I've got a 50 lb bag of hydroton. I have about 200 lbs of perlite in my shed. Why didn't I use the hydroton, instead of buying all that perlite, you might ask?
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Expanded clay does the job of moisture retention and aeration, but it does it in a very different way than perlite. The round shape creates large, semi-uniform air spaces, when used in hydroponics. And the texture/structure of the clay helps absorb and hold moisture, longer. Clay does this without being "soggy" wet.  However, the aeration/moisture retention combo really only works in the hydro setup. Once you put anything else in it, it instantly loses the aeration property. (because it's holding water) Oh, and it should be obvious that the big spaces also are drainage. You obviously won't have that with other material occupying the air spaces. Additionally, there is a good chance that by holding extra moisture, you may be actually creating a higher perched water table in the mix, with the expanded clay.
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Short answer... Probably not the best substitute for perlite. Might be a great thing to use in limited quantity, and in layers, for moisture retention.
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Side note... if you want to do something fun... you could always try some pine bark. Say 60%. Add about 10-20% peat, and the rest expanded clay. That might be an interesting mix. I have rocotos growing right now, in 12" of straight pine bark, sitting on top of my native sand. And they look great. Never been able to grow them successfully here before.