Market Folly Custom Portfolio: November 2009 Performance ~ market folly

Wednesday, December 2, 2009

Market Folly Custom Portfolio: November 2009 Performance

If you're unfamiliar with our portfolio, check out our introduction here. Today we're back with the latest performance metrics from our Market Folly custom 'hedgefundesque' portfolio created with Alphaclone:

November 2009
MF: -2.2%
S&P 500: +6.0%

YTD 2009
MF: +9.4%
S&P 500: +24.1%

Since Inception (1/03/00)
Total Return
MF: +848.6%
S&P 500: -10.0%

MF: +25.5%
S&P 500: -1.1%

(click to enlarge)

The clone had a horrible month comparatively speaking. Not to mention, the hedge continues to drag on portfolio performance for the year as the never-ending rally continues. The long-only version of our portfolio is +25.2% year-to-date, compared to the hedged version which is +9.4%. So, you can see the vast majority of the underperformance is due to the hedge this year. In our mind, it has always been imperative to first: protect from losses, and second: to outperform over the long-term. The clone has definitely succeeded in those regards, but we're obviously disappointed with this year's performance.

Needless to say, a rally of over 60% from the lows in one year is quite abusive to our hedge. When you get a rare and vicious rally like that, the hedge will always drag you down. We of course will continue to run our strategy as designed because its long term outperformance speaks for itself. And after all, we're in this for the 3-year, 5-year, and inception metrics. (Keep in mind that you can also run a long-only version of the portfolio).

We're providing monthly performance updates on the Market Folly clone in the interest of full transparency. After all, that word has taken centerstage in the industry as of late. While we aren't focused on month-to-month gyrations, many readers like to see how it is faring near-term and we're happy to oblige. As always, head over to Alphaclone to see our portfolio in action and to see what positions it is currently invested in. We're proud to be ranked #1 on Alphaclone's leaderboard despite this year's poor showing. Create your own hedge fund portfolios over there and let us know how your results look.

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