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% Market Value in Top 10

This measure tells you what percent of the total market value for all disclosed holdings is represented by the ten largest equity positions.

% Portfolio

The percent of a manager’s portfolio that is allocated to a particular holding.

ADRs

American Depository Receipts or ADRs are stocks of foreign companies that trade on US stock exchanges.

Alpha

This is a measure of the risk-adjusted performance of an investment portfolio. Alpha takes the volatility (price risk) of an investment portfolio and compares its risk-adjusted performance to a benchmark index. A positive alpha of 1.0 means the fund has outperformed its benchmark index by 1%. Correspondingly, a similar negative alpha would indicate an underperformance of 1%.

Annualized Return

This measure is the geometric mean growth rate of the value of a clone portfolio on an annualized basis. It represents the smoothed annualized gain earned over the investment period. All Annualized Return and Total Return figures are adjusted for stock and cash dividends and for the effects of stock splits.

Annualized Volatility

This measure yields the standard deviation of returns for a clone over a specific time period. Typically the higher the annualized volatility, the more risky the investment portfolio.

Average Turnover

Average Turnover measures what percent of a portfolio’s holdings are new on average over more than one quarter or over more than one fund for the same quarter.

Best Ideas (Clone Strategy)

The rules associated with this clone strategy are:
1. Buy manager(s) top “new buys” as determined by the market value of the holdings.
2. Limit clone portfolio to no more than 50 holdings selected first on the basis of whether they are a new buy and next based on the % Portfolio of the holding.
3. Sell when manager(s) reports holding as sell out
4. Sell if the number of shares held by a manager decreases by 50% or more from the original amount.

Beta

Measures the volatility, or systematic risk, of a security or a portfolio as compared to the overall stock market.

Clone

A clone is simply a portfolio of stocks created based on the stock ideas of one or more investment manager(s). The clone simulates investing in those stock ideas at the time they are made public thus factoring in the inherent time-delay associated with public filings – a process called “cloning”.

Clone Strategy

This is the core criteria that is used to select the stocks that make up a clone. Available clone strategies include Top Holding(s), Popularity and Best Ideas.

Correlation to Index

Correlation to Index is a statistical measure of how two portfolios change in relation to each other. The measure ranges between -1 and 1, where perfect positive correlation (1) implies that as the performance of one portfolio changes, either up or down, the other security will change in lockstep, in the same direction. Alternatively, perfect negative correlation (-1) means the performance of the two portfolio move in opposite directions by an equal amount. If the measure is 0, the movements of the portfolios are said to have no correlation; they are completely random

Current Clone Portfolio

The Current Clone Portfolio table lists a clone’s current holdings. You can view the clones past holdings by clicking on the Past Portfolios tab.

Dynamic Group

A fund group in which the funds that make up the group change every quarter based on subjective selection criteria (e.g., turnover, market value).

Equal Weighted

A portfolio weighting method where the performance of each holding in a clone is given the same weight as any other holding in the clone (e.g., a clone with 10 holdings allocates 10% weight to the performance of each holding). For “Top Holding” and “Best Ideas” clones in a fund group, if there are multiple instances of the same security in a portfolio, we treat each instance as a separate holding. See “Popularity Weighted” to learn how we weight Popularity clones.

Exchange Traded Fund (ETF)

A security that tracks a basket of stocks (e.g., S&P 500) or assets (e.g., commodities) just like a mutual fund but trades like a stock (e.g., the price of one share changes and is tradable though out the day).

Fund Group

A group of funds from which clones are then generated.

Hedge Fund

There is no statutory or regulatory definition of hedge fund, although many have several characteristics in common. Hedge funds are organized by professional investment managers who frequently have a significant stake in the funds they manage and receive a management fee that includes a substantial share of the performance of the fund.

Hedging

AlphaClone’s clone portfolio can be hedged against downside market risk by shorting the S&P 500 index. You can choose from several hedging levels. To learn more about how we hedge our clones please go to our FAQ section on cloning. The link is in the footer below.

Holdings

Equity positions disclosed by a fund manager in their public filings. Holdings can also refer to the constituencies within a clone.

