AlphaClone

January 2012 Monthly Performance

The markets began the year with their best start since 1989 fueled by relatively positive economic news in the US and China and the belief that Europe's continued economic crisis is now at least well understood and perhaps even contained.  The S&P 500 increased by 4.5% in January while the Russell 2000 gained 7.1%. 

Our dyanamically hedged strategies entered the year while maintaining their "risk off" postures throughtout January.  With the broader market indices closing above their 200 day moving averages at the end of the month, all dynamically hedged strategies reverted to their long "risk on" postures beginning February 1st.  Our long only strategies all performed in line or better than their respective long only benchmarks. 

Highlights

• AlphaClone Select Long/Short Composite | +1.6% MTD vs. +3.2% for the DJCS Core Equity Long/Short Index

• AlphaClone Momentum Long/Short Composite | +3.6% MTD vs. +3.2% for the DJCS Core Equity Long/Short Index

• AlphaClone International Long/Short Composite | +2% MTD vs. +1.8% for the DJCS Core Emerging Market Index

• ETF Ideas Long Composite | +9.2% MTD vs. 7.1% for the MSCI World Index

• Value Masters Long Composite | +4.7% MTD vs. 4.5% for the S&P 500 Index (including dividends)

• Activist Masters Long Composite | +4.5% MTD vs. 4.5% for the S&P 500 Index (including dividends)

Click the link below to download performance results for our core investment strategies as of the end of January 2012.  Our investment strategies are available to individual investors through our investment accounts service. Our online application makes it easy to sign up.

 

 

 

 

 

 

IMPORTANT DISCLOSURES FOR ACTUAL PERFORMANCE RESULTS
Actual performance figures are unaudited estimates generated by AlphaClone, LLC, and are subject to modification.  Performance is in U.S. dollars, includes the reinvestment of dividends and is net of trading expenses and management fees (1.5% per year combined). Past performance is not a guarantee of future returns. AlphaClone Core Strategies seek capital appreciation as their investment objective.  This communication does not constitute an offer or a solicitation to invest with AlphaClone, LLC. Index comparison returns are shown with dividends reinvested were available.

Our Convictions Tested: 2011 Year End Review

The year put our convictions to the test on both the long and short sides.  How did we do? Download our year end review and perofrmance report.

AlphaClone Monthly Performance - November 2011

There and Back Again

A last minute rally helped save the market from giving up most of the gains it earned in October.  Continued concerns over Europe's ability to pull back from the brink drove the S&P 500 to a loss of 7.6% through November 25. Just as everyone had written off the month, investors reacted to better than expected economic data in the US by staging one of the strongest rallies since March 2009, pushing the index up 88 points in just 3 days between November 28 and 30.  The S&P500 ended slightly down for the month (-0.22%) while the Russell 2000 after being off 10% for the month also came back to close down -0.36% for the month.

 

December 9 to 11 are key dates as European heads of state and finance ministers will be meeting to hammer out (hopefully) a solution that resonates with the world that's watching.  Chancellor Merkel's insistance at charter-level revisions that call for tighter European fiscal integration sounds a lot like a firefighter insisting on drilling a water well in the middle of a raging inferno.   None the less, despite the improving economic picture in the US, the market's end of year fate rests in the hands of the Chancellor and President Sarkozy and as has been all too real recently, we know it can go either way.

 

November saw both long/short and long only strategies hold their own relative to their benchmarks altough the recent volatility levels render short term relative return comparisons meaningless.  Long/short strategies remain hedged for the month of December and since they assumed their "risk off" posture in September have managed overall volatility well.  Looking at monthly strandard deviations, AlphaClone Select and AlphaClone Momentum were four times less volatile than the S&P500TR while AlphaClone International was ten times less volatile than the BNY ADR Composite.     

Long Only (actual, net of fees*)

• AlphaClone Activist Masters: 6.7 YTD vs. 1.1% S&P 500TR
• AlphaClone ETF Ideas: -0.5% YTD vs. -2.6% MSCI World Index
• AlphaClone Value Masters: -5.3% YTD vs. 1.1% S&P 500TR

Long/Short (actual, net of fees*)

• AlphaClone Select: -5.9 YTD vs. 1.1% S&P 500TR
• AlphaClone Momentum: -7.2% YTD vs. -4.8% Russell 2000
• AlphaClone International: -7.0% YTD vs. -10.1% BNY ADR Comp.

