Alpha Attribution

Alpha Attribution is the blog of Symmetric.io. We provide analytics to isolate the investment skill of hedge fund investors through their positions and their reflection in the market. Register HERE for updates and additional access.

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Symmetric Top Stock Pickers

The Symmetric Top Managers: here’s what the best of the best are doing in the market Symmetric.io surveys the hedge fund universe for a manager’s ability to deliver alpha through picking stocks – StockAlpha. The Third Quarter Rankings are out. Log into Symmetric.io to see:

The full list of managers and the methodology

The managers that have held their position on the list, quarter over quarter

The Key Positions that contributed to managers' position on the list

Registered Users of Symmetric will have access to the list and report. Enterprise subscribers will have access to the full analysis of individual managers, their positions, hedge fund crowding and performance attribution.

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Above the Crowd – Positioning for Today’s Hedge Fund Holdings Release

It's time to take a peek under the hood of hedge fund managers' portfolios. Once a quarter, hedge funds disclose their quarter-end long positions through 13-F filings, and today is the deadline. These filings offer a timely, telling perspective on the decisions managers have made and clues on where the smart money might be headed. But it's not enough to look through the 13-F filings on their own. Just reading the holdings and hoping to follow a few favorite managers into their top positions is a recipe for disaster. Instead, sophisticated investors cut the data and couple it with their own research. One popular way to look at the data is through hedge fund crowding. Crowding analysis looks at the concentration of hedge fund ownership throughout the equity universe. But rather than just looking at which positions have the highest hedge fund ownership, why not look at the positions that aren't yet considered crowded but have seen the largest increases in hedge fund ownership? That's where the smart money is headed, right? The Symmetric.io security screener provides a quick glimpse into exactly this. It shows the most crowded trades, but it also digs into which trades are just starting to get crowded, while controlling for market cap and other factors, as well. The screen-grab below filters for positions that have at least $5b in institutional ownership and have less than 15% of hedge fund ownership, so these are reasonably large, liquid positions that are not quite crowded enough to raise any flags. The final results are sorted by the arithmetic increase in hedge fund concentration. The top five positions that have increased the most in terms of crowding are Seagate Technology (STX), Marathon Oil Corp (MRO), Michaels Companies (MIK), L-3 Communications Holdings (LLL), and Symantec Corp. (SYMC). These are the positions that, as of the end of Q2, had increased the most in terms of hedge fund crowding, had a minimum of $5b in institutional ownership, and were still below the radar -- as in, they weren't flagged as crowded trades. How did these positions do? Well, we charted them to see how they performed as of the filing date. It's the date at which they disclosed the position to the SEC, so the holdings would have been available to anyone willing to do the analysis. From that time to today, the S&P 500 (SPY) is up 6.78%. Four out of the five positions that met our criteria are up more than the S&P 500. On a equal-weighted basis, the basket of five positions is up 21.16%. Naturally, these returns have been calculated ex post, and there's no way of know of know how this strategy will perform in the coming quarter. It could reverse entirely, after all. Nonetheless, the data comes out today, and the full Symmetric Hedge Fund Rankings, reports, and analytical framework will be available for analysis tomorrow at Symmetric.io. What will the next five names be?       As always, the information contained herein does not constitute an offer to sell or a solicitation of an offer to purchase any securities and is not intended to provide investment advice. Before investing in any investment product you should consult with your financial, tax and/or legal advisors.

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A Mattress for All Seasons – Steinhoff buys Mattress Form, Vindicates Contrarian Stock Pick

They say the best investors find opportunities in the worst circumstances. While others are afraid of catching a falling knife, they'll step in and see that it's only just about to stop in a butcher-block. Or, In this case, the mattress. The South African retailer, Steinhoff, announced a bid today for the equity and assumed debt of Mattress Firm Holding Corp. (MFRM) at a 115% premium to yesterday's closing stock price. For a select few hedge fund managers, it's provided a welcome boost to returns. Steinhoff is a South African retailer that sees the $3.8b acquisition as an important source of diversification from its weakened domestic market. Steinhoff's acquisition strategy has already shifted its revenue concentration to Europe, where it sources more than  two-thirds of its $11b in annual revenue. The acquisition of Mattress Firm will mark Steinhoff's first foray into North America and will form the world's largest mattress distributor. Says Richard Chamberlain, an analyst at RBC, "We think Steinhoff is paying a strategic premium to allow it to enter the US market with an industry leading partner." To say that most hedge funds did not see this coming would be an understatement. It is a contrarian position. Just over twenty hedge funds held a position in Mattress Firm as of the last filing date. An analysis of flows illustrates that hedge funds, more broadly, were selling, as of the latest disclosure. Flows of Mattress Firm holdings from hedge fund managers with high StockAlpha, a measure of a manager's stock-picking skill, were in the opposite direction. They were buyers, and their purchases were also driving the consensus score higher -- a measure of a position's popularity among hedge funds. Simply put: Mattress Firm was becoming more popular with the smart-money. Today, the contrarian investors in Mattress Form were vindicated. Steinhoff's decision to expand to the US market through acquiring Mattress Form mirrored the prospective analysis firms like Pivot Point must have been making when they invested in Mattress Form. Who were these managers? -- Click Here For More The latest hedge fund holdings will be filed on August 15th. Register with Symmetric.io to receive the Symmetric Top Stock Pickers report and access to manager ownership details and StockAlpha measures.

