Top 2009 Fund of Funds

by Maz Jadallah

Three fund-of-fund portfolios are outperforming the S&P 500 Total Return Index by the widest margin year-to-date. All performance numbers are as of the 1/26/09 market close.

CAP PICKS: $20bn TO $50bn - TOP ONE POPULARITY

Holds the most popular large cap stock amongst all hedge funds in AlphaClone’s database each quarter.

Fund Group	Clone Strategy	No of Positions (current)	Long Only/Hedged
Cap Picks; $20bn to $50bn	Top 1 Popularity	1	Long Only
Performance	YTD	S&P 500TR	+/-
Total Return	25%	-7.3%	32.3%
Max Drawdown	-4.2%	-7.7%	3.5%

SECTOR PICKS: ENERGY – TOP ONE POPULARITY

Holds the most popular Energy stock amongst all hedge funds in AlphaClone’s database each quarter.

Fund Group	Clone Strategy	No of Positions (current)	Long Only/Hedged
Sector Picks: Energy	Top 1 Popularity	1	Long Only
Performance	YTD	S&P 500TR	+/-
Total Return	16%	-7.3%	23.3%
Max Drawdown	-9.7%	-7.7%	-2.0%

SECTOR PICKS: ENERGY – BEST 2 IDEAS

Buys the largest two NEW energy positions disclosed by hedge funds in AlphaClone’s database each quarter. Sells out of position when it no longer appears as a holding. Maximum number of positions for this strategy is 50.

Fund Group	Clone Strategy	No of Positions (current)	Long Only/Hedged
Sector Picks: Energy	Best 2 Ideas	50	Long Only
Performance	YTD	S&P 500TR	+/-
Total Return	7.3	-7.3%	14.6%
Max Drawdown	-10.9	-7.7%	-3.2%

Comments

[dsassyt@aol...:]

Can you explain the funds of funds in more dept?. I had trouble making sense of them from the illustrations. Where is such information publiished?

Jan 31 04:48 PM

[katec:]

My exact sentiments! Your illustrations were a bit difficult to follow!

Jan 31 05:01 PM

[AlphaClone:]

Here's a link to the original blog post where the illustrations are clearer:

blog.alphaclone.com/al...

In a nutshell each illustrations attempts to summarize key information about each clone. For example, in the last example above:

* The clone is based on the Best 2 Ideas amongst all hedge funds in AlphaClone's database filtered to include Energy Sector picks only.
* The clone buys the two largest new positions each quarter. Positions are sold when they no longer appear as a holding in SEC filings submitted by hedge fund managers in the group.
* The clone had 50 positions in the most recent quarter and is long only.
* The clone's return performance YTD is 7% compared to -7.3% for the S&P 500 Total Return Index.
* The clone's maximum drawdown YTD is -10.9% compared to -7.7% for the index.

Hope this helps.

Feb 06 09:50 AM