Bogleheads 2012 hedge fund contest

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Bogleheads 2012 hedge fund contest

Postby Norbert Schlenker » Fri Dec 30, 2011 3:21 am

This will be the official thread for the 2012 contest. Per a couple of requests, I am going to relax last year's restriction to S&P 500 companies to a broader index, the Russell 3000. Because of this relaxation, I'm going to ask those who have already entered a portfolio at the tail end of the 2011 contest thread to repost in this thread instead, with revisions if you feel that the index change allows you some better choices.

Complete set of rules for 2012 ...
  • Pick a fancy name for your hedge fund. Show some creativity. A panel of esteemed judges will choose the best.
  • Before 9 am EST on 3 Jan 2012, pick two stocks to go long and two to short. You must choose four different positions. Equal dollar amounts are placed on each position.
  • Common stock only. No bonds, no options, no funds.
  • No trades during the year, except that you can elect at any time during normal exchange business hours to "freeze" a price for any individual position at that day's closing price, i.e. liquidate that one position. Other than that, you're stuck with what you choose for the year.
  • The universe from which to choose is the Russell 3000. No exceptions. I will attempt to verify membership ahead of time and warn if offside, but the onus is on participants to verify each submitted portfolio against the link provided. Portfolios containing one or more offside positions at the start time will be excluded from the contest. Stocks that are eligible at the start but are removed from the Russell 3000 during 2012 will continue to be tracked.
  • Starting prices are the 30 Dec 2011 close, ending prices will be the 31 Dec 2012 close. (Adjustments may be made to either in case of crazy spreads, at my sole discretion.)
  • Positions merged out of existence during 2012 will either be liquidated at takeover price for cash deals or converted to positions in acquiring company for stock deals. As the universe has expanded for the 2012 edition, buyouts and mergers may be more common than in earlier years. Contest participants are encouraged to keep me informed of such corporate actions in their own funds, either with a PM or a post in this thread.
  • Winner of the name contest deemed to purchase long positions at 1% discount and sell short positions at 1% premium!
  • Dividends won't count because ...
  • It's all automated to make it easy on myself.
My holiday schedule may result in a delay to the automation of posting of results but rest assured that I will get to it eventually.
Nothing can protect people who want to buy the Brooklyn Bridge.
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Re: Bogleheads 2012 hedge fund contest

Postby Mrs.Feeley » Fri Dec 30, 2011 4:05 am

Purple Socks on a High Cliff Hedge Fund

Going short on...
Manitowoc Co. (MTW)
Martha Stewart Living (MSO)

Going long on...
Chubb Corp. (CB)
Allergan (AGN)
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Re: Bogleheads 2012 hedge fund contest

Postby lazyfabs » Fri Dec 30, 2011 11:10 am

'Children's Inheritance'

Short:
GS - Goldman Sachs Group, Inc.
HAL - Halliburton Company

Long:
CAT - Caterpillar, Inc.
INTC - Intel Corporation

*edited to replace a stock not part of Russel 3000, RY for GS
"I think the best way to find happiness is to stop looking so hard." - Kermit the Frog
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Re: Bogleheads 2012 hedge fund contest

Postby baw703916 » Fri Dec 30, 2011 11:47 am

The Long Alpha, Short Beta Fund

Long positions: ALL, FE (Allstate, First Energy)

Short positions: BA, TE (Boeing, TECO Energy)

(closest I could come with the available ticker symbols)

Brad
Most of my posts assume no behavioral errors.
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Re: Bogleheads 2012 hedge fund contest

Postby NPE » Fri Dec 30, 2011 12:01 pm

Nibiru Opportunity Fund

long:
NKE - NIKE, Inc.
NAVG - The Navigators Group, Inc

short:
SQNM - Sequenom, Inc.
AMRI - Albany Molecular Research, Inc.
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Re: Bogleheads 2012 hedge fund contest

Postby HelenaJustina » Fri Dec 30, 2011 12:07 pm

The United Metropolitan Improved Hot Market Capital Banking and Punctual Dividend Fund

Long

NICK
DFT


Short

CPLA
PNRA
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Re: Bogleheads 2012 hedge fund contest

Postby dmcmahon » Fri Dec 30, 2011 12:14 pm

As posted in the other thread, ours is the High And Frequently Trading fund.

