A good summary of the January development in the trend space can be found here: https://atstradingsolutions.com/cta-fund-performance-report-31-january-2020-storm-clouds-brewing/ Richard notes ” So here we are trend followers. A fairly balmy January with no sign of any change in the endless ascent of the S&P500 spoiler alert……and yet somewhere far far away a little sneeze (literally) this month … Continue reading Jan Performance Comments via ATS / Traders Outpost
Constituents are now fully updated and our index members for 2020 are published for all the indices that we maintain. The list has been formed on the managers that have reported return data for the end of December throughout January. This has the purpose of creating and resetting the index pool for this year and … Continue reading Constituents Updated
We recently read a research paper regarding a somewhat surprising result – that for CTAs, it did not pay to be allocated to diversified managers. So, as NilssonHedge has a large dataset of managers, we decided to do a similar exercise, but with different filters to test the robustness of the results. We came to … Continue reading Diversification Still Pays (or does it?)
The Database contains 1552 different managers, representing 2826 different investment strategies.For the current reporting month, 969 managers have reported returns. For the prior month, we have 1177 live managers.In total, the database contains 21407 years of manager data. We are now 82% updated.
While the end of the last month looked dicey, things have turned around for most CTAs and we are looking at what looks like a solid result for the (mainly) trend following strategies in the NilssonHedge Daily CTA index. At pixel-time, the index was up 2.6%, higher than before the Corona Virus introduced temporary risk … Continue reading Mid-Month Update
The NilssonHedge report has been updated, a most comprehensive performance summary. It feautures a unique look into the database and sortable performance for the funds that we cover.