European Pressphoto Agency

You can make an ETF out of anything. Even hedge fund positions that are at least 45 days old.

Goldman Sachs Group Inc. earlier this month filed a prospectus for a new exchange-traded fund it plans to launch. The product it’s proposing, dubbed the Goldman Sachs Hedge Fund VIP ETF, will track an index of some of the most popular positions held by U.S. hedgies. It’s plan: To track an index of 50 stocks that appear the most in the top 10 holdings of U.S. hedge funds that rely on “fundamental” stock analysis.

But that data comes at a bit of a delay. Hedge fund holdings are made public roughly 45 days after the end of each quarter, so the ETF’s index will shift on a quarterly basis after each new report. Because of the lag time, the prospectus for the new ETF warns in its “Risks of the Fund” section that “a given investor may have already exited positions disclosed on a form by the time the filing is available to the Fund.”

The ETF will look at hedge funds with more than $10 million in equity assets that hold between 10 and 200 stocks. It will scan quarterly reports and rank holdings by market value from highest to lowest, selecting the stocks that appear in the top 10 the most often. Those stocks will then be equally weighted in the index.

“It fits into an existing camp of hedge-fund mimicking-type strategies. There’s a lag in time, performance has been meh,” in existing ETFs like it, said Ben Johnson, an analyst at Morningstar Inc. “The jury is still out on whether that’s a winning strategy over time.”

The filing for Goldman’s new ETF comes as analysts and investors are increasingly shifting their 2016 market calls and revising down expectations for the year.

The filing is the latest from Goldman Sachs Asset Management, which is making a push into ETFs. The firm raised eyebrows last year when it started a new ETF that aims to beat the S&P 500 at a cost of 0.09% annually. The fund has more than $300 million in assets. The Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF is down 5.71% year to date against a 5.86% decline in the S&P 500 on a trailing total return basis, according to Morningstar.

Another ETF provider that digs into public filings for ideas is San Francisco-based AlphaClone. It looks at positions that hedge funds and institutional investors disclose quarterly and uses an internal manager-scoring process.

“I wanted to glean what smart money was doing with their money before I did it with mine,” founder Maz Jadallah said of starting the firm, which began as a research company in 2008.

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