AlphaClone Index vs Peers Report – Q2 2019 – ValueWalk Premium
AlphaClone Index

AlphaClone Index vs Peers Report – Q2 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 June 30, 2019.

Q2 hedge fund letters, conference, scoops etc

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.

Performance

ALFMIX consistently outperforms its peers as well as the overall market and large growth stocks over the YTD, 1 Year and 18 month periods.

AlphaClone Index

AlphaClone Index vs Peers – Q2 2019

Sector Allocation

AlphaClone’s Index performance is particularly of note in that its portfolio is more defensive than the Russell 1000 Growth Index with slightly lower allocations to technology and cyclical stocks and significantly higher allocations to defensive and financial stocks. (Source: Morningstar)

AlphaClone Index

Holdings Overlap (by Weight)

Finally, AlphaClone’s index performance has been driven by unique names. This is evident when looking at the degree of overlap between the index and its peers as well as with the overall market/category. (Source: ETF Research Center)

AlphaClone Index

AlphaClone Index

AlphaClone Index

AlphaClone Index

AlphaClone Index | Top 5 Realized Gains (Dec 2017 to June 2019)

While security selection within the healthcare sector has dominated the top five gains, overall and over the analysis period, the index has had a 56% win rate with 48 of 85 deletions registering gains. The Services sector, which includes consumer cyclicals, communication services and industrials, saw the most winners with 15 of 48, while the Technology sector saw the next highest win rate with 10 of 48. Healthcare came in third place with 8 winners.

 

LOXO Oncology +247.74%
AtriCure +88.77%
XPO Logistics +83.73%
Health Insurance Innovations +64.37%
BioTelemetry +63.58%

Article by AlphaClone


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