Taube Brook: insider trades

Chief executive, Director at Phenixfin Corp. 45 open-market purchases and no sales not made under a pre-set plan, reported from August 11, 2011 to July 12, 2017.

Would copying Taube Brook’s purchases have beaten the S&P 500?

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 August 12, 2011 into $3,997 by November 2, 2026, −5.9% a year. The copy held shares only 44% of the time, so the fair comparison is the S&P 500 on those same days with Treasury bills otherwise: $33,791, +8.3% a year (the S&P 500 held throughout made $83,592, +15.0% a year). Beta against the index was 0.20. Twelve months after each report, the average purchase was −45.1% against the S&P 500 (median −50.2%), and 9% beat it: suggestive (p = 0.047 over 7 years), but not enough on its own to rule out luck. Measured from the trade date, the insider’s own timing, the average was −44.4%.

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 Taube BrookS&P 500, same days investedS&P 500, held throughout $10,000 copying Taube Brook’s open-market purchases from August 12, 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: −5.9%
S&P 500, same days invested: +8.3% (held throughout +15.0%)
Time in shares: 44%
Sharpe ratio (S&P 500): −0.37 (0.81)
Biggest drop (S&P 500): −80% (−34%)
Market sensitivity (beta): 0.20
Purchases copied: 45

Trade by trade

Taube Brook: 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	45	−5.5%	−4.9%	20%	7	−1.34	0.23	No reliable evidence
Purchases, 6 months after the report	45	−16.8%	−16.4%	7%	7	−1.37	0.22	No reliable evidence
Purchases, 12 months after the report	45	−45.1%	−50.2%	9%	7	−2.50	0.047	Some evidence: behind
Purchases, 12 months after the trade	45	−44.4%	−49.7%	7%	7	−2.48	0.048	Some evidence: behind
Sales, 3 months after the report	0	—	—	—	—	—	—	Not enough years
Sales, 12 months after the report	0	—	—	—	—	—	—	Not enough years
Sales, 12 months after the trade	0	—	—	—	—	—	—	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
Phenixfin Corp PFX	Chief Executive Officer	45	0	August 11, 2011	July 12, 2017

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
July 12, 2017	July 10, 2017	PFX	Purchase	$77,498	−12.6%	−63.8%	−63.1%
July 7, 2017	July 5, 2017	PFX	Purchase	$1,581,096	−10.4%	−63.1%	−60.6%
July 3, 2017	June 29, 2017	PFX	Purchase	$327,373	−10.0%	−60.6%	−60.7%
June 28, 2017	June 26, 2017	PFX	Purchase	$1,758,919	−13.2%	−60.7%	−58.6%
June 23, 2017	June 21, 2017	PFX	Purchase	$2,667,270	−11.4%	−58.6%	−58.9%
June 20, 2017	June 16, 2017	PFX	Purchase	$2,611,314	−9.8%	−58.9%	−62.3%
June 15, 2017	June 13, 2017	PFX	Purchase	$2,926,316	−11.4%	−62.3%	−62.1%
June 12, 2017	June 8, 2017	PFX	Purchase	$3,398,615	−8.3%	−62.1%	−60.7%
June 7, 2017	June 5, 2017	PFX	Purchase	$3,554,248	−3.6%	−60.7%	−58.4%
June 2, 2017	May 31, 2017	PFX	Purchase	$2,788,986	−1.6%	−58.4%	−56.2%
May 30, 2017	May 25, 2017	PFX	Purchase	$2,652,362	−0.9%	−56.2%	−55.6%
May 24, 2017	May 22, 2017	PFX	Purchase	$2,403,113	+0.3%	−55.6%	−58.1%
May 19, 2017	May 17, 2017	PFX	Purchase	$1,885,594	−2.4%	−58.1%	−58.3%
May 16, 2017	May 12, 2017	PFX	Purchase	$1,418,141	−2.8%	−58.3%	−59.9%
May 11, 2017	May 9, 2017	PFX	Purchase	$956,986	+1.4%	−59.9%	−56.4%
March 20, 2017	March 16, 2017	PFX	Purchase	$90,450	−21.8%	−63.9%	−64.3%
March 15, 2017	March 13, 2017	PFX	Purchase	$699,922	−19.0%	−64.3%	−62.5%
March 9, 2017	March 7, 2017	PFX	Purchase	$880,295	−20.4%	−64.0%	−60.6%
February 1, 2017	January 30, 2017	PFX	Purchase	$798,680	−5.4%	−56.4%	−58.4%
January 23, 2017	January 19, 2017	PFX	Purchase	$499,321	−2.8%	−58.2%	−55.9%
January 4, 2017	December 30, 2016	PFX	Purchase	$119,774	−7.2%	−56.4%	−51.7%
December 29, 2016	December 27, 2016	PFX	Purchase	$624,243	−3.7%	−51.7%	−51.1%
December 21, 2016	December 19, 2016	PFX	Purchase	$719,820	−4.9%	−50.2%	−49.4%
December 16, 2016	December 14, 2016	PFX	Purchase	$2,093,567	−4.3%	−49.4%	−44.5%
December 13, 2016	December 9, 2016	PFX	Purchase	$1,374,056	+1.1%	−44.5%	−46.7%
November 9, 2016	November 7, 2016	PFX	Purchase	$140,405	−7.4%	−48.2%	−47.6%
November 4, 2016	November 2, 2016	PFX	Purchase	$1,510,860	−5.4%	−47.6%	−49.7%
November 1, 2016	October 28, 2016	PFX	Purchase	$1,073,814	−7.2%	−49.7%	−47.0%
October 25, 2016	October 20, 2016	PFX	Purchase	$89,896	−10.6%	−48.1%	−47.3%
October 17, 2016	October 13, 2016	PFX	Purchase	$33,800	−8.8%	−47.5%	−46.2%
October 6, 2016	October 4, 2016	PFX	Purchase	$874,760	−4.9%	−41.6%	−40.2%
September 16, 2016	September 14, 2016	PFX	Purchase	$2,011,787	−7.0%	−40.2%	−38.9%
September 13, 2016	September 9, 2016	PFX	Purchase	$2,773,174	−8.5%	−38.9%	−38.7%
September 6, 2016	September 1, 2016	PFX	Purchase	$149,800	−2.0%	−36.3%	−35.4%
August 23, 2016	August 22, 2016	PFX	Purchase	$755,000	+1.7%	−33.8%	−33.7%
August 19, 2016	August 18, 2016	PFX	Purchase	$1,314,920	+5.9%	−33.7%	−31.8%
August 16, 2016	August 12, 2016	PFX	Purchase	$1,786,372	+3.8%	−30.6%	−28.8%
June 1, 2015	May 29, 2015	PFX	Purchase	$235,246	−5.7%	−32.3%	−32.0%
December 15, 2014	December 12, 2014	PFX	Purchase	$221,500	+0.6%	−18.4%	−23.7%
May 23, 2014	May 23, 2014	PFX	Purchase	$41,036	−2.9%	−38.3%	−38.1%
June 13, 2013	June 12, 2013	PFX	Purchase	$65,300	−0.6%	−25.6%	−26.2%
May 24, 2012	May 23, 2012	PFX	Purchase	$55,650	+8.5%	+4.1%	+5.2%
May 11, 2012	May 9, 2012	PFX	Purchase	$57,450	+8.0%	+7.9%	+10.2%
December 22, 2011	December 21, 2011	PFX	Purchase	$95,000	−2.9%	+24.9%	+28.5%
August 11, 2011	August 9, 2011	PFX	Purchase	$51,650	−17.9%	+0.7%	−3.0%

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