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portefeuille (99.66)

excuses

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April 08, 2012 – Comments (4)

When DSCO shares traded at $6.85 in after-hours trading on March 6, 2012 my fund was in the green by around 70% (see this post). if I were to report the fund performance slightly more in my favour by including dividends and "fees and expenses" that performance would look a little better, I think.

Currently, mostly due to laziness, I neglect dividend payments (for both the long and the short positions) and all things that would make up the "total expenses" of a "real fund". A real fund that would try to "mimic" this virtual one should have no problem making a "net profit" on the combination of trading expenses, dividend income from the long positions and borrowing fees and dividend expenses from the short positions. The following are wild guesses for income/cost since inception of the fund.

dividend income (long positions): $400000.

dividend expenses and borrowing fees (short positions): $100000.

trading fees: $100000.

-> net gain of around 200000 (≈ 5.9% of $3.4 M, the "starting value" of the fund).

More "outperformance" of the real fund vs. the virtual fund would likely come from the following factors.

The virtual fund usually "buys at the ask" and "sells at the bid". Considering the "total trading volume" of around $291 M since inception I think the real fund could have got "additional income" of (another wild guess) $300000 (8.8%).

The virtual fund used "Index ETFs" quite a bit, whereas a real one (with a real secretary) would have often traded "baskets of stocks" that mimic those indices or futures on those indices to save some fees. wild guess estimate: $50000 (1.5%) saved since inception.

So I think a decent estimate of the performance gap between the real and the virtual fund might be

dividends (long positions) vs. borrowing fees + dividends (short positions): $200000 (5.9%),
bid/ask spread: $300000 (8.8%),
ETFs: $50000 (1.5%).

-> sum ≈ $550000 (16.2%).

That would shift the around +70% performance peak of the virtual fund towards around +86%. And that would be a CAGR of around +36% for the period from inception to the time the DSCO share price made that 2012 high.

Then again maybe those are just lame excuses and my fund is not really doing much better than it appears ...

4 Comments – Post Your Own

#1) On April 08, 2012 at 11:42 PM, portefeuille (99.66) wrote:

I think considering that the fund is currently almost "unleveraged" and has quite a bit of exposure to rather boring "blue chip stocks" and "index ETFs" the fund is currently not all that exciting. I think it is currently a little too boring for my taste ...

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#2) On April 08, 2012 at 11:43 PM, portefeuille (99.66) wrote:

would look a little better, I think.

would look better. Obviously.

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#3) On April 28, 2012 at 7:53 AM, portefeuille (99.66) wrote:

I have added $100000 to the cash position from the "net effect of dividends and fees" since fund inception, see comment #167 here.

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#4) On June 14, 2012 at 11:02 AM, portefeuille (99.66) wrote:

I have added $40000 to the cash position from the "net effect of dividends and fees" since April 28, 2012, see comment #44 here.

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