by Maz Jadallah
As of December 31, 2019
We look at the AlphaClone Hedge Fund Master Index (ALFMIX or “AlphaClone Index”) and compare it against several peer 13F index strategies as well as the overall market. Our analysis period is as of the first full month the index’s calculation agent (Solactive) began calculating the index, December 1, 2017, through December 31, 2019.
The AlphaClone Index seeks to identify and access investment managers with high alpha potential by analyzing their regulatory holdings disclosures (Form 13F-HR). Other indexes use the same 13F dataset but construct their indexes very differently and, as you will see below, generate very different results.
For example, the Goldman Sachs Hedge Industry VIP index seeks to access the 50 holdings that are most popular amongst hedge fund managers’ largest disclosed positions. As such, it yields a very different portfolio with only a 25% overlap by weight with AlphaClone’s index (see graphs below).
As always, before considering an index, please make sure to review each index’s methodology document to understand how it is constructed.
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The AlphaClone Hedge Fund Masters Index (ALFMIX) is an index of high conviction equity holdings derived from hedge fund public disclosures and selected by AlphaClone. ALFMIX was launched on August 25, 2017 and is calculated by Solactive. The Solactive Guru Index (GURU Index) tracks the price movements of the top equity holdings of a select group of hedge funds based on the quarterly regulatory filings reported to the SEC. The Index is calculated as a total return index in USD and weighted equally. The Goldman Sachs Hedge Fund VIP Index (GVIP Index) consists of hedge fund managers’ “Very-Important-Positions,” or the US-listed stocks whose performance is expected to influence the long portfolios of hedge funds. Those stocks are defined as the positions that appear most frequently among the top 10 long equity holdings within the portfolios of fundamentally-driven hedge fund managers. The Index is rebalanced on a quarterly basis to reflect changes in reported hedge fund manager holdings. The Russell 1000 Growth Index is an index composed of large- and mid-capitalization U.S. equities that exhibit growth characteristics. The S&P 500 Index is an index of large capitalization US equities. It is not possible to invest in an index.