Alphaclone Unveils International Downside Hedged Index

Nov 2 2015 | 10:04pm ET

Hedge fund replication specialist Alphaclone has launched a new index designed to give investors access to the international investment ideas of the world’s most established hedge funds, while simultaneously hedging against protracted market downturns.

The AlphaClone International Downside Hedged Index follows the same proprietary “clone score” methodology used by AlphaClone’s flagship AlphaClone Hedge Fund Downside Hedged Index, which is tracked by approximately $170 million in assets and has returned an average of 14.35% annually over the three-year period ending 9/30/2015.

The firm plans to launch an ETF that will track the new index before the end of 2015. It will join the four launched by Alphaclone in July.

The AlphaClone International Downside Hedged Index comprises at least 40 high conviction ADR holdings selected from the 13F regulatory disclosures of the world’s most established institutional investors. Using the clone score approach, the company continuously ranks managers based on the efficacy of following their disclosures, then aggregates high conviction ADR holdings from the managers with the highest score. 

Holdings are weighted based on the number of holders in each. The index also employs an innovative dynamic hedge mechanism that allows the index to vary from long only to market hedged when the S&P 500 closes below its 200-day simple moving average at any month’s end.

“Having seen success with our methodology inside separately managed accounts over the past five years, we’re excited to further expand access to our innovative investment methodology,” said Maz Jadallah, CEO of AlphaClone. “We’re delighted to introduce an international version of our index, further expanding the number of alpha-seeking index strategies available to global investors.”

Based in San Francisco, AlphaClone was founded in 2008 by Jadallah and Mebane Faber. The company’s products are derived from institutional investor securities filings and other public disclosures, and structure the investment ideas of the world’s most established hedge funds into liquid, transparent, low-fee vehicles.

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