CTA: Year-End Index Results & Man vs Machine Results

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).

Photo by Franck V. on Unsplash

Leave a Reply

Please log in using one of these methods to post your comment:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.