Commentary (UPDATED: 3/22/2010)
The AlphaClone Most Concentrated TOP10 Popularity Clone invests in the most popular stock ideas amongst fund managers with very concentrated positions. The clone's 12 month performance is on par with the market returning 37.3% vs. 44% for the S&P500TR index. The clone has performed consistently better than the broader market over the medium and long term (see table below).
The clone's current portfolio is overwieghted the financial sector (4 holdings) with the remaining six holdings distributed across the services (2 holdings), technology (2 holdings), pharameutical (1 holding) and consumer non-cyclical sectors (1 holding). Since last rebalance on 2/19/2010, the clone has been served well by holding YUM Brands [YUM] which is up 12% since rebalance, Wells Fargo [WFC], up 11% since rebalance and Apple Inc [AAPL], up 10.2% since last rebalacne. The clone's next rebalance date is on 5/21/2010.
Investment Objective
The AlphaClone Most Concentrated TOP10 Popularity Clone was developed for investors seeking aggressive long term capital appreciation potential.
The clone's long only variant will exhibit similar risk and volatility as the broader stock market while its hedged variants will exhibit less overall volatility, less downside risk exposure during bear markets and less returns during bull markets.
Strategy
The clone seeks to invest quarterly in the ten most popular (widely held) stocks that are also ranked as a top 20 holding amongst a group of 25 fund managers selected from AlphaClone's hedge fund universe.
Group Description
The group combines 25 hedge funds from AlphaClone's fund universe that have the highest disclosed market value spread across the smallest number of positions (i.e. most concentrated). The funds that make up the group are dynamic in that they change each quarter.
General Stats
- Update frequency: quarterly, last rebalance on 2/19/2010
- Turnover in group disclosures: 34% (avg. last four quarters)
- Clone Turnover: 45% (avg. last four quarters)
- No. of clone holdings: up to 10
Yearly Returns (as of 5/9/2010)
| Year | Long | 100/50 | Mkt Neutral | SP500 |
| 2000 | -9.6% | -6.5% | -3.9% | -8.2% |
| 2001 | 13.8% | 20.8% | 27.1% | -11.9% |
| 2002 | -20.2% | -9.9% | 0.6% | -22.1% |
| 2003 | 59.5% | 41.1% | 24.4% | 28.7% |
| 2004 | 27.7% | 21.4% | 15.3% | 10.9% |
| 2005 | 20.3% | 17.5% | 14.6% | 4.9% |
| 2006 | 14.4% | 6.5% | -1.0% | 15.8% |
| 2007 | 32.2% | 29.2% | 25.8% | 5.5% |
| 2008 | -40.4% | -23.6% | -3.7% | -37.0% |
| 2009 | 43.5% | 27.3% | 11.6% | 26.5% |
| 2010 | 5.1% | 5.2% | 5.1% | 0.3% |
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