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Exchange-Traded Products Representing Hedge Strategies (February 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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