Portfolio Update
There were only a couple of changes to the portfolio this month, which had no real impact on the portfolio.
- NCAV: The BXG position was sold during the month, following a bid from the majority shareholder (in November) and there were no counter-bids.
- Hedges/Put Options: The SPY puts expired in December, worthless as they were out of the money.
Performance Review
There were only a couple of changes to the portfolio this month, which had no real impact on the portfolio.
- NCAV: The BXG position was sold during the month, following a bid from the majority shareholder (in November) and there were no counter-bids.
- Hedges/Put Options: The SPY puts expired in December, worthless as they were out of the money.
Performance Review
Unsurprisingly, given the portfolio’s large cash hoard, the portfolio did not show much volatility throughout December ending the month -0.4% (+7.7% YTD).
While markets were broadly up over the course of the month, it was the portfolio’s defensive buckets that helped returns while the equity buckets were largely negative contributors. The Currencies bucket (+36bps) benefited from the continued uncertainty in Europe (which saw the Euro weaken against the US Dollar), while the uncertainty also helped Treasury Bonds (+15bps) as their remained a strong bid for safety. The Puts/Hedges book did well (+17bps) despite the rising equity markets and worthless expiration of the SPY Dec-11 puts, as Silver’s weakness during the month offset these losses. The only broadly defensive books that were negative were China Thesis book (-9bps), largely as a result of burning through premium for the options that expire in Jan-12, and the Bond Funds (-17bps) as a result of their underlying exposures to natural resources stocks and some more esoteric bonds that suffered with the reduced liquidity in December. The main negative impacts to performance came from the equity books; NCAV (-8bps), Value Equities (-56bps) and Energy Efficiency books (-14bps). The NCAV and Energy Efficiency books drifted during the month with a number of names suffering from their lack of liquidity. In the Value Equities book, which was by far the largest detractor over the course of the year, the majority of the loss came as the DRWI position gave up its November gains (which came after the company reached an attractive agreement to buy a business segment from Nokia-Siemens, which will substantially impact revenues) as investors further considered the company’s position and the likely time horizon to sustained profitability.
While markets were broadly up over the course of the month, it was the portfolio’s defensive buckets that helped returns while the equity buckets were largely negative contributors. The Currencies bucket (+36bps) benefited from the continued uncertainty in Europe (which saw the Euro weaken against the US Dollar), while the uncertainty also helped Treasury Bonds (+15bps) as their remained a strong bid for safety. The Puts/Hedges book did well (+17bps) despite the rising equity markets and worthless expiration of the SPY Dec-11 puts, as Silver’s weakness during the month offset these losses. The only broadly defensive books that were negative were China Thesis book (-9bps), largely as a result of burning through premium for the options that expire in Jan-12, and the Bond Funds (-17bps) as a result of their underlying exposures to natural resources stocks and some more esoteric bonds that suffered with the reduced liquidity in December. The main negative impacts to performance came from the equity books; NCAV (-8bps), Value Equities (-56bps) and Energy Efficiency books (-14bps). The NCAV and Energy Efficiency books drifted during the month with a number of names suffering from their lack of liquidity. In the Value Equities book, which was by far the largest detractor over the course of the year, the majority of the loss came as the DRWI position gave up its November gains (which came after the company reached an attractive agreement to buy a business segment from Nokia-Siemens, which will substantially impact revenues) as investors further considered the company’s position and the likely time horizon to sustained profitability.
Portfolio (as at 12/31 - all delta and leverage adjusted, as appropriate)
14.6% - Bond Funds (DLTNX and HSTRX)
5.2% - Value Idea Equities (THRX, and DRWI)
4.9% - Treasury Bonds (TLT)
1.9% - NCAV Equities
1.7% - Energy Efficiency (AXPW, and XIDE)
0.0% - Other Equities (none)
-1.2% - China-Related Thesis (6bps premium in FCX Jan-12 put, and 45bps premium in EWZ Jan-13 puts)
-5.7% - Hedges/Put Options (76bps in IWM Jan-13 puts and 47bps SLV Jan-12 puts)
-10.2% - Currencies (EUO – Short Euro)
65.0% - Cash
Disclaimer: For added clarity, Our Man is invested in all of the securities mentioned (TLT, DLTNX, HSTRX, THRX, DRWI, AXPW, XIDE, FCX puts, EWZ puts, IWM puts, SLV puts, and EUO). He also holds some cash. You should not buy any of these securities because Our Man has mentioned them, but should do your own work and decide what’s best for you.
No comments:
Post a Comment