Macro Tsimmis

intelligently hedged investment

Mar 08 Intelledgement Speculative Opportunity Portfolio Report

Posted by intelledgement on Tue, 22 Apr 08

Position Purchased Shares Paid Cost Now Value Change YTD ROI CAGR
TMY 03-Jan-07 300 3.30 998.00 0.89 267.00 -28.80% -54.82% -73.25% -65.46%
ELN 04-Apr-07 129 13.90 1,801.10 20.86 2,690.94 -8.39% -5.10% 49.41% 49.94%
VRTX 18-Apr-07 57 31.65 1,812.05 23.89 1,361.73 35.51% 2.84% -24.85% -25.91%
NBIX 22-May-07 158 11.33 1,798.14 5.40 853.20 7.78% 18.94% -52.55% -57.99%
BQI 13-Jul-07 565 3.35 1,900.75 3.94 2,226.10 -1.50% -3.43% 17.12% 24.64%
GSS 19-Jul-07 451 4.19 1,897.69 3.42 1,542.42 -16.99% 8.23% -18.72% -25.60%
GSS 24-Aug-07 613 3.08 1,896.04 3.42 2,458.13 -16.99% 8.23% 10.57% 18.15%
SLT 5-Oct-07 111 19.75 2,200.25 17.82 1,978.02 -14.53% -31.65% -10.10% -19.63%
BZP 19-Nov-07 245 9.77 2,401.65 21.73 5,323.85 37.79% 94.36% 121.67% 790.06%
BZP 30-Jan-08 186 11.27 2,104.22 21.73 2,399.40 37.79% 94.36% 92.08% 4,882.00%
WB 1-Feb-08 -57 39.99 -2,271.43 27.00 -1,575.48   11.82% 29.00% 30.64% 423.09%
BZH 24-Mar-08 -214 10.99 -2,343.86 9.45 -2,022.30 n/a -27.19% 13.72% 81,810.12%
cash       -4,194.60   7,932.68        
ISOP 03-Jan-07     10,000.00   26,716.40 8.37%   22.30% 167.16% 120.86%
Global HF 03-Jan-07     10,000.00   10,811.43 -2.10% -2.73% 8.11% 6.49%
NASDAQ 03-Jan-07     2,415.29   2,279.10 0.34% -14.07% -5.64% -4.57%

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: Another quiet month transaction-wise, as all we did was sell short Beazer Homes (again), as it climbed to our longstanding GTC price of $10.99…actually, it got as high as $11.44 on 24 March, but we are just grateful to be short a homebuilder again as a hedge against further market deterioration.

News:

Comments:

Yet another great month: +8% while the NASDAQ was flat and the hedge funds declined (-2%). Don’t take this the wrong way…we are happy the fund is doing so well…but we are constrained to say that being +167% in fifteen months (a new record all-time high, BTW) is not typical…and way beyond our expectations for future performance. However, it is a good example of the kind of results that speculation—as opposed to long-term investing—can generate. We need to keep in mind that this sort of wild fluctuation can work both ways when one is speculating.

The long-term outlook remains gloomy and doomy, as discussed in more detail in our IMSIP 1Q08 report posted Friday. We expect to limp into the elections reasonably whole, but we are currently short one financial services company (WB) and one real estate company (BZH) as a hedge against a sooner-than-expected decline (and also because we believe their stocks are overpriced here, of course). Meanwhile, we continue to monitor our long positions. TMY looks like a writeoff here and at this point, we are holding it primarily as a potential tax loss. Our other energy plays, BQI and BPZ, still have strong fundamental stories (so long as oil remains pricey, at least). Our commodity plays (GSS gold and SLT zinc) are down so far this year, but more related to individual issues than the macros. Our biotechs are a mixed bag: ELN is down, NBIX is up, VRTX has been down and up.

We’ll know more in another month, although the additional information won’t necessarily mean more clarity.

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