Holder IQ

What is Holder IQ?

A skill score (0-100) for institutional managers derived from 13F filings. We measure whether the funds holding a stock historically add alpha after controlling for market and style factors.

Data Sources & Pipeline

• Use available 13F filings from SEC EDGAR; coverage and processing freshness vary
• Normalize CUSIP/ISIN to tickers; join to our securities master
• Track quarterly position deltas (entries, adds, trims, exits)
• Track disclosed holding episodes and the return observations available for each episode
• Factor-adjust returns using our 19-factor model (Barra-inspired)

Scoring Formula (per manager)

The default episode-based alpha-IQ calculation ranks managers by residual alpha, Sharpe and win rate, then combines those percentiles. These are scoring defaults, not a claim that every manager has complete or current data.

• Residual alpha percentile (50%): factor-adjusted episode performance relative to peers
• Sharpe percentile (30%): risk-adjusted episode performance relative to peers
• Win-rate percentile (20%): ranking by the share of episodes with positive residual alpha
• Missing components are dropped and remaining weights are renormalized; a single episode has no Sharpe component

Security-Level Signals

• Holder IQ context combines eligible institutional-manager observations for the stock
• Momentum: net shares added/trimmed by high-IQ managers last quarter
• Entry/Exit Pressure: activity from the recorded smart-money cohort for that quarter
• Crowding: percentile of institutional ownership vs. peers

Smart Money Cohort Threshold

The default smart-money cutoff is the 80th percentile within the eligible manager segment. When a quarter has fewer than the minimum cohort size, we expand the cohort to the top eligible managers and persist the effective cutoff used for that quarter, so historical labels do not shift when later quarters are rebuilt.

• Base cutoff: 0.80 Holder IQ percentile for eligible hedge-fund managers
• Minimum cohort: 20 managers, so thin quarters can use a lower effective cutoff
• Each cohort records its base and effective cutoffs and whether it expanded, so users can distinguish the normal threshold from a thin-quarter expansion

Aggregation Logic

• Smart-money eligibility requires at least 4 quarters of activity by default, hedge-fund classification and at least 0.70 segment confidence
• The minimum-size expansion keeps the history requirement; it does not guarantee 20 eligible managers exist
• Existing cohort membership has a two-quarter grace period before removal when eligibility is lost
• Cohort membership, a manager score and a model-portfolio target weight are separate outputs

Limitations & Caveats

• 13F is T+45 days: signals are delayed vs. real-time trades
• No short positions in 13F; we treat exits as neutral unless high conviction
• Non-US and derivatives exposure not captured
• Episode coverage, filing amendments and extreme turnover can affect comparisons; a high rank does not establish future outperformance

How We Use It in Midas Edge

• Attention Queue: exit pressure and crowding spikes surface as alerts
• Portfolio View: Holder IQ overlay on each position with entry/exit flags
• Smart-money labels refer to the recorded quarterly cohort, including its effective cutoff