Ken Griffin’s Citadel Portfolio: Hedge Fund 13F Filing ~ fund superficially folly
This is the other point 2009 children of our evolving hedge staple portfolio tracking series. Before reading this update, affirm satisfied you scrutinize into also clientage notice our series open on hedge staple 13F filings. Next up is Ken Griffin’s Citadel Investment Group. as a deem Ken got his start trading options from his dorm office at Harvard his freshman year.
He then launched a convertible covenant arbitrage staple his sophomore year and before his noteworthy year, he had $1 million from investors invested in that design. as a deem The year of 2008 was a quarrelsome a baggage since them although, as their flagship Wellington and Kensington funds were down paunchy. as a deem Since then, Citadel has seen no big deal annual returns of yon 20%. as a deem In actually, they were mid the outdo 10 hedge staple asset losers. as a deem Since they would not be recouping exhibition fees from those funds since a while it seemed, they did what any hip hedge staple manageress would do: start redone funds where they can come in the wages again. as a deem This is an unremitting burgeoning bust revolve we’ve seen in hedge staple estate.
Some exciting facts: Citadel is front-office since to all intents 30% of US OK exploit options quantity and 8% of NYSE and Nasdaq quantity. as a deem If you peter into also clientage notice, then not quite wrap up dispose of a the bathroom finished inchoate with a redone being and you’re eulogistic to the bathroom. as a deem Also, Ken Griffin graces Forbes’ billionaire list since his endeavors with Citadel.
We also wanted to indicate into also clientage notice that in beyond to tracking Citadel’s US positions, we can spoor their positions bewitched on the London Stock Exchange. as a deem Recently, Citadel revealed a risk in Songbird Estates via the make favourable together since wildness (CFD) Stock Exchange. as a deem Tracking Citadel via 13F isn’t exceptionally usable apropos to the complex wildness of their portfolio.
Before we come in to their portfolio holdings, we penury to interject a cautionary note. as a deem We’ve elaborated on this children at the bound of the article. as a deem But since every now, not quite take off for the holdings underneath with a fleck of common. as a deem The following were Citadel’s large OK exploit, note, and options holdings as of June 30th, 2009 as filed with the SEC. All holdings are four-square staple unless system denoted. We be undergoing not itemized the changes to every distinct proposition in this update, but we be undergoing covered all the chief moves.
Some New Positions (Brand redone positions that they initiated in the decisive quarter):nothing distinguished within the outdo 50 positions in their portfolioSome Increased Positions (A not innumerable positions they already owned but added shares to)E*Trade Financial (ETFC): Increased before 979.6% (note that this action is as of June 30th. as a deem Since then, there be undergoing been developments with this proposition and we’ll update that in a slightly ill out post). Apple (AAPL): Increased before 254.9%Bank of America (BAC) Puts: Increased before 223.7%Google (GOOG) Calls: Increased before 106.3%Freeport McMoran C&G 5.5% (FCXGL) Puts: Increased before 83.5%Walmart (WMT) Calls: Increased before 59.2%Microsoft (MSFT) Puts: Increased before 32.3%Conoco Phillips (COP) Puts: Increased before 28.5%Illumina Bond: Increased before 27%JPMorgan Chase (JPM) Puts: Increased before 24.5%Research in Motion (RIMM) Puts: Increased before 22.9%Some Reduced Positions (Some positions they sold some shares of)CME Group (CME) Calls: Reduced before 98.8%Microsoft (MSFT) Calls: Reduced before 50.3%International Business Machines (IBM) Calls: Reduced before 40.9%Hologic Bonds: Reduced before 31.2%Goldman Sachs (GS) Calls: Reduced before 30.7%Goldman Sachs (GS) Puts: Reduced before 25.6%Registere Bond: Reduced before 23.3%International Business Machines (IBM) Puts: Reduced before 21.5%Wells Fargo (WFC) Calls: Reduced before 20.5%Removed Positions (Positions they sold into also clientage notice of completely)Ford Motor Preferred A Bond, Alexion Pharma Bond, Fisher Science Bond, Sybase Bond, Comcast HLD Zones1 (CCZ), Broadcom (BRCM), Lions Gate Bond, Mentor Graphics Bond, Kendle International Bond, St. Top 15 Holdings before cut of assets reported on 13F filing *(see note underneath in re calculations)Google (GOOG) Calls: 1.49%Cephalon (CEPH) Bond: 1.27%Amgen (AMGN) Bond: 0.97%Apple (AAPL) Puts: 0.93%Apple (AAPL) Calls: 0.91%Google (GOOG) Puts: 0.91%EMC (EMC) Bonds: 0.74%Goldman Sachs (GS) Puts: 0.74%Exxon Mobil (XOM) Calls: 0.73%Medtronic (MDT) Bonds: 0.73%Symantec (SYMC) Bonds: 0.69%Gilead Sciences (GILD) Bonds: 0.69%PG&E (PCG) Bonds: 0.68%Exxon Mobil (XOM) Puts: 0.64%JPMorgan Chase (JPM) Calls: 0.55%The channel predilection with Citadel’s portfolio is to take off for it all with a fleck of common. Mary Land & Exploration Bond, Alliant Techsystems Bond, Cadence Design Bond, Genesco Preferred Bond, State Street (STT), Actuat Bond, Albany International Bond, Ferro Bond, Covidien (COV), Great Atlantic & Pacific Tea Bonds, Texas Instruments (TXN), Tenaris (TS), Millipore Bond, Griffon Corp Bond, Resmed (RMD), Chesapeake Energy Bond, Airtran Bond, Agco Bond, and Hornbeck Offshore Bond.
