A crowd sourced CTA/Managed Futures & Hedge Fund Database
Nilsson Hedge provides a free CTA/Managed Futures and Hedge Fund database. The majority of the database covers CTA or Managed Futures Managers, using a variety of style and strategies. In addition, NilssonHedge offers supplemental coverage of a number of Long/Short Equity Managers, Fixed Income Strategy and Multi Strategy hedge funds.
The NilssonHedge database is focused on what matters most to you, as an investor, the excess returns of the funds. And we provide that in an analytical friendly approach that allows you to take control of the data. In a way that enables you to follow your investments.
The database is crowdsourced and the format will change over time. The sourcing of the data is done through an automated Fintech solution. We combine a large number of different sources and aggregate performance across managers, funds, distributors and share classes. In addition, we enrich the data with additional fields to allow to search and filter for specific types of managers.
NilssonHedge provides a truly comprehensive hedge fund database. We do not provide capital introductions, nor do we promote individual managers or tell you how to create the best mix of managers. The format is not for technology-challenged users. It requires a user that can handle data. We know, but we also know that you know. That is why you are here. You are a quant, many of our managers are quants, many of our users are quants. We are the home of the NilssonReport, a monthly performance report for the less technically advanced users. The only thing we ask from you is that sign up for a free account and provide us with feedback. Enjoy and prosper!
The database is password protected and require registration. For the foreseeable future the database will be free, but we require that you acknowledge that you are allowed to access the content in your jurisdiction. Please follow the link below to be taken to the registration form.
We only require your name and email. We will only send occasional and infrequent emails relating to updates and new functionality. We will not share your details with any third party vendor.
NilssonHedge calculates a number of speciality hedge fund and CTA-Managed Futures indices. We provide estimates of average return, the number of managers and an estimate for the assets under management in the industry. The data can be downloaded here.
These indices are generally not investable and represent the average return from managers which requires continuous rebalancing. To view a particular index, please click on the links below. The NilssonHedge indices are live since Jan 2019. There will be no backtracking of the indices. In cases when a new index is launched, it will be based on the historical, actual state of the database as of the launch date. Return data will be continuously updated and will incorporate lagging managers that for various reasons have decided to restart reporting. This may introduce variability in the rate of the returns.
There are various biases in the index returns. For instance, by allowing managers to continue to report their returns after a particular date, we expect that those returns are upward biased. We also assume that non-reporting managers have an average index returns if they stop reporting will also bias the index upward.
Given the occasional large investment minimums for each manager, the minimum investment to invest an average amount into all managers may approach infinity. In addition, some managers may be closed for new investments. That combined with monthly rebalancing, based on an unknown close price makes the index highly uninvestable. The NilssonHedge indices are simply an indicator of performance rather than a financial benchmark.
NilssonHedge works with a classification framework that sorts managers into Type, Style, Strategy and Sector attributes. The classification is not designed to be an absolute truth, but rather indicative of what is driving the underlying returns. There are many ways of classifying hedge fund strategies. In most cases, NilssonHedge is responsible for the classification.
Type is the main strategy of the performance stream, for the funds NilssonHedge is tracking, we commonly use CTA, Hedge Fund, Equity Long/Short, Asset Allocation, Risk Premia, Fixed Income, Crypto, Long-Only and Index. While not all of these are hedge fund strategies, we have also chosen to report return for strategies and indices that are relevant for performance measurements.
CTA is our category for Managed Futures, Global Macro, Commodity managers and related strategies. For a more in-depth classification taxonomy of the CTA taxonomy, please click here.
This classification is used in the NilssonReport and is subject to change.
Equity Long/Short includes a variety of strategies, including stock-picking, but not market neutral, event and arbitrage strategies.
Market Neutral: A strategy that seeks to “neutralize” unwanted market or factor exposure. Typically, this can be viewed as a pure alpha version of a Long/Short equity program.
Event Driven: Strategies that are focused on specific corporate events, such as mergers, distressed debt or trading through corporate restructurings.
