SAC Capital (Steven Cohen): Hedge Fund Portfolio Tracking - 13F Filing Q3 2008 ~ market folly

Tuesday, January 13, 2009

SAC Capital (Steven Cohen): 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 SAC Capital, founded by Steven Cohen. Taken from their website, “SAC is a multi-strategy, private asset management firm founded by Steven A. Cohen in 1992 with 9 employees and $25 million in assets under management. As of July 2008, the firm has grown to over 800 employees with approximately $14 billion in assets under management. SAC's initial investment style was "trading" oriented. However, we have evolved into a multi-strategy, multi-disciplinary, investment management firm emphasizing rigorous research and risk management practices. SAC's investment strategies include, but are not limited to: Fundamental and Technical Long/Short Equity Portfolios, Global Quantitative Strategies, Fixed Income and Credit, Global Macro Strategies, Convertible Bonds, and Emerging Markets.” Since inception, their funds have returned on average 40% annually, which explains how they can charge a 50% performance fee to investors, compared to the normal 20% that most hedge funds charge. They are very active traders and at any given time can account for up to 3% of the volume on the New York Stock Exchange and up to 1% on the Nasdaq. And, if you're curious, you can see a picture of Cohen's house here.

Before beginning, we do want to stress that since SAC actively trades positions quite frequently, tracking them via 13F is not necessarily beneficial and we advise that those reading take this with a grain of salt. We are simply covering them since they are a prominent fund and many of our readers wondered what they were up to, out of curiosity.

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):
Genentech (DNA)
Navistar (NAV)
Amgen (AMGN)
IShares TR Option (IJS) Calls (CRM)
Powershares QQQ (QQQQ) Calls
Flowserve (FLS)
CMS Energy (CMS)
Reinsurance Group of America (RGA-B) Class B
Transocean (RIG) Calls
Allergan (AGN) Calls
Danaher (DHR) Puts
Select Sector Industrial ETF (XLI)
Semiconductor Holdrs (SMH)
Transocean (RIG)
Newmont Mining (NEM) Calls
Oil Services ETF (OIH) Calls
Transalta (TAC)
Hewlett Packard (HPQ) Puts
American Electric Power (AEP)
Canadian National Railway (CNI)
Bristol Myers (BMY-P) Calls
Airmedia Group (AMCN)
Select Sector SPDR TR (XLK) Calls
McDermott (MDR)
ITT Corp (ITT)
IAC Interactive (IACI)
Laboratory Corp (LH) Puts

Some Increased Positions (A few positions they already owned but added shares to)
Freeport McMoran (FCX): Increased position by 5,056%
JPMorgan Chase (JPM): Increased position by 2,598%
Crown Castle (CCI): Increased position by 794%
Prudential (PHR) Debt: Increased position by 760%
Barr Pharma (BRL): Increased position by 88%
Merrill Lynch (MER) Debt: Increased position by 74%
Imclone Debt (IMCL): Increased position by 31%

Some Reduced Positions (Some positions they sold some shares of - note not all sales listed)
Newmont Mining (NEM): Reduced position by 34.5%
Transocean (RIG) Sedco Debt: Reduced position by 13.3%
Chevron (CVX): Reduced position by 11%
RedHat (RHT) Debt: Reduced position by 9%

Removed Positions (Positions they sold out of completely)
Anheuser Busch (BUD)
Wyeth (WYE)
Devon Energy (DVN) Debt
Lockheed Martin (LMT) Debt
Ameriprise Financial (AMP)
Devon (DVN) Debt
Owens Illinois (OI)
Elan (ELN)
Mosaic (MOS)
Tidewater (TDW)
Cabot (CBT)
Pilgrim Pride (PPC)
Halliburton (HALQL) Debt
Cummins (CMI)
Amazon (AMZN) Debt
Baker Hughes (BHI)
Harsco (HSC)
Take-Two Interactive (TTWO)
United Technologies (UTX)
Sanderson Farms (SAFM)
Suntrust Banks (STI)
Cameron (CAM)
Fastenal (FAST)
Costco (COST) Calls
Countrywide Financial Debt
Activision – old shares
Hologic (HOLX)
AIG (AIG-PA) Preferred
Anheuser Busch (BUD) Puts

Top 20 Holdings (by % of portfolio)

1. Genentech (DNA): 3.6% of portfolio
2. Danaher Corp (DHR) Debt: 2.9% of portfolio
3. Hasbro (HAS) Debt: 2.6% of portfolio
4. Laboratory Corp (LH) Debt: 2.5% of portfolio
5. Navistar (NAV): 1.9% of portfolio
6. Barr Pharma (BRL): 1.7% of portfolio
7. Dominion Res (D) New Debt: 1.7% of portfolio
8. US Bancorp (USB) Debt: 1.5% of portfolio
9. Newmont Mining (NEM): 1.3% of portfolio
10. Novell (NOVL): 1.2% of portfolio
11. Freeport McMoran (FCX): 1.2% of portfolio
12. Qwest Communications (Q) Debt: 1.1% of portfolio
13. Cymer (CYMI) Debt: 1.1% of portfolio
14. Sepraco (SEPR) Debt: 1.1% of portfolio
15. Agere (AGR) Debt: 1.1% of portfolio
16. Amgen (AMGN): 1.03% of portfolio
17. Watson Pharma (WPI) Debt: 0.92% of portfolio
18. KV Pharma (KV-A) Debt: 0.91% of portfolio
19. Merrill Lynch (MER) Debt: 0.86% of portfolio
20. Affymettrix (AFFX) Debt: 0.82% of portfolio

Assets from the collective long US equity, options, and note holdings were $14.3 billion last quarter and were $7.7 billion this quarter. SAC decreased equity exposure by almost half from quarter to quarter and it was reported SAC was going to cash back in October. Also interesting is that many of the largest positions in their portfolio consist of debt of various companies. We also wanted to point out that since this 13F filing, SAC has been actively submitting various 13G filings and we have covered those 37 additional changes to their portfolio.

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 Cohen, SAC, & hedge funds:
- Picture of Cohen's house
- 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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