Daniel Loeb’s Third Point Avenue, flaghship hedge fund, was up 0.2% in June, according to a stat sheet attained by our site. The year to date return for the fund is 4.1%. The flagship hedge fund currently has $4.5 billion in Assets under management (AUM). The total assets of the firm is currently, $8.7 billion. Both total AUM and AUM for the main hedge fund have declined over the past month.
Net equity exposure decreased from 31% last month to 27% in June. Credit exposure also went down, indicating Loeb has taken a more bearish view. What is very interesting is the new category Loeb adds to the stat sheet titled ‘macro.’ This is the first time we have seen a macro category for Loeb (readers can see the contrast with May’s sheet).
With value investors increasingly stating that the macro environment has caused very high correlations, some have begun to look more at the macro picture. Macro consists of Gold, Government (unclear what the meaning is), and tail risk (black swan) strategies. Loeb is 11% net long Gold and net short Government. We are not sure if this means treasuries, Sovereign debt, or credit default swaps. We will find out soon in the second quarter letter.
The hedge fund is 65% net long in US equities, 4% long and 4% short in Asia, and 11% net short in Europe, Middle East and North Africa.
The CAGR return since inception in 1996, is 17.0%, compared to an S&P 500 return of 5.7% per annum. Furthermore, Loeb has crushed the index on a risk adjusted basis. The sharpe ratio of the fund is 1.24, and annual standard deviation is 310 basis points below the index.
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, since May 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! Inc., which readers can find here. Loeb is now on the board after winning a successfully proxy battle with management.
Gold (GLD) as mentioned above. This holding has not changed.
Delphi Automotive PLC (NYSE:DLPH), which was also one of the biggest loosers for the month.
Chesapeake Energy Corporation (NYSE:CHK) is the fourth largest, and a new holding for the fund. There has been much debate about what the holding is; equity, credit, dervatives, long or short. Based on the past reading of Third Point letters we can almost say with certainty that this is a long equity position. Sources state that he owns a 5% stake of Chespeake, assuming other positions in the top five have not changed since the 13-F for Q1, we can do some calculations.
Loeb held 13,339,711 shares of DLPH valued at $26.41 equaling approximately 352 million worth of equity.
Apple Inc. (NASDAQ:AAPL). Loeb explains in detail why he is bullish on Apple in his first quarter letter. The position dropped from 5th to 4th place over the past month.
Loeb held 362,000 shares of Apple Inc. valued at 605.88, equaling approximately $220 million. Chesapeake Energy Corporation would have to be in between a $220M and $350M stake. Using 220M on CHK’s market cap of 13.2B, Loeb owns a 1.7% stake. Using $350M, Loeb would own a 2.5% stake. Therefore, it does not seem likely that Loeb owns a 5% stake in Chesapeake. Furthermore, this would trigger an SEC filling (usually). We will find out for sure on August 15th when the 45 day deadline expires for 13-F Q2 fillings. However, right now we remain skeptical of the 5% figure, unless there are additional derivative holdings, which are not listed.
Sara Lee Corporation (NYSE:SLE) dropped off the list. It might still be a holding, but it is no longer in the top five. Sara Lee was also one of the biggest losing positions for Third Point in June.
Below is the full June sheet: