Alphaclone MarketFolly Custom Portfolio Update: Q1 2009 ~ market folly

Friday, June 5, 2009

Alphaclone MarketFolly Custom Portfolio Update: Q1 2009

Now that the first quarter 2009 13F filings have been filed with the SEC, Alphaclone (currently 50% off by the way) has gone through and rebalanced all of the clone portfolios. As such, we wanted to give everyone an update as to how our custom MarketFolly portfolio was performing. For those of you who are new to Alphaclone or to our portfolio, we would suggest checking out the following previous posts. We provided an in-depth overview of Alphaclone where we labeled it the ultimate hedge fund portfolio replication tool. Then, we first presented our MarketFolly portfolio here.

Just a few days ago, Alphaclone announced that they would be publishing portfolios by top bloggers. And, we are honored to say that they have published our portfolio. Thus, everyone who uses Alphaclone can now access our unique portfolio that is seeing 19.8% annualized returns since mid-2002. (Yes, you read that correctly... 19.8%). You can check out what positions our portfolio holds and can invest right alongside our portfolio and generate those returns for yourself. The MarketFolly portfolio is based on an assortment of hedge fund holdings and we've backtested the performance with Alphaclone's unique web-based software. Our custom portfolio is comprised of three stellar hedge funds: Seth Klarman's Baupost Group, Eric Mindich's Eton Park Capital, and Shumway Capital Partners (Chris Shumway).


As we've presented before in our in-depth presentation of our clone, we use a strategy that both generates Alpha to the tune of 17.7 and puts out a Sharpe Ratio of 0.7. Such a design has enabled us to see 19.8% annualized returns compared to only 2.3% annualized for the S&P500. Then, also consider that we have a 14% year to date return compared to S&P 4.4%. Lastly, let's look at the total return (this is where it gets good). Since mid-2002, our portfolio has seen a total return of 249.1% compared to a total return of only 17% for the S&P 500. The numbers speak for themselves. Check out the graph below from Alphaclone that shows all our backtested performance.

(click to enlarge)

As you can see from the graphic, you can also export everything as an Excel file for easy record-keeping. Oh, and we'd be remiss if we didn't also mention that if you enable a 50% portfolio hedge, the correlation of the portfolio to the indexes drops down to only 0.5. Even with the hedge, you're still generating Alpha to the tune of 16.0 and a Sharpe Ratio of 0.9. Definitely nice numbers for being protected and running a truly hedged book.

Our portfolio was just rebalanced to reflect that latest holdings from the 13F filings. Head over to Alphaclone to see what positions our portfolio is now investing in. Don't forget that Alphaclone is currently running a 50% discount, so take advantage of that while it lasts.

blog comments powered by Disqus