ALPHACLN AlphaClone Alternative Alpha Index

The Index tracks the performance of US-traded equity securities to which hedge funds and institutional investors have disclosed significant exposure. The Index ranks hedge funds and institutional investors based on the efficacy of replicating their publicity disclosed positions. Equities are selected from those managers with the highest ranking, or "Clone Score". The index is risk managed in that it can vary between being long only and market hedged based on certain rules-driven relative price targets tied to a broad market index. The index can oscillate between being long only or market hedged. The hedge is triggered on (off) when the S&P 500 closes below (above) its 200 day simple moving average at any month end. When the index is hedged, it remains long its holdings and shorts the S&P 500 index in an amount equal to 85% of value of the index’s long positions on the day the hedge takes effect. The index hedge adjustment (on or off) takes effect at market close two trading days after the hedge is triggered. 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 5% weighting at the time of each reconstitution.

As of 12/11/2015

Index Information
Provider:     AlphaClone
Category1:  US Equity
Category2:  Broad Market
Category3:  Multi-cap
Country:      USA
Currency:    USD
Inception date:  10/11/2011
Backtesting data exists:   No
Weighting methodology:   Other

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