The CloneHedge Project Matthew C. Pollard

An investible-ETF Hedge Fund Cloning Service                    CV | Datasets Articles | Current Work

CloneHedge provides on-demand replication portfolios for funds in the TASS hedge fund database.
The portfolio uses investable US-exchange listed funds (ETFs) as instruments for replication. Consequently the strategies may be utilized by any investor that may purchase US ETFs. 

The instruments and weights are unique per fund, and may change from month to month. Replication results are performed out-of-sample using a sliding window of 24 months (funds with less than 24 months are replicated using shorter windows).

The service will be free of charge and transparent, with replication code available on request. 

There are several uses of CloneHedge:
  1. Fund Replication, for portfolio construction and diversification.

  2. Performance attribution, or identifying broad sources of a funds return

  3. Performance measurement, the approach gives investors realized, out-of-sample alpha.

  4. Statistical Due Diligence:  Funds with performance that cannot be matched by replicators are either skilled, lucky, or misleading. Such outlier funds require additional scrutiny and due diligence; the system allows such funds to be identified.

  5. "Beta-Blocking", or neutralizing existing hedge fund holdings due to redemption gates.

The service expected to be lauched in late January 2010.

If wish to signal interest in using CloneHedge, please email me on mpollard [at] london [dot] edu.

Matthew C. Pollard