Daily ETF Watch: AlphaClone Lineup Planned

July 29, 2015

Coefficient Capital, which launched the $190 million AlphaClone Alternative Alpha ETF (ALFA | C-65) in 2012, has filed for four more funds to join its flagship product. Like ALFA, the proposed funds will rely on quarterly public filings to invest in the top equity holdings of leading hedge funds and institutional investors.

The ETFs listed in the filing include the following:

  • AlphaClone Small Cap ETF
  • AlphaClone International ETF
  • AlphaClone Activist ETF
  • AlphaClone Value ETF

The small-cap fund tracks an index of 150-250 U.S. small-cap stocks that uses a modified equal-weighting approach. The fund can take short positions in a Russell 2000 Index investment vehicle when the long portion of its portfolio falls below its 200-day simple moving average.

Similarly, the international ETF can also take a short position in “a security that tracks the S&P ADR Index” when the long-only portion of its portfolio dips below its 200-day moving average. Its long-only holdings will consist of 40-50 American depositary receipts.

The activist ETF will invest in the top holdings of hedge funds and institutional investors that seek to effect changes within the companies that they invest in, and it will use the investors’ 13D filings to do this. Its portfolio will consist of 40-100 U.S.-listed equities.

The value ETF will not evaluate the individual holdings for value characteristics; instead, it will select the highest-ranking stocks held by value-oriented managers. As with the activist fund, the portfolio will include 40-100 U.S.-listed equities.

The concept of the AlphaClone ETFs is very similar to that of Global X’s Guru ETFs, which also cover securities held by hedge funds. However, aside from the flagship fund in the family, the ETFs have not managed to accumulate much in the way of assets. The Guru family’s four ETFs and their assets under management are as follows:

The AlphaClone filing did not include expense ratios or tickers, or mention which exchange the funds would list on.

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