AlphaClone

Rebalance Update: Top Five Fund Group Clones (YTD)

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 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 (GT), Coach Inc (COH) and Interface Inc. (IFSIA) all of which have had stellar performance this year.

Rebalance Update: Q2 '09 Hedge Fund Index Top Holding Clone

We display the performance of this 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%

Rebalance Update: Q2 '09 Most Bought/Sold Stocks

The five most bought/sold stocks across our entire fund universe are listed below. On the bullish side, Bank of America (BAC) took the prize as 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 & Hass, Vnus Medical and CV Therapeutics were all delisted as a result of corporate actions (mergers, acquisitions, exc.).

MOST BOUGHT Symbol # Funds 

1. BANK OF AMERICA BAC 55 
   
2. TYCO INTERNATIONAL LTD TYC 45 
   
3. NOBLE CORPORATION BAAR NE 44 
   
4. TIME WARNER INC TWX 40 
   
5. MYRIAD PHARMACUETICALS MYRX 40 
   

MOST SOLD Symbol # Funds 

1. ROHM & HASS DELISTED 45 
   
2. VNUS MEDICAL DELISTED 30 
   
3. CV THERAPEUTICS DELISTED 30 
   
4. MOTORS LIQUIDATING MTLQQ 29 
   
5. TYCO ELECTRONICS LTD TEL 26
   

 

Rebalance Update: Q2 '09 Cap Size Category Allocations

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
$1B TO 5B	30.40%	30.80%		$1B TO 5B	35.60%
>$50B	23.60%	22.80%		$10B TO 20B	17.00%
$20B TO 50B	17.00%	17.20%		$20B TO 50B	16.40%
$10B TO 20B	15.80%	16.40%		<$500M	15.90%
$5B TO 10B	13.10%	12.70%		>$50B	15.10%

Rebalance Update: Q2 '09 Sector Allocations

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	28.70%	28.00%		Services	30.00%
Financial	25.70%	26.50%		Technology	21.30%
Technology	20.60%	20.10%		Financial	20.90%
Healthcare	14.80%	14.80%		Energy	17.50%
Energy	10.20%	10.70%		Healthcare	10.30%