Study of Insider Trades in Sweden and Norway

Transcription

1 Study of Insider Trades in Sweden and Norway Vilnius, October 30th 2014

2 Dovre Performs Research on Insider Trades Dovre has full time professionals performing research on insider trades in the Nordic region. In addition we have a close external cooperation at professor level. ISM University of Management and Economics in Lithuania and Scuola Normale Superiore di Pisa have separate research projects on insider trades initiated by Dovre. 2

3 The Stockholm Stock Exchange The Stockholm Stock Exchange is 2,5 times bigger than Oslo insider transactions from 2001 to purchases (155/month) sales (75/month) Median average insider buy is SEK Median average sell is SEK

4 Oslo Stock Exchange insider transactions from 2009 to purchases (55/month) 990 sales (14/month) Median average insider buy is NOK Median average sell is NOK

5 Our Inhouse Benchmark Indexes Sweden Three market capitalization groups (based on company size*): Small Cap market value below 150mEUR (121 companies). Mid Cap market value between 150mEUR and 1bEUR (76 companies). Large Cap market value above 1bEUR (79 companies). Equally weighted, using Total Return prices. Outliers above 100% and below -75% are excluded. *Number of companies as of Official Nasdaq OMX Stockholm numbers. 5

6 Our Inhouse Benchmark Indexes Norway Two market capitalization groups (based on company size*): Small Cap market value below 150mEUR (73 companies). Large Cap market value above 150mEUR (85 companies). Equally weighted, using Total Return prices. Outliers above 100% and below -75% are excluded. 6

7 The Insider Portfolios Different yearly portfolios (both for Purchases and Sales): Analysis Cross-Sections: Two change of holding groups < 50% / 50% Three portfolio strategies Had / Only / Last Three holding periods 1 / 3 / 6 months Three market cap segments Large / Mid / Small Three transaction value groups < < < < If there are no Purchases/Sales in 1,3,6 months after a company s inclusion, it is excluded from the portfolio. All stocks are equally weighted. 7

8 The Insider Portfolios Sale Buy Sale t Had buy Held for 3 months Last buy Held for 3 months Only buy 3 month horizon buy portfolios 8

9 Portfolio Return Calculation 9

10 Portfolio Return Calculation 10

11 Portfolio Return Calculation 11

12 Insider Portfolios: Relative Performance Compared to Our Inhouse Benchmarks Sweden Portfolio 1m 3m 6m Large had Buy 0,65% 0,77% 1,28% Large last Buy 3,13% 1,88% 2,46% Large only Buy 2,84% 2,49% 4,16% Mid had Buy 4,11% 0,16% 1,01% Mid last Buy 6,80% 5,32% 4,10% Mid only Buy 5,74% 2,11% 5,52% Small had Buy 18,71% 7,74% 2,86% Small last Buy 18,13% 11,84% 6,65% Small only Buy 23,38% 11,98% 9,32% Large had Sell -8,57% -4,78% -4,36% Large last Sell -10,83% -7,56% -5,57% Large only Sell -1,96% -7,00% -5,74% Mid had Sell -9,66% -3,39% -3,63% Mid last Sell -9,65% -7,51% -4,44% Mid only Sell -12,55% -3,91% -5,24% Small had Sell -17,05% -7,83% -8,12% Small last Sell -14,55% -11,50% -11,44% Small only Sell -19,48% -13,39% -13,68% First study: Only signals with value > 80 ksek Market cap inversely related to portfolio outperformance Time horizon inversely related to portfolio outperformance Sell signals stronger than Buy signals Averages per year 12

13 Insider Portfolios: Relative Performance Compared to Our Inhouse Benchmarks Sweden. Publication Day Effect Publication day + 1 Publication day Publication day effect Portfolio +1 1m 3m 6m Portfolio 1m 3m 6m Effect 1m 3m 6m Large Last Buy 3,13% 1,88% 2,46% Large Last Buy 5,82% 2,33% 2,94% Large Last Buy 2,69% 0,45% 0,48% Mid Last Buy 6,80% 5,32% 4,10% Mid Last Buy 12,89% 8,07% 5,40% Mid Last Buy 6,09% 2,75% 1,30% Small Last Buy 18,13% 11,84% 6,65% Small Last Buy 36,23% 15,40% 10,18% Small Last Buy 18,10% 3,56% 3,53% Large Last Sell -10,83% -7,56% -5,57% Large Last Sell -11,99% -7,66% -6,12% Large Last Sell -1,16% -0,10% -0,55% Mid Last Sell -9,65% -7,51% -4,44% Mid Last Sell -12,39% -10,91% -6,51% Mid Last Sell -2,74% -3,40% -2,07% Small Last Sell -14,55% -11,50% -11,44% Small Last Sell -21,31% -15,00% -13,86% Small Last Sell -6,76% -3,50% -2,42% Averages per year 13

