AlphaClone 13F ETF Up 10% YTDGuest Post
AlphaClone Alternative Alpha ETF (ALFA) factsheet for the month ended July 31, 2018.
Index Investment Style Exposure
The AlphaClone Hedge Fund Masters index selects 13F-HR filings from ten managers twice annually from which it then constructs its portfolio. Index constituents are rebalanced quarterly and comprise the 5 largest disclosed holdings by quarter end market value from each manager’s 13F-HR filing.
The objective of the AlphaClone Alternative Alpha ETF (ALFA) is to track the AlphaClone Hedge Fund Masters Index before fees and expenses.
Access to Hedge Fund Alpha Potential
Most investors can’t conveniently access established hedge funds and the alpha potential from their investment ideas. However, hedge funds managing $100 million or more must disclose their US publicly traded equity holdings on a form called 13F-HR which is filed quarterly and made available to the public. AlphaClone is a leader in researching managers based on their disclosures and has developed the AlphaClone Hedge Fund Masters Index. The index uses AlphaClone’s proprietary “Clone Score” methodology to aggregate on a quarterly basis the ideas of hedge funds for which historically it has made the most sense to follow based on their disclosures.
Key Index Attributes
Clone Score – a proprietary scoring method that measures the efficacy of following a manager based on their public disclosures. AlphaClone’s clone score for each manager is based on the monthly returns in excess of a broad market index and fixed hurdle rate exhibited by the manager’s follow strategies over time. Clone scores are recalculated bi-annually.
Weighting method – Index constituents are equal weighted at each quarterly reconstitution.