Market Folly Custom Portfolio: Rebalanced, New Positions ~ market folly

Wednesday, November 25, 2009

Market Folly Custom Portfolio: Rebalanced, New Positions

With the onset of the third quarter 13F filings upon us, our Market Folly custom portfolio has just been rebalanced with new positions. We rebalance our holdings four times a year (once each quarter) to coincide with the latest hedge fund SEC filings. Since 2000, our portfolio has a total return of 865.6% and an annualized return of 25.7%. These numbers reflect the most recent performance as we just looked at them this morning. To see the latest positions our portfolio is investing in, head over to Alphaclone and then pull up the Market Folly portfolio from the list of 'Clones of Fund Groups'.

Our hedge fund-esque portfolio invests in various stocks held by a group of hedge funds we've hand selected. Over time, we've used our hedge fund tracking expertise to identify funds that outperform the markets and are easily 'cloned' due to their equity strategy and long-term investment focus. By focusing on hedge funds that typically employ long/short equity strategies, we ensure that we can see the majority of their long portfolio in the SEC filings to that we are replicating their portfolio efficiently. While we cannot see the short positions in their portfolio, we run our clone with a 50% hedge (short SPY) in order to run a hedged investment vehicle. We created it all with ease by using Alphaclone, truly the best hedge fund replication tool we've come across.

Below is a teaser shot of the 9 positions our portfolio currently holds. Each row represents one stock and by looking at the share price you can start guessing as to what position each is. The portfolio has five brand new positions this quarter and retains four positions from the previous quarter. Ignore the column on the far right regarding the quarter over quarter change in shares held, as we instead equal-weight all of our holdings. Let the guessing games begin:

As referenced earlier, the portfolio performance has been amazing. To learn more about our portfolio, head over to our introductory post. The Market Folly Custom portfolio is ranked #1 on Alphaclone's leaderboard as the top performing portfolio. It has a Sharpe Ratio of 1.1, beta of 0.2 and a correlation to the index of 0.2. As always, we'll continue to provide performance updates on how our portfolio is faring every single month. For those of you trying to replicate our portfolio on Alphaclone, keep in mind that we are using a market cap screen that omits companies with a market cap of greater than $50 billion from our clone. Now that the replicator just rebalanced, click here to see the new positions our portfolio holds. Upon signing up for Alphaclone you can see our positions and invest right alongside our portfolio to generate these outstanding returns for your own account. We cannot stress enough that it is the best hedge fund replication tool out there.

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