Long: ORCL, FCX
Short: SHLD, LM
Last edited by dmcmahon on Sat Dec 31, 2011 2:45 pm, edited 1 time in total.
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Re: Bogleheads 2012 hedge fund contest

Postby peppers » Fri Dec 30, 2011 12:21 pm

Jalapeno Scotch Bonnets SA

Long TRW VC

Short SHLD MGM
Last edited by peppers on Sun Jan 01, 2012 11:59 am, edited 1 time in total.
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Re: Bogleheads 2012 hedge fund contest

Postby gotherelate » Fri Dec 30, 2011 1:42 pm

The Complete Crap Shoot Hedge Fund (The seventh and eleventh entries from pages seven and eleven of the Russell 3000 LIst)

LOOOOOOONG:
CCRN - CROSS COUNTRY HEALTHCARE
CDR - CEDAR SHOPPING CTRS INC

SHOOOOOOORT:
DSPG - DSP GROUP INC
DTG - DOLLAR THRIFTY AUTO
-Grandpa | I'd rather see where I'm going than see where I've been.
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Re: Bogleheads 2012 hedge fund contest

Postby Grt2bOutdoors » Fri Dec 30, 2011 3:14 pm

Deep Dung Capital - plans to re-enter, but first must delve through some crapola :lol to come up with my candidates for 2012. Be back to you before year-end.
"Luck is not a strategy" Asking Portfolio Questions
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Re: Bogleheads 2012 hedge fund contest

Postby FredPeterson » Fri Dec 30, 2011 4:12 pm

Name: NIWID

Longs: BAC, LUK
Shorts: AAPL, CMG
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Re: Bogleheads 2012 hedge fund contest

Postby kd2008 » Fri Dec 30, 2011 4:16 pm

Name: Sleep in Heavenly Peace Fund

Long:
Ford: F
Costco: COST

Short:
Hewlett Packard: HPQ
Yahoo Inc.: YHOO
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Re: Bogleheads 2012 hedge fund contest

Postby SonOfSchwab » Fri Dec 30, 2011 4:16 pm

SPAM - Shortsighted Pretentious Amazonian Management

Long:
LUV - Southwest Airlines
ATVI - Activision Blizzard

Short:
HPQ - Hewlett Packard
CIM - Chimera Investment Corp
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Re: Bogleheads 2012 hedge fund contest

Postby LadyGeek » Fri Dec 30, 2011 4:34 pm

Portfolio name: Seeking Omega

Long position:
Williams Companies, Inc. (WMB)
Simon Property Group Inc. (SPG)

Short position:
Gamestop (GME)
Apple Inc (APPL)

From the alpha to the omega.

Hedge fund tutorial (wiki): Hedge funds

The Russel 3000 Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market.

(Updated: Short position to Gamestop (GME) 02-Jan-12 21:38 ET)
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Re: Bogleheads 2012 hedge fund contest

Postby centrifuge41 » Fri Dec 30, 2011 4:39 pm

Thanks for running the hedge fund contest once again Norbert! This is good fun, and it helps show me how futile my picks are :)

Fund name: Whitestone Asset Management Unlimited Gamma Fund

Long:
RMBS (Rambus Inc)
SHLD (Sears Holding Corp)

Short:
PPHM (Peregrine Pharmaceuticals)
BAC (Bank of America Corp)

Thanks :)
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Re: Bogleheads 2012 hedge fund contest

Postby ilmartello » Fri Dec 30, 2011 5:09 pm

hedge fund name: hammertime

long: brk-a berkshire hathaway
long: ge general electric


short: AAPL (APPLE)
short: Groupon grpn
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Re: Bogleheads 2012 hedge fund contest

Postby manuvns » Fri Dec 30, 2011 5:16 pm

Ultra hedge Stock Advantage fund :

long: AA , UNH
short: NUAN , AMZN
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Re: Bogleheads 2012 hedge fund contest

Postby awval999 » Fri Dec 30, 2011 6:30 pm

Alpha Freedom Investment Trust

Long: GM, F
Short: CMG, CRM
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Re: Bogleheads 2012 hedge fund contest

Postby camper » Fri Dec 30, 2011 8:01 pm

Rock Soft Holdings

Long:
Target Corp. (TGT)
PulteGroup Inc. (PHM)