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Succession by Acquisition - Biogen, Merck, & Allergan

Nothing says succession plan like an acquisition. Last month, Biogen Inc Chief Executive George Scangos announced he would step down in the coming months. Today, acquisition chatter has grown so loud, the Wall Street Journal is reporting on it. Hedge funds have had a tough year. Is anyone capitalizing on the possible transaction? The companies fingered as possible acquirers include Merck & Co. and Allergan PLC. To say the acquisition would be "huge" is putting it mildly. Biogen had a market value of $68b as of Tuesday and both Merck and Allergan's market values are north of $100b -- coming in at $162b and $101b, respectively. Biogen's drug pipeline, though, is nascent. In the investment world, it might be considered a concentrated bundle of idiosyncratic risk. In other words,  they have a number of drugs in development that are far from being qualified for the market. For Merck and Allergan, it might be just the thing to supplement what have been characterized as diminished pipelines. Hedge funds are supposed to be good at picking out opportunities in the market. Biogen's pipeline could be exactly such an opportunity, and the stock as responded well so far this year. While the iShares Nasdaq Biotechnology (IBB) is down more that 12% year to date, Biogen is up more than 7%. Indeed, some hedge fund investors appear to have managed the investment case for Biogen wisely. Though it's not considered crowded hedge fund holding, it is by no means a contrarian hedge fund holding. More than one hundred hedge funds hold Biogen, making it a consensus position. Perhaps owing to its size, though, it is not crowded. Only seven percent of the institutional float is held by hedge funds. But as of the last filing date, hedge funds with the highest StockAlpha, a measure of stock-picking skill, were pouring into Biogen. While hedge fund managers, overall, were selling out of Biogen, those with the highest StockAlpha, were buying into it -- adding 322,871 and otherwise growing their collective stake by almost 10%. Next -- Who were these managers? <more>

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Hedge Funds Like ETFs Too

It's been a rough first half of the year for hedge funds. The many shocks to the market encouraged managers to take risk down, yielding, at times, dramatic results. Crowded trades suffered from as the hedge funds that had followed each other into crowded stocks searched for the exits. But just because some of these ideas were crowded didn't necessarily make them bad. Many were just illiquid or unpopular. But what about the most liquid, crowded trades? How did they do? Symmetric.io noticed that ETFs have become increasingly popular among hedge funds. These tend to be among the most liquid holdings in a manager's portfolio. Hedge funds use them to provide long exposure to individual sectors, such as biotech (IBB), commodities, such as Gold (GLD), or whole geographies, such as Brazil (EWZ) or the emerging markets (EEM). It turns out that the most crowded hedge fund bets on ETFs have performed surprisingly well. Symmetric.io combed through the entire universe of 13F filers to identify the most commonly held ETFs among institutional  investors. Then we calculated the percentage held by hedge funds and pared the list back to the top ten ETFs with the highest concentration of hedge fund ownership -- the most crowded ETFs. May eighteenth would have been the first day from the disclosure date during which one could have purchased those top ten, most crowded ETFs. Since then, an equally weighted portfolio would have risen 4.9%, while the S&P500 (SPY) has only risen 1.2% through yesterday. It remains to be seen if this effect will persist or if it is an isolated incident. These ten ETFs could fall off a cliff in the coming days or weeks, and the same thing might not happen in August, when hedge funds release their latest holdings. Symmetric.io, however, will be there to gather and analyze the data. The top ten most crowded ETFs considered in this article are as follows. More information is available at symmetric.io:

Ticker Performance Name GLD 8.1% SPDR Gold Shares (GLD) EWZ 7.7% iShares MSCI Brazil Capped (EWZ) GDX 11.0% VanEck Vectors Gold Miners ETF (GDX) AMLP 3.3% Alerian MLP ETF EEM 4.1% iShares MSCI Emerging Markets (EEM) EWY 5.8% iShares MSCI South Korea Capped (EWY) VWO 5.1% Vanguard FTSE Emerging Markets ETF (VWO) XBI 2.9% SPDR S&P Biotech ETF (XBI) FXI 6.2% iShares China Large-Cap (FXI) QQQ -0.8% PowerShares QQQ ETF (QQQ) IBB -3.2% iShares Nasdaq Biotechnology (IBB) DIA -0.5% SPDR Dow Jones Industrial Average ETF (DIA)

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Symmetric Top Stock Pickers

The Symmetric Top Managers: here’s what the best of the best are doing in the market Symmetric.io surveys the hedge fund universe for a manager’s ability to deliver alpha through picking stocks – StockAlpha. The Second Quarter Rankings are out. Log into Symmetric.io to see:

The full list of managers and the methodology

The managers that have held their position on the list, quarter over quarter

The Key Positions that contributed to managers' position on the list

Registered Users of Symmetric will have access to the list and report. Enterprise subscribers will have access to the full analysis of individual managers, their positions, crowdedness and performance attribution.

