Hedge Fund 13F Filings: Q4 2009 Portfolio Tracking ~ market folly

Saturday, February 13, 2010

Hedge Fund 13F Filings: Q4 2009 Portfolio Tracking

It's that time of year again. This post is the preface to the series we will be doing in the coming weeks that details what many prominent hedge funds have been up to in the fourth quarter of 2009 as per their 13F filing.

Four times a year (once each quarter), hedge funds & asset managers with greater than $100 million AUM (assets under management) are required to disclose their holdings to the SEC. These filings do not show the funds' short positions and require them to disclose their long holdings in equity markets. Additionally, they are required to file various puts or calls purchased in the options market as well as notes & convertibles. These filings do not cover commodities, currencies, or other markets.

We check these 13F filings quarterly to get a sense as to where these funds are putting their money. If you just sit down and do some simple number crunching between this quarter's 13F and the one prior, you can see exactly where they've shifted their money. And, if you create a cloned portfolio based on these top hedge fund holdings, you can see backtested returns of up to 25% annualized like our Market Folly replicator created with Alphaclone.

These 13F's should be treated as a lagging indicator simply because the filings that are being released currently (February 12th, 2010) detail the funds' portfolio holdings as of December 30th, 2009. So, in the past month and a half, they could have altered their portfolio. But at the same time, it's easy to see which sectors they are flocking to and what their concentrated positions are.

We like to specifically follow equity focused hedge funds as they have the most SEC filing transparency and provide the most accurate tracking. We focus on value based (or growth-at-a-reasonable-price) hedge funds in hopes they won't experience high turnover and as such won't be as affected by the timelag associated with the SEC filings.

Specifically, we primarily follow the 'Tiger Cubs' (otherwise known as the proteges of former hedge fund Tiger Management legend Julian Robertson). Many of these former proteges/right-hand men have started their own funds and here are the ones we'll be tracking:

- John Griffin's Blue Ridge Capital
- Stephen Mandel's Lone Pine Capital
- Lee Ainslie's Maverick Capital
- Andreas Halvorsen's Viking Global
- Roberto Mignone's Bridger Management
- Shumway Capital Partners (Chris Shumway)
- Philippe Laffont's Coatue Capital Management
- David Gerstenhaber's Argonaut Capital Management
- Tom Brown's Second Curve Capital
- Kris Kristynik's Longhorn Capital Partners

We'll also be tracking the aptly named 'Tiger Seeds,' or funds that have been seeded by Julian Robertson himself:

- Chase Coleman's Tiger Global
- Charles Anderson's Fox Point Capital Management
- Jonathan Auerbach's Hound Partners
- Dane Andreeff's Maple Leaf Partners

We will also be following what we have termed the 'Tiger GrandCubs', or newer funds started by former employees of Tiger Cub funds, including:

- David Stemerman's Conatus Capital
- David Gallo's Valinor Management
- Lee Hobson's Highside Capital
- Matt Iorio's White Elm Capital

Additionally, we also like to follow the Commodities Corporation "offspring" which have gone off to start their own funds and typically employ a global macro strategy. We don't track them for their specific equity holdings since they typically deal in futures. We like to see what sectors they might be flocking to and whether or not they have a large allocation to US equities.

- Tudor Investment Corp (Paul Tudor Jones)
- Moore Capital Management (Louis Bacon)
- Caxton Associates (Bruce Kovner)

And of course, we watch the movements of well known investment gurus:

- Warren Buffett (Berkshire Hathaway)
- Carl Icahn (Icahn Partners)
- George Soros (Soros Fund Management)

Next, we also follow an assortment of funds that employ various strategies ranging from activist to global macro and often run concentrated portfolios. We track some of these funds due to their solid returns over the years and others due to the spotlight that has been cast on them during the crisis.

- Bret Barakett's Tremblant Capital
- Peter Thiel's Clarium Capital
- David Tepper's Appaloosa Management
- Philip Falcone's Harbinger Capital Partners
- Boone Pickens' BP Capital
- John Paulson's Paulson & Co
- Barry Rosenstein's Jana Partners
- Eric Mindich's Eton Park Capital
- Farallon Capital Management (Thomas Steyer)
- John Burbank's Passport Capital
- Ken Griffin's Citadel Investment Group
- Jeffrey Gendell's Tontine Associates
- Anand Parekh's Alyeska Investment Group (ex-Citadel)
- Passport Capital (John Burbank)
- Sprott Asset Management (Eric Sprott)
- Balyasny Asset Management (Dmitry Balyasny)

Also, we'll be detailing the portfolio changes of some notable value & activist funds:

- Seth Klarman's Baupost Group
- David Einhorn's Greenlight Capital
- Dan Loeb's Third Point LLC
- Bill Ackman's Pershing Square Capital Management
- Eddie Lampert's RBS Partners
- Ricky Sandler's Eminence Capital
- Mohnish Pabrai's investment fund

As you can see, we've taken on quite a workload of fund coverage. While Market Folly is only a team of 1, there will be as much hedge fund content as possible on a daily basis. Over the coming weeks we'll touch on some of the important position moves these funds and market gurus have made. As always, if you have any resources regarding any of the above funds, please get in contact with us at the top of the site.

The hedge fund portfolio tracking series (fourth quarter 2009 edition) starts today, so spread the word and check back daily. First up in a separate post, Seth Klarman's Baupost Group.

blog comments powered by Disqus