Arnold Doyle L: insider trades

Officer, Director at 2 companies we cover. 9 open-market purchases and 7 sales not made under a pre-set plan, reported from June 14, 2010 to August 26, 2015.

Would copying Arnold Doyle L’s purchases have beaten the S&P 500?

Too few purchases to judge. Only 9 purchases have 12 months of prices after the report; we judge insiders once they have 20. The figures below can swing a long way on a handful of trades. Buying each purchase the day after it was reported, an equal amount each, and holding it 12 months or until they reported a sale would have turned $10,000 on June 15, 2010 into $13,088 by November 2, 2026, +1.7% a year. The copy held shares only 29% of the time, so the fair comparison is the S&P 500 on those same days with Treasury bills otherwise: $23,852, +5.5% a year (the S&P 500 held throughout made $90,357, +14.4% a year). Beta against the index was 0.24. Twelve months after each report, the average purchase was −12.2% against the S&P 500 (median −13.5%), and 33% beat it. Measured from the trade date, the insider’s own timing, the average was −13.4%. After their sales, the shares moved −15.3% against the index over 12 months on average (a negative figure means selling was the right call); 100% trailed it.

With 296 insiders tested, some will look skilled or unskilled by chance alone: when we replaced each insider’s stocks with random companies bought on the same days, about 5.7 cleared the bar ahead and 23.3 behind. One record on its own proves little.

Copying Arnold Doyle LS&P 500, same days investedS&P 500, held throughout $10,000 copying Arnold Doyle L’s open-market purchases from June 15, 2010, before costs and taxes, marked weekly. Each purchase gets the same starting stake, bought at the close of the first trading day after the report and sold 12 months later or the day after a reported sale of that stock; uninvested money earns the Treasury bill rate. “Same days invested” holds the S&P 500 only on the days the copy held shares, Treasury bills otherwise.

Return a year, copying: +1.7%
S&P 500, same days invested: +5.5% (held throughout +14.4%)
Time in shares: 29%
Sharpe ratio (S&P 500): 0.09 (0.79)
Biggest drop (S&P 500): −50% (−34%)
Market sensitivity (beta): 0.24
Purchases copied: 9

Trade by trade

Arnold Doyle L: trades against the S&P 500 afterwards
Measured	Trades counted	Average vs S&P 500	Median	Went the right way	Years	t-statistic	p-value	Evidence
Purchases, 3 months after the report	9	+0.8%	+3.5%	56%	4	−0.28	0.80	No reliable evidence
Purchases, 6 months after the report	9	−4.7%	−3.6%	33%	4	−1.22	0.31	No reliable evidence
Purchases, 12 months after the report	9	−12.2%	−13.5%	33%	4	−1.26	0.30	No reliable evidence
Purchases, 12 months after the trade	9	−13.4%	−18.0%	33%	4	−1.35	0.27	No reliable evidence
Sales, 3 months after the report	7	−7.3%	−7.5%	100%	1	—	—	Not enough years
Sales, 12 months after the report	7	−15.3%	−15.6%	100%	1	—	—	Not enough years
Sales, 12 months after the trade	7	−18.7%	−16.8%	100%	1	—	—	Not enough years

“Average vs S&P 500” is the stock’s return including dividends minus the index’s over the same dates, from the close on the first trading day after the report, or from the close on the trade date. Only windows that have finished are counted. For sales, a negative figure means the stock lagged after it was sold, so selling was the right call (green). “Went the right way” is the share of purchases that beat the index, or of sales that trailed it. The t-statistic uses one average per year of reports, because one person’s trades bunch into the same stock and weeks, and needs trades in at least four different years; the p-value comes from the t distribution with that number of years (with four years, a t of 2 has p = 0.14). “Some evidence” means p under 5%, “strong evidence” p under 1% over at least six years.

Companies traded

Company	Title on the latest filing	Purchases	Sales	First report	Latest report
Zions Bancorporation, National Association ZION	Former Vice Chairman and	7	7	June 14, 2010	August 4, 2015
Group 1 Automotive Inc GPI	—	2	0	May 14, 2015	August 26, 2015

Trades and what followed

Moves are against the S&P 500; green means the trade went the insider’s way.

Reported	Traded	Company	Trade	Value	3 months after report	12 months after report	12 months after trade
August 26, 2015	August 25, 2015	GPI	Purchase	$130,925	−13.0%	−46.0%	−52.0%
August 4, 2015	August 3, 2015	ZION	Sale	$1,607,791	−8.0%	−15.7%	−16.5%
August 4, 2015	August 3, 2015	ZION	Sale	$105,922	−8.0%	−15.7%	−16.5%
August 3, 2015	July 31, 2015	ZION	Sale	$1,187,880	−6.1%	−15.6%	−16.8%
August 3, 2015	July 31, 2015	ZION	Sale	$219,983	−6.1%	−15.6%	−16.8%
July 27, 2015	July 23, 2015	ZION	Sale	$130,417,781	−7.5%	−14.8%	−21.5%
July 27, 2015	July 23, 2015	ZION	Sale	$1,119,520	−7.5%	−14.8%	−21.5%
July 27, 2015	July 23, 2015	ZION	Sale	$326,508	−7.5%	−14.8%	−21.5%
May 14, 2015	May 12, 2015	GPI	Purchase	$81,060	+14.1%	−25.9%	−24.3%
August 12, 2013	August 8, 2013	ZION	Purchase	$125,000	−4.7%	−20.6%	−20.9%
June 3, 2013	May 30, 2013	ZION	Purchase	$50,000	+3.5%	−13.5%	−18.0%
May 20, 2013	May 16, 2013	ZION	Purchase	$100,000	+7.7%	−11.9%	−11.1%
February 4, 2013	January 31, 2013	ZION	Purchase	$300,000	−0.1%	+1.8%	+2.4%
November 20, 2012	November 16, 2012	ZION	Purchase	$67,692	+9.6%	+12.9%	+13.8%
February 10, 2012	February 8, 2012	ZION	Purchase	$26,600	+5.6%	+18.1%	+15.9%
June 14, 2010	June 10, 2010	ZION	Purchase	$50,000	−15.0%	−24.5%	−26.6%

Open-market purchases and sales of at least $10,000 in companies we cover, from SEC Form 4 filings; sales made under a pre-set Rule 10b5-1 plan are not shown. “Not yet” means the window has not finished or the share price was under $5 at entry. These are the shares’ moves after each trade: they say nothing about why Arnold Doyle L traded and do not suggest the use of non-public information. How every insider compares · the insider trading backtest.