Halfway through the month, a majority of the CTAs have reported numbers for December. It seems as if CTAs will end up the year slightly above 5% for the year, with the Systematic managers generally outperforming the Discretionary managers.
When it comes to Man vs Machine, the Systematic managers ended up outperforming the Discretionary managers. However, the edge was relatively small and shrunk significantly into the year-end. The discretionary manager, as a group, delivered a smoother return experience with a higher Sharpe ratio. Fund of funds did better, most likely due to the leveraged returns that some of the offers.
At the end January, we will update the constituents for the NilssonHedge Indices. Managers that have reported December numbers before the end of the month are eligible for inclusion. Due to expanded coverage of managers and more return streams that are being captured, the index base will be larger.
The NilssonHedge indices can be accessed here. Sign up for the underlying database here (free).
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