Wortley Michael J: insider trades

Chief financial officer at 2 companies we cover. 4 open-market purchases and 4 sales not made under a pre-set plan, reported from August 21, 2014 to August 17, 2017.

Would copying Wortley Michael J’s purchases have beaten the S&P 500?

Too few purchases to judge. Only 4 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 13, 2015 into $21,209 by November 2, 2026, +7.1% a year. The copy held shares only 19% of the time, so the fair comparison is the S&P 500 on those same days with Treasury bills otherwise: $17,351, +5.2% a year (the S&P 500 held throughout made $44,677, +14.7% a year). Beta against the index was 0.13. Twelve months after each report, the average purchase was +1.4% against the S&P 500 (median +4.2%), and 50% beat it. Measured from the trade date, the insider’s own timing, the average was +7.2%. After their sales, the shares moved −27.7% 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 Wortley Michael JS&P 500, same days investedS&P 500, held throughout $10,000 copying Wortley Michael J’s open-market purchases from November 13, 2015, 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: +7.1%
S&P 500, same days invested: +5.2% (held throughout +14.7%)
Time in shares: 19%
Sharpe ratio (S&P 500): 0.38 (0.73)
Biggest drop (S&P 500): −42% (−34%)
Market sensitivity (beta): 0.13
Purchases copied: 4

Trade by trade

Wortley Michael J: 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	4	−1.5%	−0.7%	50%	2	—	—	Not enough years
Purchases, 6 months after the report	4	+2.3%	+0.5%	50%	2	—	—	Not enough years
Purchases, 12 months after the report	4	+1.4%	+4.2%	50%	2	—	—	Not enough years
Purchases, 12 months after the trade	4	+7.2%	+9.9%	50%	2	—	—	Not enough years
Sales, 3 months after the report	4	−8.8%	−9.0%	100%	4	−2.57	0.083	No reliable evidence
Sales, 12 months after the report	4	−27.7%	−19.4%	100%	4	−2.87	0.064	No reliable evidence
Sales, 12 months after the trade	4	−28.2%	−21.7%	100%	4	−3.69	0.034	Some evidence: seller right

“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
Cheniere Energy, Inc. LNG	EVP and CFO	3	3	August 21, 2014	August 17, 2017
Cheniere Energy Partners, L.p. CQP	EVP & CFO	1	1	December 9, 2015	March 30, 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
August 17, 2017	August 16, 2017	LNG	Purchase	$209,800	+11.1%	+28.0%	+28.5%
March 30, 2017	March 29, 2017	CQP	Sale	$160,550	−1.5%	−15.6%	−18.5%
August 19, 2016	August 17, 2016	LNG	Sale	$67,440	−13.4%	−21.4%	−22.2%
December 9, 2015	December 7, 2015	LNG	Purchase	$41,000	−12.4%	−13.4%	−8.7%
December 9, 2015	December 7, 2015	CQP	Purchase	$87,440	+29.8%	+21.7%	+34.9%
November 12, 2015	November 10, 2015	LNG	Purchase	$412,390	−34.3%	−30.9%	−26.1%
May 6, 2015	May 4, 2015	LNG	Sale	$766,450	−15.7%	−56.5%	−51.1%
August 21, 2014	August 19, 2014	LNG	Sale	$894,720	−4.6%	−17.5%	−21.2%

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