Portfolio Construction: We examine the public filings of investors to determine which securities they have invested in. In particular, within 45 days of the end of each fiscal quarter, large asset managers are required to file form 13-F with the Securities and Exchange Commission. This form details the asset managers’ securities holdings as of the end of the quarter, and is published on the SEC website. When a new filing is released, we rebalance the portfolio to have weights closely matching the funds’ disclosed weights. At our discretion, we may supplement the form 13-F data with information from other sources.

Risks: This portfolio primarily comprises stocks and is susceptible to the inherent volatility and potential declines that characterize the stock market. Additionally, as this portfolio is based on the trading activities of hedge funds, it may adopt riskier positions over which we have limited control. It is important to note that we cannot perfectly replicate investor positions, for several reasons. Our knowledge of fund positions comes from mandatory reporting of quarter-end positions to the SEC. Significant time may pass between the quarter end and the report being filed, meaning our information on holdings may be stale. In addition, the SEC’s mandatory reporting program only covers securities; there is no reporting of other potentially significant portfolio components such as derivatives, short positions, bonds, etc. We also may omit small positions from our portfolio.