Gargoyle Portable Alpha Pitchbook Oct 2008

1,885 views

Published on

+5%/year Equity Portfolio Hedge Presentation

Published in: Economy & Finance, Business
0 Comments
1 Like
Statistics
Notes
  • Be the first to comment

No Downloads
Views
Total views
1,885
On SlideShare
0
From Embeds
0
Number of Embeds
11
Actions
Shares
0
Downloads
0
Comments
0
Likes
1
Embeds 0
No embeds

No notes for slide

Gargoyle Portable Alpha Pitchbook Oct 2008

  1. 1. 11 YEARS Serving Investors Since 1997 Gargoyle Investment Advisor L.L.C. 285 Grand Avenue, Building 1 Englewood, NJ 07631 201-227-2200 Main; 201-894-5884 FAX www.gargoyletrading.com Joshua B. Parker, Principal Alan L. Salzbank, Principal H. Jay Easterling, Principal jparker@gargoylestrategic.com asalzbank@gargoylestrategic.com jeasterling@gargoylestrategic.com 201-227-2205 201-227-2208 201-227-2244 May 2008 1 May, 2008
  2. 2. OVERVIEW This presentation is for informational purposes only and is subject to updating, revision, and amendment. It is not an offer to sell, or a solicitation of an offer to buy, any security. Any such offering may be made only by an offering memorandum and the information contained herein will be superseded in its entirety by such offering memorandum. Prospective subscribers to any Gargoyle service should consult their own financial advisors, legal counsel, and accountants as to financial, tax, legal, and related matters concerning their subscription to a Gargoyle service. No part of this presentation constitutes financial, tax, or legal advice to any prospective investor. 2 May, 2008
  3. 3. Table of Contents Firm Overview – Gargoyle’s 3 Major Lines of Business   Options Overlay Objectives [from Added-Value Services?]   Options Overlay Processrformance Attribution–2000-2007   Gargoyle’s Year-By-Year Performance Attribution–2000-2007   Gargoyle’s Options Overlay Experience – 2000-2007   Gargoyle overlay vs. BXM overlay - Comparison of Added Value   Attachments: •  Buy-Write (Covered Call) Illustration •  Gargoyle Principals – Management Overview 3 May, 2008
  4. 4. Firm Overview – Gargoyle’s 3 Major Lines of Business Options Market Making - making   - Gargoyle Strategic markets in publicly traded options Investments L.L.C. Asset Management – equity hedge fund mid-   cap, quant value with options overlay - Gargoyle Asset Management L.L.C. Added-Value Services – options overlay,   ‘portable alpha’ - Gargoyle Investment Advisor L.L.C. 4 May, 2008
  5. 5. Options Overlay Process STEP
1:


 Collect
and
review
 subscriber’s
stock
 portfolio
 STEP
2:


 STEP
5:


 Identify
proper
mix
of
 Report
results
to
 equity
indexes
that
 subscriber
 correlate
to
subscriber’s
 Gargoyle Portable Alpha Services stock
portfolio
 Overview of Options Overlay Process STEP
4:


 STEP
3:


 Monitor
change
to
overall
 Sell
calls
against
the
 market
exposure
against
 selected
equity
indexes
 subscriber-determined
 using
the
proper
 limits
and
adjust
as
needed
 weightings
and
strike
 prices
 5 May, 2008
  6. 6. Gargoyle’s Custom Offering To Trillium Asset Management Custom Hedge: Equity indexes will be blended to create an optimal hedge for Trillium’s stock holdings. Tax Implications It is expected that a substantial portion of income derived from options premium will be taxed at the following rates: 60% long term, 40% short term (under Section 1256 of the IRS tax code) Managed Accounts: A separate omnibus account can be created to handle all options overlay trading and from which dollars of P&L can be exported to individual managed accounts if needed 6 May, 2008
  7. 7. Options Account (gross) Gargoyle’s Year-By-Year Performance Attribution–2000-2007 Stock Account (gross) Gargoyle Fund (net) S&P 500 (with dividends) 10.01% 3.40% 2000 2001 - 1.87% 4.18% 5.77% 6.40% - 9.10% - 11.88% 10% 10% 0 20% 30% 40% 0 20% 30% 40% -30% -10% 50% -30% -10% 50% -20% -20% - 0.76% 16.06% 2002 2003 - 14.05% 44.58% 31.04% - 0.48% 28.69% - 22.10% 10% 10% 0 20% 30% 40% 0 20% 30% 40% -30% -10% 50% -30% -10% 50% -20% -20% 1.73% 6.03% 2004 2005 16.68% 9.72% 11.97% 14.40% 10.88% 4.91% 10% 10% 0 20% 30% 40% 0 20% 30% 40% -30% -10% 50% -30% -10% 50% -20% -20% 0.61% 2.79% 2006 2007 22.80% - 4.32% - 0.89% 17.02% 15.79% 5.50% 10% 10% 0 20% 30% 40% 0 20% 30% 40% -30% -10% 50% -30% -10% 50% -20% -20% The results above are for the Gargoyle Hedged Value (Master) Fund L.L.C., a hedge fund managed by Gargoyle Investment Advisor L.L.C. There can be no guarantee that the market conditions during this period or that the historic performance by this Fund will be repeated. 7 May, 2008
  8. 8. Gargoyle’s Options Overlay Experience – 2000-2007 Average annual contribution from the options overlay during years 2000-2007: 4.98% Average annual contribution from the options overlay during years in which the S&P 500 was negative: 9.82% Average annual contribution from the options overlay during years in which the S&P 500 was positive: 2.08% The results above are for the Gargoyle Hedged Value (Master) Fund L.L.C., a hedge fund managed by Gargoyle Investment Advisor L.L.C. There can be no guarantee that the market conditions during this period or that the historic performance by this Fund will be repeated. 8 May, 2008
  9. 9. Options Overlay relevant benchmark – the CBOE’s BXM The Chicago Board of Options Exchange (CBOE) together with Ibbotson Associates financial research firm created the BXM index based on the S&P500.  The BXM js a buy – write version of the S&P500 index using a passive ‘writing’ strategy  Every month, a near term call options based on the S&P500 (the SPX) is sold and returns are calculated including that P&L Differences between Gargoyle and BXM  Gargoyle’s method is customized and actively managed  The BXM is not customized and is passive; the call is sold and the position is ignored until option expiration the following month  Gargoyle yield’s 90% more than BXM on the options overlay component 9 May, 2008
  10. 10. Gargoyle overlay vs. BXM overlay COMPARISON OF ADDED VALUE GARGOYLE BXM 2000 10.01% 16.86% 2001 3.40% 0.03% 2002 16.06% 17.10% 2003 - 0.76% - 7.76% 2004 1.73% - 2.62% 2005 6.03% -0.93% 2006 0.61% - 2.31% 2007 2.79% 0.55% AVERAGE 4.98% 2.62% The above data shows the contributions made by the options overlay for both the Gargoyle Hedged Value (Master) Fund L.L.C. and the BXM index. Stock performance has been subtracted from each to create a fair comparison of the two. There is no guarantee that either the market conditions or the historic performance by the Gargoyle Hedged Value (Master) Fund L.L.C. will be repeated. 10 May, 2008
  11. 11. ATTACHMENTS 11 May, 2008
  12. 12. Buy-Write (Covered Call) Illustration Equity Index ProfIt & Loss $1530 Profit Sell Call Option (Write Call Option) Loss Strike Price = $1525 (Exercise Price = $1525) Buy-Write Buy Index for $1500 Break Even Long Index $ 1470 $ 1450 $ 1500 $1525 $1550 Index Price 12 May, 2008
  13. 13. THE GARGOYLE PRINCIPALS 13 May, 2008
  14. 14. Manager Overview – Joshua B. Parker Joshua B. Parker Chief Investment Officer –  January 1997 – Present Managing Member, the Gargoyle group of companies –  November 1998 - present Executive Vice President, Kenmar Advisory Corp. –  October 1988 – October 1998 Member, Government Relations Committee, Managed Funds Association –  1996 – 1999 Member, American Stock Exchange –  April 1986 – October 1988 Bridge Gold Life Master –  Former North American Bridge Champion Represented the United States in international Bridge competition New York University School of Law, JD, 1981 –  Yale University, BA, 1978 –  14 May, 2008
