If you are a serious investor, your sweetheart was likely mad at you on Valentine’s Day. That’s because you were studying the 3,560 different investment positions that hedge fund giant Citadel Advisors had at year-end.
Every Feb. 14, big money managers are required to file 13F forms with the U.S. Securities and Exchange Commission, revealing many of their Dec. 31 holdings. Among the notable new buys at the largest hedge funds were names like
and
Oracle
.
The field’s best investment results in recent years have been those of “multistrategy” hedge funds like Ken Griffin’s Citadel and Izzy Englander’s Millennium Management. Their consistent, strong returns might make poring over their13Fs seem like a tempting way to ride their coattails without paying their steep management fees.
Beware. The high-turnover, complex strategies of the multi-strat shops make their 13Fs the hardest to interpret on all of Wall Street.
With some $60 billion managed by dozens of teams, Citadel’s December-quarter 13F is dense enough. But it also includes nearly 14,000 positions at the market maker Citadel Securities, which is distinct from the hedge fund. To analyze Citadel’s changes, and those of other multistrats, we went to the website 13F.info operated by the data scientist Todd Schneider.
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Over 200 of Citadel’s year-end positions exceeded $100 million apiece. Some of the largest were market bets made with exchange-traded funds like the
which multistrats use to keep their overall portfolio from rising or falling with the market’s tide.
Citadel’s largest reported bets on common stocks were nearly $2 billion worth of options positions in
the parent of Facebook and Instagram. The fund’s reported common shareholdings in Meta rose 50% from September to December, when they were worth nearly $400 million.
Although the reported value of Citadel’s bearish and bullish options on Meta actually exceeded the value of its December stock position, the entries on options in a 13F are tricky to read. In fact, the option reporting in a 13F is almost uninterpretable, noted the financial-data expert Byrne Hobart in his blog last year, because the entries only show the total value controlled by the options—not their dates or strike prices.
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And 13Fs include no information at all on short sales or swap trades. That mean that the real size and direction of a hedge fund’s bet on a stock can be the opposite of what its 13F might suggest, Hobart explained.
Citadel’s next-largest year-end bet shown in the 13F was on
AT&T
,
where its shareholdings more than doubled, to a value of $800 million. Shareholdings in weight-loss drug leader
doubled from September to December, to exceed $500 million.
Among its large positions, Citadel made big additions to several names. It boosted its common stockholdings in
by more than 1,000% to 3.9 million shares worth $586 million. Its
stock position leapt by nearly 12,000%, to 4.3 million shares, while its
holdings soared 19,000%, to 1 million shares.
Millennium is the other multistrat firm whose assets under management exceed $60 billion. Its December 13F showed about 400 positions over $100 million each.
A dozen of those big Millennium’s shareholdings jumped by more than 1,000% in the quarter. The largest-cap names in that bunch were health insurer
the retailer
TJX Cos
.
, industrial gas supplier
Linde
,
and casualty insurer
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Shareholdings in Progressive jumped almost 48,000%, with only a very modest offsetting options hedge. The big purchases of Cigna, Linde, and TJX shares were also offset by relatively small opposing options bets.
The very biggest jumps in shareholdings at Millennium included smaller names like the British heating and plumbing supplier
Ferguson
,
the regional bank
eBay
,
and the data-analysis software supplier
D.E. Shaw is the big quant shop that’s quietly put up one of the best long-term records. Among its $100 million-plus positions, the December 13F reveals a 3,500% jump in Shaw’s holdings of chip maker
with a relatively small offsetting option hedge. Holdings in
stock rose some 670%, also with only a smallish negative options hedge. The fund’s shareholdings of
grew nearly 1,000% in the quarter, but were accompanied by sizable opposing options positions.
Somewhat smaller multistrategy managers that nevertheless have wide followings are Steve Cohen’s Point72 Asset Management and Nicholas Maounis’ Verition Fund Management. Their 13Fs seem to point in clearer directions than those of larger firms.
Point72 reported about 90 positions exceeding $100 million in its December filing. New and largely unhedged bets appeared on the energy giants
and
New software bets included
and
HubSpot
.
Other new or greatly increased positions included
Clorox
,
defense firm
chemical giant
3M
,
home builder
Lennar
,
biotech firms
and
Repligen
,
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and
The hedge fund Verition is smaller still, but showed about 20 positions above $50 million each in its December 13F. Those with more than a 1,000% increase in shareholdings, and seemingly modest options hedges, included Disney, the utility
Google parent
Alphabet
,
the videogame publisher
and drug firm
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It’s important to remember that the multistrat firms avoid big drawdowns by being fleet on their feet—so the 45-day old snapshot in their 13Fs may be dated before it appears.
These filings are no shortcut to market-beating performance, or “alpha,” the data maven Hobart warns, because the better-known a money manager is, the more people are studying its 13Fs.
The information found in a 13F should only be the starting point of any investor’s research.
Corrections & Amplifications
An earlier version of this article incorrectly combined positions of Citadel Advisors’ hedge funds with those of Citadel Securities, a separate market maker. As a result, many of the positions in this article have been revised.
Write to Bill Alpert at william.alpert@barrons.com