HEDGE FUND OWNERSHIP REPORT – Q1 2017

[Pages:25]WHALEWISDOM

HEDGE FUND OWNERSHIP REPORT ? Q1 2017

A REPORT COVERING HEDGE FUND STOCK OWNERSHIP TRENDS AND INDIVIDUAL MANAGER PORTFOLIOS

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INTRODUCTION TO WHALEWISDOM

PURPOSE OF THIS REPORT

This report summarizes the latest moves in the WhaleIndex? for the most recent 13F filing quarter ending March 31st, 2017. Here you'll find the latest data and trends on the best performing hedge funds' 13F equity holdings. Comprised of the 100 highest conviction stocks from the top scoring hedge funds, the WhaleIndex is an indicator of where the smart money is going and how well it is performing. The purpose of the WhaleIndex is simple: try to outperform the market by imitating the world's best investors.

Daniel Collins Owner/Founder

Report Data Compiled as of May 17th, 2017

BACKGROUND

Managers with more than $100 million in assets under management are required to disclose their holdings to the SEC each quarter via 13F filings. These filings are due 45 days after the quarter end date. For Q1 2017 that means managers must disclose all qualifying assets held on March 31st, 2017 by May 15th, 2017. Qualifying assets include long positions in US equities and ADRs, call/put options, and convertible debt securities. Shorts, cash positions, foreign investments and other assets are not included.

Investors can take advantage of these 13F filings to create portfolios from managers that have proven past success. Despite the 45-day delay in reporting, research has shown that investing alongside a single manager or group of managers can outperform the market. The key is to identify the best and most consistent funds to copy.

So what is the best way to identify funds whose 13F portfolio has the best chance of success?

Start by backtesting. Using WhaleWisdom's custom backtester engine, you can find out what your return would have been if you had copied the top holdings reported each quarter in a fund's 13F filing. Getting backtested performance numbers is just the first step though. Once you have a manager's past performance, you need to adjust the returns for risk against a known

benchmark. But how far back in time should you look and which risk-adjusted metrics offer the best insight into how the fund might perform in the future? Are factors such as turnover rate or percent concentration in top holdings important to consider?

To help take the guesswork out of fund selection, I've come up with a scoring system called the WhaleScore. The WhaleScore lets you quickly identify which funds tend to make good candidates for replicating and whose past performance indicates a consistent track record of outperforming the market. The best of the WhaleScore filers are brought together into the WhaleIndex.

WhaleScores and the WhaleIndex are typically updated 1-3 days after the 13F filing deadline. Premium subscribers have access to these changes as soon as they are ready. For this past quarter, updates were completed and made available to subscribers on May 17th, 2017.

For more information on how to subscribe CLICK HERE

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CONTENTS OF REPORT

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1

INTRODUCTION

3

WHALEINDEX

4

WHALE 20 OMEGA

5

WHALE 20 CONSERVATIVE

6

TOP 25 WHALESCORES

7

WHALEINDEX SECTOR BREAKDOWN OVER TIME

8

TOP 50 AGGREGATE

10

TOP 10 BUYS AND SELLS

11

TOP 25 CONSUMER DISCRETIONARY

12

TOP 25 CONSUMER STAPLES

13

TOP 25 ENERGY

14

TOP 25 FINANCIALS

15

TOP 25 HEALTH CARE

16

TOP 25 INDUSTRIALS

17

TOP 25 INFORMATION TECHNOLOGY

18

TOP 25 MATERIALS

19

TOP 25 REAL ESTATE

20

TOP 25 TRANSPORTS

21

TOP 25 UTILITIES & TELECOMMUNICATIONS

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ABOUT WHALEWISDOM

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DISCLAIMER

CONTENTS

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WHALEINDEX

Performance #'s (as of May 17th, 2017) YTD

WhaleIndex Benchmark Total Return

10.02% 6.51%

Rebalancing on May 17th, 2017

SECURITIES ADDED

Avago Technologies Limited Inc. Activision Blizzard Inc. International Ltd ADS Baidu Inc Symantec Corp. MGM Resorts International, Inc. Constellation Brands, Inc. Pandora Media Inc. Meta Financial Group Inc. Palo Alto Networks Inc. Advance Auto Parts, Inc. Baxter International Inc. eBay Inc. Yahoo! Inc. VERITEX HOLDINGS CIGNA Corp. CIT Group Inc. (2009) Lennar Corp. Class A Peapack-Gladstone Financial Corp Praxair, Inc. Starbucks Corp. T-Mobile USA Inc Seacoast Banking Corp. of Florida Home Depot, Inc. (The) Banc of California Constellium N.V. ALLY FINANCIAL I FleetCor Technologies, Inc. Macquarie Infrastructure Company LLC LIBERTY BRDBND C Ellie Mae, Inc. Workday Inc. Bristol-Myers Squibb Empire State Realty Trust, Inc. Equity Lifestyle Properties, Inc. Synchrony Financial Intuitive Surgical Inc (New)

1 year

23.22% 18%

3 year

49.54% 33.71%

5 year

159.57% 103.25%

Inception

221.6% 134.84%

Annualized

10.86% 7.82%

Std. Dev.

19% 14.48%

Alpha 1.99%

AVGO CRM ATVI CTRP BIDU SYMC MGM STZ P CASH PANW AAP BAX EBAY YHOO VBTX CI CIT LEN PGC PX SBUX TMUS SBCF HD BANC CSTM ALLY FLT MIC LBRDK ELLI WDAY BMY ESRT ELS SYF ISRG

SECURITIES DROPPED

General Electric Co. Comcast Corp. (New) Class A Shire Plc ADS UnitedHealth Group Inc. Berkshire Hathaway Inc Class B Pfizer, Inc. United Therapeutics Corp. BIOGEN INC. Teva Pharmaceutical Industries Ltd, ADR Mylan Inc. Allergan PLC (Formerly Actavis PLC) Intel Corp. QUALCOMM Inc. LPL Financial Holdings, Inc. General Motors Co. (DE) Merck & Co AT&T Inc. Viacom Inc. (New) Class B Bio-Rad Laboratories Inc Class A Tesla Motors Inc. Oracle Corp. Markel Corp. (Holding Co.) Goodyear Tire and Rubber Co. MBT Financial Corp. GoDaddy Inc. Interactive Brokers Group Inc. Valeant Pharmaceuticals International, Inc. Intuit, Inc. Voya Financl Inc. Brown & Brown Inc. NVR Inc. Whirlpool Corp. (DE) Western Union Co. (New) Radian Group Inc. Boston Scientific Inc. Delta Air Lines Inc. (New) Arris Group Inc. Malvern Federal Bancorp, Inc.

CONTENTS

GE CMCSA SHPG UNH BRK.B PFE UTHR BIIB TEVA MYL AGN INTC QCOM LPLA GM MRK T VIAB BIO TSLA ORCL MKL GT MBTF GDDY IBKR VRX INTU VOYA BRO NVR WHR WU RDN BSX DAL ARRS MLVF

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WHALE 20 OMEGA

The Whale 20 Omega portfolio represents the top 20 holdings of the WhaleIndex with a focus on maximizing Alpha. This portfolio will be more aggressive with higher turnover and risk compared to the other portfolio offerings. The portfolio is equally weighted and rebalanced quarterly 46 days after the end of each quarter. The top 30 filers by Omega ratio whose WhaleScore beats the S&P WhaleScore are used each quarter.

Performance #'s (as of May 17th, 2017) YTD

Whale 20 Omega Benchmark Total Return

0.63% 6.51%

1 year

7.13% 18%

3 year

55.09% 33.71%

5 year

196.14% 103.25%

Inception

320.44% 134.84%

Annualized

13.51% 7.82%

Std. Dev.

26.43% 14.48%

Alpha 4.83%

Rebalancing on May 17th, 2017

SECURITIES ADDED Alibaba Group Holding Limited LOXO ONGY INC. Blueprint Medicines Corp. IGNYTA INC. Facebook Inc. Agios Pharmaceuticals Inc. Esperion Therapeutics Inc. (New) SAGE THERAPEUTIC Acorda Therapeutics Inc. BeiGene Ltd Harbinger Group Inc.

BABA LOXO BPMC RXDX FB AGIO ESPR SAGE ACOR BGNE HRG

SECURITIES DROPPED Clovis Oncology Inc. Neurocrine Biosciences Inc. DERMIRA INC. Senseonics Holdings Inc. Wave Life Sciences Pte Ltd United Therapeutics Corp. Horizon Pharma, Inc. ZELTIQ Aesthetics, Inc. Citigroup, Inc. Lexicon Pharmaceuticals Inc. Bank of America Corp.

