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by Maz Jadallah

The leaderboard makes it easy to rank our entire clone universe based on criteria you define. Want the best performing single fund clones over a five year period based on sharpe ratio? It takes seconds to get at that list.

Since we've just rebalanced our clones we thought it would be interesting to see which fund group clones have performed the best year to date. You can see from the list below that consumer cyclical stocks have been a good place to invest this year, especially if they happen to be popular amongst top investors. Four of the five top performing fund group clones so far this year are "popularity clones" from our Sector Picks: Consumer Cyclical fund group. Granted three of the five clones have less than five holdings in any given quarter but one of them holds up to ten stocks and has returned nearly 100%. Which stocks have these clones owned through out the year? Amongst others, they include Goodyear Timer (NASDAQ:GT), Coach Inc (NYSE:COH) and Interface Inc. (IFSIA) all of which have had stellar performance this year.

Fund Group
Clone Strategy
YTD Return (total)
Sector Picks: Consumer Cyclical
Top 3 Popularity
136.2%
Sector Picks: Consumer Cyclical
Top 1 Popularity
123.8%
Sector Picks: Consumer Cyclical
Top 5 Popularity
112.1%
Sector Picks: Consumer Cyclical
Top 10 Popularity
96.1%
Cap Picks: Less than $500 million
Top 1 Popularity
92.0%

We display the performance of the holding clone at the top of our leaderboard largely because we think it is a good representative clone of the collective intelligence amongst our entire hedge fund universe. The clone invests in the top holding disclosed by each hedge fund in our database quarterly. The clone variant we show is hedged 50% using a simple S&P500 short (i.e. the clone is 100% long and 50% short). In a nutshell we think this clone is a good "index" of our cloning strategy against the broader market which (in our humble opinion) makes it a good ETF candidate. Here's how the clone has performed - note it's outperformed the market YTD despite being hedged 50%:

Returns
Clone
S&P�500
1m (total)
1.50%
5.30%
3m (total)
7.50%
16.30%
6m (total)
23.20%
39.70%
YTD (total)
17.80%
11.00%
1y (ann.)
4.60%
-24.10%
3y (ann.)
9.70%
-7.00%
5y (ann.)
9.70%
-0.10%
Since 2000 (ann.)
6.20%
-2.20%

The five most bought/sold stocks across our entire fund universe are listed below. On the bullish side, Bank of America (NYSE:BAC) took the prize as the most bought stock with 55 funds establishing new positions and another 150 funds increasing their existing positions. In aggregate, top investor market value in BAC has increased more than three fold quarter over quarter. On the sell side, Rohm & Haas (ROH), Vnus Medical (VNUS) and CV Therapeutics were all delisted as a result of corporate actions (mergers, acquisitions, etc.).

MOST BOUGHT
Symbol
# Funds
BANK OF AMERICA
(BAC)
55
TYCO INTERNATIONAL LTD
(NYSE:TYC)
45
NOBLE CORPORATION BAAR
(NYSE:NE)
44
TIME WARNER INC
(NYSE:TWX)
40
MYRIAD PHARMACUETICALS
MYRX
40
MOST SOLD
Symbol
# Funds
ROHM & HAAS
DELISTED
45
VNUS MEDICAL
DELISTED
30
CV THERAPEUTICS
DELISTED
30
MOTORS LIQUIDATING
29
TYCO ELECTRONICS LTD
(NYSE:TEL)
26

Top five capitalization size categories were also unchanged on a quarter over quarter basis. Top investors still favor mid cap stocks over other equity capitalization categories but there has been a definite trend towards blue chips versus a year ago. Our largest cap size category (>$50 billion) was ranked fifth in Q2 2008, it's now ranked second:


Q2 09
Q1 09

Q2 08
$1 billion to $5 billion
30.4%
30.8%
$1 billion to $5 billion
35.6%
Greater than $50 billion
23.6%
22.8%
$10 billion to $20 billion
17.0%
$20 billion to $50 billion
17.0%
17.2%
$20 billion to $50 billion
16.4%
$10 billion to $20 billion
15.8%
16.4%
Less than $500 million
15.9%
$5 billion to $10 billion
13.1%
12.7%
Greater than $50 billion
15.1%

Top five sectors by aggregate market value as a percent of total disclosed market values are unchanged quarter of quarter. Year over year the story is a bit different; Services is still the top sector but the Financials and Technology sectors have swapped the number two and three positions while Healthcare and Energy have swapped positions four and five.

Q2 09
Q1 09

Q2 08
Services
28.7%
28.0%
Services
30.0%
Financial
25.7%
26.5%
Technology
21.3%
Technology
20.6%
20.1%
Financial
20.9%
Healthcare
14.8%
14.8%
Energy
17.5%
Energy
10.2%
10.7%
Healthcare
10.3%

Source: Hedge Fund Clones: Q2 2009 Rebalance Update