Q2 2011 Most Popular Hedge Fund ETF Holdings

Gold [GLD] retains the top position as the most popular ETF amongst AlphaClone’s manager universe. The ETF is held as a top twenty position by 22 managers for a combined disclosed market value of $7.3 billion as of the end of the quarter. The ETF’s sentiment score increased from 168 in Q1 to 175 last quarter indicating that the aggregate portfolio exposure to the shiny commodity has actually increased. 

By far the largest holder of the metal is John Paulson’s firm Paulson & Co. with 31.5 million shares at $4.6 billion in market value or 16.3% of the manager’s disclosed portfolio. News that Paulson’s fund has struggled this year is mirrored in the performance of the manager’s Top 10 Holding clone. The clone portfolio has returned negative -14.4% YTD vs. negative -2.3% for the S&P 500TR (as of 8/30/2011). A closer look at the clone’s holdings reveals that the underperformance had nothing to do with the manager’s position in Gold [GLD], in fact that position has been a winner. Instead the clone entered the year with several positions in financial stocks such as Hartford Financial [HIG], Citigroup [C] and Suntrust Bank [STI] and has held those positions to the present resulting in heavy losses (see table below).

In fact, holding Gold [GLD] and Gold Miners [GDX] has propelled AlphaClone’s core ETF investment strategy to lofty returns despite the brutal downturn in August. The strategy, which invests quarterly in the ten most popular ETFs amongst our universe of managers, has backtested to return 3.3% YTD vs. negative -5.5% for the MSCI World Index with dividends (as of 8/30/2011).  We’ll release actual net of fees composite performance numbers for this and other core strategies in a couple of days.