Methodology
Holder IQ
Measuring institutional skill from 13F filings so you can see when high-IQ managers are accumulating, trimming, or exiting your positions.
Validation Status
Holder IQ coverage and example-output claims are read from the launch claims registry. The registry separates producing-code evidence from illustrative examples so the page cannot overstate live coverage.
Documented
README Holder IQ line 267 now states SEC 13-F filing ingestion from institutional managers without a numeric count. The G7 bulk 13F acceptance test (tests/integration/bulk-13f-ingest/g7-backfill.acceptance.test.ts) backs this registry row; do not restore a numeric 5,000+ fund-count claim until a live DB query verifies it.
Computed 2026-04-26; evidence tests/integration/bulk-13f-ingest/g7-backfill.acceptance.test.ts; docs/claims/manual-evidence.md
47 count
Example output shown in README, not a factual claim about the system
Evidence file: docs/claims/manual-evidence.md
3 count
Example output shown in README, not a factual claim about the system
Evidence file: docs/claims/manual-evidence.md
Source: docs/claims.json, generated 2026-05-03.
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
- Ingest all 13F filings via SEC EDGAR within minutes of posting
- Normalize CUSIP/ISIN to tickers; join to our securities master
- Track quarterly position deltas (entries, adds, trims, exits)
- Forward returns window: 1, 3, and 6 months after each filing
- Factor-adjust returns using our 19-factor model (Barra-inspired)
Scoring Formula (per manager)
We compute alpha on each disclosed position, aggregate by manager, then convert to a percentile-based score.
- Alpha Percentile (35% weight): risk-adjusted forward return vs. peers
- Win Rate (20%): share of positions with positive factor-adjusted return
- Sharpe (20%): return per unit volatility on disclosed positions
- Consistency (15%): lower variance of alpha across quarters
- Crowding Penalty (10%): discount if holdings are heavily crowded
Security-Level Signals
- Holder IQ Score: weighted average of top-decile managers holding the stock
- Momentum: net shares added/trimmed by high-IQ managers last quarter
- Entry/Exit Pressure: count of top-decile entrants vs. exits
- 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.
- 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
- Every cohort build records base cutoff, effective cutoff, expansion status, and expansion reason
- The Holder IQ API exposes the active effective cutoff so labels are auditable quarter by quarter
Aggregation Logic
- We only include managers with ≥8 quarters of history and ≥15 holdings
- Scores are liquidity-adjusted (larger, more liquid names weigh more)
- Recency weighting: last 2 quarters = 60% of score
- Sector/Style neutrality to avoid over-crediting category beta
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
- Extreme portfolio turnover can inflate win rate; mitigated via consistency weight
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
- Watchlists: “smart money momentum” badge when top-decile funds add
Source Code References
The Holder IQ methodology is implemented in these modules:
src/services/holder-iq/factor-alpha.ts— Factor-adjusted alpha computationsrc/services/holder-iq/canonicalizer.ts— 13F holdings normalizationsrc/services/holder-iq/episode-computation.ts— Episode-based performance trackingsrc/lib/analytics/holder-iq/— Percentile scoring and aggregation
Related beads: bd-9zpgh.3 (13F pipeline), bd-lydth.2 (validation pipeline)
Citations & Research Basis
- SEC Form 13F disclosure rules define the quarterly institutional holdings source and the reporting lag constraints.
- Academic institutional-ownership literature supports separating manager skill from broad factor and sector exposures before interpreting holdings as signal.
- Crowding and herding research informs the crowding penalty used when many high-scoring managers hold the same security.
Methodology version
v0.3 — Updated Dec 2025. We revise weights as new validation results arrive.
Feedback or questions? Email methodology@midas-edge.com.