We recently broke the S&P 500 into deciles (10 groups of 50 stocks) based on a stock's institutional ownership and calculated the average performance of stocks in each decile since the 11/20 low. As shown below, the deciles of stocks that are most heavily owned by institutions have done the best during the rally, while the least owned stocks by institutions are up the least. Is this an indication that the deleveraging from institutions has finally started to ease?
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It's probably an indication of year end window dressing by institutions as much as anything.
Posted by: Mike | December 13, 2008 at 09:15 AM
It would be helpful to know what is actually included in your definition of "institutional ownership." Is it just pension funds, endowments etc...or does it actually include hedge funds?
Posted by: Alfredo | December 13, 2008 at 10:57 AM
Alfredo,
It includes any firm that files a 13F, so hedge funds would be included.
Posted by: Paul Hickey | December 13, 2008 at 01:16 PM
It just means that the institutional dead cat has more bounce since it probably fell from a greater height....
Posted by: stan | December 13, 2008 at 06:22 PM