Stevie Cohen’s SAC Capital had a stellar start, minting almost unbelievable returns for its first five or six years. Sure you could have done similarly by simply going long the Nasdaq or concentrating on tech stocks from 1996 to 2001, but you probably would have ended up losing money in 2002 while Cohen managed to earn an almost 10% return that year.
Nonetheless, for the last couple of years Cohen’s fund has run into a mid-year doldrum. In April of 2005, he lost almost 1%. In May of 2006, the fund was down 1.30%. The summer of 2007 saw three down months begining in June. Last year, after a slightly down June and a profitable July, Cohen ran into four down months in a row and found his fund down for the year for the first time ever.
As you can see, there’s a slowly moving pattern here. Each year, the losses begin to hit a month later than the prior year. We almost suspect that Cohen is just banning vacations for his top traders in months that lost money in the prior year. Whatever the reason, the loss making month this year should fall in September.
From Bess Levin at DealBreaker, here’s the chart of SAC’s monthly returns.
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