In late 2006 I proposed tracking a portfolio of 10 hedge fund managers I considered to be great stockpickers. In sounded good to me in theory, but I always like to let the data speak for itself so I then went and backtested two strategies based on their 13F filings.

Top Holdings - This selected the top 2 holdings from each manager to form a portfolio of 20 holdings.
Consensus - This selected the most popular ten holdings among the managers.

The ten managers were:

Baupost Group
Blue Ridge Capital
Warren Buffett
Eminence Capital
Greenlight Capital
Lone Pine Capital
Maverick Capital
Okumus Capital
Private Capital
Tiger Global

This process literally took me and a co-worker a month to complete by hand. I found that these two naive strategies of piggybacking on top managers outperformed the market by roughly 6-12% a year (depending on the index you compared them to). Now that we have AlphaClone online, I thought it would be instructive to take a look at the performance, including out of sample returns in 2007 and 2008.

The tables below show results consistent with the backtests - namely outperformance of 9% to 13% per year. (Which I find amazing given that at least one of these managers has shut down.