Macro Tsimmis

intelligently hedged investment

Jan 08 Intelledgement Speculative Opportunity Portfolio Report

Posted by intelledgement on Tue, 12 Feb 08

Position Purchased Shares Paid Cost Now Value Change YTD ROI CAGR
TMY 03-Jan-07 300 3.30 998.00 1.42 425.97 -27.92% -27.92% -57.32% -54.67%
ELN 04-Apr-07 129 13.90 1,801.10 25.36 3,271.44 15.38% 15.38% 81.64% 105.82%
VRTX 18-Apr-07 57 31.65 1,812.05 20.36 1,160.52 -12.35% -12.35% -35.96% -43.17%
NBIX 22-May-07 158 11.33 1,798.14 5.39 851.62 18.72% 18.72% -52.64% -65.86%
BQI 13-Jul-07 565 3.35 1,900.75 3.22 1,819.30 -21.08% -21.08% -4.29% -7.61%
GSS 19-Jul-07 451 4.19 1,897.69 4.01 1,808.51 26.90% 26.90% -4.70% -8.58%
GSS 24-Aug-07 613 3.08 1,896.04 4.01 2,458.13 26.90% 26.90% 29.65% 80.89%
SLT 5-Oct-07 111 19.75 2,200.25 20.39 2,263.29 -21.79% -21.79% 2.87% 9.14%
BZP 19-Nov-07 245 9.77 2,401.65 12.90 3,160.50 15.38% 15.38% 31.60% 295.04%
BZP 30-Jan-08 186 11.27 2,104.22 12.90 2,399.40 n/a 15.38% 14.03% 66.6 sextillion percent
cash -8,809.89 3,302.59
ISOP 03-Jan-07 10,000.00 22,921.27 4.93% 4.93% 129.21% 116.17%
Global HF 03-Jan-07 10,000.00 10,802.63 -2.79% -2.79% 8.03% 7.44%
NASDAQ 03-Jan-07 2,415.29 2,389.86 -9.89% -9.89% -1.05% -0.98%

Position = symbol of the security for each position
Purchased = date position acquired (for long positions) or sold (for short positions)
Shares = number of shares long or short in the portfolio
Paid = price per share
Cost = what portfolio paid (including commission); note for short sales, the portfolio gains cash
Now = price per share as of the date of the report
Value = what it is worth as of the date of the report (# shrs multiplied by price per share plus value of dividends)
Change = Change since last report (not applicable for positions new since last report)
Year-to-Date = Change since 31 Dec 07
Return on Investment = on a percentage basis, the performance of this security since purchase
Compounded Annual Growth Rate = annualized ROI for this position since purchase (to help compare apples to apples)

Notes: The benchmark for the ISOP is the Greenwich Alternative Investments Global Hedge Fund Index, which historically (1988 to 2007 inclusively) provides a CAGR of around 15.1%. For comparison’s sake, we also show the NASDAQ index, which over the same time frame has yielded a CAGR of around 10.1%. Note that for the portfolio, dividends are added back into the value of the pertinent security and not included in the “cash” total (this gives a more complete picture of the ROI for dividend-paying securities). Also, the “Cost” figures include a standard $8 commission and there is a 2% rate of interest on the listed cash balance.

Transactions: Kind of weird that we end up covering our shorts in a month where the NASDAQ essentially crashes (down 10%)…but then the whole concept of speculating is a bit weird and often leads one to counter-intuitive actions. The proceeds of the sale of FDG were balanced out by the purchase of a second tranche of BZP; the net is that we still have some cash to deploy.

News:

Comments:

Excellent start to the new year for us—up 5% in a month where the NASDAQ essentially crashes (down 10%) and the hedge funds had their worst monthly performance since July 2002 (-3%). Still, we are not without concerns.

Strategically, given that the Fed is going in the wrong direction and despite all the presidential debates, only one fringe candidate (Ron Paul) seems to grasp the significance of the fact that we are destroying our own currency here, we see doom and gloom ahead…and thus we feel a bit exposed here with no short positions. The Fed flushed us out of our real estate and banking shorts with their “shock-and-awe” 75-basis point rate cut, but we will be looking to rebalance the port ASAP. Things may well hold together until the election, but it is not wise to be 100% long here.

Tactically, we have issues, too. TMY is likely to decline sharply if the $3/shr management buyout deal falls through. VRTX is looking less attractive with a potential year-or-more delay in the potential approval of telaprevir. NBIX remains weak in the wake of the indiplon catastrophe last December. GSS continues to limp along with their disappointing BIOX plant. And we still have cash to put to work somewhere…2% annual interest is certainly not compensating for the fall in the value of our dollars!

So our to-do list consists of trying to fix the things we can (go short on something and deploy our cash) and watching the things we can’t control (all the problem children listed above) closely in case we need to hit an eject button or two.

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