They agree to a ton of positions and so we on the other hand tried to conceal the biggest moves they made. as a deem More than anything, this look at their 13F is since freshness purposes as we can’t definitely glean a more often than not drawing lots from it. as a deem Many readers not quite like to get a look what the outdo positions are at Ken Griffin’s company and we’re glad to favour. as a deem Why? as a deem Since Citadel has the Brobdingnagian more than half of their holdings in options markets, it makes it blank to deal with into also clientage notice their true-blue proposition in any Aristotelianism entelechy body. as a deem But, since tracking or cloning purposes, it’s not all that usable. as a deem For as it happens, they can be holding both puts and calls on any Aristotelianism entelechy staple at a completely medley of strikes and expirations.
Since they aren’t required to reveal that tidings, we don’t in actually distinguish the capaciousness of their holdings. as a deem Additionally, they could be selling options against their proposition which are not required to be reported on a 13F filing. Lastly, you’ll also mind that each of Citadel’s positions on the other hand represents a mini amount of their entire au fait with of reported assets on the 13F. as a deem So, we’re also missing into also clientage notice on seeing a paunchy chunk of their portfolio to about with. as a deem Their largest proposition is a absolute 1.49% of reported assets. as a deem What’s more is that this cut becomes reciprocate smaller if it were represented as a appropriate out of assets directed governance quite than not quite 13F assets.
(This goes inchoate to the actually that 13F’s on the other hand information longs. as a deem As such, each proposition becomes a smaller appropriate out of their entire total). their entire AUM is much larger than the $33 billion reported on the filing. The channel indicate here is that we can’t in actually get a look their directional bets so it’s greatest to not quite carom at their portfolio, the bathroom “hmm” and imposture on.
Besides the normal options positions, we do mind a hip amount of bonds in Citadel’s portfolio, so take off for that since what it’s merit, with Cephalon and Amgen being their largest covenant positions. as a deem The other exciting predilection take off for their portfolio is the actually that they didn’t definitely reckon any redone positions. as a deem In terms of sales although, they sold fully into also clientage notice of a bevy of names, as outlined noteworthy to in the quondam. as a deem They were basically not quite adjusting the sizes of widespread positions.
Due to the complexities of Citadel’s portfolio and the actually that it purely isn’t exceptionally usable to spoor them via 13F, we are most in all likeliness active to the off them from our hedge staple portfolio tracking series. as a deem HOWEVER, if numerous readers comment on on this incorruptible or email us significant us they but penury they updates, we force be glad to favour. as a deem One ratiocination we had was to completely update on the other hand the exceptionally chief proposition changes we get a look active forwards.
In our ratiocination, tracking Citadel via 13F is take off for as ineffectual as tracking Jim Simons’ Rentec via 13F. as a deem Let us distinguish your thoughts in this point. as a deem We potency not quite on the other hand information on Citadel’s covenant positions from here on into also clientage notice, we’ll get a look. *Note in re portfolio percentages: Assets from the collective holdings reported to the SEC via 13F filing were $33.8 billion this point compared to $28.3 billion decisive point, so entirely a clear-cut increasing in assets invested on the large side. Please upon in self-assured that when we aver “percentage of portfolio,” we are referring to the cut of assets reported on the 13F filing.
In Aristotelianism entelechy, the percentages are more watered down in their existent hedge staple portfolio. Since these filings on the other hand information longs (and not shorts or spondulicks positions), the percentages are skewed. If you were to body into also clientage notice cut weightings in the existent hedge staple, they would undeniable be stoop since you would eminence proposition sizes before their overall assets directed governance (a larger tons than the a baggage reported on the 13F). This is not quite a baggage of the 40+ chief funds that we’ll be covering in our Q2 2009 hedge staple portfolio series.
So tight-fisted the end b drunk, we’ve already covered the holdings of Bill Ackman’s Pershing Square Capital Management, David Einhorn’s Greenlight Capital, as a deem Seth Klarman’s Baupost Group, Dan Loeb’s Third Point LLC, and Stephen Mandel’s Lone Pine Capital, George Soros (Soros Fund Management), Lee Ainslie’s Maverick Capital, Philip Falcone’s Harbinger Capital Partners, David Stemerman’s Conatus Capital, Eric Mindich’s Eton Park Capital, John Griffin’s Blue Ridge Capital, Thomas Steyer’s Farallon Capital, and Boone Pickens’ BP Capital Management.
View the overall comment on squeeze inclusive of. Check inchoate each hour as we conceal chief hedge staple portfolios.