• AlphaClone Select |
• Momentum Select |
• Value Masters |
• Tiger Cubs |
• Activist Masters |
• High Conviction |
• ETF Ideas |
• International

Data as of 02/5/12

ETF Ideas derives its holdings from a selection of investment funds that we then screen for their largest and consensus ETF holdings.

Number of managers cloned: 310
Aggregate value of disclosed holdings: $4228 billion
 

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Strategy
The AlphaClone ETF Ideas Core Strategy seeks to invest in the ten most popular (widely held) ETF securities amongst the twenty largest disclosed equity holdings from each investment fund in the group.

Investment Objective
Like all AlphaClone Core Strategies, this portfolio is intended for investors with moderate to aggressive capital appreciation investment objectives.

Stocks included:
Exchange-Traded Funds (ETFs)

Number of holdings:
Up to 10

Methodology

1. Each quarter, all ETF holdings that appear within each investment fund's twenty largest disclosed equity positions are ranked based on the number of funds in the group that hold each.
2. Securities in the portfolio are then selected to match substantially the ten most widely held (popular) ETF holdings each quarter.
3. All securities are then weighted based on their popularity.

Rebalance/Update frequency: Quarterly (approximately 50 days after the end of each calendar quarter).

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Clone Performance

Growth of $10,000

• 1m
• 3m
• 6m
• YTD
• 1y
• 3y
• 5y
• Max

02/5/07 - 02/3/12

Rank Strategy against S&P 500 (SPXTR)NASDAQ Composite (COMP)Dow Jones Industrial (DJI)Russell 2000 (RUT)Bank of New York Composite ADR (BKAD)Dow Jones Industrial (DJI)NASDAQ Composite (COMP)Russell 1000 (RUI)Russell 2000 (RUT)Russell 3000 (RUA)S&P 500 (SPXTR)S&P 500 Capital Goods (SPXIC)S&P 500 Consumer Discretionary (SPXD)S&P 500 Consumer Staples (SPXS)S&P 500 Energy (SPXE)S&P 500 Financials (SPXF)S&P 500 Health Care (SPXA)S&P 500 Industrial Conglomerates (SPXICON)S&P 500 Industrials (SPXI)S&P 500 Information Technology (SPXT)S&P 500 Materials (SPXM)S&P 500 Telecommunication Services (SPXL)S&P 500 Transportation (SPXTRN)S&P 500 Utilities (SPXU) Strategy Index

Performance Statistics

• 5 years
• Annual Data

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	Total Return	Annualized		Sharpe Ratio (4%)	Max Drawdown
		Return	Volatility
ETF Ideas (Long)	61.3%	10.0%	18.5%	0.3	-29.8%
Index	3.5%	0.7%	18.8%	-0.2	-50.9%

Q/Q Turnover (avg. prior 4)

22.5%

Alpha

8.5

Beta

0.7

Correlation to Index

0.8

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IMPORTANT DISCLOSURES FOR BACKTEST PERFORMANCE RESULTS

Backtesting is the process of evaluating a core strategy by applying it to historical data. Backtested performance results are provided for purposes of illustrating historical performance had a core strategy had been available during the relevant period. Backtested performance results are hypothetical and have inherent limitations. AlphaClone makes no representation that any core strategy will achieve performance similar to any backtested performance results. Actual results could differ materially from backtested performance and future results could differ materially from backtested performance. Past performance is no indication or guarantee of future results.

Backtested performance results: (i) do not reflect the deduction of any management fees or trading commissions; (ii) are not based on actual trading and do not reflect any market impact of buying and selling securities, trade timing and security liquidity; (iii) are updated on a quarterly basis following the filing of public disclosure reports by certain hedge fund and institutional money managers; (iv) reflect the closing prices on the rebalance date; (v) reflect prices that are fully adjusted for dividends and corporate actions (e.g., stock splits); (vi) do not reflect any public disclosures filed after a rebalance date; (vii) reflect the historical results of securities which have been, been are no longer, publicly traded; and (viii) reflect the historical results of money managers who are no longer filing public disclosure reports.

AlphaClone does not represent that backtested performance information is accurate, complete or current, and AlphaClone has no liability with respect thereto. The AlphaClone core strategies are subject to change without notice and AlphaClone has no obligation to update you as to any such changes. The information provided herein comes from what AlphaClone believes to be reliable sources. AlphaClone, however, makes no representations as to its reliability or accuracy, and you should undertake independent analysis to ensure the accuracy of the information.