Hedge Fund Performance Numbers: June 2009 Update ~ market folly

Thursday, July 16, 2009

Hedge Fund Performance Numbers: June 2009 Update

We're back again with our monthly aggregation of hedge fund performance numbers and this one is going to be a doozy. Below you will find the June 2009 and year to date performance numbers for many prominent hedge funds along with portfolio composition metrics. Last month, we covered their May performances as well if you're interested. We would like to give a special shoutout to a reader, and then another to a reader in Toronto as well who helped us assemble all of this data. We sincerely appreciate it! Please note that if you are an RSS or Email reader you will need to come to the blog to view the post with all of the performance spreadsheets that are embedded. And with that, let's dive right in:

Hedge Funds in general were up 0.13% in June and are now up 9.41% year to date.

David Einhorn's Greenlight Capital: Greenlight is doing pretty well this year overall. Their Capital LP fund was up 16.3% for the 2nd quarter of '09 and is up 21.5% year to date. Their Capital Qualified LP was up 14.7% for the second quarter and is now up 19.7% for the year. Lastly, their Capital Offshore fund was up 11.9% for the second quarter of 2009 and is now up 17.3% year-to-date. Keep an eye out for a forthcoming post regarding Greenlight's investor letter where we'll examine their moves in detail. In the mean time, you can check out Greenlight's portfolio here.

Bill Ackman's Pershing Square Capital Management: Pershing was up 1.4% for the month of June and is up 11.3% year to date as of that timeframe. In terms of number of positions that are each greater than 0.5% of the portfolio, Pershing has 9 longs and 3 shorts. The vast majority of their longs are Large Cap names, while the same can be said for their shorts. Keep in mind that Pershing also has long CDS exposure (credit default swaps) to the tune of around $900 million. As with Greenlight, we will also be doing a separate post detailing the positions mentioned in their quarterly investor letter. When we covered Pershing's portfolio, we noticed they had a large EMC stake, among other things. Here's their performance sheet:

(click to enlarge)

Jim Simons' Renaissance Technologies: Rentec got back in the swing of things after an abysmal start to the year. For June, their RIEF fund was up 3.93%. Well, maybe they just 'kind of' got back in the swing of things since their RIFF fund was down 5.62% for the month of June. Simons is notoriously private, so we were happy to stumble upon a lengthy interview with the founder of Rentec.

D.E. Shaw & Co (David Shaw): Fellow quant player DE Shaw saw their Oculus fund flat for June and up 2.8% for the year as of the end of June. Their Composite fund on the other hand was up 1.6% for the month while being up 12.5% for the year now. Towards the end of June, we saw DE Shaw file a 13G on Medicis Pharma (MRX).

Balyasny Asset Management (Dmitry Balyasny): They were down 0.19% for June and are slightly up 3.05% year-to-date. We'll be covering their equity portfolio soon in our hedge fund portfolio tracking series so stay tuned. In the mean time, we just covered some of their thoughts on the market recently.

Dan Loeb's Third Point LLC: For the month of June, Loeb's Offshore fund was up 1.8% and is now up 7.2% year to date. Their Partners LP was up 1% for June and is up 5.6% ytd. Their Partners Qualified fund was up 1.4% for June and is up 5.6% for the year. Lastly, their Third Point Ultra fund was up 1.8% for June and is up 8.4% for 2009. We also see some other metrics updated as their Sharpe Ratio since inception is 1.2 while their correlation to the S&P500 since inception is 0.4. Breaking down their exposure by sector, we see that Third Point was net long financials and healthcare. Their largest short position was on the consumer. However, they had an equally large long position leaving them almost net neutral on the consumer. So, we don't see a whole lot of short exposure reflected. If you want to check out their holdings, we just recently covered Third Point's portfolio. Here is their breakdown:

Third Point June Monthly Report

Shumway Capital Partners (Chris Shumway): For the month of June 2009, Shumway was up 0.99% and they are now up 3.97% ytd. As you know, Shumway's portfolio has been replicated as part of our custom MarketFolly portfolio that is seeing 27.9% annualized returns. We created the portfolio with the hedge fund replicator tool Alphaclone, who currently has a free 14-day trial of their full package.

Sprott Asset Management (Eric Sprott): Their Hedge Fund LP has had a bit of a rough year as they were -4.46% for June of 2009 and find themselves down 1.55% for the year. However, they still have impressive historical metrics as they are seeing 22.76% annualized returns with a cumulative return since inception of over 489%. We've started to cover Sprott more on the blog and recently posted up an examination of their Canadian Equity Fund (both longs and shorts). Also, attached below is their hedge fund performance report where you can see the breakdown of all their other hedge funds:

Sprott Hedge Funds June09

Glenrock Global Partners LP: They were down 0.8% for June and are now up 2.8% for 2009. Like Sprott though, Glenrock has impressive historical metrics as they are seeing a compound rate of return of more than 12.5% annually since 2000 without a single down year. They are a long-short equity fund with a focus on bottom-up stockpicking while using macro evaluation. For the first half of the year, their largest winners were short positions in investment banks and another short position in a US medical equipment manufacturer. Additionally, their successful longs included plays in the US semiconductor market, real estate, and software markets. Based by country, they are net short North America (their largest regional short) and net long Japan (their largest regional long). By market cap, they are net short Large Cap and net long Small Cap. By industry, they are net short banks and restaurants/retail while they are net long precious metals, energy, and technology.

