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portefeuille (99.66)

ILMN

Recs

4

January 24, 2012 – Comments (13)

The performance low of my "fund" (see here) in December was at around -20%. Today the performance should easily reach the greater than 30% zone thanks to news on AAPL and ILMN.

80 -> 130 is a gain of 62.5%, so the fund manager (I) did alright, I guess (yeay!). I have reduced the "leverage" of the fund in the last few weeks. The composition currently looks like this.

current value of the long positions: l ≈ $11.7 M
current value of the short positions (IWM, SPY, VMW): s ≈ -$7.1 M
cash: c ≈ -$0.2 M
-> l + s + c ≈ $4.4 M.

The fund started with $3.4 M on March 8, 2010.

the news.

Apple Reports First Quarter Results 

Roche offers to acquire all outstanding shares of Illumina, Inc. to further strengthen its leading role in diagnostics

 

There are currently 320/1300 AAPL/ILMN shares in the fund with break-even of around 155.71/41.81 USD.

 

13 Comments – Post Your Own

#1) On January 24, 2012 at 11:35 PM, portefeuille (99.66) wrote:

the fund manager.

disclosure

http://twitter.com/portefeuillefun

 

I worked for a German brokerage doing  "equity reasearch" and "arbitrage" and later as head of "finance/controlling" for a German startup company a few years ago, so I guess I am at least a semi-professional fund manager. I would probably also make a decent "quant", so if you have a fund for me to run, let me know, hehe.

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#2) On January 25, 2012 at 12:35 AM, portefeuille (99.66) wrote:

Roche's Hostile Bid For Illumina Ups Stakes In DNA Tech Race

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#3) On January 25, 2012 at 12:49 PM, portefeuille (99.66) wrote:

oday the performance should easily reach the greater than 30% zone thanks to news on AAPL and ILMN.

performance (March 8, 2010 - January 25, 2012): 33.1%.

 

yeay.

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#4) On January 25, 2012 at 1:23 PM, portefeuille (99.66) wrote:

oday

Today

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#5) On January 25, 2012 at 1:31 PM, portefeuille (99.66) wrote:

S&P 500 index (see this post).



enlarge

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#6) On January 25, 2012 at 1:46 PM, Momentum21 (67.55) wrote:

the market has finally started to reward superior ticker choices... : )

No ILMN for me but I do own PACB from higher levels. Congrats! 

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#7) On January 25, 2012 at 1:50 PM, Mega (99.97) wrote:

After reducing leverage you're still 265% long / 160% short?  While the results are impressive, the portfolio structure has limited real world relevance.

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#8) On January 25, 2012 at 2:07 PM, portefeuille (99.66) wrote:

#7 The "fund" is currently more or less unleveraged.

current value of the long positions: l ≈ $11.9 M
current value of the short positions (IWM, SPY, VMW): s ≈ -$7.16 M
cash: c ≈ -$0.22 M
-> l + s + c ≈ $4.55 M.

The leverage comes to about equal degree from having a slightly negative cash position and from the addition of the  "$7.16 M short & $7.16 M long" position (P) to what otherwise be a "regular equity fund".

P adds quite a bit of risk, but not all that much "leverage". I think ...

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#9) On January 25, 2012 at 2:15 PM, portefeuille (99.66) wrote:

#8 Imagine P being made up of identical (apart from the "sign") positions that "cancel each other". Such a P would certainly not add "leverage". I admit that the current P (assuming P_long has the same weights and the rest of the long position, i.e. "P_long is simply ≈ 7.16/11.9 * long-position") is not quite as well behaved ...

 

the portfolio structure has limited real world relevance.

I disagree. Strongly.

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#10) On January 25, 2012 at 2:30 PM, Mega (99.97) wrote:

My broker would disagree. That is 425% leverage (assuming all positions are liquid).  You would only need to pay margin interest on the cash position, however the leverage is also limited by the broker to 200% - at which point you would receive a margin call.

A large fund can negotiate special financing above 200%, however I don't know any that use that much leverage.

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#11) On January 25, 2012 at 3:04 PM, portefeuille (99.66) wrote:

I disagree. Strongly.

Actually I agree. It is limited. Just not terribly limited.

#10 What I try to keep low is the overnight bankruptcy risk of a similar fund (a hedge fund with those positions times 10, for example). I think currently quite a bit must happen overnight to bring the fund into trouble. I do not even know how "leverage" is defined in this context and I agree that the "fund" thing would be more relevant were it less "blown up" ...

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#12) On January 26, 2012 at 10:27 AM, portefeuille (99.66) wrote:

80 -> 130 is a gain of 62.5%

performance (March 8, 2010 - January 26, 2012): 35.7%.

80 -> 135.7 is a gain of ≈ 69.6%.

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#13) On January 26, 2012 at 2:27 PM, portefeuille (99.66) wrote:

update.

current value of the long positions: l ≈ $11.56 M
current value of the short positions: s ≈ -$6.23 M
cash: c ≈ -$0.74 M
-> l + s + c ≈ $4.63 M.

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