SectorAlpha

A fund’s SectorAlpha score isolates the alpha a manager generates by allocating the right sectors. A manager who claims that sector timing is a significant part of their fund’s edge should demonstrate consistently high SectorAlpha.

To calculate a manager's SectorAlpha score, we map each security in a manager's disclosed portfolio to a sector and estimate how much of the return is attributable solely to the sector mix. The difference between the return of this portfolio and the S&P500 tells us to what extent the manager's individual sector allocation outperformed a passive benchmark.

SizingAlpha

A fund’s SizingAlpha score isolates the alpha a manager generates through sizing individual positions. A manager who claims that position sizing is a significant part of their fund’s edge should demonstrate consistently high SizingAlpha.

To calculate a manager's SizingAlpha score, we compare the manager’s portfolio weights to an equally-weighted portfolio. Because some stocks, such as small cap stocks, are significantly less liquid than others, we separate the manager’s portfolio into four sub-portfolios by liquidity and equal weight the securities in each. The difference between return of this portfolio and the manager’s tells you to what extent the manager's weighed portfolio outperformed the equal weighted portfolio.

Trade Crowdedness

A fund's Consensus score captures how many other hedge funds have a position in each stock in a manager's portfolio. The fund's Consensus score should be consistent with a manager's proclaimed style of investing.

Managers often cite their ability to get into, what end up becoming consensus positions, ahead of other hedge funds. Symmetric allows you to quantitatively assess this, by examining the historical popularity of a stock amongst hedge funds (orange line) vs. when the manager initiated a position in that stock most recently (red dotted line). Find out whether the manager you are researching is indeed as ahead of the curve as they claim.

Turnover

A fund’s Turnover chart indicates the level of stock turnover compared to other fund managers

Each period, we calculate the turnover of the manager’s fund, and show how that compares to the median turnover for all funds in Symmetric’s database.

Concentration

The Symmetric concentration calculation benchmarks a manager’s concentration according to the concentration of the broader hedge fund manager universe.

To calculate a manager’s concentration, consider the percentage of a manager’s disclosed portfolio accounted for by the top ten positions. A fund for which its top ten positions account for 50% of its disclosed portfolio is more concentrated than 20%.

We benchmark the concentration calculation according to the overall Symmetric universe. At each period, we show the percentile that describes the manager’s concentration and compare it to the middle fifty percent of managers -- the shaded area of the chart.

Liquidity

A fund’s Liquidity chart indicates how liquid its positions are

To calculate a fund’s liquidity, each period we calculate the number of days it would require to exit each of the fund’s positions, assuming the trading volume for that position was 5% of what its daily average. We then plot a chart similar to the one on the left that shows what percentage of the portfolio achieves various levels of liquidity.