Comments on: Whither the Clones? http://allaboutalpha.com/blog/2008/09/17/whither-the-clones/ Hedge funds, portable alpha, 130/30 and alpha-centric investing Wed, 17 Mar 2010 03:10:00 +0000 http://wordpress.org/?v=abc hourly 1 By: Jerome Abernathy http://allaboutalpha.com/blog/2008/09/17/whither-the-clones/comment-page-1/#comment-134809 Jerome Abernathy Fri, 19 Sep 2008 17:44:20 +0000 http://allaboutalpha.com/blog/?p=3418#comment-134809 "In the seven months to July 2008, for example, performance on the replication products we monitor varied between -15.7% and +3.8%." That -15.7% number comes from a failed Deutsche Bank product. The other products are in a very tight cluster. These are the unvarnished facts: alternative beta products- net of fees- have proven themselves in the most difficult market environment in hedge fund history. For example, the Stonebrook Alternative Beta Fund (net of fees) had cumulative returns of 1.03% from it's inception in May, 2007 through August, 2008. The compares to 0.04% for the HFRIFWC and -1.45% for the HFRIFOF indices. Moreover, Stonebrook had a 0.84 correlation to the HFRIFWC and 0.75 to the HFRIFOF. These returns are not dissimilar from our peers. If you are an investor, you should be ask what percentage of fund-of-fund returns can be attributed to alternative beta. It should be your benchmark. And you should combine alternative beta with high-alpha managers to maximize the performance of your hedge fund portfolio. “In the seven months to July 2008, for example, performance on the replication products we monitor varied between -15.7% and +3.8%.”

That -15.7% number comes from a failed Deutsche Bank product. The other products are in a very tight cluster. These are the unvarnished facts: alternative beta products- net of fees- have proven themselves in the most difficult market environment in hedge fund history.

For example, the Stonebrook Alternative Beta Fund (net of fees) had cumulative returns of 1.03% from it’s inception in May, 2007 through August, 2008. The compares to 0.04% for the HFRIFWC and -1.45% for the HFRIFOF indices. Moreover, Stonebrook had a 0.84 correlation to the HFRIFWC and 0.75 to the HFRIFOF. These returns are not dissimilar from our peers.

If you are an investor, you should be ask what percentage of fund-of-fund returns can be attributed to alternative beta. It should be your benchmark. And you should combine alternative beta with high-alpha managers to maximize the performance of your hedge fund portfolio.

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