D.E. Shaw & Co (David E. Shaw): Hedge Fund Portfolio Tracking - 13F Filing Q3 2008 ~ market folly

Wednesday, January 14, 2009

D.E. Shaw & Co (David E. Shaw): 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 D.E. Shaw & Co. D.E. was founded in 1988 by David E. Shaw and manages around $33 billion as of December 1st 2008. They focus on intertwining technology and finance and are a hedge fund, private equity firm, and technology development shop all in one. They employ mainly quantitative strategies and do a lot of statistical arbitrage. Shaw oversees strategic maneuvers at the firm, but no longer is active in the day to day operations. He received his Ph.D. from Stanford University. Some notable former employees include Jeff Bezos (before founding Amazon.com) and Lawrence Summers, who recently left the firm to serve on President Elect Obama’s economic team. In our November hedge fund performance numbers update, we noted that Shaw's Oculus fund was up around 10% for 2008 as of November, as they had profited from their global macro strategy. Their Composite fund, on the other hand, was -4% for 2008 at the time, having pursued multiple strategies. You can view a video about the firm's work culture here. In Alpha's latest hedge fund rankings, D.E. Shaw is ranked 6th in the world.

Taken from their website, they invest “in a wide range of companies and financial instruments within both the major industrialized nations and a number of emerging markets. Its activities range from the deployment of investment strategies based on either mathematical models or human expertise to the acquisition of existing companies and the financing or development of new ones.”

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):
Ace (ACE)
Laboratory Corp (LH)
Vale (RIO)
Procter & Gamble (PG) Puts
Metlife (MEU)
National City (NCC)
IAC Interactive (IACI)
US Bancorp (USB) Calls
Lehman Brothers 7.25% Preferred (LEHPQ)
Blackrock (BLK)
Parker Hannifin (PH)
Maxtor (inactive) Note
Myriad Genetics (MYGN) Calls
ITT Educational (ESI)
Eastman Kodak (EK)
Canadian National Railway (CNI)
Prologis (PLD-PG) Note
Wrigley (WWY)
Tyson Foods (TSNFB)
Coca Cola (KO) Puts
Activision Blizzard (ATVI)
Prologis (PLD-PG) 2nd set of Notes
Aetna (AET)
Valeant Pharma (VRX)
Brookfield Asset Management (BAM)
Ticketmaster (TKTM)
Verisign (VRSN)
Amgen (AMGN) Puts
Fifth Third Bancorp (FITBP)

Some Increased Positions (A few positions they already owned but added shares to)
Freeport McMoran (FCX): Increased position by5,102%
Anadarko Petroleum (APC): Increased position by 100%
Baker Hughes (BHI): Increased position by 74%
Target (TGT): Increased position by 66.5%
Goldman Sachs (GS) Calls: Increased position by 47%
Warner Chilcott (WCRX): Increased position by 44%
Travelers Companies (TRV): Increased position by 40.5%
HCP (HCP): Increased position by 42%
Allstate (ALL): Increased position by 38%
News Corp (NWS-A): Increased position by 29.5%
Anheuser Busch (BUD): Increased position by 27%
Google (GOOG) Calls: Increased position by 24%
Vertex Pharma (VRTX): Increased position by 22.5%
Burlington Northern (BNI): Increased position by 22.5%

Some Reduced Positions (Some positions they sold some shares of - note not all sales listed)
United Parcel Service (UPS): Reduced position by 38.5%
Hudson City Bancorp (HCBK): Reduced position by 33%
Exxon Mobil (XOM): Reduced position by 30%
Pfizer (PFE): Reduced position by 25%
XTO Energy (XTO): Reduced position by 22%

Removed Positions (Positions they sold out of completely)
Clear Channel (CCU)
Navteq – inactive
App Pharma - inactive
IAC Interactive (IACI)
Thermo Fisher Scientific (TMO)
Cliffs Resources (CLF) Calls
XM Satellite (XMSR)
Electronic Data System (EDS-PI)
Wendys (WEN)
Ventas (VTR)
American International Group (AIG-PA) Preferred
Kohls (KSS)
Public Storage (PSA)
Ingersoll Rand (IR)
Getty Images - inactive
Cleveland Cliffs (CLF) Puts
Archer Daniels Midland (ADM-PA) Preferred
Partnerre (PRE) Calls
Invesco (IVZ)
Elan (ELN)
Imclone (IMCL)
Williams Companies (WMB)
Proassurance (PRAZL)
Vivo Participacoes (VIV)
Blackrock (BLK)
Chevron (CVX) Puts
Rambus (RMBS)
Encana (ECA)
Ross Stores (ROST)

Top 20 Holdings (by % of portfolio)

1. Equity Residential (EQR): 0.98% of portfolio
2. Pfizer (PFE): 0.9% of portfolio
3. Goldman Sachs (GS) Calls: 0.88% of portfolio
4. HCP (HCP): 0.83% of portfolio
5. Union Pacific (UNP): 0.82% of portfolio
6. Vertex Pharma (VRTX): 0.81% of portfolio
7. Avalonbay Communities (AVB): 0.7% of portfolio
8. Exxon Mobil (XOM): 0.69% of portfolio
9. Owens Corning (OC): 0.69% of portfolio
10. Google (GOOG) Calls: 0.67% of portfolio
11. Warner Chilcott (WCRX): 0.67% of portfolio
12. Mylan (MYL): 0.62% of portfolio
13. United Parcel Service (UPS): 0.61% of portfolio
14. Huntsman (HUN): 0.6% of portfolio
15. Burlington Northern (BNI): 0.6% of portfolio
16. Anadarko Petroleum (APC): 0.59% of portfolio
17. Endo Pharma (ENDP): 0.58% of portfolio
18. Baker Hughes (BHI): 0.57% of portfolio
19. Hudson City (HCBK): 0.56% of portfolio
20. Mastercard (MA) Calls: 0.56% of portfolio

Assets from the collective long US equity, options, and note holdings were $56.4 billion last quarter and were $45.3 billion this quarter. We have not detailed the 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 D.E. Shaw & hedge funds:
- 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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