Some may find this of interest - I only post on ET about once a year, but the full post can be found at this site:
http://hedgefundclone.blogspot.com/
I backtested the equity holdings of Buffett since 2000 from the 13F filings. I also included all stocks no longer in the database. I first did it by equal weighting all of his positions, but will re-run it with only the top 10 holdings going forward.
Performance was calculated from the day after the 13F is available (45 days after quarters close). Next I will look at a full quarters delay...
Taking a look at Greenlight Capital next
RESULTS
Average Annual Return
Buffet Clone: 14.33% (No down years)
Berkshire Stock: 10.62%
S&P500: 2.35%
Russell 2000: 8.26%
HedgeFundResearch Equity L/S Category: 7.9%
http://hedgefundclone.blogspot.com/
I backtested the equity holdings of Buffett since 2000 from the 13F filings. I also included all stocks no longer in the database. I first did it by equal weighting all of his positions, but will re-run it with only the top 10 holdings going forward.
Performance was calculated from the day after the 13F is available (45 days after quarters close). Next I will look at a full quarters delay...
Taking a look at Greenlight Capital next
RESULTS
Average Annual Return
Buffet Clone: 14.33% (No down years)
Berkshire Stock: 10.62%
S&P500: 2.35%
Russell 2000: 8.26%
HedgeFundResearch Equity L/S Category: 7.9%