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It’s Time to Worry about Crowded Hedge Fund Trades

One of my biggest worries is that there are so many players out there trying to do similar strategies...If one of these highly levered players had a rough run and took down risk, would we be collateral damage? ...In February we drew down 8 percent which for us is a lot. My worst fears were realized. --Steve Cohen, speaking at the Milken Conference

Steve Cohen,legendary investor and founder Point72 Asset Management, is worried about hedge fund crowding -- for good reason.

Hedge funds used to be snipers, picking out unique ideas. Now, they’re the cavalry, storming into ideas, with all the dust, chaos, and collisions you would expect. The opening of 2016 coincided with the worst crowding-related draw-down since 2005. A closer look at the data revealed a handful of insights regarding the pervasiveness and impact of hedge fund crowding.

Research from Symmetric.io reveals some troubling developments that compound Cohen's fears. The hedge fund industry has become substantially more crowded, on average, since 2010. Position-level overlap between substantially different investment strategies has increased since 2010. The combination of crowding and style-drift explain, in part, the dramatic downdraft in Q1.

With crowding levels still high, the next crowding-related drawdown might be equally brutal. It's more important than ever to understand one's exposure to crowded hedge fund positions. For more insight on the positions and the exposure of indices to crowded hedge fund positions, such as the S&P500 (SPY), go to Symmetric.io

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The Top Ten Hedge Funds Impacted by VRX

No need to mince words. The market punished Valeant Pharmaceuticals today. Not only did they slash guidance, they suggested they may be in imminent default of their debt. It's one thing to perform poorly, quite another to become insolvent. And the market responded in kind, and Valeant closed down more than 50%. The question is, how did it affect their investors? It turns out, it may not be the investors one would expect.

The Hedge Fund Managers Most Affected by Valeant Pharmaceuticals' Crash

Symmetric.io ran the numbers and isolated the hedge fund managers for whom today's move in VRX had the greatest impact. The holdings are based on the most recent 13F disclosures in which the largest hedge fund holder is Pershing Square, with more than 16m shares disclosed. The aggregate position for the top ten hedge fund holders is 8.26b shares. Factoring in today's loss, the top ten holders face an estimated loss of more than $4.3b on the disclosed positions -- yesterday. One would expect Pershing Square to rise to the top of the list. It does, and it's followed by the usual suspects, including ValueAct and Paulson. But the list also includes investors such as Lone Pine Capital, Hound Partners, and Coatue Management -- names not usually associated with Valeant. Widen the list to include other investing entities, and Ruane, Cuniff & Goldfarb, the entity that invests Sequoia's capital, is right at the top, with more exposure than Pershing Square.

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Correlation, the S&P500, and Hedge Fund Portfolios

Don’t Choose Investments Based On Correlation Alone Why isn’t Global Tactical Asset Allocation (GTAA) / Global Macro the obvious hedge fund strategy for a typical institutional investor? Compared to a diversified hedge fund program, it presents a lower stock/bond correlation. And doesn’t everyone say, the whole point of a portfolio is to assemble uncorrelated return streams? Correlation, however, is only one leg of the stool. Hedge Fund Investing - It’s not just Correlation Correlation is just one of three critical inputs to classic, unconstrained, optimal portfolio selection.  Investors must also balance correlation against expected return and risk (i.e., volatility) on a portfolio-specific basis.  Even if GTAA/Global Macro and a diversified hedge fund program had identical expected returns and risks (i.e., “all else equal”), there is no universal theorem that states a lower correlation is better.  It really just depends.  Let me explain. Appraisal Ratio – the key to choosing new investments The Appraisal Ratio (“AR”) framework illustrates the problem with focusing on correlation.  The AR is an easy to calculate, risk-adjusted, summary performance statistic that properly accounts for a new investment’s expected return, risk, and correlation – the three critical portfolio selection inputs.  Although beyond the scope of this piece, it has been shown that the individual investment with the highest AR improves the investor’s total portfolio risk-adjusted return the most – the ultimate goal of an investor. The Appraisal Ratio is a close cousin to the Sharpe Ratio and is just a simple application of standard linear regression techniques, which can be calculated in seconds within Microsoft Excel. The key difference is, the Appraisal Ratio beta adjusts the “return per unit of risk.” For more detailed information on the above equations, I encourage you to read my Appraisal Ratio white paper.    Understanding the role of correlation through the Appraisal Ratio So how does the AR framework help me understand the role of correlation in optimal portfolio selection?  Referring to the equations above, for a given new investment’s expected return and risk (i.e., volatility), a higher correlation has two impacts:

“The Bad”:  a higher correlation increases the beta (β), which lowers the expected alpha (α), all else equal.  This decreases the Appraisal Ratio.

