13F Holding Disclosure Question
So I understand that companies with over 100mm AUM have to disclose their end of quarter holdings to the SEC through the 13F. Does this require the disclosure of all trades in the quarter, or is this just the fund's holdings at that period in time? Could a HF theoretically liquidate their investments and "mask" what they are holding by switching to blue chips at the end of each quarter?
It is only holdings as of a snapshot in time. Not individual trades. Also I believe the AUM requirement threshold is $150M.
No fund would do this because getting in and out of investments usually takes days or weeks. Take a $1bn fund with 20 positions. Their top holding is $100mm of a $5bn mid cap company with an average daily trading volume is $200mm (this is generous). If you can buy or sell 10% of daily trading volume, it would take five days to put the position on or take it off. In doing so, you will incur trading fees, be less tax efficient, and you may also move the market. In a 13 week quarter, a fund isn't going to spend the first and last 1-2 weeks re-balancing their book in order to deceive 13-F.
Most firms don't care to be that secretive about their long positions, anyways.
correct: 13f are a snapshot 45 days after quarter end and include public securities only. You can be tricked different ways: Some guys hide longs through swaps or options or have some little long positions to access management teams and are massively short the stock.
Correct: they are snapshots at quarter end that are filed 45 days after quarter end. So by the time you see a long position reported, they might have well sold it and gone short. That's why for short-term trading funds, 13-Fs have little value. Also, because shorts are not reported, fund XYZ reporting a long position in GM doesnt mean they're bullish autos; they might be short F against it, and so on.
Exactly: Viking / Lone Pine / Suvretta 13Fs are relevant. Citadel/Millennium 13Fs are not
anyone know if you can mask long positions through swap or repo contracts with banks? If i want to buy up 20% of shares in X company but enter into a swap agreement with bank where they own it and mark-to-market movement; am i going to be required to disclose?
I haven't seen this happen before but curious if some large HFs who want to buy up more than 4.9% do this to mask moves in equities they go activist in (i.e. Elliott?)
Depends on how the swap is structured. If it’s economic interest and not voting, a lawyer may determine it’s not 13F reportable.
Swaps are not public securities, so you do not have to report it.
So is that common practice among some of the larger activist HFs?
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