13F Analysis with Bloomberg PORT – Part 3

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 I’ve been analyzing the Q1 13F filings of Hedge Funds. In the last blog I split the equity filings into three groups - the new-buys, selloffs and no-change stocks, to study any mean differences across various fundamental and technical factors. But I couldn’t find any discernable (statistically significant) differences.

Next I combined the new-buys and no-change equities common across 2 or more hedge funds into single portfolio (calling it FLNG_Q121_1), and analyzed it using Bloomberg PORT. Here are couple of screen grabs. I made the portfolio equal-weighted for simplicity. I could have weighted the equities based on overall positions from all hedge funds. Also, I have back-dated the portfolio to April 1, 2021. This way we can measure the returns and other factors starting Q2, approximately after most of these decisions were made. Of course, many of these positions could be longer term, so comparing two month returns against S&P500 may not demonstrate potential accurately. I’ve used SPY – the S&P500 ETF as a proxy for S&P500. This helps unlocking the index constituents without losing any characteristics since SPY is highly liquid ETF that tracks the index closely.

Chart 2 below shows Style exposure for the FLNG_Q121_1 exposure for these select equities. A couple of things jump our – Growth and Leverage have higher, positive exposure. And Value and Dividend Yield have negative exposure. The list is sorted… so Value and Dividend Yield is at the bottom.

Chart 1 – Sector weights and Key Fundamental Ratios for FLNG_Q121_1 portfolio vs. SPY (proxy for SP500)   [Data Source: Bloomberg]

Chart 2: Style Factor exposure for FLNG_Q121_1 portfolio vs. SPY (proxy for SP500)   
[Data Source: Bloomberg]



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