“The Good”:  a higher correlation decreases the residual volatility (σ(ε)), making the alpha more consistent, all else equal.  This increases the AR.

The net impact of the higher correlation on the AR is case dependent.   In order to convince you that a higher correlation can be better, all else equal, let’s go through a quick example.  Assume the following:

The investor currently holds the S&P 500.  The S&P 500 has a volatility of 15% and expected excess (in excess of T-Bills) return of 4%.

The investor is considering between two new investments with identical risk and expected returns, but differing correlations.

Investment #1 has a return equal to the S&P 500 + 5%.  This investment is perfectly correlated with the investor’s current portfolio, has an expected excess return of 9% (= 4% + 5%), and a volatility of 15%.  The alpha is 5% and the residual volatility is 0%, making the AR infinite.

Investment #2 has a return equal to T-Bill + Idiosyncratic White Noise + 9%, where the Idiosyncratic White Noise has an expected return of zero and volatility of 15%.  This investment is uncorrelated with the investor’s current portfolio, has an expected excess return of 9%, and a volatility of 15%.  The alpha is 9% and the residual volatility is 15%, making the AR equal to 0.6 (= 9%/15%).

Investment #1 is perfectly correlated with the existing portfolio, but it’s the better choice.  Why?  An investor that holds and can trade the S&P 500 desires Investment #1 due to the riskless arbitrage it presents.  For every dollar allocated to Investment #1 from the current portfolio (buying Investment #1, selling S&P 500), the investor picks up a guaranteed 5%...no risk.  The S&P 500 risk embedded in Investment #1 can be perfectly hedged out…creating the riskless arbitrage.  While Investment #2 is an attractive investment, it’s not as good since it’s impossible for the investor to hedge out the uncorrelated, Idiosyncratic White Noise.  Any allocation to Investment #2 from the current portfolio takes on the 15% volatility associated with the Idiosyncratic White Noise.       Bottom line Correlation is an important input to the portfolio selection process, but it’s just one leg of the stool.  The Appraisal Ratio considers the investment’s expected return and risk, alongside correlation, so one can understand the impact of new allocations to an investor’s portfolio. No one wants to sit on a one-legged stool. Guest Contributor to Symmetric.io. Symmetric.io provides research, analytics and reporting on institutional hedge fund portfolios, trade-crowding, and returns. Click here for more information.

Peter Hecht is Managing Director and Senior Investment Strategist at Evanston Capital Management. Previously, he served in various portfolio manager and strategy roles for Allstate’s general account and pension plan assets in addition to chairing the Investment Strategy Committee. Prior to Allstate, Dr. Hecht was an Assistant Professor of Finance at Harvard Business School. His research and publications cover a variety of areas within finance, including behavioral and rational theories of asset pricing, liquidity, capital market efficiency, complex security valuation, credit risk, and asset allocation. A selection of his most recent research can be found here.

As always, the information contained herein does not constitute an offer to sell or a solicitation of an offer to purchase any securities and is not intended to provide investment advice. Before investing in any investment product you should consult with your financial, tax and/or legal advisors.

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The Symmetric Top Managers: here’s what the best of the best are doing in the market

Symmetric.io surveys the hedge fund universe for a manager’s ability to deliver alpha through picking stocks – StockAlpha. The First Quarter Rankings are out.

Some 90% of Managers delivered negative StockAlpha over the past year. Their stock-picks underperformed on a market, sector, and beta-adjusted basis.

Key positions supporting the Symmetric Top Managers this quarter include: Facebook, Inc (FB); Mondelez International, Inc (MDLZ); Netflix, Inc (NFLX); Equinix, Inc. (EQIX).

The StockAlpha performance of Nelson Peltz's Trian Fund, Edmond Safra's EMS Capital, and Gregory Poole's Echo Street Capital preserved their place among the Symmetric Top Managers this quarter

The effects of hedge fund crowding in certain positions appear to have taken their toll. As earlier Symmetric.io reports have shown, crowded hedge fund positions tend to underperform dramatically in volatile markets such as those we see today. Notably, these positions can be among the first and fastest to turn when the market reverses its negative trajectory.

Activists have done poorly, though they are still up according to our StockAlpha measure over the last few years. Positions such as Autodesk, Inc (ADSK), LPL Financial Holdings, Inc (LPLA), United Rentals, Inc (URI) contributed to their negative performance.