Inactive Security

An inactive security is one that is no longer listed on the exchange from which it trades. Securities become inactive when the company that issued the security is acquired, taken private, merged or no longer in compliance with the listing requirements of the exchange. AlphaClone includes the effects of inactive securities on the performance of clone portfolios, thus avoiding bias in the results.

Long Only/Hedged

This option allows the user to manage a clone’s risk profile by allocating a proportion of the clone’s returns to the inverse returns of the SP 500 index.

Market Value

Refers to the disclosed dollar value of an individual holding within a fund manager’s public filing.

Match the Manager

A portfolio weighting method where the performance of each holding in a clone is given a weight that is equal to the disclosed market value of that holding at the most recent quarter end divided by the total market value for all holdings in that clone.

Max Drawdown

The largest peak-to-trough decline over a specific period for a clone.

New Buy

A new holding that was reported by a fund manager for the most recent quarter but did not appear as a holding in the previous quarter.

Past Portfolios

The Past Portfolios table lists a clone’s holdings over previous quarters. This view allows you to see how a clone’s constituencies have changed over the recent past.

Popularity (Clone Strategy)

The rules associated with this clone strategy are:
1. Buy the most popular (widely-held) holdings in a fund group as determined by the number of managers that hold a security in their top 20 holdings (i.e. the more managers that report a security as a holding the more popular it is).
2. Sell when the holding no longer ranks as being amongst the most popular for that portfolio.
3. For a holding to be ranked as popular at least two managers in the group must report it as a holding in the same period.

Popularity Weighted

A portfolio weighting method where each clone holding is weighted based on how popular the holding is amongst the group. For example, a security which is held by 10 funds will have twice the weight as a security held by 5 funds. This weighting method applies to popularity clones only.

Public Filings

To generate clones, AlphaClone uses data contained in historical and current filings submitted by managers in our database to the Securities and Exchange Commission each quarter – specifically we rely on Form 13F.

Rebalance Date

The date on which all clone portfolios are updated by adding/deleting holdings based on the most recent public filings. Clones are rebalanced 50 calendar days after the end of each quarter.

Rebalance Method

Rebalance methods determine what weight we give to the performance of each holding in a clone at each rebalance date.

Recent Trades

The Recent Trades table allow you to view what stocks were sold or bought and at what price at each of the past several rebalance dates for a specific clone.

Sellout

A holding for which a manager has sold out or eliminated their position.

Sharpe Ratio

A measure of the excess return (or Risk Premium) per unit of risk in an investment asset or a trading strategy. The higher the Sharpe Ratio the better.

Single Fund

Refers to any one of the investment companies or hedge funds being tracked by AlphaClone (e.g., Berkshire Hathaway).

Static Group

A fund group in which the funds that make up the group do not change from one quarter to the next.

Survivorship Bias

Survivorship bias is the tendency for failed companies or funds to be excluded from performance studies because they no longer exist. It often causes the results of studies to skew higher because only companies which were successful enough to survive until the end of the period are included. AlphaClone avoids survivorship bias by including both currently active and inactive companies in our performance results, and by maintaining a fund’s effect on performance results even after it is no longer active.

Top Holding(s) (Clone Strategy)

The rules associated with this clone strategy are:
1. Buys the largest holdings for each manager(s) as determined by the market value of the holdings at the end of the quarter.
2. Sells when the holding is no longer ranked as being a top holding for that portfolio.

Total Market Value

Refers to the aggregate market values for all holdings disclosed by one or more fund manager(s) in a given quarter.

Total Number of Holdings

The total number of equity positions reported by a fund manager for a specific quarter (excludes put/calls, and fixed income securities).

Total Return

Displayed in percent, Total Return represents the total gain or loss on a clone portfolio over a specific time period. Total Return and Annualized Return figures are adjusted for stock and cash dividends and for the effects of stock splits.

Turnover

Turnover measures what percent of a portfolio’s holdings are new from one quarter to the next. For a clone, this measures the average turnover over the prior four rebalance periods.