How to Calculate & Download to Excel Factor Exposures in Your Portfolio

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Factor Exposures of Hedge Fund Managers and Portfolios of Hedge Fund Managers

All investment managers with more than $100m in US equity holdings files a form 13-F with the Securities and Exchange Commission last week. These include hedge funds, mutual funds, private equity funds, family offices, trust companies, among others. We thought it would be a good time to review some of the functionality in Symmetric to help newcomers to the service with getting the most out of the platform during this time. Who knows, it may help some old-timers as well! One thing many of our clients track is the factor-exposure for positions and managers.

Today’s post follows our previous posts on downloading 13F holdings data to excel and downloading position changes to excel from managers they follow.illustrates how our clients assess factor exposures through

Symmetric clients include more than a hundred funds of funds, family offices, pensions, endowments, among other institutional investors. They use our cloud service to keep track of investment managers, their positions, exposures, and their day to day moves. This includes monitoring and analysis of disclosed 13F holdings. It’s a simple portfolio monitoring solution that helps automate the manager monitoring process. To that end, I’m going to show two ways to download disclosed holdings data from the system. There are many others — some clients actually buy our data-feeds, including the holdings and proprietary, behavioral factors. But we’ll stick with two examples from the web for now.

First – Assessing Factor Exposures for Hedge Funds 

Symmetric clients’ were hungry to understand the source and diversity of their investment managers’ returns. They use the Symmetric measure of Stock Alpha as one measure of this — to understand the manager’s ability to pick stocks. The also asked Symmetric to decompose factor exposures, as well. Clients wanted to understand the factor exposures of individual managers, over time. To that end, we worked with clients to provide a view of a manager’s relative exposure to the major fundamental and technical factors: such as growth, momentum, value, etc. To see this, just go to a manager’s profile page and click on Exposures. Here’s an example for Greenlight Capital.
Hedge Fund Factor Exposures from 13F filings in Excel
The screenshot shows the exposure of Greenlight’s disclosed positions to Beta over time. The most recently disclosed positions lean towards those with Very High Beta. You can also click through the menu items to see their exposure to Momentum, Volatility, Return on Equity, PE, etc. In the case of Momentum, Greenlight recently decreased their exposure to High and Very High Momentum names. You can log in as a client to see what that means.

Clients also took the fundamental and technical factor analysis of an individual manager a step deeper. Having seen the historical exposures, they asked two questions. First, what are the positions that are driving the manager’s aggregate factor exposures? Second, how does that compare to managers overall or just to a particular group of managers? Is that high for hedge funds or maybe just high for Tiger Cubs? This analysis is available in the Fundamental Factor tab of the Position Level Data section of the manager’s profile. You can also find it by drilling into the factor exposure analysis for a portfolio of managers, as discussed below. Here’s an example from Whale Rock Capital Management.

Download Factor Exposures from 13F data to Excel

Second – Assessing & Downloading to Excel Factor Exposures for a Portfolio of Hedge Fund Managers

Our next example shows factor analysis of a portfolio of managers. Symmetric clients rely on the portfolio tool to track the performance, exposures, and positions of groups of managers. The Exposures analysis allows clients to understand their overall exposure to fundamental and technical factors. First, it shows the manager’s individual, aggregate exposure. Second, it shows the portfolio’s overall, position-weighted exposure. The analysis is available on Fundamental Factor tab of the Portfolio page. Here’s an illustration from a sample portfolio of Tiger Cubs.

download factor exposures from 13f Data to excel

The table above provides rows for each manager and is color coded to show high and low exposures at a glance. It is also all downloadable to Excel. The numbers in each column decile rank the manager’s exposure to that factor based on their disclosed holdings. In this case, Deerfield Capital Management has a book that skews toward more volatile names with very low return on assets, and Coatue Management has high exposure to Market Cap (high market capitalization positions) and middle of the road exposure to volatility. At the top, you can then see how the aggregate portfolio ranks against various groups. In aggregate, for example, this portfolio is in the 35th Percentile among a universe of Activist Managers. If you click on any of the individual manager, as mentioned with Whale Rock Capital Management above, it will take you to the manager’s position-level breakdown of their factor exposures.

The excel download of the fundamental and technical factor exposures for the hedge funds or other managers in your portfolio includes three worksheets. The first comprises the table from the website. The second provides tables with the underlying positions for each manager, along with their decile ranks. The third provides the underlying metrics, such as the actual Beta measure or Market Cap, for each position listed from their portfolios.

And That’s How You Assess & Download to Excel Factor Exposures for Individual Hedge Fund Managers and Portfolios of Managers Through Symmetric 

Again, there are many other ways we provide insights into fundamental and technical factors, among other measures. Many of these rely on our cleaned, survivorship unbiased 13F holdings data from the Symmetric platform. Some clients, such as our quantitative investor clients, will also buy our underlying data-feeds. Please feel free to get in touch if you have any questions or would like us to drill down on any specific areas of functionality.