AlphaClone

10 Funds Most Impacted by JP Morgan Chase Inc. [JPM] Trading Losses

2012-05-14T15:10:06-07:00

JP Morgan Inc. [JPM] is off over 12% since last Thrusday's close. The firm's announced $2 billion trading loss from a hedge gone bad has already led to the departure of several top executives including their CIO. Here are ten funds who are also feeling the pain as they have disclosed the highest portfolio concentration in JPM.

Hedge Fund Herding Research Paper

2012-05-04T12:15:20-07:00

Rearders of our blog will recall evidence we've presented regarding the nature of "hedge fund herding". We have made the case that hedge fund crowding is not nearly as prevelant as the media and the blogosphere perceives.

Now a new academic paper entitled "Hedge Fund Herding: The Apologists’ Evidence" by Blerina Reca, Richard Sias, and H. J. Turtle arrives at the same conclusion. From the paper's abstract:

"The popular press and conventional wisdom holds that hedge funds trade excessively, engage in herding, and, as a result, destabilize markets. We examine hedge fund herding using a proprietary dataset that identifies hedge funds filing 13(f) reports. Hedge funds’ role in the market dramatically increases over time and hedge funds exhibit much higher turnover than other institutional investors. Inconsistent with common perceptions, however, hedge funds are less likely to herd or engage in momentum trading (a form of herding) than other non-hedge fund institutions. Moreover, inconsistent with the thesis that hedge funds following similar strategies produce “crowded” trades, hedge funds’ portfolios have much less overlap than non-hedge fund institutions’ portfolios. Last, although we find evidence that non-hedge fund institutions crowding into and out of the same stocks destabilizes prices, hedge funds trading together appears to drive price towards fundamental values."

See our 5 Myths About Cloning Hedge Funds presentation for more on common hedge fund misconceptions.

April 2012 Performance Report

2012-05-03T14:13:02-07:00

Highlights

With one exception all AlphaClone Core Strategies are performing in line or better than their benchmarks since inception.

Of note is the performance of Momentum Select, which despite being market neutral in 5 of 16 months since inception, has recovered fully against its long only benchmark and is again outperforming. The strategy has returned 10% since inception vs. 6.1% for the Russell 2000.

Similarly, AlphaClone Select continues to perform in line with the S&P500 on a YTD basis despite being market neutral in January 2012. As expected the strategy has out performed the index over the past 3 months since the strategy's hedge was removed: 9.8% vs. 7.1% for the index.

Our International strategy had a tough month in April and was down 6.3% for the month vs. -2.0% for the BNY Compansite ADR Index. The strategy was effected by exposure to foregin energy companies which, like foreign markets broadly, have sold off since the last rebalance date.

AlphaClone's long only strategies including Value Masters, Activist Masters and ETF Ideas continue to perform in line or better than their long only passive benchmarks.

Please click here to download performance results for our core investment strategies as of the end of April 2012.

SIgn up . Our investment strategies are available to individual investors through our investment accounts service. Our online application makes it easy.

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. Benchmark Composite returns combine the performance of a strategy's corresponding long only benchmark during months when the strategy is long only and the performance of the strategy's long/short benchmark during months with the strategy is hedged. All benchmark comparison returns are shown with dividends reinvested were available. ** Indicates strategy is risk managed.

Has the Smart Money Lost Its Edge?

2012-05-01T17:38:38-07:00

AlphaClone CEO, Maz Jadallah, discusses the recent under performance of hedge funds with Jeff Macke at Yahoo's Breakout video blog.

3 Key Factors to Cloning Hedge Funds

2012-04-30T20:48:09-07:00

AlphaClone CEO, Maz Jadallah, speaks to Jeff Macke at Yahoo's Breakout finance video blog about hedge funds and the keys to cloning them succesfully.