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How Hedge Fund Crowding Dragged Down Tableau Software

Tableau Software's earnings release was supposed to remind growth investors what they pay for. They shared reports of dramatic growth, year over year. Why then are they down more than 50% over the course of a week? On February 4, 2016, Tableau Software (DATA) announced impressive 4Q15 results. Tableau reported revenues of $202.8m and marked a rise of 42% year-over-year, compared to 4Q14. Analysts had expected the company to post earnings of $200.8 million with EPS of $0.16. Tableau Software comfortably beat these estimates. If The answer isn't in the fundamentals, it may be in the ownership structure. It turns out, knowing who the other owners are can tell you a lot about what happens when people rush for the exits. Tableau was among the less popular names in the hedge fund universe as of the last disclosure. Unlike what one would expect, just about seventy hedge fund filers owned Tableau. It's among the contrarian holdings in the overall hedge fund universe. Nonetheless, the overall hedge fund ownership as a percentage of the institutional float is 37%. Moreover, they were increasing their positions, quarter over quarter. The overall hedge fund ownership of Tableau's institutional float is so crowded, it exceeds that of Valiant Pharmaceuticals (VRX), of which 32% of the institutional float was claimed by hedge funds. The institutional float of Tableau is the dollar value of all stock held by institutional investors that file ownership disclosures. When cloud services companies blew up last week, Tableau's owners had a problem. The owners consisted of a minority of hedge fund investors that had come to represent an outsized percentage of the institutional float. While they had been accumulating shares of Tableau, others were selling into their contrarian position. When it came time to exit, they were the only buyers, and no one had an appetite to go shopping. What happened to Tableau? It tanked, down 50%. This wasn't so good for Matrix Capital or Tiger Global or Antipodean Advisors, which each have large, high conviction positions in Tableau. Tableau may be particularly sensitive to these ownership-driven risks. After last week, they now only have $2.9b in market capitalization. That said, similar effects seen in Transdigm (TDG), with $10b in market capitalization, and other, larger companies illustrate that ownership-driven risk clearly extends into larger capitalizaiton positions that are also found among the S&P500 (SPY). Use Symmetric to track hedge fund managers, their positions, crowded trades such as Tableau, and returns click here.

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How Hedge Fund Crowding Dragged Down Transdigm

Transdigm's (TDG) earnings release was hardly an embarrassment. They saw impressive growth, quarter over quarter. And it wasn't just in the top-line. Why then are they down more than 15% from last Friday? Quarterly net sales were up 20% to $701.7m, and net income had increased 20% to $114.9 million, yielding $1.97 per share. Adjustments for one-time items, boosted earnings $2.27 per share. It didn't have the makings of a disaster. If The answer isn't in the fundamentals, it may be in the ownership structure. It turns out, knowing who the other owners are can tell you a lot about what happens when people rush for the exits. Transdigm was among the less popular names in the hedge fund universe as of the last disclosure. Unlike what one would expect, just about seventy hedge fund filers owned Transdigm. It's among the less popular holdings in the overall hedge fund universe. Nonetheless, the overall hedge fund ownership as a percentage of the institutional float is 30%. Moreover, they were increasing their positions, quarter over quarter. The overall hedge fund ownership of Transdigm's institutional float is so crowded, it looks almost like Valiant Pharmaceuticals (VRX), of which 32% of the institutional float was claimed by hedge funds. The institutional float of Transdigm is the dollar value of all stock held by institutional investors that file ownership disclosures. When Transdigm didn't quite meet expectations on Tuesday, the owners had a problem. The owners represented a minority of hedge fund investors that had come to represent an outsized percentage of the institutional float. While they had been accumulating shares of Transdigm, others were selling into their contrarian position. When it came time to exit, no one was there to buy. Transdigm isn't a small cap stock. It has $10b in market capitalization, so the ownership consideration clearly extends into middle capitalization and larger positions that are also found among the S&P500 (SPY). Use Symmetric to surface managers with unique sources of alpha, flag those that may be in trouble, and track the stocks in which they're invested. For in-depth reports on hedge fund managers, their positions, crowding, and returns across holdings in the S&P 500 and the full universe of equity holdings click here.

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COMM supports Criterion Capital in Jan. WDAY continues to drag

Criterion Capital Management returns an estimated -6.85% for January 2016 - the fully hedged version returns -0.07%

Criterion Capital Management generated a -6.85% return on their publicly disclosed long portfolio for the month ending January 2016, underperforming the S&P500 by 686 basis points (bp). On a hedged basis, the portfolio would have returned -0.07% StockAlpha over the same period. Criterion's StockAlpha reflects the return of the net return if each security in their portfolio was hedged with a sector ETF, such that the resulting portfolio was market, beta and sector neutral. StockAlpha in the Health sector contributed the most to StockAlpha during the month.

Positive Contributors to Criterion Capital's Returns

Criterion Capital’s position in CommScope Holding Co (COMM) contributed the most to the performance of the manager’s long-portfolio during the month. Over the month of January 2016, Criterion's 4.8% position in CommScope Holding Co (COMM) increased in value by 0%, contributing 0% (4.8%*0%=0%)to the long portfolios overall return. Looking at Criterion's portfolio through a fully hedged StockAlpha lens, the holding of CommScope Holding Co (COMM) also provided the largest contribution to fully hedged returns. CommScope Holding Co (COMM) returned 0% during the month compared to the Tech sector, which returned -6.4%. As a result, after taking into account CommScope Holding Co (COMM)'s beta relative to its sector, the position contributed 0.3% of StockAlpha to the Criterion’s monthly performance.

