WingCapital Investments News

Introducting WingQuant Long-Short Portfolio

It is always our passion to discover ways to outperform this market which is increasingly challenging as we are confronted with ever more exogenous variables such as central bank actions, geopolitics, etc. which often distract our analysis and decision making process. At WingCapital, we strive to filter through the noise and determine the best investment decisions on a day to day basis.

We use number of quantitative, technical and statistical methods, collectively named WingQuant, to drive our stock picking and portfolio allocation, trying to find sectors and individual equities that most likely outperform and generate alpha. Our latest product is a Long-Short Portfolio which tactically long and short combinations of individual equities with a short-term timeframe (1-2 week holding period). This is catered for more active traders who can buy and sell short stocks on a daily basisĀ  and monitor the markets frequently.

Long-Short Portfolio YTD Performance vs. SPX (*dividend/transaction costs not included)

LongShort YTD Performance.png

Metrics Long-Short SPX
Annualized Return 59.85% 16.97%
Volatility 8.68% 14.66%
Sharpe Ratio 6.668 1.021

The Long-Short Portfolio has not only proven to outperform during both bull and bear phases in terms of return, the balanced approach also minimizes volatility with beta almost near zero as the market risk exposure in Long and Short portfolios offsets each other.

Beta vs. SPX
Portfolio Long Short
0.06 0.42 -0.48

The portfolio rebalances its long/short exposure % accordingly based on prevailing market technicals:

LongShort Exposure.png

Here is the current portfolio which we will provide update periodically:

Symbol Name Sector Position Initiate Date Initiate Price Current Price Return % Daily Chg%
VRSN Verisign Inc. Information Technology Long 2016/8/15 81.81 75.05 -8.26% 1.15%
OKE ONEOK Energy Long 2016/8/16 47.11 49.71 5.52% 0.18%
AMT American Tower Corp A Financials Long 2016/8/16 114.12 113.61 -0.45% -0.65%
JNJ Johnson & Johnson Health Care Long 2016/8/16 120.33 119.92 -0.34% -0.66%
TJX TJX Companies Inc. Consumer Discretionary Long 2016/8/17 78.19 79.35 1.48% 1.98%
ENDP Endo International Health Care Long 2016/8/17 22.74 23.03 1.28% 0.61%
MO Altria Group Inc Consumer Staples Long 2016/8/17 66.46 66.33 -0.20% 0.03%
LOW Lowes Cos. Consumer Discretionary Long 2016/8/17 76.88 77.82 1.22% 1.82%
IP International Paper Materials Long 2016/8/18 47.61 47.46 -0.32% -0.32%
TGT Target Corp. Consumer Discretionary Long 2016/8/18 70.3 70.12 -0.26% -0.26%
T AT&T Inc Telecommunications Services Long 2016/8/18 41.4 41.01 -0.94% -0.94%
MRO Marathon Oil Corp. Energy Long 2016/8/18 16.68 16.8 0.72% 0.72%
AEE Ameren Corp Utilities Short 2016/8/16 49.82 50.57 -1.51% 1.52%
QCOM QUALCOMM Inc. Information Technology Short 2016/8/17 62.28 62.76 -0.77% 0.44%
TXN Texas Instruments Information Technology Short 2016/8/17 69.82 70.27 -0.64% -0.20%
NWSA News Corp. Class A Consumer Discretionary Short 2016/8/17 13.76 13.74 0.15% 0.07%
ADI Analog Devices, Inc. Information Technology Short 2016/8/17 64.2 64.14 0.09% -0.02%
ADS Alliance Data Systems Information Technology Short 2016/8/18 202.31 200.14 1.07% 1.07%
HOG Harley-Davidson Consumer Discretionary Short 2016/8/18 53.54 53.65 -0.21% -0.21%
LLY Lilly (Eli) & Co. Health Care Short 2016/8/18 79.78 79.06 0.90% 0.90%
WY Weyerhaeuser Corp. Financials Short 2016/8/18 31.41 31.18 0.73% 0.73%
PX Praxair Inc. Materials Short 2016/8/19 122.56 122.56 0% 0%

 

 

 

 

 

 

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s