Short:
MasterCard Inc. (MA)
RadioShack Corp. (RSH)
"I emphasize three main principles: first, to not be too greedy; second, to diversify as widely as possible; and third, to always be wary of the investment industry." William J. Bernstein
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Re: Bogleheads 2012 hedge fund contest

Postby NERD777 » Fri Dec 30, 2011 8:40 pm

Upsilon Frontier (UF)

Long: Apple (AAPL)
Long: Goldman Sachs (GS)

Short: eBay (EBAY)
Short: Red Hat (RHT)
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Re: Bogleheads 2012 hedge fund contest

Postby FNK » Fri Dec 30, 2011 10:07 pm

The Fund of Unintended Consequences, share class K

Long:
GOOG Google
WPX WPX Energy (spinning off tomorrow from WMB)

Short:
CPWR Compuware
SKY Skyline
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Re: Bogleheads 2012 hedge fund contest

Postby grok87 » Fri Dec 30, 2011 10:16 pm

Consternatio Partners

Long
Rosetta Resources (ROSE)
Centene Corp (CNC)

Short
FMC Technologies (FTI)
Viasat (VSAT)

cheers,
grok, CFA | "You can only convince people who think they can benefit from being convinced."- Taleb
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Re: Bogleheads 2012 hedge fund contest

Postby Mudpuppy » Sat Dec 31, 2011 5:56 am

Hap E D Nile

Long:
Bank of America (BAC)
Occidental Petroleum (OXY)

Short:
Apple (AAPL)
McDonald's (MCD)
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Re: Bogleheads 2012 hedge fund contest

Postby awval999 » Sat Dec 31, 2011 4:03 pm

Mudpuppy wrote:Hap E D Nile

Long:
Bank of America (BAC)
Occidental Petroleum (OXY)

Short:
Apple (AAPL)
McDonald's (MCD)


I've never heard of anyone going out on that limb. Do you mind to give a reason why? Or do we have to subscribe to your newsletter for that? :D
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Re: Bogleheads 2012 hedge fund contest

Postby jidina80 » Sat Dec 31, 2011 5:05 pm

As the 2nd-to-last finisher in last year's hedge fund contest, I hereby give contrarians notice:

My new hedge fund, named Archimedes' Purse, requests entry into the 2012 hedge fund contest.

Long:
1) GNW Genworth Financial
2) HIG Hartford Financial Services

Short:
1) ODP Office Depot
2) WYN Wyndham Worldwide

This fund has no relationship to my prior fund, Betamax Explorer, which is now closed to investors.
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Re: Bogleheads 2012 hedge fund contest

Postby FinanceFun » Sat Dec 31, 2011 5:14 pm

"If only I..."

Long Positions:
GS
TDC

Short Positions:
SHLD
NFLX
Last edited by FinanceFun on Sat Dec 31, 2011 6:21 pm, edited 1 time in total.
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Re: Bogleheads 2012 hedge fund contest

Postby ajherrmann » Sat Dec 31, 2011 5:39 pm

Short Schlock Long California Fund

Long:
1) WFC Wells Fargo
2) SCHW Charles Schwab

Short:
1) ANF Abercrombie and Fitch
2) SHLD Sears Holding Company
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Re: Bogleheads 2012 hedge fund contest

Postby madpunster » Sat Dec 31, 2011 10:04 pm

Van Thorp Fund

Long:
LYG -Lloyd's Banking
KMI - Kinder Morgan

Short:
PLD - Prologis
ISRG - Intuitive Surgical

(edited because short choice EP - El Paso is being bought by Kinder Morgan)
Last edited by madpunster on Sat Dec 31, 2011 10:25 pm, edited 1 time in total.
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Re: Bogleheads 2012 hedge fund contest

Postby Mudpuppy » Sat Dec 31, 2011 10:07 pm

awval999 wrote:
Mudpuppy wrote:Hap E D Nile

Long:
Bank of America (BAC)
Occidental Petroleum (OXY)

Short:
Apple (AAPL)
McDonald's (MCD)


I've never heard of anyone going out on that limb. Do you mind to give a reason why? Or do we have to subscribe to your newsletter for that? :D

No newsletter, just gut.... heh. I saw a CNN Money slideshow about how good Mickie D's did this year and my gut said "eww", so I listened to it. Only time will tell if my gut is a better prognosticator than a dart board or random selection.
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Re: Bogleheads 2012 hedge fund contest

Postby james22 » Sun Jan 01, 2012 1:24 am

2011 Fund

Long:

Cabot Oil & Gas (COG)
El Paso Corp. (EP)

Short:

Monster Worldwide (MWW)
First Solar (FSLR)
Risk ≠ Reward
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Re: Bogleheads 2012 hedge fund contest

Postby cjackson0 » Sun Jan 01, 2012 11:46 am

"Mommy Needs a New Minivan"

Long:
MCP - Molycorp INC
HOOK - Craft Brewers Alliance, Inc.

