AlphaClone

Renaming the Rebalance Method on Popularity Fund Clones

Yes Albert, we track their public filings and then derive our clone portfolios from them for a single manager or groups of managers. All our backtests assume investment post disclosure each quarter. You can read learn more about what we do on our site alphaclone.com.

Buying Hedge Funds vs. Cloning Them

Thanks for the great article Cam and for the mention. We'll take the "half brother" monicer as you are accurate that we can not mimic a hedge fund managers exact strategy using public disclosure documents only. Our goal is to simply create portfolios that deliver "alpha" for investors - not necessarily the "same alpha" delivered by the underlying manager(s). This is particualry true for our fund group clones where the clone is derived from more than one fund. Super article.

Picking a Portfolio with Annualized Returns over 10% Since 2000

old trader,

Great question. Both portfolios had lower max drawdowns than the S&P 500 Total Return Index. Since 2000, the Concentrated Funds Top 10 Popularity clone had a max drawdown of -44.1%, the Tiger Cubs Top 10 Popularity clone had a max drawdown of -47.4% and the S&P500 Total Return Index had a max drawdown of -50.9%. If you are concerned about volatility AlphaClone lets you view several hedged versions on any clone.

Top 2009 Fund of Funds

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.