Macro Tsimmis

intelligently hedged investment

Jul 08 Intelledgement Speculative Opportunity Portfolio Report

Posted by intelledgement on Sun, 10 Aug 08

Position Purchased Shares Paid Cost Now Value Change YTD ROI CAGR
TMY 03-Jan-07 300 3.30 998.00 0.50 150.00 -20.63% -74.62% -84.97% -70.00%
VRTX 18-Apr-07 57 31.65 1,812.05 33.22 1,893.54 -0.75% 43.00% 4.50% 3.48%
NBIX 22-May-07 158 11.33 1,798.14 4.72 745.44 12.60% 3.92% -58.54% -52.18%
BQI 13-Jul-07 565 3.35 1,900.75 5.94 3,354.97 -8.65% 45.54% 76.51% 71.68%
GSS 19-Jul-07 451 4.19 1,897.69 2.62 1,181.62 -2.60% -17.09% -37.73% -36.73%
GSS 24-Aug-07 613 3.08 1,896.04 2.62 1,606.06 -2.60% -17.09% -15.29% -16.24%
SLT 5-Oct-07 111 19.75 2,200.25 15.53 1,723.83 -2.33% -40.43% -21.65% -25.70%
BZP 19-Nov-07 245 9.77 2,401.65 26.85 6,578.25 -8.67% 140.16% 173.91% 323.45%
BZP 30-Jan-08 186 11.27 2,104.22 26.85 4,994.10 -8.67% 140.16% 137.34% 461.30%
WB 1-Feb-08 -57 39.99 -2,271.43 10.58 -639.54 31.87% 72.18% 71.84% 198.19%
BZH 24-Mar-08 -214 10.99 -2,343.86 3.82 -817.48 31.42% 48.59% 65.12% 313.71%
cash -2,393.50 10,502.20
ISOP 03-Jan-07 10,000.00 31,273.00 -7.71% 43.16% 212.73% 106.32%
Global HF 03-Jan-07 10,000.00 10,782.24 -2.28% -2.97% 7.82% 4.90%
NASDAQ 03-Jan-07 2,415.29 2,325.55 1.42% -12.32% -3.72% -2.38%

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: We sold Elán (ELN) when further analysis of the Phase 2 results for bapineuzumab reported last month called into question the entire theory the anti-Alzheimer’s Disease drug is based on.

News:

Comments: POW! Following our best month of the year in June, we had our worst month ever in July, down 8%. We were outperformed by both the NASDAQ (+1%) and the Global Hedge Fund Index (-2%); overall after 19 months of operations, the ISOP is now +213% compared with +8% for the hedgies and -4% for the NASDAQ.

Our energy plays led the decline, with our sick puppy TMY -21%, and both BZP and BQI down -9% and commodity prices faltered. Our miners were also down; GSS down 3% and SLT down 2%. Our remaining biotechs—after our sale of ELN—were mixed, with VRTX -1% and NBIX +13%. Our shorts performed well, with BZH declining 31% (+31% for us) and WB 32%.

If you are following our macro analysis, you know that we have been anticipating a market crash ever since the Fed started lowering rates nearly a year ago. We still expect the central banks to do their utmost to hold things together until (at least) after the Olympics to avoid embarrassing the Chinese and ideally until after the USA elections to avoid the risk that too many hard questions might be asked of the politicians.

But the Olympics end on 24 August, so the crash watch alert level will be going up a notch or two. Stay tuned.

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