Portfolio sensitivity to macro asset-class and style-factor dimensions:

The pdf link below shows the sensitivity of the current portfolio to major macro and style factors. This includes:

  • correlation matrix grid
  • scatterplot distributional analysis
  • macro-factor beta table
  • stock-level correlation detail to macro and style factors
  • stock-level correlation-bucket table and exposure aggregation

Top-down Macro & Style Report LonePine13F PDF

 

Theoretical optimal hedging prescription:

The pdf link below shows the index- and sector-equivalent replicating portfolio that best represents a fundamental bottom-up assembled portfolio.  This includes:

  • correlation matrix grid
  • theoretical optimal hedge prescription
  • scatterplot sensitivity, time-series graph and contingent frequency distribution chart
  • stock-level correlation-bucket table and exposure aggregation

Top-down Hedge Report LonePine13F PDF

 

Note: calculations Risk Advisors, data Bloomberg

Proprietary and confidential to Risk Advisors