Simmons Glenn R: insider trades

Officer, Director at 3 companies we cover. 10 open-market purchases and 3 sales not made under a pre-set plan, reported from June 16, 2010 to February 19, 2013.

Would copying Simmons Glenn R’s purchases have beaten the S&P 500?

Too few purchases to judge. Only 10 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 November 29, 2011 into $13,103 by November 2, 2026, +1.8% a year. The copy held shares only 15% of the time, so the fair comparison is the S&P 500 on those same days with Treasury bills otherwise: $20,808, +5.0% a year (the S&P 500 held throughout made $81,825, +15.2% a year). Beta against the index was 0.11. Twelve months after each report, the average purchase was −22.8% against the S&P 500 (median −30.3%), and 10% beat it. Measured from the trade date, the insider’s own timing, the average was −23.4%. After their sales, the shares moved +4.1% against the index over 12 months on average (a negative figure means selling was the right call); 33% 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 Simmons Glenn RS&P 500, same days investedS&P 500, held throughout $10,000 copying Simmons Glenn R’s open-market purchases from November 29, 2011, 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: +1.8%
S&P 500, same days invested: +5.0% (held throughout +15.2%)
Time in shares: 15%
Sharpe ratio (S&P 500): 0.08 (0.83)
Biggest drop (S&P 500): −48% (−34%)
Market sensitivity (beta): 0.11
Purchases copied: 10

Trade by trade

Simmons Glenn R: 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	10	−3.4%	−9.2%	30%	3	—	—	Not enough years
Purchases, 6 months after the report	10	−14.7%	−18.9%	20%	3	—	—	Not enough years
Purchases, 12 months after the report	10	−22.8%	−30.3%	10%	3	—	—	Not enough years
Purchases, 12 months after the trade	10	−23.4%	−31.8%	10%	3	—	—	Not enough years
Sales, 3 months after the report	3	−0.5%	−2.0%	67%	1	—	—	Not enough years
Sales, 12 months after the report	3	+4.1%	+19.9%	33%	1	—	—	Not enough years
Sales, 12 months after the trade	3	+12.5%	+21.2%	33%	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
Kronos Worldwide Inc KRO	—	9	2	August 9, 2010	February 19, 2013
Compx International Inc CIX	Chairman of the Board	0	1	June 16, 2010	June 16, 2010
Valhi Inc VHI	Vice Chairman of the Board	1	0	August 27, 2012	August 27, 2012

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
February 19, 2013	February 19, 2013	KRO	Purchase	$262,389	−14.6%	−28.1%	−31.1%
January 24, 2013	January 24, 2013	KRO	Purchase	$194,576	−21.6%	−33.7%	−37.8%
January 18, 2013	January 18, 2013	KRO	Purchase	$95,875	−24.5%	−37.3%	−38.2%
November 7, 2012	November 7, 2012	KRO	Purchase	$66,450	+44.5%	−7.1%	−5.8%
August 27, 2012	August 24, 2012	VHI	Purchase	$59,018	−7.0%	+37.1%	+35.2%
May 29, 2012	May 25, 2012	KRO	Purchase	$120,034	−11.4%	−27.2%	−29.4%
May 17, 2012	May 17, 2012	KRO	Purchase	$11,290	−2.5%	−32.6%	−32.9%
March 6, 2012	March 6, 2012	KRO	Purchase	$115,227	−26.4%	−43.0%	−41.2%
December 15, 2011	December 15, 2011	KRO	Purchase	$168,856	+19.0%	−23.5%	−20.8%
November 28, 2011	November 23, 2011	KRO	Purchase	$52,935	+10.1%	−32.7%	−32.5%
August 11, 2010	August 9, 2010	KRO	Sale	$106,607	−2.0%	+19.9%	+21.2%
August 9, 2010	August 5, 2010	KRO	Sale	$117,540	+11.0%	+20.9%	+42.6%
June 16, 2010	June 14, 2010	CIX	Sale	$28,100	−10.6%	−28.4%	−26.3%

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 Simmons Glenn R traded and do not suggest the use of non-public information. How every insider compares · the insider trading backtest.