CLOSED 06/28/2018
AlphaClone begun trading the AlphaClone International ETF (NYSE Arca: ALFI) on Tuesday, November 10, 2015.
Here is a synopsis of the new ETF:
FUND INFORMATION:
| Symbol: ALFI | Exchange: NYSE Arca |
| Name: AlphaClone International ETF | Net Expense Ratio: 0.95% |
FUND OBJECTIVE:
The AlphaClone International ETF seeks to track the total return performance, before fees and expenses, of the AlphaClone International Downside Hedged Index.
REFERENCE INDEX:
The AlphaClone International Downside Hedged Index utilizes a proprietary, quantitative Clone Score methodology developed by AlphaClone, Inc. (Adviser), to replicate the foreign equity securities trading in the U.S. through American Depositary Receipts (ADRs) favored as investments by hedge funds and institutional investors.
The Index was established by the Adviser in 2015 and is generally composed of between 40 and 50 U.S.-listed ADRs. The Index is reconstituted quarterly, and as of August 27, 2015, the market capitalization range of the securities in the Index was $799 million to $251 billion.
The Adviser’s Clone Score methodology analyzes the historical returns of a given hedge fund’s or institutional investor’s holdings and assigns a Clone Score (i.e., ranking) to each such hedge fund and institutional investor based on such returns. The Clone Score methodology incorporates information from hedge fund and institutional investor public disclosure filings (e.g., Form 13F filings) with the U.S. Securities and Exchange Commission to identify their disclosed holdings at the end of each quarter. The Index is made up of the ADRs held by those hedge funds and institutional investors with the highest Clone Scores. Index constituents are equal weighted at the time of each reconstitution but have an overlap bias (i.e., holdings held by twice as many hedge funds and institutional investors have twice the weight). Additionally, each individual constituent is limited to a 15% weighting and the aggregate weight for any five index constituents is limited to 50% at the time of each reconstitution.
The Index can oscillate between being long only or market hedged. When the Index is market hedged, in addition to continuing to hold its long positions, the Index sells short a security that tracks the MSCI EAFE Index in an amount equal to 100% of the market value of the Index’s long positions. When the Index is hedged, the Index’s short position is designed to mitigate overall systemic market risk by increasing in value as the overall international equity market declines and offsetting any corresponding decline in the value of the Index’s long positions. The Index’s market hedge is triggered “on” when the S&P 500 Index closes below its 200-day simple moving average at any month end, and the Index’s market hedge is triggered “off” (i.e., removed) when the S&P 500 Index closes above its 200-day simple moving average at any month end. Implementation or removal of the Index’s market hedge takes effect at market close two trading days after the applicable month-end when the hedge is triggered on or off. When the Index is market hedged over consecutive months, the Index’s short position is only rebalanced quarterly in conjunction with the rebalance of the Index’s long positions.
The equity securities that comprise the Index’s long positions are ADRs of foreign companies, including those in emerging markets, each with a market capitalization of at least $100 million at the time of reconstitution and meeting certain liquidity thresholds. The equity securities that comprise the Index’s short positions may include shares of other investment companies, including other ETFs.
Top Holdings (11/13/15):
| BAIDU INC | 16.18% |
| QUNAR CAYMAN IS LTD | 5.78% |
| TEVA PHARMACEUTICAL INDS LTD ADR | 5.20% |
| SHIRE PLC | 5.12% |
| JD COM INC | 4.82% |
| ANHEUSER BUSCH INBEV SA/NV | 4.26% |
| NEW ORIENTAL ED & TECH GRP INC SPON ADR | 4.08% |
| HDFC BANK LTD – ADR | 3.85% |
| TAIWAN SEMICONDUCTOR MFG LTD SPONSORED ADR | 3.20% |
| GLAXOSMITHKLINE PLC | 2.87% |
Useful Links:
ALFI Home Page
Category: Equities> International Equities> International Strategy
ETFtrack Comment:
ALFI is AlphaClone’s 2nd ETF on the market. The 1st was AlphaClone Alternative Alpha ETF (NYSE:ALFA), the 1st of its kind to track hedge fund holdings, launched in 2012 and has won significant market adoption.
“Following similar methodology inside separately managed accounts since 2010, we’re excited to offer an international ETF to help long-term investors navigate international opportunities,” said Maz Jadallah, CEO of AlphaClone. “Our approach seeks to combine the best of man and machine by leveraging the most established investors while offering a rules-based investment methodology.”
“Pursuing the potential for alpha is even more important today for long-term investors given the anemic growth forecasted for equities and bonds over the next several years,” Jadallah continues. “Our strategies seek to offer long-term investors the ability to pursue alpha but with the benefits of a passive investment vehicle.”
AlphaClone, Inc. is a San Francisco-based registered investment advisor and equity research firm that is a pioneer in building accessible alpha-seeking investment strategies for long-term investors. AlphaClone’s investment products and solutions are derived from institutional investor public disclosures and give investors direct access to the investment ideas of the world’s most established hedge funds. The firm’s proven, intelligent, risk-managed portfolio construction approach seeks to provide liquid, transparent, low-fee strategies that can give investors exposure to the alpha potential inherent in hedge fund investments. AlphaClone’s investment research and strategies are available to investors through managed accounts and exchange-traded funds.