Dan Loeb

Daniel Loeb’s Third Point Avenue, flaghship hedge fund, was down 2.6% in May, according to a stat sheet attained by our site. The year to date return is 3.7%. The flagship hedge fund currently has $4.64 billion in Assets under management. The total assets of the firm is currently, $8.9 billion.

Loeb’s exposure barely changed from last month.

The hedge fund is 61% net long in US equities, 3% long and 3% short in Asia, and 10% net short in Europe, Middle East and North Africa.

The annualized return since inception in 1996 is 17.1%, compared to S&P 500 return of 5.5%. Furthermore, Loeb has crushed the index on a risk adjusted basis. The sharpe ratio of the fund is 1.25, and annual standard deviation is 310 basis points below the index.

The hedge fund is 31% net long in US equities, a large decrease from 40% last month. Credit net exposure is 14%, and other (private investments, risk arbitrage, MBSs, currency, and other) net exposure is 2.1%.

Loeb has drastically increased the fund’s investments in credit and mortgage backed securities since the market had a large drop in October 2011. However, it looks like this trend is now on a downturn, as net credit and other investments have decreased.

Below are the top holdings of the fund across asset classes and geography, in descending order:

Yahoo! Inc. (NASDAQ:YHOO). We have written dozens of articles on Dan Loeb’s proxy war with Yahoo, which you can find here. Loeb is now on the board after winning a successfully proxy battle with management.

Gold (GLD)

Delphi Corporation (DLPH)

Apple Inc. (NASDAQ:AAPL). Loeb explains in detail why he is bullish on Apple in his first quarter letter.

Sara Lee, which is a new name on the list.

The full stat sheet is below:

2012 05 May Monthly Report TPOI