Negative Contributors to Criterion Capital's Returns

Much of the drag on Criterion Capital’s long-portfolio during the month can be attributed to the holding of Workday Inc (WDAY). Over the month of January 2016, the manager's 8.6% position in Workday Inc (WDAY) returned -10.8%, contributing -0.93% (8.6%*-10.8%=-0.93%)to the long portfolios overall return. Looking at Criterion Capital's portfolio through a fully hedged StockAlpha lens, the holding of Workday Inc (WDAY) also provided the most negative contribution to fully hedged returns. Workday Inc (WDAY) returned -10.8% during the month compared to the Tech sector, which returned -6.4%. As a result, the position contributed -0.3% of StockAlpha to the manager’s monthly performance.

Overlap with other hedge funds

Among Criterion Capital’s top 10 largest positions, Facebook (FB) is the name that is owned by most other hedge funds. 23.1% of hedge funds within Symmetric's universe had a position in Facebook (FB) as of March 31, 2015, making it a consensus name relative to other stocks. Criterion Capital initiated its position in Facebook (FB) 2 years ago. Other hedge funds that have significant ownership stakes in Facebook (FB) as a percentage of their portfolio include Arrowgrass Capital Partners Llp (44.2% position initiated 0.8 years ago), Duquesne Family Office Llc (42.4% position initiated 0.8 years ago) and Sac Capital Advisors Hong Kong (17.3% position initiated 0.5 years ago). Overall, Criterion Capital's book is contrarian, with the average position held in the portfolio held by 8.8% of hedge funds.

Criterion Capital - Month to Date

Last week's gyrations in the market put additional stress on Criterion Capital. As of Tuesday, the month to date performance of the publicly disclosed long positions was down more then 16%. Had the portfolio been hedged to be market, sector and beta neutral, it would have been down 9.5%. Linkedin Corp (LNKD), Workday Inc (WDAY), and ServiceNow Inc (NOW) dragged the most on the long portfolio, detracting -2.9%, 1.9% and -1.5%, respectively, month to date. Use Symmetric to surface managers with unique sources of alpha, flag those that may be in trouble, and track the stocks in which they're invested. For in-depth reports on Criterion or other managers, click here.

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STZ carries Matrix Capital in January. WDAY & DATA drag

Matrix Capital Management returns an estimated -6.9% for January 2016 - the fully hedged version returns -0.56%

Matrix Capital Management generated a -6.9% return on their publicly disclosed long portfolio for the month ending January 2016, underperforming the S&P500 by 691 basis points (bp). On a hedged basis, the portfolio would have returned -0.56% StockAlpha over the same period. Matrix's StockAlpha reflects the return of the net return if each security in their portfolio was hedged with a sector ETF, such that the resulting portfolio was market, beta and sector neutral. StockAlpha in the Cons. Staples sector contributed the most to StockAlpha during the month.

Positive Contributors to Matrix Capital's Returns

Matrix’s position in Constellation Brands Inc. (STZ) contributed the most to the performance of the manager’s long-portfolio during the month. Over the month of January 2016, Matrix's 3.7% position in Constellation Brands Inc. (STZ) increased in value by 3.2%, contributing 0.12% (3.7%*3.2%=0.12%)to the long portfolios overall return. Looking at Matrix's portfolio through a fully hedged StockAlpha lens, the holding of Constellation Brands Inc. (STZ) also provided the largest contribution to fully hedged returns. Constellation Brands Inc. (STZ) returned -2.6% during the month compared to the Cons. Disc. sector, which returned -5.8%. As a result, after taking into account Constellation Brands Inc. (STZ)'s beta relative to its sector, the position contributed 0.8% of StockAlpha to the Matrix’s monthly performance.

Negative Contributors to Matrix Capital's Returns

Much of the drag on Matrix’s long-portfolio during the month can be attributed to the holding of Workday Inc (WDAY). Over the month of January 2016, the manager's 11.3% position in Workday Inc (WDAY) returned -10.8%, contributing -1.22% (11.3%*-10.8%=-1.22%)to the long portfolios overall return. Looking at Matrix's portfolio through a fully hedged StockAlpha lens, the holding of Lions Gate Entertainment Corp (LGF) provided the most negative contribution to fully hedged returns. Lions Gate Entertainment Corp (LGF) returned -11.8% during the month compared to the Cons. Disc. sector, which returned -5.8%. As a result, the position contributed -0.4% of StockAlpha to the manager’s monthly performance.

