Macro Tsimmis

intelligently hedged investment

May 08 Intelledgement Speculative Opportunity Portfolio Report

Posted by intelledgement on Thu, 12 Jun 08

Position Purchased Shares Paid Cost Now Value Change YTD ROI CAGR
TMY 03-Jan-07 300 3.30 998.00 0.45 135.00 -13.46% -77.16% -86.47% -75.93%
ELN 04-Apr-07 129 13.90 1,801.10 25.04 3,230.16 -4.75% 13.92% 79.34% 65.79%
VRTX 18-Apr-07 57 31.65 1,812.05 28.63 1,631.91 12.19% 23.25% -9.94% -8.95%
NBIX 22-May-07 158 11.33 1,798.14 4.93 778.94 -9.21% 8.59% -56.68% -55.82%
BQI 13-Jul-07 565 3.35 1,900.75 4.57 2,582.05 5.06% 12.01% 35.84% 41.55%
GSS 19-Jul-07 451 4.19 1,897.69 2.96 1,334.96 -10.84% -6.33% -29.65% -33.41%
GSS 24-Aug-07 613 3.08 1,896.04 2.96 1,814.48 -10.84% -6.33% -4.30% -5.57%
SLT 5-Oct-07 111 19.75 2,200.25 22.14 2,457.54 6.49% -15.07% 11.69% 18.50%
BZP 19-Nov-07 245 9.77 2,401.65 22.74 5,571.30 16.74% 103.40% 131.98% 391.59%
BZP 30-Jan-08 186 11.27 2,104.22 22.74 3,623.28 16.74% 103.40% 101.01% 722.76%
WB 1-Feb-08 -57 39.99 -2,271.43 23.80 -1,414.46 18.35% 37.42% 37.42% 167.12%
BZH 24-Mar-08 -214 10.99 -2,343.86 6.95 -1,487.30 37.22% 6.46% 36.54% 446.33%
cash -4,194.60 7,672.15
ISOP 03-Jan-07 10,000.00 28,536.37 7.96% 30.63% 185.36% 110.98%
Global HF 03-Jan-07 10,000.00 11,148.64 1.84% 0.32% 11.49% 8.05%
NASDAQ 03-Jan-07 2,415.29 2,522.66 4.55% -4.89% 4.55% 3.15%

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—or minus for short positions—the 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: In the long run, we like oil, as the continuing buildout in Asia will ensure demand tends to challenge supply, and it also serves as a hedge against the declining dollar. Be that as it may, $125/barrel seems too high, too soon to us, and accordingly we took a position in an inverse ETF that goes up 2x any daily decline in the price of crude (and vice versa). However, the market disagrees, and it only took six days and a high print of $132.78 to decrement our position by 10%. Mindful of John Maynard Keynes’ famous oberservation that “Markets can remain irrational longer than you can remain solvent,” we hit the silk. In March, Goldman Sachs analysts forecast a spike as high as $200/barrel. While we still think that is unlikely anytime soon, we’re no longer willing to bet on a near-term decline.

News:

Comments:

Another excellent month, up 8%. We beat both the NASDAQ (+5%) and the Global Hedge Fund Index (+2%) for the fourth time in five tries this year. The big picture for banking and housing clouded up in May, and our short positions lead the port for the month: BZH up 37% and WB up 18%. On the energy front, BZP was up 17% on continued strength in the price of oil and improved reserves data, BQI was up 5% and the outlier was TMY, which produced nothing but more bad news and sank another 13%. Our biotech plays were mixed: VRTX was up 12% on no particular news, ELN lost 5% and NBIX shed 9%. On the mining front, SLT was up 5% but GSS was decimated (approximately) by 11%.

We still think the market holds it together through the Olympics at least and the USA election most probably. By around then we will have to review the energy plays and possibly the mining and biotech plays, and we could be looking for more shorting opportunities.

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