Short:
LEAP - Leap Wireless International, INC
RIGL - Rigel Pharmaceuticals, Inc
Sent from my iphone
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Re: Bogleheads 2012 hedge fund contest

Postby NightOwl » Sun Jan 01, 2012 1:21 pm

Rannumgen Capital returns to the fray with a new and improved selection methodology: first the shorts, then the longs.

Short:
WPO (Washington Post)
GTY (Getty Realty)

Long:
POWI (Power Integrations Inc)
GNOM (Complete Genomics)

NightOwl
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Re: Bogleheads 2012 hedge fund contest

Postby Ice-9 » Mon Jan 02, 2012 12:18 am

Irrational Apathy

Long:
DFR (CIFC Deerfield Corp)
BRK.B (Berkshire Hathaway Inc)

Short:
ALSK (Alaska Communications)
NLY (Annaly Capital Mgmt Inc)
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Re: Bogleheads 2012 hedge fund contest

Postby norookie » Mon Jan 02, 2012 7:10 pm

:D Lifetime capital management :oops: , Long AAPL/CAT, Short, SHLD, ADI.
" Wealth usually leads to excess " Cicero 55 b.c
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Re: Bogleheads 2012 hedge fund contest

Postby collegerent » Mon Jan 02, 2012 9:20 pm

Long, WPZ (Williams)
OKS (One OK)

Short, NFLX (Netflix)
WAG (Walgreens)
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Re: Bogleheads 2012 hedge fund contest

Postby SP-diceman » Mon Jan 02, 2012 9:28 pm

THE FAT TAILS AND SKINNY RETURNS FUND


Long: NFLX, QUAD

Short: MA, LQDT
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Re: Bogleheads 2012 hedge fund contest

Postby SkolVikes7 » Mon Jan 02, 2012 9:42 pm

Seeking Golf

Long:
EEP (Enbridge Energy Partners)
CAT (Caterpillar)

Short:
DB (Deutsche Bank)
CRM (SalesForce.com)
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Re: Bogleheads 2012 hedge fund contest

Postby Chuck1 » Mon Jan 02, 2012 10:20 pm

My hedge fund is AQR - Applied Quantitative Roulette :)

Long: BAC, FSLR
Short: GRPN, ZIP

Here's to a big 2012!
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Re: Bogleheads 2012 hedge fund contest

Postby LadyGeek » Mon Jan 02, 2012 10:42 pm

LadyGeek wrote:Portfolio name: Seeking Omega

Long position: Williams Companies, Inc. (WMB), Simon Property Group Inc. (SPG)

Short position: Gamestop (GME), Apple Inc (APPL) (Updated: Short position to Gamestop (GME) 02-Jan-12 21:38 ET)
Making sure that my last minute short position change is picked up.
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Re: Bogleheads 2012 hedge fund contest

Postby Mr. Gatti » Tue Jan 03, 2012 1:23 am

Gatti's Greed and Growth Fund

Long: QCOM - Qualcomm
CYH - Community Health Systems

Short: NFLX - Netflix
RAD - Rite Aid
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Re: Bogleheads 2012 hedge fund contest

Postby dixdak » Tue Jan 03, 2012 3:20 am

I Want My Fair Share Fund

Long: Stillwater Mining (SWC) and Molycorp (MCP)

Short: Energy Conversion Devices (ENER) and BioSante (BPAX)
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Re: Bogleheads 2012 hedge fund contest

Postby Snowjob » Tue Jan 03, 2012 3:45 am

Name - Free Lunch

Long

FRO - Fronline
IPI - Intrepid Potash

Short

DNDN - Dendrion
EK - Eastman Kodac
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Re: Bogleheads 2012 hedge fund contest

Postby xerty24 » Tue Jan 03, 2012 8:36 am

Regulatory Arbitrage

Long:
GS (Goldman Sachs)
BRK.B (Berkshire Hathaway Inc)