Fixed Income hedge funds are classified depending on the most dominant type of securities that the fund trades. Thus, these are hedge funds that are primarily engaged trading fixed income related strategies.
Asset Allocation is strategies that allocates across global asset classes, sometimes through a long-only approach.
Risk Premia captures strategies and managers that exploit well-documented anomalies in markets, carry, low volatility to mention a few.
Long Only represent long biased strategies, here we capture managers that trade enhanced indices or 130/30 equity portfolios.
The Hedge Fund category is generic and captures hedge fund that are not covered by other classification schemes.
Crypto trading strategies do not yet have have a in-depth classification.
Index is a category representing market indices or hedge fund indices. All of these are passive and may not be investable.
CTAs is the most common manager type in the database and we have devoted a separate page to explain the taxonomy in this group.
CTA (also known as Managed Futures), are formally managers registered with the CFTC. Informally, these are Futures managers that are managing assets for clients. In this category, you will find Global Macro, Systematic Macro, Trend Following and a variety of styles with exposure to the global markets.
Systematic – Rules based managers seeking to exploit strategies that are based on coded rules. These managers are typically diversified over a larger number of markets.
Discretionary – Managers using judgment when it comes to taking risk. These managers are often more concentrated to certain trades.
Fund of Funds – a manager that allocates to other strategies. In the Managed Futures space, this is typically done through managed accounts offering strong transparency to the manager of managers.
Systematic Strategy Classification
Within the Systematic classification, we have the following strategies:
AI – Managers using artificial intelligence or machine learning to extract signals from markets. Sometimes, this is also called pattern recognition or similar terms. But pattern recognition may not always be an AI technology, in those cases the manager is sorted under a different category.
Behavioral – Strategies seeking to exploit repetitive behavior from human investors and speculators.
Contrarian – A manager seeking to predict market turns, trading in an anticipatory way.
Fundamental – Often, this is also called a systematic macro manager and relies on a broader set of data inputs in addition to price, that is the most common input for the other strategies. In this category, we also find Global Tactical Asset Allocators.
Market Neutral – A manager that strives to be neutral to the market, often by using intra or inter-market trades. In commodities or fixed income, position along the curve are often traded. The latter are also called spread traders. This category may also be referred to as Relative Value.
Multi Strategy – Managers that are allocating to several strategies, preferably uncorrelated strategies. Typically, this is the classification for strategies that are not “style pure” but rather allocates to a set of different return streams.
Option Strategy – Strategies that are using options or volatility related instrument to express views or strategies in the market.
Option Writer – A strategy that sells options, often in an attempt to exploit the volatility premia – the difference between implied and realized volatility. Most commonly this strategy has catastrophic downside when realized exceeds implied.
Short Term – Strategies that hold positions for a few days or even intraday. These managers are typically capacity constrained but can offer uncorrelated return streams.
Trend Following – the most common strategy in the CTA space, strategies that seek to exploit momentum in markets over various time horizons.
Discretionary Strategy Classification
In most cases, a discretionary CTA is a Global Macro strategy. To call yourself a Macro manager or a CTA is often a marketing choice. Most Macro manager are registered with the CFTC and are almost always a CTA from a regulatory perspective.
Fundamental – The classical Global Macro manager analyzes economic fundamental and takes positions across market based on perceived strength or weakness of a particular market.
Market Neutral – Relative manager, striving to stay neutral to the general market direction.
Multi Strategy – combining several uncorrelated strategies, sometimes also multiple discretionary Portfolio managers sharing a common book. In this category, we typically place strategies that mix systematic and discretionary strategies.
Option Strategies – an option strategy is deployed to fine tune bets on markets. Sometimes this also include VIX based strategies.
Option Writer – a discretionary implementation of a risk premia strategy, selling optionality to some degree, in order to earn the positive carry.
Short Term – a strategy that tries to exploit short term market movements.
Technical – Discretionary implementation and signal selection of either technical indicator or system supported trading strategies.