filing that could be priced is the covered weight, and it is stored next to every record. A record with 70% covered weight is describing 70% of the portfolio.
What the record leaves out
- Trading costs and taxes. Each filing change is assumed to trade for free.
- Everything a 13F does not show: shorts, cash, options, foreign holdings.
- For Congress, the size of each trade. Reports give a dollar range, so each buy is counted at the middle of its range.
- Whatever the person held before the first report we read.
Read next
- What a 13F is, and its 45-day lagA 13F is a quarter-end list of a manager's US-listed long positions, filed up to 45 days late. What that list can tell you and what it leaves out.
- Congress disclosures and the STOCK Act windowsWhat members of Congress must report, how late a report can be, why amounts are ranges, and which reports we can and cannot read.
- How each number is computedThe exact definition of total return, CAGR, volatility, Sharpe, max drawdown, hit rate and turnover as our engine calculates them.
Something here wrong or unclear? Tell us. Informational only, not investment advice.