Short:
CMO (Capstead Mortgage)
NLY (Annaly Capital Mgmt Inc)
No excuses, no regrets.
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In the Black

Postby grok87 » Tue Jan 03, 2012 8:09 pm

Dear investors,
Consternation Partners is in the black!
After a competitive 2011 performance in the top 80%, we are proud to report that Consternatio partners is in the black with a 1.055% YTD return. While I'm not exactly sure what the competition is doing, doubtless this strong start out of the gates has left many of them gasping in the dust!
:)
cheers,
Last edited by grok87 on Tue Jan 03, 2012 10:01 pm, edited 1 time in total.
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Re: Bogleheads 2012 hedge fund contest

Postby LadyGeek » Tue Jan 03, 2012 9:45 pm

Your optimism is a bit premature, as a few of my picks have some after-hours activity. We'll see tomorrow.

OTOH, I'm not sure how to calculate this. I'm assuming $1 in each fund as the starting balance. The daily gain is (prev close)/(today's close), which ignores the after-hours activity and opening bids. Are the shorts simply subtracting the gains? If so, I think I'm at -0.08%.

Portfolio: Seeking omega, which may be for quite some time if I don't get this figured out.

Long position: Williams Companies, Inc. (WMB) (0.34%), Simon Property Group Inc. (SPG) (-.52%)

Short position: Gamestop (GME) (-1.41%) , Apple Inc (APPL) (+1.54%)
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Re: Bogleheads 2012 hedge fund contest

Postby FredPeterson » Tue Jan 03, 2012 9:52 pm

Too bad dividends don't play into this.

But then again, maybe I'm just biased against the people shorting Annaly and hoping they're wrong :)
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Re: Bogleheads 2012 hedge fund contest

Postby grok87 » Tue Jan 03, 2012 10:07 pm

LadyGeek wrote:Your optimism is a bit premature, as a few of my picks have some after-hours activity. We'll see tomorrow.

OTOH, I'm not sure how to calculate this. I'm assuming $1 in each fund as the starting balance. The daily gain is (prev close)/(today's close), which ignores the after-hours activity and opening bids. Are the shorts simply subtracting the gains? If so, I think I'm at -0.08%.

Portfolio: Seeking omega, which may be for quite some time if I don't get this figured out.

Long position: Williams Companies, Inc. (WMB) (0.34%), Simon Property Group Inc. (SPG) (-.52%)

Short position: Gamestop (GME) (-1.41%) , Apple Inc (APPL) (+1.54%)

Well i could be wrong but I think you average your longs (for you -0.09%) and average your shorts (for you +0.065%).
Then you subtract your shorts from your longs (for you -0.09% - +0.065% = -0.155%). Put another way I think you need to double the -0.08% you calculated.
cheers,
grok, CFA | "You can only convince people who think they can benefit from being convinced."- Taleb
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Re: Bogleheads 2012 hedge fund contest

Postby grok87 » Tue Jan 03, 2012 10:10 pm

xerty24 wrote:Regulatory Arbitrage

Long:
GS (Goldman Sachs)
BRK.B (Berkshire Hathaway Inc)

Short:
CMO (Capstead Mortgage)
NLY (Annaly Capital Mgmt Inc)

nice dividend based strategy!
grok, CFA | "You can only convince people who think they can benefit from being convinced."- Taleb
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Re: Bogleheads 2012 hedge fund contest

Postby LadyGeek » Tue Jan 03, 2012 10:46 pm

grok87 wrote:Well i could be wrong but I think you average your longs (for you -0.09%) and average your shorts (for you +0.065%).
Then you subtract your shorts from your longs (for you -0.09% - +0.065% = -0.155%). Put another way I think you need to double the -0.08% you calculated.
cheers,
I don't see how you can average something that's easily calculated by a few simple equations - except that we don't know what they are. Norbert?

I'm just testing the negative side of my spreadsheet equations.
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Re: Bogleheads 2012 hedge fund contest

Postby Grt2bOutdoors » Tue Jan 03, 2012 11:08 pm

grok87 wrote:Consternatio Partners

Long
Rosetta Resources (ROSE)
Centene Corp (CNC)

Short
FMC Technologies (FTI)
Viasat (VSAT)

cheers,


Playing the shale market in the Alberta basin huh?
"Luck is not a strategy" Asking Portfolio Questions
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