  15. 15. Manager Overview – Alan L. Salzbank Alan L. Salzbank Fund Manager, Gargoyle Hedged Value family of funds –  January 1997 – Present Managing Member, the Gargoyle group of companies –  November 1999 - present Member, American Stock Exchange –  April 1987 – October 1998 Director, Gruntal & Co. –  1985 – 1987 Director, Futures Department, Herzfeld & Stern –  1980-1985 Vice President, Merrill Lynch –  1975-1980 New York University, Stern Business School, MBA, 1984 –  Wharton School of the University of Pennsylvania, BA, 1975 –  15 May, 2008
  16. 16. Other Gargoyle Principals Although Messrs Parker and Salzbank run the day-to-day operations of Gargoyle Portable Alpha Services L.L.C., the Gargoyle group of companies includes four additional principals. Collectively, the Gargoyle team of six principals has over 50 years of combined on-floor trading experience, over 40 years of combined off-floor trading experience, 3 MBA’s, and 1 JD. H. Jay Easterling joined Gargoyle in September 2002 as Marketing and Business Development Director. During years 1999-2002, he was a managing member of investment partnership James River Partners in Charlottesville, Virginia. It was during his years as a member of the American Stock Exchange (1993-1997) that he met each of the Gargoyle principals. And prior to his leap into the securities industry, Mr. Easterling held posts in both marketing and finance organizations during a twelve year career (1981-1993) inside the IBM Company. He is a graduate of the University of Mississippi where he was a member of the 1976-1979 football teams. 16 May, 2008
  17. 17. Other Gargoyle Principals continued Charles Goodgal is the co-founder and CEO of the Gargoyle group of companies. Mr. Goodgal was a member of the American Stock Exchange from 1986 to 1998. From 1992 to 1998, Mr. Goodgal served as a Floor Official or Exchange Official of the American Stock Exchange. He trained and supervised over 40 options market-makers on the trading floors of major U.S. options exchanges. Mr. Goodgal’s career in the financial industry started as a registered representative where he became a Vice President of Sales for Cowen & Co. He is a graduate of the University of Pennsylvania and the Wharton Graduate School of Business. Phillip S. Martin has been the Chief Technology Officer of the Gargoyle group of companies since November 1999. He was a member of the American Stock Exchange from 1985 to 1999, during which time he developed the Ovid Software Trading Program, a handheld computer program used by members of the American Stock Exchange and Philadelphia Stock Exchange to monitor their options positions and assist in the management of those positions. Before becoming a member of the American Stock Exchange, Mr. Martin was an independent computer consultant (1980-1985) and a systems programmer with IBM (1974-1980). He attended the University of Michigan School of Music, and received an MBA from Herriot-Watt University. Mr. Martin is a Bridge Diamond Life Master and former national Bridge champion. 17 May, 2008
  18. 18. Other Gargoyle Principals continued Bruce T. Rogoff is the co-founder and COO of the Gargoyle group of companies. He was a member of the American Stock Exchange from 1986 to 1999, first as an options market-maker on the floor of the American Stock Exchange and then as the partner in charge of the day-to-day management of Gargoyle Specialists L.P., a specialist member firm of the American Stock Exchange. From 1993 to 1998, Mr. Rogoff served as a Floor Official of the American Stock Exchange. Mr. Rogoff has trained and supervised over 30 options market-makers on the trading floors of major U.S. options exchanges. He is a 4-time winner of the prestigious Reisinger Knock-Out Teams, the oldest bridge event in the United States. While attending the University of North Carolina, Mr. Rogoff was a member of UNC’s nationally-ranked college tennis team. Andrew Bellak – selling agent Andrew Bellak was the founder and managing partner of Renata Trading LLC, a market making firm based at the American Stock Exchange. He was a member of the American Stock Exchange from 1993 to 2002 as the partner in charge of the day-to-day management of his 10 person trading firm. From 1997 to 2000, Mr. Bellak served as a Floor Official and then an Exchange Official of the American Stock Exchange, led the Exchange’s new member orientation program from 1998 to 2000, and helped negotiate a new health insurance plan for its members. Mr. Bellak negotiated a succession of his team to Speer, Leeds & Kellogg to man their customer facilitation desk. A merger with Goldman Sachs led the team to be part of one of the largest on-floor market making firms in the US, Spear-Hull Derivatives unit of Goldman. Mr. Bellak holds a Masters in Education from the University of Massachusetts, 2005 and a BA/BS double major in Pre-Med (Chemistry)/French Language from the University of Virginia, 1988. He holds a Series 65 and is the chair of the Town of Amherst’s Energy Committee. 18 May, 2008
  19. 19. OFFERING TERMS For more details, prospective investors should review the applicable offering memorandum (including the information therein as to conflicts and risks) prior to making an investment decision. 19 May, 2008

×