Overlap with other hedge funds

Among Matrix’s top 10 largest positions, Illumina Inc (ILMN) is the name that is owned by most other hedge funds. 11.7% of hedge funds within Symmetric's universe had a position in Illumina Inc (ILMN) as of March 31, 2015, making it neither a consensus nor contrarian. Matrix initiated its position in Illumina Inc (ILMN) 1.5 years ago. Other hedge funds that have significant ownership stakes in Illumina Inc (ILMN)as a percentage of their portfolio include Kamunting Street Capital Manage (4.7% position initiated 1 year ago), Tiger Management Llc (3.8% position initiated 0.8 years ago) and Duquesne Family Office Llc (3.2% position initiated 2 years ago). Overall, Matrix's book is contrarian, with the average position held in the portfolio held by 7.7% of hedge funds.

Matrix Capital - Month to Date

Last week's gyrations in the market put additional stress on Matrix Capital. As of Monday, the month to date performance of the publicly disclosed long positions was down more then 19%. Had the portfolio been hedged to be market, sector and beta neutral, it would have been down 13%. Tableau Software (DATA) and Workday Inc (WDAY) dragged the most on the hedged portfolio, contributing -5% and -1.8%, respectively, month to date. Use Symmetric to surface managers with unique sources of alpha, flag those that may be in trouble, and track the stocks in which they're invested. In-depth reports on Matrix Capital or other managers can be found here.

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LNKD tanks. Will it trigger forced selling?

LinkedIn's earnings release was like yelling "Fire!" in a crowded theater. Everyone rushed the exits, and the resulting chaos left the stock bruised - down more than 40%. The next question is: who's in the theater? Who owns LinkedIn and what are they likely to do in the context of today's move? It turns out, knowing who's in the theater can tell you a lot about what happens when people rush for the exits. It can also highlight other positions that may be vulnerable. LinkedIn was among the less popular names in the hedge fund universe as of the last disclosure. Unlike what one would expect, just over sixty hedge fund filers own LinkedIn. Nonetheless, though the hedge fund ownership as a percentage of the institutional float is lower than that of VRX, for example, it still amounts to 15%. It's a meaningful percentage of what's available to trade. Hedge fund owners had generally initiated or increased their positions as of the last disclosure date. Among the top fifteen hedge fund holders, only one decreased their position in LinkedIn, while seven increased their positions, and three were new positions as of the disclosure date. The total change in shares for hedge fund owners of LinkedIn yielded a 1.4m share-increase in hedge fund ownership of LinkedIn. On the whole, however, among all holders of LinkedIn, across the filing universe, LinkedIn saw net outflows of 3.1%. What did we learn? While the typical institution was selling, a small group of hedge funds spent Q3 buying shares to build significant, concentrated positions in LinkedIn. Today's market-action suggests they may not have been prepared for LinkedIn's disappointing outlook. If they're stressed, then we could also see selling in other positions. Matrix Capital Management is a large holder of LinkedIn and were part of the recent wave of hedge fund investment. They also have the misfortune of having participating in today's 50% decline in shares of Tableau Software (DATA), more than 12% decline in Workday (WDAY) and almost 35% decline in Lion's Gate Entertainment Corp. (LGF). Given the sudden and specific effect of these market moves on a manager like Matrix, it stands to question, how will they react? Will they sell other positions to raise capital to rebalance their portfolio? What positions are at risk to selling pressure?

Use Symmetric to surface managers with unique sources of alpha, flag those that may be in trouble, and track the stocks in which they're invested. For in-depth reports on Hound or other managers, click here.

[alphaattribution]

CRI Advanced Hound Partners in January. VRX dragged

Hound Partners Llc returns an estimated -6.85% for January 2016 - the fully hedged version returns -0.88%

Hound Partners Llc generated a -6.85% return on their publicly disclosed long portfolio for the month ending January 2016, underperforming the S&P500 by 686 basis points (bp). On a hedged basis, the portfolio would have returned -0.88% StockAlpha over the same period. Hound's StockAlpha reflects the return of the net return if each security in their portfolio was hedged with a sector ETF, such that the resulting portfolio was market, beta and sector neutral. StockAlpha in the Cons. Disc. sector contributed the most to StockAlpha during the month.

Positive Contributors to Hound's Returns

Hound’s position in Carters Inc. (CRI) contributed the most to the performance of the manager’s long-portfolio during the month. Over the month of January 2016, Hound's 7.8% position in Carters Inc. (CRI) increased in value by 3.7%, contributing 0.29% (7.8%*3.7%=0.29%)to the long portfolios overall return. Looking at Hound's portfolio through a fully hedged StockAlpha lens, the holding of Carters Inc. (CRI) also provided the largest contribution to fully hedged returns. Carters Inc. (CRI) returned 3.7% during the month compared to the Consumer Discretionary sector, which returned -5.8%. As a result, after taking into account Carters Inc. (CRI)'s beta relative to its sector, the position contributed 0.7% of StockAlpha to the Hound’s monthly performance.