14 Insider Portfolios: Relative Performance Compared to Our Inhouse Benchmarks Norway Portfolio 1m 3m 6m Large Buy 3,23% 7,99% 1,45% Large Last Buy 3,50% 12,50% 4,58% Large Only Buy 6,41% 13,01% 3,83% Small Buy 15,32% 23,10% 11,23% Small Last Buy 17,25% 23,92% 11,04% Small Only Buy 14,67% 21,19% 10,32% Large Sell -14,93% -1,74% -5,02% Large Last Sell -16,56% -9,00% -14,65% Large Only Sell -15,17% -16,42% -8,99% Small Sell 2,40% -2,64% -2,31% Small Last Sell -7,31% -8,11% -7,30% Small Only Sell -17,91% -15,12% -19,39% Only signals with value > 80 knok Small Cap Buy signals stronger than Large Cap Buy portfolios strongest in 3 month investment horizon Averages per year 14

15 Insider Portfolios: Relative Performance Compared to Our Inhouse Benchmarks Comparing Under and Above 80 k SEK value Swedish signals 1 month 3m 6m Above 80 Under 80 Above 80 Under 80 Above 80 Under 80 Large had Buy 0,65% 8,97% 0,77% 10,13% 1,28% 6,49% Large last Buy 3,13% 12,17% 1,88% 10,01% 2,46% 5,80% Large only Buy 2,84% 11,27% 2,49% 8,08% 4,16% 4,42% Mid had Buy 4,11% 8,25% 0,16% 4,07% 1,01% 6,23% Mid last Buy 6,80% 10,37% 5,32% 6,30% 4,10% 7,91% Mid only Buy 5,74% 5,36% 2,11% 9,53% 5,52% 7,44% Small had Buy 18,71% 28,14% 7,74% 9,16% 2,86% 5,15% Small last Buy 18,13% 31,87% 11,84% 10,04% 6,65% 7,08% Small only Buy 23,38% 33,04% 11,98% 10,37% 9,32% 6,62% Large had Sell -8,57% -0,22% -4,78% 1,86% -4,36% 5,62% Large last Sell -10,83% -2,96% -7,56% -0,64% -5,57% 4,47% Large only Sell -1,96% 3,51% -7,00% -3,02% -5,74% -1,83% Mid had Sell -9,66% -17,12% -3,39% -5,09% -3,63% -1,99% Mid last Sell -9,65% -18,22% -7,51% -7,75% -4,44% -7,23% Mid only Sell -12,55% -21,19% -3,91% -8,01% -5,24% -9,21% Small had Sell -17,05% -17,50% -7,83% -14,30% -8,12% -6,75% Small last Sell -14,55% -13,41% -11,50% -15,71% -11,44% -10,86% Small only Sell -19,48% -10,84% -13,39% -19,12% -13,68% -13,13% Portfolio Small insider Buy signals outperform larger ones Time horizon inversely related to portfolio outperformance Sell signals strength is inconsistent Small Large cap Sell signals are weaker than larger ones 15

16 35.00% 30.00% 25.00% 20.00% 15.00% Insider Signals with Value < SEK 1 month Buy 3 month BUY 6 month BUY 14.00% 10.00% 12.00% 9.00% 8.00% 10.00% 7.00% 8.00% 6.00% 5.00% 6.00% 4.00% 10.00% 5.00% 0.00% 4.00% 2.00% 0.00% 3.00% 2.00% 1.00% 0.00% 1 month Above 80 1 month Under 80 3m Above 80 3m Under 80 6m Above 80 6m Under 80 Buy portfolios are consistently better when signal value < SEK Small transactions do not attract regulator attention? 16

17 Insider Signals with Value < SEK 1 month SELL 3 month SELL 6 month SELL 3.00% 3.00% 3.00% -2.00% -2.00% -2.00% -7.00% -7.00% -7.00% % % % % % % % % % 1 month Above 80 1 month Under 80 3m Above 80 3m Under 80 6m Above 80 6m Under 80 No clear pattern in Sell portfolios Signals with transaction value < SEK are stronger only in 1 & 3 month Midcap portfolios 17

18 Change of Holding Analysis Every transaction discloses Transaction amount Holdings after transaction Connection between change of holding and signal strength 18

