AlphaClone Hedge Fund Long/Short Index

A broad, risk-managed index of US-exchange traded equities favored by hedge funds and institutional investors.

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Clone Score
AlphaClone's proprietary Clone Score methodology ranks hedge funds and institutional investors based on the efficacy of replicating their publicly disclosed positions and selects equities from those managers with the highest ranking. Clone Scores are recalculated bi-annually and incorporate factors such as the persistence in excess returns over time when following different combinations of a manager’s disclosed positions. The approach provides an objective and consistent approach to manager and constituent selection.

Dynamic Hedging
to manage systemic market risk, the index utilizes AlphaClone's dynamic hedge mechanism which can vary the index between being long only and 50% long/50% short a broad US market index depending on certain market price targets. The mechanism seeks for the index be long only during protracted market run ups and well hedged during multi-month bear markets.

Multi-manager Construction
to mitigate the performance and disclosure risks associated with following a single manager's disclosures, the index selects its constituents from the disclosures of a broad representation of managers.

Rules-Based
the index adjusts its constituents and weights quarterly at pre-defined intervals. Constituents are equal weighted but with an overlap bias that would, for example, give a constituent held by twice the number of managers twice the weight. AlphaClone's rules-based construction and rebalance approach provides a disciplined investment approach that is repeatable over time.