CLVS NBIX DERM SENS WVE UTHR HZNP ZLTQ C LXRX BAC

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WHALE 20 CONSERVATIVE

The Whale 20 Conservative portfolio represents the top 20 holdings of the WhaleIndex with a focus on reducing turnover by not replacing stocks that remain in the top 50 holdings of the WhaleIndex. Once a stock falls out of the top 50 holdings of the WhaleIndex it is replaced with the most popular stock not currently in the portfolio. The portfolio is equally weighted and rebalanced quarterly 46 days after the end of each quarter. The top 30 filers by Calmar and Sortino ratios whose WhaleScore beats the S&P WhaleScore are used.

Performance #'s

Whale 20 Conservative Benchmark Total Return

YTD

9.25% 6.51%

1 year

19.81% 18%

3 year

38.99% 33.71%

5 year

118.7% 103.25%

Inception

234.93% 134.84%

Annualized

11.26% 7.82%

Std. Dev.

15.41% 14.48%

Alpha 3.93%

Rebalancing on May 16th, 2017

SECURITIES ADDED Priceline Group Inc. Alibaba Group Holding Limited Berkshire Hathaway Inc Class B Zillow Group Inc Class C W/I EQUINIX INC REIT Inc.

PCLN BABA BRK.B Z EQIX CRM

SECURITIES DROPPED Johnson & Johnson Co. Wells Fargo & Co. (New) UnitedHealth Group Inc. Pfizer, Inc. Exxon Mobil Corp. 3M Company

JNJ WFC UNH PFE XOM MMM

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TOP 25 WHALESCORES

Rank Whale Name

1

HIGHLANDER CAPITAL MANAGEMENT, LLC

2 BRONSON POINT MANAGEMENT LLC

3 DECATUR CAPITAL MANAGEMENT, INC.

4 REAL ESTATE MANAGEMENT SERVICES LLC

5 VGI PARTNERS PTY LTD

6 ADIRONDACK RESEARCH & MANAGEMENT INC.

7 DORSAL CAPITAL MANAGEMENT, LLC

8 ALTIMETER CAPITAL MANAGEMENT, LP

9 LEUCADIA NATIONAL CORP

10 TECHNOLOGY CROSSOVER MANAGEMENT VII, LTD.

11 CASTLE CREEK CAPITAL PARTNERS IV, LP

12 JACOBS ASSET MANAGEMENT, LLC

13 PATRIOT FINANCIAL PARTNERS GP, LP

14 NEWTYN MANAGEMENT, LLC

15 BANC FUNDS COMPANY LLC

16 THELEME PARTNERS LLP

17 PAR CAPITAL MANAGEMENT INC

18 BASSWOOD CAPITAL MANAGEMENT, L.L.C.

19 STIEVEN CAPITAL ADVISORS, L.P.

20 CAPITAL RETURNS MANAGEMENT, LLC

21 MENDON CAPITAL ADVISORS CORP

22 ULYSSES MANAGEMENT LLC

23 MALTESE CAPITAL MANAGEMENT LLC

24 JOHO CAPITAL LLC

25 WHALE ROCK CAPITAL MANAGEMENT LLC

Equal Weighted WhaleScore

99 99 99 99 98 98 98 98 98 97 97 97 96 96 96 95 95 95 94 94 94 93 93 93 92

Equal Weighted One Year Average WhaleScore

99 87 98 88 98 96 98 98 92 97 90 72 91 85 85 86 97 85 82 88 78 77 84 96 95

Portfolio Market Value

$117m $354m $514m $501m $506m $278m $1.88b $2.13b $1.22b $2.48b $90.2m $469m $297m $665m $2.31b $1.87b $8.23b $1.97b $498m $332m $1.25b $644m $926m $523m $1.84b

Top 20 Holdings % of Portfolio

27.172 66.415 49.094 91.445 100.000 44.280 85.579 100.000 95.268 100.000 100.000 67.780 100.000 100.000 32.288 100.000 78.381 44.290 58.464 98.454 47.920 91.730 35.806 100.000 83.821

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WHALEINDEX SECTOR BREAKDOWN OVER TIME

The weightings for each sector of the WhaleIndex 100 for the past 5 quarters.

100 80 60 40 20

0

Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Q1 2017

UTILITIES & TELECOMMUNICATIONS TRANSPORTS SERVICES REAL ESTATE MATERIALS INFORMATION TECHNOLOGY INDUSTRIALS HEALTH CARE FINANCE ENERGY CONSUMER STAPLES CONSUMER GOODS CONSUMER DISCRETIONARY

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