Salida Capital: They were up 7.51% for June 2009 and are now up 83.38% for the year. And no, that is not a typo. They were up 3.34% for January, 4.95% for February, 16.01% for March, 7.56% for April, and 26.04% for May. This is quite a strong year for them, but you also have to consider that they were down 66.5% for 2008. So, they are slowly climbing back to where they were before 2008 hit. Still, they have an annualized compounded return of 22.32% which is impressive and they have done so with a Sharpe ratio of 0.61. Currently, the largest percentage of their strategy allocations are in event driven and long/short equity. Sector-wise, they are net long energy and net short 'other.' Their gains in June were largely attributed to energy and gold exposure. Additionally, their position in Addax Petroleum paid off as the company received a cash bid from China's Sinopec. Their stakes in equities and corporate bonds were where the bulk of their gains came from. This Canadian hedge fund firm might also ring a bell because they recently won the auction for lunch with Warren Buffett for the cheap cost of only $1.68 million. And, for a historical snapshot, take a look at some of Salida's macro takeaways that we posted up back in August of 2008. It's interesting to read through them again after a year has almost elapsed since they released them.

Ken Griffin's Citadel Investment Group: Their main Kensington and Wellington funds were up 9.5% in June and are now up 32.19% for 2009. This of course comes after Citadel had a horrible year last year, so they are slowly clawing their way back. Also, back in March, we noted that Citadel would be starting new hedge funds (presumably to garner more fees since their main funds won't be nabbing performance fees anytime soon).

Steven Cohen's SAC Capital: They were up 2.12% for June and are now up 16.35% for the year. This comes after they had a sub-par year in 2008 by their standards.

John Burbank's Passport Capital: Passport had a mixed month as their newer Agriculture fund found success but their Global fund was weak. Their ag fund was up 0.4% for June and is now up 13.6% for 2009 (since inception in March). Their Global Fund, on the other hand, was down 6.4%. However, the fund is still up 24.4% for the year after they had an amazing performance in May. As of right now, they are net short Large Cap stocks, and net long Small Cap & Micro Cap plays. Regionally, they are net short the US and net long India and the Middle East. Sector wise, they are net long basic materials and healthcare while they are net short the consumer and 'other.' Their top 10 public long positions as of the end of June were Riversdale Mining (RIV.AU), Financial Technologies (FTECH.IS), Jordan Phosphate Mines (JPH.JR), Mosaic (MOS), Potash (POT), EFG-Hermes Holding (HRHO.EY), China Lotsynergy (8161 HK), Shuaa Capital (SHUAA.UH), London Mining (LOND.NO), and AK Steel (AKS). This just goes to show how important investor letters and performance breakdowns are to true hedge fund portfolio tracking. While we have looked at their 13F filing in the past, a ton of the positions above are not listed in the 13F filing since those only require the disclosure of US equity positions. As such, their top holdings are very different from what we saw when we looked at their portfolio. This is why only certain funds are good to clone a portfolio from, as you have to look for long/short equity managers that focus primarily on US equities. While Passport's 13F shows Mosiac and Potash as their top positions, they are in reality further down the list in terms of percentage of Passport's overall portfolio. Below you will find Passport's performance breakdown for their Global Fund:

Passport Global Performance Attribution 6.30.09

Paulson & Co (John Paulson): Their Advantage fund was down 1.09% for June but is still up 7.57% for 2009. Paulson recently revealed some portfolio activity which we will be detailing in a separate post, so keep a lookout for that. In the mean time, you can check out Paulson's portfolio here and read up on how Paulson has been buying distressed debt and assembling a large gold portfolio.

Tudor Investment Corp (Paul Tudor Jones): Global macro giant Tudor had a weak June as they were down 1.56% but they are still up 10.76% year-to-date. You can view Tudor's equity positions here.

Louis Bacon's Moore Capital Management: They were -0.4% for June and find themselves up 5.9% for 2009 now. We just recently covered Moore's equity portfolio during global macro week here on Market Folly.

Bruce Kovner's Caxton Associates: Fellow global macro player Caxton also was down for June as they were -0.52% for June and are barely up on the year at 2.21%.

Again, if you are an RSS or Email reader, make sure you come to the blog to view all of the documents we have embedded within this post. Lastly, for a .pdf download of more hedge fund performance numbers, head here. If you want more in regards to recent updates, check out our hedge fund news summary where we round-up all the major activity. And, as always, make sure you check back as we're in the midst of our hedge fund portfolio tracking series where we examine the holdings of some of the top hedge funds out there.

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