Our investment strategies are available to individual investors through our investment accounts service. Our online application makes it easy to sign up.  Click the link below to download actual and back-tested performance results for our core investment strategies as of the end of November 2011. (download November 2011 .pdf)

Clone vs. Fund: 2010

Hedge fund 2010 performance number are out. Hedge Fund Research reports that hedge funds underperformed in 2010 returning 10.5% on average vs. 15% for the S&P500. The performance seems to indicate a rather bearish stance on the part of manager's despite a market that put up double digit returns on the year.

Also from the blogosphere, the folks at Market Folly recently reported on the 2010 returns of several hedge funds. As always we can't help but compare the performance of the funds (net) to their underlying clones (gross, equal weighted).

 

Greenlight Capital (David Einhorn):

Fund: +12.5%

Top 10 Holdings clone: +21.3%

Best 10 Ideas clone: +19.3%

 

Pershing Square Capital (Bill Ackman):

Fund: 29.7%

Top 10 Holdings clone: +25.9%

Top 10 Holdings clone (2009): +121%

Best 10 Ideas clone: +26.3%

 

Paulson & Co (John Paulson):

Advantage Fund: +11%

Recovery Fund: +24%

Top 10 Holdings clone: +19.4%

Best 10 Ideas clone: +20.3%

 

Bridgewater Associates (Ray Dalio):

Fund: +38%

Top 10 Holdings clone: +24.9%

Best 10 Ideas clone: +24.7%

 

Renaissance Technologies (Jim Simmons):

Medallion Fund: +30%

Top 10 Holdings clone: +21.6%

Best 10 Ideas clone: +4.2%

 

Millennium Management:

Fund: +13.3%

Top 10 Holdings clone: +15.7%

Best 10 Ideas clone: +8.1%

 

SAC Capital (Steve Cohn):

Fund: +15%

Top 10 Holdings clone: +20.3%

Best 10 Ideas: +15.1%

 

Tudor Investment Corp (Paul Tudor Jones):

Medallion Fund: +7.5%

Top 10 Holdings clone: +10.8%

Best 10 Ideas clone: +18.3%

 

Glenview Capital (Larry Robbins):

Fund: +15.3%

Top 10 Holdings clone: +8.4%

Best 10 Ideas clone: +14.2%

 

Moore Capital (Louis Bacon):

Fund: +3%.

Top 10 Holdings clone: +16.6%

Best 10 Ideas clone: +19.3%

 

AQR Capital (Cliff Asness):

Fund: +27.3%

Top 10 Holdings clone: +12%

Best 10 Ideas clone: +17.8%

 

Third Point (Dan Loeb):

Fund: +34%

Top 10 Holdings clone: +25.8%

Best 10 Ideas clone: +32.3%

 

JANA Partners (Barry Rosenstein):

Fund: +8.4%

Top 10 Holdings clone: +30.7%

Best 10 Ideas clone: +22.2%

 

Passport Capital (John Burbank):

Fund: +18.3%

Top 10 Holdings clone: +25.9%

Best 10 Ideas clone: +22.6%

 

Och-Ziff (Daniel Och):

Master Fund: +8.44%.

Special Investments Fund: +13.2%

Top 10 Holdings clone: +9.2%

Best 10 Ideas clone: +22%

 

Perry Capital (Richard Perry):

Fund: +14.6%

Top 10 Holdings clone: +28.4%

Best 10 Ideas clone: +19.7%

 

Performance results for the clones are very much in line with and sometimes better than the actual performance of the fund. In fact, the ten best performing Top 10 Holdings clones averaged a 51% backtested return in 2010 , more than 3x the S&P500 (see list below):

2010 Performance: Top 10 Holdings Clone 

1.  Pabrai Mohnish: +69.7%

2.  Noonday Asset Management: +58.9%

3.  Baupost Group: +54.6%  

4.  Pamet Capital (Abrams): +53.6%  

5.  Fine Capital: +51.9% 

6.  Symphony Asset Management: +50.9% 

7.  Steel Partners: +49.2%  

8.  Goldentree Asset Management: +46.9%  

9.  Silver Point Capital: +46.1%  

10. Select Equity Group: +43.8%

 

You can access these and and many more backtested clone strategies on our research platform. If you are looking for a managed investment solution that applies our best research, our investment account service allows investors to access proprietary investment strategies not available on our research platform. Financial advisors interested in accessing the strategy can contact us directly.

Clone vs. Fund: Glenview Capital

The folks at Dealbreaker have posted 2010 gross and net performance results for Larry Robbins' Glenview Capital.  As has become strandard practice, we like to compare the performance of the fund's clones to it's actual results.  According to Dealbreaker the fund returned 16.6% gross and 15.4% net.  By comparison, the fund's Top 10 Holdings clone returned 12.8% while it's 10 Best Ideas clone returned 14.3%.