19 Change of Holding in Sales Signals when more than 50% of holdings are sold Significant for all market cap segment Significant for all portfolio strategies Significant for all holding periods Sample with transaction values above NOK 19

20 Insider Portfolios: Relative Performance Compared to Our In-house Benchmarks Comparing Under and Above 50 % change in holding for Swedish signals Continuation of first study, where signals value > 80 ksek Strong Sell Signals when more than 50% of assets are sold 1 month Portfolio All Signals 50%- 50%+ Large Buy 0,65-1,98 0,98 Large Last Buy 3,13-2,79 7,63 Large Only Buy 2,84-2,13 5,90 Mid Buy 4,11 2,15 4,34 Mid Last Buy 6,80 6,16-1,65 Mid Only Buy 5,74 4,74-5,18 Small Buy 18,71 22,98 17,90 Small Last Buy 18,13 23,34 10,27 Small Only Buy 23,38 23,20 18,38 Large Sell -8,57-6,27-13,02 Large Last Sell -10,83-3,66-14,96 Large Only Sell -1,96-2,68-14,15 Mid Sell -9,66-10,56-10,44 Mid Last Sell -9,65-10,95-14,51 Mid Only Sell -12,55-9,40-18,52 Small Sell -17,05-11,99-21,21 Small Last Sell -14,55-11,60-18,35 Small Only Sell -19,48-15,24-24,64 3 months 6 months Portfolio All Signals 50%- 50%+ Portfolio All Signals 50%- 50%+ Large Buy 0,77-1,31 1,85 Large Buy 1,28 0,63 0,42 Large Last Buy 1,88-1,20 4,68 Large Last Buy 2,46 1,10 1,63 Large Only Buy 2,49-0,96 4,34 Large Only Buy 4,16 0,41 2,99 Mid Buy 0,16-0,53-5,13 Mid Buy 1,01-2,40-0,99 Mid Last Buy 5,32 4,11-1,82 Mid Last Buy 4,10 1,32 1,16 Mid Only Buy 2,11 1,70 1,93 Mid Only Buy 5,52 0,04 8,68 Small Buy 7,74 9,25 8,72 Small Buy 2,86 7,38 3,80 Small Last Buy 11,84 9,03 9,65 Small Last Buy 6,65 6,85 6,17 Small Only Buy 11,98 8,88 15,20 Small Only Buy 9,32 8,04 10,13 Large Sell -4,78-5,34-7,58 Large Sell -4,36-3,45-6,14 Large Last Sell -7,56-6,61-10,16 Large Last Sell -5,57-5,00-7,81 Large Only Sell -7,00-7,11-10,35 Large Only Sell -5,74-6,94-9,08 Mid Sell -3,39-4,78-13,10 Mid Sell -3,63-4,06-11,08 Mid Last Sell -7,51-7,96-11,58 Mid Last Sell -4,44-7,19-8,05 Mid Only Sell -3,91-3,70-13,38 Mid Only Sell -5,24-6,40-6,40 Small Sell -7,83-6,67-10,72 Small Sell -8,12-7,72-9,58 Small Last Sell -11,50-8,17-12,31 Small Last Sell -11,44-8,86-12,52 Small Only Sell -13,39-10,95-15,99 Small Only Sell -13,68-15,98-14,

21 Over performance with Sale of ±50% Holdings For Signals with tr. Value > 80kSEK 1 month Sell strategies 3 month Sell strategies 6 month Sell strategies %- 50% %- 50%+ 50%- 50%+ 21

22 Change of Holding in Purchases No clear pattern in signals when more than 50% of holdings are bought Positive for all Largecap portfolios with a holding period of 1 & 3 months Sample with transaction values above NOK 22

23 Overperformance with Purchase of ±50% Holdings month Buyl strategies 50%- 50% month Buy strategies 50%- 50% month Buy strategies 50%- 50%+ 23

24 Summary of Insider Trades Sweden insider transactions from 2001 to Norway insider transactions from 2009 to Two change of holding groups < 50% / 50% Three portfolio strategies Had / Only / Last Three holding periods 1 / 3 / 6 months Three market cap segments Large / Mid / Small Three transaction value groups < < < < Slide 24

25 Main Findings Signal strength Small Caps Mid Caps Large Caps Insider effect fades away with longer holding horizon Sell signals are stronger than Buy signals Publication day effect Buy signals are stronger when signal Value < SEK Sell signals are stronger when more than 50% of holdings are sold Stop-loss & profit taking doesn t lead to better results Ongoing research Signal strength and insider position in the company Insider trading and company reporting 25

26 Time to Discuss! Stig R. Myrseth