Citadel Investment Group (Ken Griffin): Hedge Fund Portfolio Tracking - 13F Filing Q3 2008 ~ market folly

Monday, January 12, 2009

Citadel Investment Group (Ken Griffin): Hedge Fund Portfolio Tracking - 13F Filing Q3 2008

This is the 3rd Quarter 2008 edition of our ongoing hedge fund portfolio tracking series. Before reading this update, make sure you check out the preface to the series we're doing on Hedge Fund 13F filings here.

Next up is Citadel Investment Group. Citadel was founded in 1990 by Ken Griffin and is a market maker as well as a hedge fund, employing investment strategies through multiple asset classes. They are responsible for nearly 30% of US equity options volume, and 8% of NYSE and Nasdaq volume. Griffin has recently noted that the market madness has provided some of the greatest opportunities he’s seen in a long time. Citadel was -13% in November and was -47% for the year at that time. Their flagship $10 billion combined Kensington and Wellington funds had been the hardest hit, due to losses from convertible bonds, and bank loans, among others. Citadel recently announced they'd be opening a new fund.

The following were their long equity, note, and options holdings as of September 30th, 2008 as filed with the SEC. All holdings are common stock unless otherwise denoted.

Some New Positions (Brand new positions that they initiated in the last quarter):
Google (GOOG) Calls
Google (GOOG) Puts
Research in Motion (RIMM) Puts
Goldman Sachs (GS) Puts
Goldman Sachs (GS) Calls
General Electric (GE) Puts
IBM (IBM) Puts
General Electric (GE) Calls
Potash (POT) Puts
Liberty Media (LMDIA)
IBM (IBM) Calls
Exxon Mobil (XOM) Puts
Legg Mason (LM)
Research in Motion (RIMM)
JPMorgan Chase (JPM)
PepsiCo (PEP) Calls
Potash (POT) Calls
Exxon Mobil (XOM) Calls
Microsoft (MSFT) Puts
Walmart (WMT) Calls
Mastercard (MA) Calls
JPMorgan Chase (JPM-PA) Preferred
Microsoft (MSFT) Calls
Research in Motion (RIMM) Calls
Viacom (VIA-B) Class B
Google (GOOG)
Mastercard (MA) Puts
Walmart (WMT) Puts
Newmont Mining (NEM) Calls
First Solar (FSLR) Puts

Some Increased Positions (A few positions they already owned but added shares to)
CMS Energy (CMS) : Increased position by 58,909%
Capital One (COF) Calls: Increased position by 2,391%
Caterpillar (CAT) Calls: Increased position by 2,174%
Cisco Systems (CSCO) Calls: Increased position by 1,834%
Caterpillar (CAT) 2nd set of Calls: Increased position by 1,495%
CME Group (CME) Calls: Increased position by 880%
Cisco Systems (CSCO) : Increased position by 605%
Cisco Systems (CSCO) : Increased position by 488%
CME Group (CME) Puts: Increased position by 345%
Cisco Systems (CSCO) 2nd batch of Puts: Increased position by 337%
Apache (APAHP) Calls: Increased position by 328%
Bank of America Preferred (IKJ) Calls: Increased position by 323%
Conoco Philips (COP) Puts: Increased position by 221%
Apple (AAPL) Calls: Increased position by 127%
Chesapeake Energy Preferred (CHKDO) : Increased position by 108.5%
Amazon (AMZN) Calls: Increased position by 101%
Apple (AAPL) : Increased position by 88%
Apple (AAPL) Puts: Increased position by 73%
Bank of America Preferred (IKJ) Puts: Increased position by 55%
Conoco Philips (COP) Calls: Increased position by 50%

Some Reduced Positions (Some positions they sold some shares of - note not all sales listed)

Removed Positions (Positions they sold out of completely)
Cephalon (CEPH)
Amgen (AMGN)
Chesapeake Energy (CHKDO) Preferred
Amylin (AMLNL)
Alpharma (ALO)
Biomarin Pharma (BMRN)
Alexion Pharma (ALXN)
Ciena (CIEN)
Charles River Labs (CRL)
Agco (AG)
ADC Telecom (ADCT)
Ace (ACE)
Blackrock (BLK)
Anixter (AXE)
Regis B Bonds
Advanced Micro Devices (AMD)
Blackboard (BBBB)
American Equity Investment (AEL)
Arvin Meritor (ARVML)
Alliant Techsystems (ATK)
AAR Corp (AIR)
Cadence Design (CDNS)
Actuant (ATU)

Top 20 Holdings (by % of portfolio)

1. Apple (AAPL) Puts: 1.2% of portfolio
2. Google (GOOG) Calls: 1.03% of portfolio
3. Apple (AAPL) Calls: 0.98% of portfolio
4. Google (GOOG) Puts: 0.94% of portfolio
5. Research in Motion (RIMM) Puts: 0.72% of portfolio
6. Goldman Sachs (GS) Puts: 0.68% of portfolio
7. Goldman Sachs (GS) Calls: 0.6% of portfolio
8. General Electric (GE) Puts: 0.57% of portfolio
9. CME Group (CME) Calls: 0.57% of portfolio
10. Apple (AAPL): 0.53% of portfolio
11. IBM (IBM) Puts: 0.47% of portfolio
12. General Electric (GE) Calls: 0.47% of portfolio
13. Potash (POT) Puts: 0.46% of portfolio
14. Liberty Media (LMDIA): 0.45% of portfolio
15. IBM (IBM) Calls: 0.43% of portfolio
16. Exxon Mobil (XOM) Puts: 0.42% of portfolio
17. Legg Mason (LM): 0.42% of portfolio
18. Research in Motion (RIMM): 0.42% of portfolio
19. JPMorgan Chase (JPM): 0.41% of portfolio
20. Bank of America (IKJ) Preferred Puts: 0.41% of portfolio

Assets from the collective long US equity, options, and note holdings were $10.4 billion last quarter and were $38 billion this quarter. Ever since this filing though, Citadel has had some tough times, seeing their flagship funds drop 47% for the year as of November. Please note that we have not detailed changes to every single position in this update, but we have covered all the major moves. Also, keep in mind that these filings only include long equity, notes, and options holdings. They do not reflect their cash, short portions, or holdings in other markets (currency, commodities, debt, foreign markets, private equity, etc). This is just one of many funds in our hedge fund portfolio tracking series in which we're tracking 35+ prominent funds. The other funds we've already covered include:

Overall, its been one of the worst years ever for hedge funds, as we noted in our November hedge fund performance number update. Thus, the recent moves they've made in their portfolios become all the more interesting given the way the market has played out.

More on Griffin, Citadel, & hedge funds:
- Griffin testifies before Congress
- Hedge Fund manager interviews
- Hedge Fund investor letters
- Hedge Fund Rankings
- November hedge fund performance numbers
- October hedge fund performance numbers

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