Exchange-Traded Products Representing Hedge Strategies (February 2013)

Apr 23, 2013

Hedge fund benchmarks are substrategies of the Dow Jones Credit Suisse Hedge Fund Index, except gold. Portfolio statistics reflect 20-year history.

Representative ETPs include:
QAI - IQ Hedge Multi-Strategy Tracker ETF
CWB - SPDR Barclays Capital Convertible Securities ETF
VWO - Vanguard FTSE Emerging Markets ETF
MNA - IQ Merger Arbitrage ETF
FLAT - iPath US Treasury Flattener ETN
MCRO - IQ Hedge Macro Tracker ETF
CSLS - Credit Suisse Long Short Liquid Index ETN
BTAL - QuantShares US Market Neutral Anti-Beta Fund
LSC - ELEMENTS S&P CTI ETN
HDGE - AdvisorShares Ranger Equity Bear ETF
GLD - SPDR Gold Shares ETF

	ETP Ticker	Market Cap ($mm)	Ann Expense (%)	12-Month Return (%)	r-Squared (r2) vs Hedge Fund Benchmark	Beta (?) vs Hedge Fund Benchmark	Alpha (?) vs Hedge Fund Benchmark	r-Squared (r2) vs S&P 500	Beta (?) vs S&P 500	Alpha (?) vs S&P 500
Multi-Strategy	QAI	356.5	0.75	1.34	0.58	0.66	-0.01	0.54	0.22	0.00
Convertible Arbitrage	CWB	1,077.3	0.40	8.79	0.69	2.11	-0.06	0.85	0.67	0.00
Emerging Market	VWO	57,645.5	0.20	-0.28	0.82	2.32	-0.09	0.70	1.25	-0.09
Risk Arbitrage	MNA	14.1	0.75	-0.86	0.41	1.05	-0.02	0.40	0.24	-0.03
Fixed Income Arbitrage	FLAT	8.3	0.75	6.15	0.14	-2.22	0.27	0.46	-0.54	0.17
Global Macro	MCRO	62.7	0.75	-1.61	0.18	0.79	-0.05	0.44	0.31	-0.02
Equity Long/Short	CSLS	19.7	0.45	-4.26	0.76	0.80	-0.01	0.79	0.46	-0.03
Equity Market Neutral	BTAL	14.4	0.81	1.06	0.64	-2.82	-0.03	0.71	-1.10	0.15
Managed Futures	LSC	5.1	0.75	-15.28	0.32	0.76	-0.12	0.10	0.29	-0.14
Short Bias	HDGE	229.9	1.85	-14.57	0.80	1.22	-0.01	0.73	-1.34	-0.03
Gold	GLD	62,721.2	0.40	-6.87	--	--	--	0.02	0.17	0.11

TAGS: Investment

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