The event studies and backtests behind the desks — methodology in the open, including the failures and the corrections. This drop: does following the top-100 institutional filers actually beat the tape?
13F filings disclose what big institutions held 45 days after quarter-end. The folk wisdom says "follow the smart money." We tested it properly: take the top-100 filers by AUM, detect their brand-new positions, and measure the abnormal return of buying on the filing date.
Across all top-100 filers, the pooled new-stake edge is real but modest — most of the "smart money" is already priced in by the time the 45-day-late filing lands. The signal is not uniform: a small subset of filers carries almost all of the edge.
We split the sample in time and re-ran on the held-out period. The filers that mattered in-sample largely kept mattering out-of-sample — the edge isn't just overfitting to a lucky window.
A handful of filers produce new-stake moves that clear the significance bar. Berkshire Hathaway is the cleanest: 69 new-stake events, 75% beat SPY at +5 sessions, +3.01% mean abnormal, and 83% win-rate on stakes ≥ $1B. That single filer is the backbone of the Buffett desk.
This study is exactly why the Signal Desk tracks Buffett as a high-conviction operator and treats the broad "follow 13Fs" idea as noise. Methodology, data, and the correction are all here so you can replicate it — and disbelieve us if the numbers don't hold.