Negative Contributors to Hound's Returns

Much of the drag on Hound’s long-portfolio during the month can be attributed to the holding of Valeant Pharmaceuticals International Inc (VRX). Over the month of January 2016, the manager's 17.6% position in Valeant Pharmaceuticals International Inc (VRX) returned -10.4%, contributing -1.83% (17.6%*-10.4%=-1.83%)to the long portfolios overall return. Looking at Hound's portfolio through a fully hedged StockAlpha lens, the holding of Valeant Pharmaceuticals International Inc (VRX) also provided the most negative contribution to fully hedged returns. Valeant Pharmaceuticals International Inc (VRX) returned -10.4% during the month compared to the Health sector, which returned -5.6%. As a result, the position contributed -0.6% of StockAlpha to the manager’s monthly performance.

Overlap with other hedge funds

Among Hound’s top 10 largest positions, Citigroup Inc. (C) is the name that is owned by most other hedge funds. 20.4% of hedge funds within Symmetric's universe had a position in Citigroup Inc. (C) as of March 31, 2015, making it a consensus name relative to other stocks. Hound initiated its position in Citigroup Inc. (C) 1.75 years ago. Other hedge funds that have significant ownership stakes in Citigroup Inc. (C) as a percentage of their portfolio include Delta Partners Llc (18.2% position initiated 1 year ago), Key Colony Management Llc (14.2% position initiated 2 years ago) and Tegean Capital Management Llc (13.4% position initiated 0.5 years ago). Overall, Hound's book is contrarian, with the average position held in the portfolio held by 9.9% of hedge funds. Use Symmetric to surface managers with unique sources of alpha, flag those that may be in trouble, and track the stocks in which they're invested. For in-depth reports on Hound or other managers, click here.

[alphaattribution]

TW Drove ValueAct’s Performance in January. VRX did not

Valueact Holdings Lp returns an estimated -7.41% for January 2016 - the fully hedged version returns -0.74%

Jeff Ubben's Valueact generated a -7.41% return on their publicly disclosed long portfolio for the month ending January 2016, underperforming the S&P500 by 742 basis points (bp). On a hedged basis, the portfolio would have returned -0.74% StockAlpha over the same period. Valueact's StockAlpha reflects the return of the net return if each security in their portfolio was hedged with a sector ETF, such that the resulting portfolio was market, beta and sector neutral. StockAlpha in the Tech sector contributed the most to StockAlpha during the month. Of note, Symmetric.io reported earlier that they were among the top ten funds at risk of being "squeezed" in the market turmoil.

Positive Contributors to Valueact's Returns

Valueact’s position in TOWERS WATSON & CO (TW) contributed the most to the performance of the manager’s long-portfolio during the month. Over the month of January 2016, Valueact's 0.2% position in TOWERS WATSON & CO (TW) increased in value by -4.3%, contributing -0.01% (0.2%*-4.3%=-0.01%)to the long portfolios overall return. Looking at Valueact's portfolio through a fully hedged StockAlpha lens, the holding of TOWERS WATSON & CO (TW) also provided the largest contribution to fully hedged returns. TOWERS WATSON & CO (TW) returned -4.6% during the month compared to the Energy sector, which returned -7.1%. As a result, after taking into account TOWERS WATSON & CO (TW)'s beta relative to its sector, the position contributed 0.3% of StockAlpha to the Valueact’s monthly performance.

Negative Contributors to Valueact's Returns

Much of the drag on Valueact’s long-portfolio during the month can be attributed to the holding of Valeant Pharmaceuticals International Inc (VRX). Over the month of January 2016, the manager's 15.6% position in Valeant Pharmaceuticals International Inc (VRX) returned -10.4%, contributing -1.62% (15.6%*-10.4%=-1.62%)to the long portfolios overall return. Looking at Valueact's portfolio through a fully hedged StockAlpha lens, the holding of Valeant Pharmaceuticals International Inc (VRX) also provided the most negative contribution to fully hedged returns. Valeant Pharmaceuticals International Inc (VRX) returned -10.4% during the month compared to the Health sector, which returned -5.6%. As a result, the position contributed -0.6% of StockAlpha to the manager’s monthly performance.

Overlap with other hedge funds

Among Valueact’s top 10 largest positions, Microsoft Corp. (MSFT) is the name that is owned by most other hedge funds. 22.2% of hedge funds within Symmetric's universe had a position in Microsoft Corp. (MSFT) as of March 31, 2015, making it a consensus name relative to other stocks. Valueact initiated its position in Microsoft Corp. (MSFT) 2.5 years ago. Other hedge funds that have significant ownership stakes in Microsoft Corp. (MSFT)as a percentage of their portfolio include Smithwood Advisers Lp (25.8% position initiated 1.3 years ago), Eton Park Capital Management (17.5% position initiated 0.5 years ago) and Deccan Value Investors Lp (17.1% position initiated 0.5 years ago). Overall, Valueact's book is neither consensus or contrarian, with the average position held in the portfolio held by 10.9% of hedge funds. Use Symmetric to surface managers with unique sources of alpha, flag those that may be in trouble, and track the stocks in which they're invested. For in-depth reports on Valueact or other managers, click here.