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