A few weeks ago I wrote
about the degree
of out-performance observed in our backtests across our clone
universe. The analysis showed that on
average a third of our clone universe outperformed the S&P500 by 10% or
more in any given year between 2000 and 2008.
We thought it would also be interesting to look at how consensus picks amongst AlphaClone’s hedge fund universe performed over time on a sector by sector basis. We call our consensus strategy “Popularity” and to perform the analysis I simply looked at the Top 10 Popularity strategy for each of our “Sector Picks” fund groups. To be clear our “Sector Picks” fund groups is made up of every hedge fund in AlphaClone’s fund universe (about 140 funds of the total 230 or so funds we track) screened for stock ideas from one specific industry sector only. The groups are already created and can be found on AlphaClone’s Fund Group page here.
Below is a table that summarizes each clone portfolio’s annualized performance since 2000 for each of AlphaClone’s twelve Sector Picks Fund Groups. To make sure we’re comparing apples to apples, each clone portfolio is long-only and is compared against the corresponding S&P500 sector index.
Avg. Annualized Returns Since 2000 (as of 2/27/09)
|
Sector |
Clone |
Benchmark |
+/- |
|
Materials |
9.2 |
-3.2 |
12.4 |
|
Non Cyclical |
12.7 |
0.4 |
12.3 |
|
Capital Goods |
4.3 |
-7.3 |
11.6 |
|
Financial |
-0.7 |
-11.4 |
10.7 |
|
Services |
-5.4 |
-12.2 |
6.8 |
|
Energy |
11.9 |
5.2 |
6.7 |
|
Transportation |
4.6 |
-0.7 |
5.3 |
|
Utilities |
3.5 |
-0.9 |
4.4 |
|
Conglomerates |
-10.8 |
-15.0 |
4.2 |
|
Technology |
-9.7 |
-13.7 |
4.0 |
|
Healthcare |
-1.0 |
-2.2 |
1.2 |
|
Cyclical |
-8.7 |
-7.8 |
-0.9 |
A couple things are
interesting to note:
- 11 of 12 clones beat their corresponding benchmark
- 7
of 12 clones beat by 5% or more annualized
- 4
of 12 clones beat by 10% or more annualized
- The
clones beat no matter if the benchmark index had a positive or negative
performance result
But so what, you might ask? What about now, in this market, in this environment? How does this help me today? Well we took the top 5 sector allocations across AlphaClone's ENTIRE fund universe (taken from our Leaderboard) and looked at the YTD performance for the same Fund Groups (Sector Picks) and same strategy (Top 10 Popularity). The table below summarizes YTD Total Returns for all Sector Pick: Top 10 Popularity clones with the Top 5 Sectors in bold italic. The analysis shows that on average the clones are beating their corresponding sector index by 7.1% YTD.
Total Returns YTD (as of 2/27/09)
|
Sector |
Clone |
Bench-mark |
+/- |
|
Materials |
-2.4 |
-15.4 |
13.0 |
|
Non Cyclical |
-12.3 |
-14.3 |
2.0 |
|
Capital Goods |
-19.0 |
-29.7 |
10.7 |
|
Financial |
-24.3 |
-40.0 |
15.7 |
|
Services |
-8.7 |
-13.6 |
4.9 |
|
Energy |
-8.0 |
-15.2 |
7.2 |
|
Transportation |
-28.2 |
-26.0 |
-2.2 |
|
Uilities |
-20.9 |
-13.7 |
-7.2 |
|
Conglomerages |
-37.6 |
-41.1 |
3.5 |
|
Technology |
-4.0 |
-7.2 |
3.2 |
|
Healthcare |
-9.4 |
-14.0 |
4.6 |
|
Cyclical |
-16.6 |
-18.4 |
1.8 |
|
Avg. Top 5 Sectors |
-10.9 |
-18.0 |
7.1 |
What’s also interesting about the outperformance results above is that they are based on the consensus picks across ALL hedge funds in AlphaClone’s universe – a rather broad stroke. Is it possible to get ever better results when one is much more selective as to which funds to include in a Fund Group? For example what if we only included funds that have a known healthcare focus and screened that group for their healthcare stock ideas only? AlphaClone’s “Create a Fund Group” feature allows full members to answer that question instantly and many like it. The only limitation is the member’s imagination.
