The AlphaClone Alternative Alpha ETF (ALFA), ALFA tracks an index of U.S. stocks owned by hedge funds and institutional investors, as selected using AlphaClone's proprietary "Clone Score" methodology, which ranks managers according to whether it would have been profitable to follow their disclosures in the past. Presumably, this allows investors to "invest with the best", and the fund outperformed the broader market over the first three years of inception (May 2012).
In my most recent article on ALFA, "The AlphaClone Alternative Alpha ETF Continues To Disappoint In 2016", I noted that the whipsaw nature of the equity markets at the time had caused ALFA to suffer performance drag relative to its benchmarks. Recall that ALFA becomes market neutral when the S&P 500 (SPY) falls below its 200-day simple moving average [SMA] at month's end. The hedge is removed when the S&P 500 recovers the 200 SMA, which is…